十月二十一日美国金融界极其重要的一天 (ZT)

surfer

来源: 渊潭 于 08-10-17 13:15:07


10月21日是美国金融界付债结账的的日子。 10月11日ISDA拍卖雷曼债务每美元仅8.625美分，这意味着持有雷曼信贷违约保险(CDS)的机构将要给雷曼的债券付出每美元91.375美分。虽然雷曼仅售出了1580亿美元价值债券，但是由于没有证券交易委员会的监管，对冲基金却为之卖了3650亿美元保险。据估计结账时，华尔街金融界将要支付雷曼债券的费用会在1000亿美元至4000亿美元之间。这个结帐的日子就是10月21日下星期二。 在10月11日ISDA拍卖雷曼债券后，随着10月21日的临近，持有雷曼信贷违约保险的对冲基金和金融机构被迫短时间内抛售股票及其他资产（或空头回补）以获取现金。有人认为这就是为什么尽管美国政府已比准了7000亿美元的救市计划后，这一周多来股市仍旧大起大落，一日之内道琼斯指数有上千点的起伏。 持有雷曼信贷违约保险的金融机构中最大一个的就是美国政府用纳税人钱救助的美国国际集团（AIG）。这也是为什么美国国际集团在得到政府850亿美元救助后又被追加了378亿贷款，总共获得了1228亿美元。华尔街三个最大的银行，摩根大通（JPMorgan Chase），花旗集团（Citigroup Inc）和美国银行（Bank of America）-- 控制了92％的CDS市场。多年来，这些CDS的保险费几乎是纯利润。两年来CDS的利润就有160亿美元。但是由于CDS被保金额有55到60万亿美元，金融危机改变了一切，CDS现在就象定时炸弹一样，不知何时在哪爆炸。 美联储的贴现窗口将继续开放到10月21日，保尔森为美国九大银行注入了2500亿美元，欧洲政府也为各自银行注入大笔资金，可是TED Spread和LIBOR仍是居高不下。银行间仍是相互没有信任，因为10月21前谁也不知道谁欠了多少账，10月21日后谁又会倒下。。。

xiaobailong

八戒

谢谢Surfer老大的帖子！

QuickHand

watchdog

Thanks.

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Thanks!

古树

DTCC Addresses Misconceptions About the Credit Default Swap Market New York, October 11, 2008

The idea that the industry lacks a central registry for over-the-counter (OTC) credit default swaps (CDS) is grossly misleading and has resulted in inaccurate speculation on a number of matters, including the overall size of the market, its role in the mortgage crisis, and the size of potential payment obligations under credit default swaps relating to Lehman Brothers. The extent to which such speculation has fueled last week’s market turmoil is difficult to determine. The facts are these:

Central Trade Registry
• In November 2006, The Depository Trust and Clearing Corporation (DTCC) established its automated Trade Information Warehouse as the electronic central registry for credit default swaps. Since that time, the vast majority of credit default swaps traded have been registered in the Warehouse. In addition, all of the major global credit default swap dealers have registered in the Warehouse the vast majority all contracts executed among each other before that date.

Size of the Market

• Reported estimates of the size of the credit default swap market have so far been based on surveys. These surveys tend to overstate the size of the market due to each party to a trade separately reporting its own side. Thus, when two parties to a single $10 million dollar trade each report their “side” of the trade, the amount reported is $20 million, which overstates the actual size by a factor of two since both reports relate to a single $10 million contract. When examining the outstanding amount of actual contracts registered in the Warehouse (not separately reported “sides”) as of October 9, 2008, credit default swap contracts registered in the Warehouse totaled approximately $34.8 trillion (in US Dollar equivalents). This is down significantly from the approximately $44 trillion that were registered in the Warehouse at the end of April this year.

Percentage of the Market Related to Mortgages

• Less than 1% of credit default swap contracts currently registered in the Warehouse relate to particular residential mortgage-backed securities. Mortgage-related index products also have some components relating to residential mortgages and, as a whole, also constitute a relatively small fraction of total credit default swaps registered in the Warehouse.

Payment Obligations Related to the Lehman Bankruptcy

• One of the many central servicing functions of the Trade Information Warehouse is to calculate payments due on registered contracts, including cash payments due upon the occurrence of the insolvency of any company on which the contracts are written. Calculated amounts are netted on a bilateral basis, and then, for firms electing to use the service, transmitted to CLS Bank (the world’s central settlement bank for foreign exchange) where they are combined with foreign exchange settlement obligations and settled on a multi-lateral net basis. Currently, all major global credit default swap dealers use CLS Bank to settle obligations under credit default swaps. It is expected that all major institutional players in the credit default swap market will use the same process for settlement by the end of 2009.

• The payment calculations so far performed by the DTCC Trade Information Warehouse relating to the Lehman Brothers bankruptcy indicate that the net funds transfers from net sellers of protection to net buyers of protection are expected to be in the $6 billion range (in U.S. dollar equivalents).

DTCC has long supported the U.S. and global capital markets as a critical part of their operational infrastructure. We stand ready to play a constructive role in whatever overall regulatory environment ultimately emerges for the credit default swap market. We do believe, however, that whatever environment emerges should be based on assessment of the facts as they stand, rather than speculation. [ 本帖最后由 古树 于 2008-10-19 17:29 编辑 ]

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leeyuan

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