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投资理财

希腊违约或是一大幻象

Katie Benner 2011年06月23日

赌定“希腊将违约”的交易可能已走至尽头。因为一旦雅典无法偿付债务,欧洲的政客和官员们将面临严重的后果。

    金融市场认定希腊违约不可避免,对冲此类风险的成本已飙升至创纪录的高位。正如我们所知,这是因为欧洲的财政部长们拒绝给予希腊最后一期救助资金,除非希腊实行紧缩计划,而希腊总理乔治•帕潘德里欧的削减成本方案也正面临信任投票。

    然而2008年金融危机带给我们的一大教训是理性市场无法对抗下定决心的政府官员,一旦官员们意识到利益攸关,他们就会提供资助。例如,雷曼兄弟(Lehman Brothers)破产印证了对冲基金经理戴维•埃因霍恩的观点,他曾指出该行掩盖损失,杠杆比率过高,两者叠加会导致灾难性后果。其他金融公司当时也有同样的问题,毫无疑问,信贷危机会抹去它们的盈利,使它们成为国有化的首要目标。

    沽空者一度对这些存在隐患的公司进行围剿,但他们并未意识到雷曼兄弟同时也导致政客们对大型金融机构的看法发生了改变。官员们曾明确指出,他们无法应对雷曼兄弟破产引发的混乱,未来将避免更多的破产。政府成为全球最强大、最糟糕的市场力量,但许多投资者继续看空银行体系。2008年之后涌现出来的赢家对冲基金经理是戴维•泰珀,当华盛顿表示将支持华尔街时,他深信不疑。他买入了当时几家不堪一击、四面楚歌但在银行系统举足轻重的公司,包括花旗集团(Citigroup)和美国银行(Bank of America)。为此,他赚了75亿美元。

    有人可能会下注希腊将有类似表现。我们能断言希腊没有足够的钱偿付债务吗?答案是肯定的。我们能确定希腊未来的经济增长速度永远无法满足债务偿付所需吗?当然。但是值此欧盟金融健康状况的多事之秋,欧洲的财长们会任由希腊违约吗?我表示怀疑。

    正如资本管理公司York Capital的创始人詹米•迪南今年5月对CNBC所述,目前欧元区显然“决意捍卫欧元的完整性,他们将拯救希腊。”当前在利率和主权债务CDS价格大涨之际,希腊违约将具有灾难性后果。随之而来的混乱可能会重击其他虚弱的欧元区国家,如西班牙和葡萄牙。而且,当前环境下违约也可能会让持有不少希腊债务的法德银行业没有时间制定自救计划。没错,希腊债务最终免不了要重组,欧元自身可能也需要改变,但眼下还不是时候。

    “买入希腊债券CDS的每个人都假定将出现违约,”金融研究机构Institutional Risk Analytics的银行业分析师克里斯•威伦表示,“仍持有这些头寸的家伙将惨败,因为政客们已决定不能任由市场决定欧洲大银行能否抵御违约冲击。而且,CDS的数额是如此之大,没人知道一旦出现违约,CDS的交易对手能否如数支付。”

    如果深入探究一下火爆的CDS现象,你可以看到有迹象显示一些对冲基金经理已开始退出那些赌定“希腊将违约”的交易(我说对冲基金经理,是因为大多数CDS的交易对手是对冲基金和银行)。CDS只是一份合同,买家支付保费,卖家在出现债券违约时向买家支付本息。买卖双方解除合同的一种方式是各自出售自己那一半合同。另一种方式则是建立反向CDS。例如,买家可能成为新合同的卖家,在获得保费的同时,同意在出现违约时进行支付。

    因此,虽然对冲希腊违约风险的CDS价格上涨,合同总数也在增加,但这些合同的实际未平仓额呈现下降。这意味着如果明天所有持有希腊债券CDS的投资者都对合同进行结算,易手金额将低于所有合同的面值之和。换言之,用于抵消现有CDS头寸的合同数额增加,如果出现违约,易手金额下降。

    对于那些真正介入这场赌局、买入CDS额达到天文数字28亿美元/年的人们,心中一定会有个疑问,谁有足够的现金进行如此巨大的押注,赌定一件在5年合约期内可能都不会发生的事件(或者,如果政客们如愿以偿,根本就不会发生的事件)。

    这倒不是说那些迟至今日仍赌定希腊违约的家伙们不可能取胜。鉴于政客们在应对希腊债务危机方面如此笨手笨脚,违约也可能悄然而至。惠誉(Fitch Ratings)表示,任何新债换旧债或债务互换行为仍会被视为违约,这对财政部长们和债券持有人试图寻找解决方案时构成了限制。而且,由于要维持资金流入希腊需要很多方面的配合,加上形势复杂,一些交易员担心可能出现“失误性违约”。

    但要期待市场力量压倒政治忧虑,只有寄望于奇迹。如果美国做不到,欧洲有什么理由要走这条路呢?

    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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