Avis de recherche : CDS disparus

Je vais faire quelque chose d’un peu inhabituel : je vais vous mettre directement à contribution – je veux dire mobiliser le cerveau collectif.

L’explication du pétard mouillé de la liquidation des CDS relatifs à Lehman réside dans le paragraphe suivant du communiqué de presse de la Fixed Income Clearing Corporation :

As per MBSD Important Notice 185.08, participants requested that FICC perform the net liquidation of the Lehman MBSD Clearing accounts for forward trades, in lieu of a bilateral liquidation process. This request was made by member firms in order to minimize potential market disruptions and ensure a more orderly liquidation of the open forward trades.

J’ai fait la première partie du travail en repérant le paragraphe qui explique qu’une opération a été substituée à une autre pour « minimiser les perturbations potentielles du marché et assurer une liquidation plus disciplinée… » et j’ai également laissé des messages aux trois numéros de téléphone mentionnés pour la Fixed Income Clearing Corporation.

Pour que vous n’ayiez pas à aller chercher dans les liens, je mets à la suite, les deux communiqués de presse pertinents.

Je continue à chercher de mon côté mais bonne chasse !

Merci de m’avoir aidé comme vous l’avez fait ! Vous trouverez l’enquête complète en commentaires.

Je reproduis ici, à l’intention de ceux d’entre vous qui n’ont pas l’occasion de lire tout ça, un sommaire excellent proposé par Sam sur un blog du Financial Times (ma traduction) :

Sam, toi qui es notre gourou de service sur tout ce qui est compliqué, est-ce qu’on peut en tirer que tout est bien qui finit bien ?

@ Throg
On dirait. Rien à craindre que la crainte elle-même, etc.

Bien sûr, tout ce qu’on nous montre, ce sont les chiffres net, donc aucune idée sur ce qui s’est passé en coulisses ces dernières semaines. Globalement, je pense que le désastre a été absorbé par les prêts géants de la Fed à AIG : c’était eux la contrepartie la plus exposée à Lehman Brothers. J’imagine qu’ils ont pris une grande claque, même si on ne nous a encore rien dit.

On entend beaucoup de « Je vous l’avais bien dit [qu’il n’y avait rien à craindre] ! » sur les CDS. Ce qu’ils ignorent, c’est que les banques étaient vraiment préoccupées. Le tournant a eu lieu à mon avis durant la nuit de vendredi, quand JP Morgan Chase s’est rendu compte que tout s’arrangerait et ont offert un ensemble de fonds à court terme aux banques européennes pour plusieurs milliards de dollars.

Le LIBOR commence aussi à baisser gentiment, ce qui confirmerait que l’affaire Lehman Brothers était une crainte réelle. C’était en tout cas à l’esprit de tous les gens à qui j’ai parlé.


ISDA®

INTERNATIONAL SWAPS AND DERIVATIVES ASSOCIATION, INC.
NEWS RELEASE
For Immediate Release, Tuesday, October 21, 2008
For More Information, Please Contact:
Louise Marshall, ISDA New York, +1 212-901-6014, lmarshall@isda.org
Cesaltine Gregorio, ISDA New York, +1 212-901-6019, cgregorio@isda.org
Donna Chan, ISDA Hong Kong, +852 2200 5906, dchan@isda.org

ISDA CEO NOTES SUCCESS OF LEHMAN SETTLEMENT,
ADDRESSES CDS MISPERCEPTIONS

NEW YORK, Tuesday, October 21, 2008 – Robert Pickel, Chief Executive Officer of the International Swaps and Derivatives Association, Inc. (ISDA) today commented on the cash settlement of CDS trades on Lehman Brothers and on certain misperceptions in relation to the CDS industry.

The cash settlement deadline for Lehman is today, October 21. Based on industry estimates, a total of $6bn to $8bn is expected to have changed hands by close of business. This is approximately 1% to 2% of the $400 billion in CDS trades referencing Lehman and does not account for the effects of collateral, which will further reduce the payment amounts.

