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希臘違約或是一大幻象

希臘違約或是一大幻象

Katie Benner 2011-06-23
賭定“希臘將違約”的交易可能已走至盡頭。因?yàn)橐坏┭诺錈o(wú)法償付債務(wù),歐洲的政客和官員們將面臨嚴(yán)重的后果。

????金融市場(chǎng)認(rèn)定希臘違約不可避免,對(duì)沖此類風(fēng)險(xiǎn)的成本已飆升至創(chuàng)紀(jì)錄的高位。正如我們所知,這是因?yàn)闅W洲的財(cái)政部長(zhǎng)們拒絕給予希臘最后一期救助資金,除非希臘實(shí)行緊縮計(jì)劃,而希臘總理喬治?帕潘德里歐的削減成本方案也正面臨信任投票。

????然而2008年金融危機(jī)帶給我們的一大教訓(xùn)是理性市場(chǎng)無(wú)法對(duì)抗下定決心的政府官員,一旦官員們意識(shí)到利益攸關(guān),他們就會(huì)提供資助。例如,雷曼兄弟(Lehman Brothers)破產(chǎn)印證了對(duì)沖基金經(jīng)理戴維?埃因霍恩的觀點(diǎn),他曾指出該行掩蓋損失,杠桿比率過(guò)高,兩者疊加會(huì)導(dǎo)致災(zāi)難性后果。其他金融公司當(dāng)時(shí)也有同樣的問(wèn)題,毫無(wú)疑問(wèn),信貸危機(jī)會(huì)抹去它們的盈利,使它們成為國(guó)有化的首要目標(biāo)。

????沽空者一度對(duì)這些存在隱患的公司進(jìn)行圍剿,但他們并未意識(shí)到雷曼兄弟同時(shí)也導(dǎo)致政客們對(duì)大型金融機(jī)構(gòu)的看法發(fā)生了改變。官員們?cè)鞔_指出,他們無(wú)法應(yīng)對(duì)雷曼兄弟破產(chǎn)引發(fā)的混亂,未來(lái)將避免更多的破產(chǎn)。政府成為全球最強(qiáng)大、最糟糕的市場(chǎng)力量,但許多投資者繼續(xù)看空銀行體系。2008年之后涌現(xiàn)出來(lái)的贏家對(duì)沖基金經(jīng)理是戴維?泰珀,當(dāng)華盛頓表示將支持華爾街時(shí),他深信不疑。他買入了當(dāng)時(shí)幾家不堪一擊、四面楚歌但在銀行系統(tǒng)舉足輕重的公司,包括花旗集團(tuán)(Citigroup)和美國(guó)銀行(Bank of America)。為此,他賺了75億美元。

????有人可能會(huì)下注希臘將有類似表現(xiàn)。我們能斷言希臘沒(méi)有足夠的錢償付債務(wù)嗎?答案是肯定的。我們能確定希臘未來(lái)的經(jīng)濟(jì)增長(zhǎng)速度永遠(yuǎn)無(wú)法滿足債務(wù)償付所需嗎?當(dāng)然。但是值此歐盟金融健康狀況的多事之秋,歐洲的財(cái)長(zhǎng)們會(huì)任由希臘違約嗎?我表示懷疑。

????正如資本管理公司York Capital的創(chuàng)始人詹米?迪南今年5月對(duì)CNBC所述,目前歐元區(qū)顯然“決意捍衛(wèi)歐元的完整性,他們將拯救希臘?!碑?dāng)前在利率和主權(quán)債務(wù)CDS價(jià)格大漲之際,希臘違約將具有災(zāi)難性后果。隨之而來(lái)的混亂可能會(huì)重?fù)羝渌撊醯臍W元區(qū)國(guó)家,如西班牙和葡萄牙。而且,當(dāng)前環(huán)境下違約也可能會(huì)讓持有不少希臘債務(wù)的法德銀行業(yè)沒(méi)有時(shí)間制定自救計(jì)劃。沒(méi)錯(cuò),希臘債務(wù)最終免不了要重組,歐元自身可能也需要改變,但眼下還不是時(shí)候。

