信用违约掉期成欧洲定时炸弹

    沃伦•巴菲特曾经将信用违约掉期（CDS）描述为“大规模杀伤性金融武器”。如今，复杂的CDS再一次地对“大到不能倒”的美国大银行们形成威胁。上一次，美国次贷CDS差一点压垮了美国国际集团（AIG），后者最终不得不接受美国财政部（the U.S. Treasury）850亿美元的救助。这一次，出问题的是欧债信用违约掉期。

    美国银行业自称所持欧债敞口极少，这一点没错。但它们一直在买卖欧债CDS，而主要交易对手正是欧元区的投资者。由于CDS属于表外项目，这些交易的具体规模尚不得而知。

    但是我们可以根据近期部分银行公布的欧洲数据作出一个大致的估算。例如，仅美国六大银行的意大利国债信用违约掉期敞口可能就高达2,000亿美元。美国银行业总计可能持有全部欧债信用违约掉期余额的2/3。

    相信大多数美国大型银行已汲取了2008年的教训，不再持有多头或空头衍生品，只是对冲敞口，使净风险接近于零。但真正让人担心的是：美国大银行的交易对手们到底靠不靠得住？

    欧债信用违约掉期的一些大卖家正是欧洲本土银行。法国巴黎银行（BNP Paribas）已售出40亿美元的法国国债信用违约掉期，占全球总额12%。意大利锡耶纳银行（Banca Monte dei Paschi di Siena）也已售出30亿美元的意大利国债信用违约掉期。如果意大利政府违约，这些银行可能无法按约赔付给美国交易对手。“这类交易具有极高的道德风险，”对冲基金TF Market Advisors的首席执行官彼得•切尔表示。“如果一个国家的国债出现违约，处于该国的欧洲银行也会陷入债务违约，无力偿付。那么为什么不趁现在出售信用违约掉期，大赚一笔呢？”

    因此，无怪乎持有大笔欧债信用违约掉期头寸的对冲基金们已开始火速撤退。根据提交给美国证券交易委员会（SEC）的文件，由对冲基金业传奇人物戴维•艾因霍恩打理的绿灯资本再保险公司（Greenlight Capital Re）第三季度已将原先总额6亿美元的主权债务信用违约掉期减持了一半。咨询公司ICS Risk Advisers负责资产管理业务的盖瑞•斯韦曼表示，他服务的其他几家对冲基金和金融机构也已经进行了减持操作。因为希腊和本国国际银行家达成的债务协议要求希腊债权人承担50%的债券减值损失，令投资者深感恐惧。由于协议标榜为“自愿”，当初发行希腊债券信用违约掉期的银行无需进行赔付。对冲基金MQS Asset Management的首席执行官鲍勃•格尔丰德称：“（这些银行）宣布不进行赔付，事实上损害了信用违约掉期的保险功能，削弱了投资者对冲风险的能力。”

    但可能终有一天，意大利、葡萄牙或西班牙不得不真的违约，并触发信用违约掉期。届时，美国银行业购自欧洲伙伴的所有这些信用违约掉期将何去何从？

    Warren Buffett once famously described credit default swaps as "financial weapons of mass destruction." Now these complex insurance policies are once again posing a menace to America's too-big-to-fail banks. The last time around, CDS on U.S. subprime mortgage bonds nearly brought down insurer AIG (AIG), requiring an $85 billion bailout from the U.S. Treasury. This time, the problem is European sovereign debt.

    America's banks have rightly pointed out that they are only minimally exposed to European government debt. But they have been buying and selling default protection on those bonds, doing deals mainly with investors in the eurozone. Exactly how much is not known, because CDS are held off-balance-sheet.

    Some recently released European data, however, make a ballpark estimate possible. Exposure by six major American banks to CDS on Italian debt alone, for example, may be as high as $200 billion. Overall, U.S. banks may hold two-thirds of the total euro-debt CDS outstanding.

    Presumably, most big banks have learned the painful lessons of 2008 and no longer take either a long or short derivatives position but hedge their exposure, making their net risk close to zero. But the real concern is: How solid are the trading partners of the U.S. banks?

    It turns out some of the largest sellers of protection are banks in Europe. French bank BNP Paribas has sold $4 billion in protection on French government debt, 12% of the global total. Similarly, Italy's Banca Monte dei Paschi di Siena has sold $3 billion worth of protection on Italian government debt. If Italy, say, defaults on its debt, these banks might not be able to pay their American trading partners. "It's the ultimate moral-hazard trade," says Peter Tchir, CEO of hedge fund TF Market Advisors. "If a country defaults on its debts, these European banks domiciled in the same country will also default on their debts and won't pay out, so why not write the protection now and make lots of money?"

    No wonder hedge funds holding big positions in CDS based on European debt have started bolting for the exits. Greenlight Capital Re, an insurance company run by hedge fund legend David Einhorn, sold half its $600 million of CDS on sovereign debt in the third quarter, according to SEC filings. Gary Swiman, who heads the asset manager division at consulting firm ICS Risk Advisers, says several other hedge funds and financial institutions that he works for have followed suit. They have been spooked by the debt deal reached between Greece and its international bankers, which requires Greece's creditors to take a 50% loss on their Greek bonds. Because the deal was labeled "voluntary," the banks don't have to pay up on their insurance policies. "Saying they are not going to pay has essentially ruined CDS as a form of insurance and hurts an investor's ability to hedge," says Bob Gelfond, CEO of the hedge fund MQS Asset Management.

    Yet the day may come when Italy, Portugal, or Spain will be forced into a real default that triggers CDS. What then happens to all those pieces of paper American banks have bought from their friends in Europe?