“Today’s settlement demonstrates that the industry infrastructure for CDS clearly works,” said Mr. Pickel. « ISDA and its members have developed a robust legal and operational framework that governs and guides industry participants through defaults and credit events, and that includes well-established procedures for evaluating, netting and settling outstanding trades. Recent developments in the financial markets underscore the value of the industry’s collective efforts. »

« This is not to say that market dislocation is not having an effect on the derivatives industry more generally,” Mr. Pickel said. “Clearly it is: many market participants have faced major losses that have their genesis in the subprime mortgage business. This is a concern to all of us. The events of this year must be examined thoroughly for a better understanding of how they can be avoided in the future. »

Mr. Pickel emphasized that the Lehman default and settlement have not created the financial disruption that critics of the CDS business have claimed. First, because the number of CDS trades outstanding on Lehman includes a significant number of transactions that offset each other, settlement payments are only a fraction – about 1% to 2% – of the approximately $400bn notional of CDS trades referencing Lehman.
Second, because firms are required to mark their positions to market and to post collateral, any additional exposure arising from the cash settlement is incrementally minimal.

And third, despite the failure of this major dealer institution – as well as several other large counterparties – the CDS business continues to function effectively. CDS contracts have been consistently more liquid than their cash market equivalents.

In addition, Mr. Pickel points out some fundamental misperceptions about the nature of CDS. The biggest misperception facing the CDS business in general is its role in today’s financial crisis. The root cause of problems of the financial sector is too many bad mortgage loans. While many of the loans were structured into mortgage backed securities (MBS) or were repackaged as collateralized debt obligations (CDOs) and sold to investors around the globe, no individual product or instrument was at fault; the economic fundamentals of those underlying exposures were simply not sustainable.

Mr. Pickel emphasized that CDS, like other privately negotiated derivatives, are bilateral, privately negotiated contracts between counterparties. The business is conducted within a sound policy framework established by policymakers, supervisors, and legislators that retains a great degree of market discipline to guide the conduct of swaps participants. Within that framework, CDS trading is subject to extensive regulatory oversight, risk management controls, corporate governance and financial reporting requirements.

“As we move forward, global public policymakers have signaled their intent to review and restructure the global regulatory framework for financial institutions and financial instruments,” said Mr. Pickel. “The industry welcomes this discussion, and we believe it will provide a forum for explaining and understanding the important benefits that privately negotiated derivatives offer to industry participants around the world. The CDS market continues to operate efficiently and the ISDA framework on which the CDS market arranges settlement of trades is providing legal and operational certainty for the industry in a time of economic uncertainty.”

About ISDA
ISDA, which represents participants in the privately negotiated derivatives industry, is among the world’s largest global financial trade associations as measured by number of member firms. ISDA was chartered in 1985, and today has approximately 850 member institutions from 56 countries on six continents. These members include most of the world’s major institutions that deal in privately negotiated derivatives, as well as many of the businesses, governmental entities and other end users that rely on over-the-counter derivatives to manage efficiently the financial market risks inherent in their core economic activities. Information about ISDA and its activities is available on the Association’s web site: www.isda.org.

®ISDA is a registered trademark of the International Swaps & Derivatives Association, Inc.

Comme je l’ai signalé, j’ai laissé des messages aux trois numéros de téléphone mentionnés.

IMPORTANT NOTICE
Fixed Income Clearing Corporation

#: MBS208.08
Date: October 21, 2008
To: Mortgage-Backed Securities Division Participants
Subject: Lehman Brothers, Inc. — Liquidation Update

Pleased be advised that the liquidation process for forward open commitments involving Lehman Brothers, Inc. (“Lehman”) has been completed. FICC is pleased to announce that no loss allocations will be imposed on MBSD member firms as a result of the liquidations of these forward trades.

