Como a Crise mudará a percepção em relação ao risco?

Nós sabemos, não menos graças (pdf) para o trabalho (pdf) de Ulrike Malmendier, que as recessões podem ter cicatrizes. Memórias delas podem nos tornar mais cautelosos (pdf) mesmo anos depois.

Stumbling and Mumbling, sempre excelente.

Chevron e Covid-19

Esta notícia do jornal português Jornal Econômico é sobre a reação do mercado a suspensão de produção de petróelo em Cabinda, Angola. Parece estranho, mas o mercado valorizou as ações em 10%. Geralmente quando uma empresa anuncia a paralisação de uma linha de produção, o mercado deveria reagir de forma negativa.


A estratégia seguida pelo presidente e CEO da petrolífera Chevron, Michael Wirth, para enfrentar a crise gémea da Covid-19 e da guerra de cotações no petróleo vai além da suspensão da produção em blocos offshore, como aconteceu em Cabinda, Angola. Passa pela forte redução dos investimentos e pela venda de ativos, como é o caso das participações no Azerbaijão, que devem ser vendidas em abril.

Veja que a venda em momento de baixa significa achar preço ruim. Na quinta, a cotação do mercado de futuros WTI era de 23,16 dólares por barril.

É o caso da redução de 20% nos gastos de exploração em 2020, bem como cortes de gastos no portefólio, entre os quais, reduções de dois mil milhões de dólares no sector do shale oil na bacia de Permian (em Midland e no Delaware), mais cortes de 700 milhões em projetos de uspstream, mais 500 milhões de reduções de gastos em negócios diversos, dispersos por ativos americanos e ativos localizados nos mercados internacionais e, ainda, mais 800 milhões de dólares de cortes no segmento dos produtos químicos.

O texto continua

Voltando ao presente, a lógica da Chevron mantém-se a mesma. Face à crise gémea da Covid-19 e da guerra de preços no petróleo, a orientação de Michael Wirth na liderança da “Supermajor” nem vacilou. “Com um balanço patrimonial líder do setor petrolífero e um programa de capital flexível, acreditamos que a Chevron é resiliente e que está posicionada para suportar esse ambiente desafiador”, comentou o presidente e CEO da Chevron.

“Dada a queda nos preços das commodities, estamos adotando medidas que devem preservar o fluxo de caixa, apoiar a força do nosso balanço, diminuir a produção no curto prazo e preservar o valor no longo prazo”, adianta Wirth.

Parece simples, mas “efetivamente só adota uma posição destas quem sabe muito de petróleo”, adiantou ao JE uma fonte do sector. Porque, no sector, ninguém duvida que a Chevron percebe de petróleo, e que o petróleo está no seu ADN.

Realmente não fico convencido. Se a crise passar, a empresa terá vendido seus ativos por um preço reduzido. 

Rir é o melhor remédio

Frase: Caixa é o Rei

The fast-spreading coronavirus has prompted even the biggest U.S. companies to cut their spending and bolster their balance sheets, proving once again how cash is king, especially in times of crisis.

Theo Francis & Thomas Gryta, WSJ

Localização, dados de telefonia e Covid-19

As medidas recomendadas de distanciamento social e ficar em casa parecem estar dando resultado, analisando os dados de localização dos telefones celulares. Usando esta informação, foi possível constatar que as pessoas, nos Estados Unidos (e provavelmente em outros países) entenderam a situação de risco decorrente do Covid-19.

Esta informação, associada muitas vezes a quebra de privacidade por parte das empresas de tecnologia, demonstraram que mesmo nas cidades com menor infecção também foram afetadas. Leia mais aqui

Goodwill e Impairment

O Accounting Standards Board of Japan (ASBJ) divulgou um estudo sobre a implementação da IFRS3, combinação de negócios. O documento está aqui (em japonês). Um resumo do IAS Plus, site da Deloitte, aponta os principais aspectos do estudo. A pesquisa envolveu os mercados do Japão, Estados Unidos, Austrália e Europa e constatou que o ágio aumentou entre 2005 a 2014. Também concluiu que quase um terço das empresas dos EUA reconhecem o ágio (versus um quarto na Europa). Em muitas empresas, o ágio era uma parte importante do ativo, sendo que existiam empresas onde o ágio era acima da capitalização de mercado.

