美国CDS市场.doc

美国CDS市场：一个怎样的金融黑洞？ 2008-09-19 17:46 中国日报网环球在线消息：美国最大保险公司美国国际集团（AIG）以及美国很多金融机构之所以大幅亏损，都不在于自己的传统业务（AIG的传统保险业务甚至无可挑剔地强大），而在于它们爱玩玄的过多参与所谓CDS市场。这也就是说，在次贷危机爆发一年以后，当社会的信用履约率大幅度、大面积下降的时候，那些往日为全社会提供信用保险的商家，所承受的在CDS一个市场上的风险已大到了足以将自己百年老店的全盘业务都拖垮的地步。那么，CDS是什么？CDS是一种合同。全称credit default swap，意思是信用违约掉期合约。CDS合约是美国一种相当普遍的金融衍生工具，1995年由JP Morgan（2000年与大通银行、富林明集团完成合并成立今天的摩根大通）首创，2007年中市值达45万亿美元，AIG报病危时据说达62万亿美元。CDS相当于对债权人所拥有债权的一种保险。从理论上讲，CDS卖家售出CDS，对相应的一份债权将来是否得以履约做出担保；而这样一来，作为买家的债权人就把债权违约的风险让渡给了CDS卖家。具体来说，CDS所担保债权，一般是各种各样但信誉度各异的债券，如地方政府债券，新兴市场国家的债券，以住房按揭为抵押的债券（包括次贷），以及小范围的或企业双方的债券和债权。按金融产品的惯常分类，这些债券因都承诺了债权人的定期、定量收益，都叫做固定收益（fixed-income）产品。CDS买家所获得的保险承诺包括：倘若债权违约，或有债权评级下调等各种不利的“信用事件”（credit event）发生，收入仍不受影响（视具体条款而定）。一般的债权人起码仍可收回所持债券的面值。如此这般，CDS买家所获得的保护，等于说它们在信用事件的条件下（债权产品违约率上升时），仍可获得预期的收入甚至利润。因为此时CDS卖家将对它们支付与所担保债券面值相当的现金。而在没有信用事件的条件下，如所担保的债券按期履约，CDS卖家将从买家获得定期的保险费收入，也能由此获取利润。但总的说来，一旦“信用事件”发生， CDS卖家要承受的损失将相当巨大。CDS的好处，是当企业或个人在面临多种债权风险（比如拥有多家公司的债券）而又不想马上将债权全部出售的时候，可获得CDS卖家所提供的保险。但另一个结果，就是促使投机者对债权产品的信用度像赌徒一样地下注，并通过押准了某项违约债权而获利。鉴于CDS市场的市值已超过CDS所代表的债券和贷款总额，该市场的投机性已显而易见。一个投资商如果看好某公司的“信用质量”（credit quality），可售出对该公司债券的担保以获得收益，而不必花很大一笔钱来真正购买该公司的债券。一个投资商如果不看好某公司的信用质量，也可只花很少的钱购买对该公司债券的保护，等到信用事件发生时获得暴利式的收益。由于CDS市场并不要求以某真正债券作为交易工具，而只要求以某债券为价值参考，投资商还有其他很多方法变换自己的投资组合。市场参与者也并不非要等待CDS到期才能见到收入，而是按照各种投机价格大肆买卖CDS合同；他们也能靠持有新的CDS来平抑手中老的CDS所带来的风险。因为CDS都是柜台交易，要求交易者对相关资产十分了解，同时背后又按照各自秘密的数学模型来精算未来收益，因而交易者大多数都是金融机构。也由于整个市场是柜台交易，又没有任何监管，CDS卖家所承担的风险是否超出它的支付能力人们不得而知。而在全社会信用履约率大幅度、大面积下降的时候，哪家CDS卖家还能支付得起它们的巨大损失，人们也不得而知。而在这次金融危机中，美国政府将如何监管CDS市场，将来还会不会继续让它在无监管下运行，人们仍不得而知。（中国日报网特约评论员 Ed Zhang）欧债危机令CDS受到质疑 Greek bond losses put role of CDS in doubt 英国金融时报专栏作家 吉莲邰蒂字号最大较大默认较小最小背景中文评论打印电邮收藏 腾讯微博新浪微博Earlier this year, Deutsche Bank quietly decided to reduce its exposure to Italian government bonds. But it did not do that by simply selling debt; instead it achieved this partly by buying protection against sovereign default with credit derivatives contracts. That duly enabled the doughty German giant to report that its exposure to Italian sovereign bonds had dropped an impressive 88 per cent during the first half of the year at least, when measured on a net basis from 8bn to less than 1bn.今年早些时候，德意志银行(Deutsche Bank)悄然决定缩减其对意大利政府债券的敞口。但德银的做法并非简单地抛售这些债券；而是通过信用衍生品合约，来买入防范主权违约的“保险”，从而实现了自己的目标。正因如此，这家强悍的德国银行巨头报告称，今年上半年，其对意大利主权债券的敞口已令人瞩目地缩减了88%至少，以净值衡量是如此从80亿欧元降到了不足10亿欧元。So far, so sensible; or so it might seem. But there is a crucial catch. These days, it is becoming less clear whether those sovereign CDS contracts really offer effective “insurance” against default. And that in turn raises a more unnerving question: if the exposures of the large European banks were measured in gross, not net, terms, just how much more vulnerable might they be to sovereign shocks? Or, to put it another way, could the problems now hanging over eurozone banks and bond markets be about to get worse, due to the state of the sovereign CDS sector?到目前为止，德银的做法堪称明智；或者说从表面上看或许较为明智。但这里存在一个关键的隐患。这些天来，那些主权信用违约互换(CDS)合约是否真能提供针对违约的有效“保险”，变得越来越不明确。这进而引出了另一个更令人不安的问题：倘若按总值、而非净值来衡量欧洲各大银行的敞口，当面对主权违约冲击时，这些银行会变得多么脆弱？或者，换个说法，考虑到主权CDS行业的现状，眼下困扰着欧元区银行和债券市场的问题是否会进一步恶化？The issue that has sparked this debate is, of course, Greece. In October, eurozone leaders announced that they intended to ask investors to swap any holdings of existing Greek sovereign bonds for new bonds, with a 50 per cent haircut. Logic might suggest that a loss that painful should count as a default. If so, logic would also imply that it merits a CDS pay-out.引发这场辩论的问题，当然是希腊。10月份，欧元区领导人宣称，他们打算要求投资者将手中持有的希腊主权债券转换为新债券，同时接受50%的账面价值减记。从逻辑上讲，如此严重的亏损应视为违约。如果这样，按照逻辑，投资者应依照CDS合约得到赔付。