As per MBSD Important Notice 185.08, participants requested that FICC perform the net liquidation of the Lehman MBSD Clearing accounts for forward trades, in lieu of a bilateral liquidation process. This request was made by member firms in order to minimize potential market disruptions and ensure a more orderly liquidation of the open forward trades.
With regard to failed trades, as per MBSD Important Notice MBS183.08, member firms were asked to submit a MBSD Liquidation Template for those failed items that were liquidated in order to establish the associated profit and losses.

FICC has completed reviewing these spreadsheets and is in the process of reconciling fail claims. As previously indicated, as a result of the bilateral liquidations on failed trades, those member firms that made a profit will be debited and those members incurring a loss will be credited via a COI entry.

In order to ensure that the final monies are consistent with firm expectations, FICC is now requesting member firms to resubmit their templates reflecting the final monies of each liquidated transaction and the associated P&L for each net liquidation trade. Firms should resubmit the exact same templates as previously submitted with the same information and add two new columns reflecting the final monies including accrued interest of the liquidated trades and the corresponding P&L on each liquidated item.

Please furnish this information by close of business Thursday, October 23rd. Upon final review of these documents, FICC will announce the processing date of the appropriate COI entries.

You can use your original spreadsheet and simply add the two new columns.
We ask that you please return the supplemental templates to Michele Hillery at Mhillery@dtcc.com by October 22, 2008. FICC will contact firms in the event of any discrepancies.

Please direct any questions regarding this notice to the undersigned or to George Parasole at
212-855-7670 or Dennis Paganucci at 212-855-7626.
Murray Pozmanter
Managing Director
Fixed Income Product Management
Phone 212-855-7522
mpozmanter@dtcc.com

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56 réflexions sur « Avis de recherche : CDS disparus »

  1. @Paul
    Pouvez-vous expliquer le type d’opération substituée à l’opération normale. Merci d’avance.

  2. @ scaringella

    Pouvez-vous expliquer le type d’opération substituée à l’opération normale. Merci d’avance.

    C’est précisément ce que je cherche à établir et où j’ai besoin de votre aide.

  3. Bonjour Paul,
    Je suis habituellement une bonne limiére mais là je n’ai pas les competences pour vous aider et encore moins en anglais.

    J’ai trouvé , ce que vous connaissez bien-sur déja , la liste des plus grosses dettes de Lehman .

    http://www.creditslips.org/creditslips/Lehman.pdf

    http://www.lesaffaires.com/article/0/services-financiers/2008-09-16/482440/lehman-brothers-des-dettes-de-613gdollarsus.fr.html

    Mais qui va payer tout ça ??

    bien à vous tous.
    Clemence

  4. Si je comprends bien, le règlement de centaines de milliards d’Euros d’engagements, menaçant potentiellement de faillites des établissements phares de Wall street est en train de se discuter sur un mini tableau Excel que chacun doit remplir avec une colonne perte et une colonne profit !

    Voilà bientôt la prétentieuse ingénierie de la finance ramenée au stade du papier et du crayon.

    Ce que cette crise n’aura pas fait faire !!!

    En tous cas, ils ont au moins gagné deux jours de délai, le temps de remplir les tableaux.

  5. En passant par DTCC (deposit trust and clearing corpo) on tombe sur ce document

    http://www.dtcc.com/downloads/legal/imp_notices/2008/ficc/mbs/MBS185.08.pdf

    Extrait :

    Please continue to liquidate your fail positions (this includes positions settling today or prior) as outlined in MBSD Important Notice 183.08.
    MBSD Participants who liquidated their forward settling obligations subsequent to the issuance of Important Notice 183.08 and prior to 12 noon today are required to submit the requisite Excel spreadsheet by 2 p.m. (New York time) today. Please immediately halt your liquidation processes with respect to forward TBA positions.
    For procedural questions on the liquidation process, or on this notice, please call:
    Sean Delap 212-855-7627
    Michele Hillery 212-855-7475
    Elke Jakubowski 212-855-7581
    Dennis Paganucci 212-855-7626
    George Parasole 212-855-7670

    Un vaste filet a été déployé, cherchons qui le relève !