IFRS e Covid-19

Um resumo do impacto do Covid-19 nas demonstrações sob as IFRS, segundo SneiderDowns

Following the COVID-19 pandemic, organizations and governments have imposed travel restrictions and quarantines. This situation will likely result in business disruption to entities, their suppliers, and customers. International Financial Reporting Standards (IFRS) entities should consider the impact of the virus on their financial statements in accordance with the disclosure requirements of International Accounting Standard (IAS) 1 Presentation of financial statements, including the potential need for disclosing the primary sources of uncertainty and the risk of a material adjustment in a subsequent period. IAS 10 Events after the reporting period, clarifies that adjusting events are events that had evidence of conditions that existed at the reporting date and that non-adjusting events arise from conditions after the reporting date. Therefore, the impact of COVID-19 should be assessed based on the facts and circumstances at the reporting date for adjustments. Information obtained following the reporting date, but before issuance of the financial statements should be considered for subsequent event disclosure. IFRS entities should consider the following when making these determinations:

IAS 2 Inventories requires that declines in inventory net realizable value be expensed in the period in which they occur. A loss to the net realized value may result from damage, contamination, spoilage, physical deterioration, obsolescence, fluctuations in price levels, reduced demand or other causes. Seasonally dependent items should also be assessed for potential loss. Unplanned work stoppages, labor or material shortages, or production bottlenecks could cause production levels to drop below normal capacity levels. If this happens, management will need to consider the effects on its inventory costing. During abnormally low production management should expense uncaptured overhead in the period in which it occurs, rather than adjusting the overhead absorption rates.

Financial Instruments within the scope of IFRS 9 Financial instruments should consider the impact of COVID-19 for the potential expected credit loss. Instruments such as trade and other receivables, contract assets, loans receivable, and lease receivables should be considered for collectability. If the risk of an expected credit loss has significantly increased, management should consider the need for additional reserves based on the facts and circumstances that exist at that date. In instances where collection on these financial instruments is delayed, a credit loss should be recorded if the entity is not able to recover compensation for the lost time value of money. IFRS requires that forward-looking information be considered when assessing the need to record a potential credit loss. Consideration should also be given to governing agencies enacting legislation that modifies payment terms. Lessors granting payment concessions to lessees should determine if concessions should be allocated over the remaining lease period as a lease modification. Any incentives provided by various governmental authorities should be considered for treatment as government grants by both the lessor and lessee.

Financial Instruments with readily observable fair values, such as debt and equity securities, should be recorded at their market price at the reporting date. If investment valuations are not readily available at the reporting date, indirect considerations should be disclosed as to how the valuation was derived. Under IFRS, the reporting date acts as a hypothetical exit date for the instrument. Therefore, subsequent market fluctuation should not be considered for adjustment at the reporting date, but should be considered for subsequent event disclosure.

Hedge transactions should be assessed to determine if the criteria for hedge accounting is still achieved. If hedged future cash flows are no longer anticipated then hedge accounting should be discontinued going forward.

Business disruption could result in long-lived assets being underutilized in the short term. Similar to the treatment of overhead during abnormally low periods, IAS 16 Property, plant and equipment requires that depreciation begin once the assets are placed in service and continue if sitting temporarily idle or being underutilized. The capitalization on interest for construction-in-process should be suspended temporarily if construction of that asset is suspended in accordance with IAS 23 Borrowing costs.

Long-lived and indefinite-life assets should assess potential impact of the virus under IAS 36 Impairment of assets. Indefinite-life assets, including goodwill, should be tested for impairment at least every year and whenever there is an indication that these assets might be impaired. Temporary closures, decline in demand, or reduced income could indicate impairment. Management should also consider the impact to operating cash flows and assumptions for long-term cash flow forecasts. Discount rates should also be revisited for country risk, rate risk, and risk to the individual asset or group of assets. Publically traded entities should also consider any impact to their share price and market capitalization as potential indicators.

The COVID-19 outbreak could affect revenue estimates on current and future customer contracts under IFRS 15, Revenue from contracts. This includes customer contracts with variable consideration such as volume discounts, early payment discounts, refunds, co-op agreements, price concessions, performance bonuses and penalties. At the contract inception, the company is required to estimate the amount of variable consideration to which customers will be entitled to in exchange for transferring promised goods or services. The amount of variable consideration an entity should include in the transaction price is constrained to the amount for which it is highly probable that a significant reversal of cumulative revenue recognized will not occur when the uncertainties related to the variability are resolved. Capitalized contract assets should also be assessed for realizability of their related revenue.

Organizations may need to obtain additional financing to manage the situation and may need to obtain waivers for failed covenants. Failed covenants could result in modifications of loan terms including loans to be due on demand. In severe situations, entities may need to consider if they remain a going concern within one year after the date of issuance in accordance with IAS 1 Presentation of financial statements. Additional disclosures in the financial statements are required if substantial doubt exists and to discuss management’s plans to address the substantial doubt.

As the situation continues to develop, many entities may first report the impact of COVID-19 on their interim financial statements. Interim disclosures should be provided in accordance with IAS 34 Interim financial reporting, to ensure that information is reliable at the interim reporting date and all relevant information has been properly disclosed. For entities with significant impact, disclosure should be made for the impact on operating results along with the effect to the balance sheet and the statement of cash flows. Revisions to credit losses and changes to significant estimates should also be disclosed as should subsequent events following the interim period.