????“買入希臘債券CDS的每個(gè)人都假定將出現(xiàn)違約,”金融研究機(jī)構(gòu)Institutional Risk Analytics的銀行業(yè)分析師克里斯?威倫表示,“仍持有這些頭寸的家伙將慘敗,因?yàn)檎蛡円褯Q定不能任由市場(chǎng)決定歐洲大銀行能否抵御違約沖擊。而且,CDS的數(shù)額是如此之大,沒(méi)人知道一旦出現(xiàn)違約,CDS的交易對(duì)手能否如數(shù)支付?!?/p>

????如果深入探究一下火爆的CDS現(xiàn)象,你可以看到有跡象顯示一些對(duì)沖基金經(jīng)理已開始退出那些賭定“希臘將違約”的交易(我說(shuō)對(duì)沖基金經(jīng)理,是因?yàn)榇蠖鄶?shù)CDS的交易對(duì)手是對(duì)沖基金和銀行)。CDS只是一份合同,買家支付保費(fèi),賣家在出現(xiàn)債券違約時(shí)向買家支付本息。買賣雙方解除合同的一種方式是各自出售自己那一半合同。另一種方式則是建立反向CDS。例如,買家可能成為新合同的賣家,在獲得保費(fèi)的同時(shí),同意在出現(xiàn)違約時(shí)進(jìn)行支付。

????因此,雖然對(duì)沖希臘違約風(fēng)險(xiǎn)的CDS價(jià)格上漲,合同總數(shù)也在增加,但這些合同的實(shí)際未平倉(cāng)額呈現(xiàn)下降。這意味著如果明天所有持有希臘債券CDS的投資者都對(duì)合同進(jìn)行結(jié)算,易手金額將低于所有合同的面值之和。換言之,用于抵消現(xiàn)有CDS頭寸的合同數(shù)額增加,如果出現(xiàn)違約,易手金額下降。

????對(duì)于那些真正介入這場(chǎng)賭局、買入CDS額達(dá)到天文數(shù)字28億美元/年的人們,心中一定會(huì)有個(gè)疑問(wèn),誰(shuí)有足夠的現(xiàn)金進(jìn)行如此巨大的押注,賭定一件在5年合約期內(nèi)可能都不會(huì)發(fā)生的事件(或者,如果政客們?nèi)缭敢詢敚揪筒粫?huì)發(fā)生的事件)。

????這倒不是說(shuō)那些遲至今日仍賭定希臘違約的家伙們不可能取勝。鑒于政客們?cè)趹?yīng)對(duì)希臘債務(wù)危機(jī)方面如此笨手笨腳,違約也可能悄然而至。惠譽(yù)(Fitch Ratings)表示,任何新債換舊債或債務(wù)互換行為仍會(huì)被視為違約,這對(duì)財(cái)政部長(zhǎng)們和債券持有人試圖尋找解決方案時(shí)構(gòu)成了限制。而且,由于要維持資金流入希臘需要很多方面的配合,加上形勢(shì)復(fù)雜,一些交易員擔(dān)心可能出現(xiàn)“失誤性違約”。

????但要期待市場(chǎng)力量壓倒政治憂慮,只有寄望于奇跡。如果美國(guó)做不到,歐洲有什么理由要走這條路呢?

????A Greek default is being treated like an inevitability in the market, with the cost of insuring against such an event soaring to record levels. This is due, as we well know, to the fact that European finance ministers denied Greece a final installment of bailout money until it enacts an austerity plan, and that Prime Minister George Papandreou now faces a vote of confidence on his package of cost cutting measures.