  6. Allemagne/Affaire Lehman Brothers: perquisition chez KfW

    FRANCFORT (Allemagne) – Le Parquet de Francfort a perquisitionné mercredi les locaux de la banque publique KfW, dans le cadre d’une enquête liée à un virement de plus de 300 millions à la banque d’affaire américaine Lehman Brothers le jour même de sa mise en faillite.

    La perquisition, menée avec la police criminelle allemande (BKA), vise à déterminer si les dirigeants se sont rendus coupables aux yeux de la loi en « n’empêchant pas le virement du 15 septembre, malgré leur connaissance des problèmes de liquidités de Lehman Brothers et dans un contexte de crise financière (…) », explique le parquet dans un communiqué.

    La banque publique, bras financier du gouvernement, avait transféré 319 millions d’euros le 15 septembre, jour même du dépôt de bilan de la banque américaine.

    Le parquet a ouvert une enquête sur les dirigeants du directoire, soupçonnés d’abus de confiance.

    « Nous enquêtons sur tous les membres du directoire qui étaient en fonction au moment du virement le 15 septembre », a précisé une porte-parole du parquet.

    Le nouveau président du directoire Ulrich Schröder, en poste depuis début septembre seulement, est donc lui aussi visé. Il avait succédé à Ingrid Matthäus-Maier, poussée à la démission en avril pour sa gestion de la désastreuse affaire IKB, dont KfW était le principal actionnaire.

    La banque spécialisée dans le financement immobilier avait frôlé la faillite à cause de la crise financière et n’a dû son salut qu’à des injections massives d’argent frais, essentiellement de l’Etat via la KfW, qui a perdu des milliards dans l’histoire. IKB a été par la suite vendue pour une bouchée de pain au fonds d’investissement américain Lone Star.

    Concernant l’affaire du transfert à la banque américaine, la KfW avait justifié « le virement par une erreur d’estimation du risque d’insolvabilité de Lehman Brothers commise par le service concerné ». La bévue avait provoqué d’importants remous politiques. Trois dirigeants de l’établissement ont été remerciés depuis.

    La banque a réaffirmé sa volonté de « coopérer de façon intensive » à l’enquête, dans un communiqué séparé. « La KfW fournira toutes les informations et tous les documents requis par le Parquet » », a-t-elle dit.

    (©AFP / 22 octobre 2008 17h36)

  7. Bonsoir. Sympa votre site

    Ce que l’annonce oublie de préciser, c’est que la plateforme électronique de la BIS a été ouverte le dimanche 14 septembre 2008 au moment où tout le monde était convaincu de l’échec des négociations pour le rachat de Lehman.

    Tout le monde s’est précipité pour faire le netting y compris les banques françaises, ce qui fait dire le 17 septembre au matin à Mme LAGARDE : La BNP et la SG n’était exposées qu’à hauteur de 400 millions !

    Je pense que l’opération de substitution n’est tout autre que le netting fait le 14 et confirme par ISDA le 21. Les 350 banques, organismes financiers, hedge funds et autre (Etats souverains) qui ont signé le protocole du dé tricotage des CDS Lehman, avaient probablement autorisé la BIS à procéder au netting global et non bilatéral et à présenter la facture cash qui doit être égale à la marge relative à ce type de dérivé.

  8. Ce que je vais dire est sans doute élémentaire, mais c’est-ce pas d’opérations de compensation qu’il s’agit, tout simplement? Je lis votre blog depuis peu et j’espère que vous n’avez pas déjà traité le sujet.

    Compte-tenu de l’effet de levier, les créanciers ne pouvaient pas déboucler leurs positions un par un sans mettre en faillite leurs contreparties. Mais avec un compte de compensation, personne ne fait faillite. Ce que je comprends, c’est que les participants ont demandé à la FICC d’exécuter toutes les compensations entre banques AVANT de solder chaque compte, parce que c’était leur intérêt.