Rir é o melhor remédio

Probabilidades e Covid-19

Qual a chance que alguém que você conheça irá morrer do Covid-19? 

You don’t need much to answer this question. You need an estimate of the infection fatality risk (IFR), an estimate of the proportion of the population that will become infected (infection risk, IR), and the number of people that a person knows on average. Coincidentally, in 2013 you published an article in the NYTimes on the latter. Your answer was 600 people.

So, for the remaining quantities. Recent estimates of the IFR range from 0.39 – 1.33%. Recent estimates of the IR range from 40–80%. With this information, the probability of at least one death out of n people, is simply 1 – dbinom(0, n, theta), with theta = (IFR) x (IR). Using “middle of the range” estimates for IFR and IR, we get theta = 0.00516.

This figure shows the probability that at least one person you know (meaning “you” in general) will die, as a function of the number of people you know. If you know 600 people, the probability of at least one death among people you know is greater than 95%:

Gellman acredita que o valor, de 95%, está superestimado.

Impacto do Covid-19 sobre a economia

Dois pesquisadores propuseram um modelo para medir o impacto do Coronavirus sobre a economia, usando os dados dos mercados de ações. Afinal, o preço dos ativos refletem a expectativa dos investidores. Eis o resumo:

We use data from the aggregate equity market and dividend futures to quantify how investors’ expectations about economic growth across horizons evolve in response to the coronavirus outbreak and subsequent policy responses. Dividend futures, which are claims to dividends on the aggregate stock market in a particular year, can be used to directly compute a lower bound on growth expectations across maturities or to estimate expected growth using a simple forecasting model. We show how the actual forecast and the bound evolve over time. As of March 18, our forecast of annual growth in dividends is down 28% in the US and 25% in the EU, and our forecast of GDP growth is down by 2.6% both in the US and in the EU. The lower bound on the change in expected dividends is -43% in the US and -50% in the EU on the 3-year horizon. The lower bound is model free and completely forward looking. There are signs of catchup growth from year 4 to year 10. News about economic relief programs on March 13 appear to have increased stock prices by lowering risk aversion and lift long-term growth expectations, but did little to improve expectations about short-term growth. The events on March 16 and March 18 reflect a deterioration of expected growth in the US and predict a deepening of the economic downturn. We also show how data on dividend futures can be used to understand why stock markets fell so sharply, well
beyond changes in growth expectations. 


Gormsen, Niels Joachim and Koijen, Ralph S. J., Coronavirus: Impact on Stock Prices and Growth Expectations (March 20, 2020). University of Chicago, Becker Friedman Institute for Economics Working Paper No. 2020-22. Available at SSRN: https://ssrn.com/abstract=3555917

Os autores estão atualizando os dados regularmente, conforme o comportamento do mercado. Aqui os links sobre o modelo.

Pesquisa sobre Covid-19

Uma pesquisa sobre a peste espanhola mostra o seu impacto em termos de mortes (2% da população mundial) e sobre a economia (6 a 8% do PIB)

Mortality and economic contraction during the 1918-1920 Great Influenza Pandemic provide plausible upper bounds for outcomes under the coronavirus (COVID-19). Data for 43 countries imply flu-related deaths in 1918-1920 of 39 million, 2.0 percent of world population, implying 150 million deaths when applied to current population. Regressions with annual information on flu deaths 1918-1920 and war deaths during WWI imply flu-generated economic declines for GDP and consumption in the typical country of 6 and 8 percent, respectively. There is also some evidence that higher flu death rates decreased realized real returns on stocks and, especially, on short-term government bills.

Outro trabalho estima que a doença possa atingir entre 33 a 66 milhões de pessoas nos Estados Unidos (de 10 a 20%), sendo necessárias medidas severas. Via aqui

Origens do Covid-19

Bastou um artigo, publicado no dia 19 de março, onde um médico apresenta, na linha final, que existiu uma estranha pneumonia, muito severa, entre final de novembro e dezembro, na Lombardia, para a China desencadear uma propaganda do texto.

A hastag relacionada ao texto circulou na rede social chinesa Weibo, na rede de televisão estatal chinesa CCTV e em outros canais. Trata-se de uma tentativa de diplomatas chineses e da imprensa de reorientar a narrativa de que Wuhan não foi a fonte do Covid-19. O embaixador chinês nos EUA chegou a sugerir que a origem do vírus ainda era inconclusiva.

Além das teorias da conspiração. De qualquer forma, parece que a citação foi retirada do contexto, para tentar confundir algo que parece certo para ciência.

Leia mais aqui