????But one of the big lessons of the 2008 financial crisis is that the rational market is no match for a group of determined government mandarins who will prop things up once they realize how high the stakes are. For example, the Lehman Brothers collapse vindicated hedge fund manager David Einhorn's claim that the bank had hidden losses, had taken on too much leverage, and that the combination would result in disaster. Other financial firms had the same problems, and it stood to reason that the credit crisis would wipe their earnings away and make them prime targets for nationalization.

????Short sellers circled these sickly companies, not realizing that Lehman had also created a paradigm shift with regard to the way politicians thought of big financial institutions. Officials made it clear that they couldn't handle the chaos unleashed by Lehman's bankruptcy and that there would be no more collapses. Government became the biggest, baddest market force around, but many players continued to bet against the banking system. The hedge fund manager who emerged as the winner post-2008 was David Tepper, who believed Washington, DC when it said that it was going to support Wall Street. Tepper bought companies that were weak, troubled, and systemically important, including Citigroup (C) and Bank of America (BAC). For his troubles, he nabbed a $7.5 billion payday.

????Greece, one might wager, will play out in similar fashion. Can we say with certitude that Greece doesn't have enough money to pay its debts? Yes. Are we sure that Greece will never, truly, grow its economy fast enough to pay off the bill? Of course. But can we say that Europe's most powerful finance ministers will let the country default at this very precarious time for the financial health of the European Union? I doubt it.

????As Jamie Dinan, the founder of York Capital, told CNBC this May, it is now obvious that the Eurozone is "determined to keep the euro in tact, and they will bail out Greece." A Greek default at this time, with interest rates and CDS prices leaping, would prove calamitous. The ensuing chaos would give the market an opportunity to hammer other weak Eurozone countries like Spain and Portugal. And a default in the current environment would give French and German banks no time to come up with plans to salvage their own hides, larded up as they are with Greek debt. While it's true that Greece's obligations will eventually need to be restructured and that the euro itself may also need to change, now is absolutely the worst time to make those moves.

????"Everyone in the fund community bought CDS on Greece assuming that there would be a default," says Chris Whalen, a banking analyst with Institutional Risk Analytics. "The guys still holding those positions will get stuffed because politicians have decided that we can't find out whether the Europe's big banks can withstand a default. And the amount of credit swaps is so big that no one wants to test whether those counterparties can all pay in the event of a default."

????You can find indications that some hedge fund managers have started to exit the Greece-will-default trade if you dig deeper into that soaring credit default swap phenomenon. (I say hedge fund managers because most CDS counterparties are hedge funds and banks). A CDS is just a contract between a buyer, who pays a premium, and a seller, who will make a payment to the buyer if a bond default occurs. One way for buyers and sellers to get out of these contracts is to sell their respective halves of the contract. Another way is to simply take out an offsetting CDS. For example, the buyer becomes a seller in a new contract, agreeing to make a payout in case of default and receiving a premium if no disaster strikes.

????So while prices for CDS insuring against a Greek default have risen and the overall number of contracts has increased, the actual outstanding value of those contracts has been declining. That means that if everyone who owned a CDS on Greek debt settled their contracts tomorrow, a shrinking amount of money would change hands than the face value of all the contracts. That implies that more CDS are being written in order to offset existing CDS positions, and that less money will change hands in case of a default.

????For those people who are actually jumping into the fray and buying CDS at the astronomical cost of $2.8 million a year, one must wonder who has enough cash lying around to wager that much money on an event that may not happen within the five-year life of the contract (or, if politicians have their way, at all.)

????This is not to say that it's impossible for those souls who have gone long a Greek default at this late date to come out winners. Default could sneak by the politicians working so clumsily to prevent it from happening. Fitch Ratings said that any rollover or debt exchange would still be considered a default, which constrains finance ministers and bond holders as they try to hammer out a rescue. And some traders have expressed a fear that there will be a "default by mistake" given the number of parties necessary to keep funds flowing into Greece and the complexity of the situation.

????But it will take a miracle for market forces to win out over political fear. If we couldn't take the pain in the US, why would Europe go down that road?

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