After all, the whole point of credit derivatives at least, as they have been sold to many investors in recent years by banks sales teams is that they are supposed to provide insurance for investors against the risk of a bond default. And there is a well developed mechanism in place, created by the International Swaps and Derivatives Association, to make such pay-outs in a smooth manner. That has already been activated over six dozen times for corporate CDS; just last Friday, for example, the process was activated for Dynegy, a corporate entity which recently declared bankruptcy.毕竟，信用衍生品起码银行销售团队这些年卖给投资者的信用衍生品的全部意义在于，按说它们能为投资者提供保险，防范债券违约的风险。此外，市场上目前存在着一个由国际互换和衍生工具协会(ISDA)创建、设计周密的机制，用以顺利地完成CDS赔付。企业CDS赔付已经启动过好几十次；比如，上周五便启动了针对Dynegy的CDS赔付，这家企业最近宣布破产。But Greece, it seems, is different from Dynegy; at least, under ISDA rules. When the eurozone leaders announced their plans to restructure Greek bonds they failed to meet or, more accurately, deliberately missed the fine print of “default” under ISDA rules. Most notably, the standard ISDA sovereign CDS contract says that pay-outs can only be made when a restructuring is mandatory, or a collective action clause invoked. However, it seems that 90 per cent of Greek government bonds do not have collective action clauses; and the October 26 announcement presented the haircut as “voluntary”. Thus ISDA has concluded that “the exchange is not binding on all debt holders”, so the CDS cannot be activated even though losses on Greek bonds may well be bigger than at Dynegy.但目前看来，希腊似乎不同于Dynegy；起码按照ISDA的规定有所不同。当欧元区领导人在公布重组希腊债券的方案时，未能遵守或者更确切地说，是故意忽略了ISDA规则中有关“违约”的细则。最明显的是，ISDA标准主权CDS合约规定，只有进行强制性重组、或触发集体行动条款时，才能予以赔付。然而，90%的希腊政府债券看起来并无集体行动条款；而且10月26日的声明指出，减记是“自愿的”。于是ISDA已得出结论，因为“债券转换并非对所有债券持有者都具有约束力，”所以不可能启动CDS赔付尽管希腊债券持有者的亏损程度，可能远高于Dynegy债券的持有者。Many investors, unsurprisingly, are outraged; some observers, such as Janet Tavakoli, a consultant, conclude that the saga has exposed the CDS market as a sham, with ISDA acting in bad faith. But ISDA officials vehemently deny this and insist that the blame lies with eurozone leaders, and their determination to manipulate the fine print of the rules. “The obsession with avoiding a credit event to activate CDS contracts is, in our view, misguided,” the lobby group declares in a recent, unusually pugnacious, statement. After all, ISDA officials add, the published value of outstanding Greek CDS contracts is “only” $3.7bn. Since that is partly collateralised, ISDA thus concludes ironically that even if that October 26 announcement had actually activated the CDS contracts, it would have barely affected the markets at all.不难理解，许多投资者对此感到愤怒；正如有些观察人士，比如咨询师珍妮塔瓦科利(Janet Tavakoli)总结的那样，这一连串的事件使CDS市场像个冒牌货，ISDA则不守信用。但ISDA官员强烈否认了这一点并坚称，应当受到谴责的是欧元区领导人，以及他们那种要操纵规定细则的决心。“在我们看来，醉心于避免一起信用事件（即触发CDS合约赔付），是源自于错误的指导思想。”该游说团体在最近一份措辞咄咄逼人的声明中表示。ISDA官员补充道，毕竟，已公布的发行在外的希腊CDS合约价值“仅为”37亿美元。由于只对这些合约提供了部分担保品，ISDA就此得出了一个具有讽刺意味的结论即便10月26日的声明真地触发了CDS合约赔付，对市场也基本上不会产生什么影响。ISDA may well be right; given the magnitude of the turmoil now shaping the eurozone financial system, $3.7bn is barely a rounding error. But the crucial question now is what happens to the wider sovereign CDS market and banks. It is unclear how far eurozone banks have used CDS to hedge their exposures to eurozone debt. However, the published level of outstanding sovereign CDS for Italy and France is more than $40bn, and the Bank for International Settlements recently suggested that US banks have now extended over $500bn worth of protection to eurozone counterparties on Italian, French, Irish, Greek and Portuguese sovereign and corporate debt.ISDA的观点很可能是正确的；考虑到目前左右着欧元区金融体系的动荡的规模，37亿美元的确可以忽略不计。但眼下关键的问题是，范围更大的主权CDS市场（以及银行）发生了什么事情。欧元区银行使用CDS对冲