    Là où l’on pouvait avoir un doute, c’est sur la véracité des information diffusées par les participants. Les compensations – qui marchaient sur le papier – auraient pu être fausses… Mais tout s’est passé comme prévu. C’est à mon avis un argument pour dire qu’il fallait laisser Lehman faire faillite (et toutes les autres banques insolvables aussi), mais c’est un autre sujet…

  9. L’argent produit par ces assurances, bien que compensé devait bien financer des activités diverses et variées : quand bien même les banques se rééquilibreraient les une les autres pour éviter les faillites, qu’advient-il des sommes qui etaient jusqu’à présent allouées à l’économie réelle ? Pertes et profits pour les entreprises ? 55 000 milliards ? Qui va pouvoir assurer à nouveau un financement à cette hauteur ?

  10. Je me suis posé la même question. Pour moi, l’explication est la suivante :

    Afin d’éviter les dominos, on a fait une réconcilication directe des dettes entre l’émetteur du CDS et celui qui le détient en bout de chaine en neutralisant les intermédiaires qui avaient une stratégie de couverture (hedge funds). En cas de réconciliations bi-latéral, il y avait probablement un risque lié à un manque de fond propre des intermédiaires pour régler ces réconciliations bi-latéral :

    ex : A doit 1 à B (A=émetteur CDS, B=hedge fund), B doit 0.8 à C (C=il avait parié chute Lehman, B a 0.1 de fond propre, ne peut pas régler C). A a donc réglé directement 0.2 à B et 0.8 à C. On évite ainsi les faillites des Hedges Funds.

    ceci dit, que la net liquidation de Lehman soit seulement de 6 milliards me semble très étrange. 400 acteurs, des primes dans tous les sens, des cascades de montage. Ca veut dire :

    1. soit tout le monde a pratiquement adopté une stratégie de couverture, donc le risque a été transféré autre part (le cocu est ailleurs, dans des produits titrisés auprès de collectivités, de banques régionales, vendus et garantissant de hauts rendements, mais susceptible d’une perte supérieur au capital engagé (ou dans des prets à taux intéressant mais variable, dont la variabilité est lié à un sous-jacent de type produit titrisé fourré au CDS Lehman) …

    2. soit on a une bande d’abrutis qui payaient des primes pour un risque quasi-nul

    Enfin, c’est pour faire avance le schmilblick …

    Philippe

  11. CDO Cuts Show $1 Trillion Corporate-Debt Bets Toxic (Update2)

    http://www.bloomberg.com/apps/news?pid=20601087&sid=agu0LWZrdQrg&refer=home

    By Neil Unmack, Abigail Moses and Shannon D. Harrington

    Oct. 22 (Bloomberg) — Investors are taking losses of up to 90 percent in the $1.2 trillion market for collateralized debt obligations tied to corporate credit as the failures of Lehman Brothers Holdings Inc. and Icelandic banks send shockwaves through the global financial system.

    The losses among banks, insurers and money managers may spark the next round of writedowns on CDOs after $660 billion in subprime-related losses. They may force lenders to post more reserves after governments worldwide announced $3 trillion in financial-industry rescue packages since last month, according to Barclays Capital.

    « We’ll see the same problems we’ve seen in subprime, » said Alistair Milne, a professor in banking and finance at Cass Business School in London and a former U.K. Treasury economist. « Banks will take substantial markdowns. »

    The collapse of Lehman Brothers, Washington Mutual Inc. and the three banks in Iceland prompted Susquehanna Bancshares Inc., a Lititz, Pennsylvania-based lender, to lower the value of $20 million in so-called synthetic CDOs by almost 88 percent last week.

    KBC Groep NV, Belgium’s biggest financial-services firm, which had 377.4 billion in assets as of June 30, wrote down 1.6 billion euros ($2.1 billion) after downgrades on company- and asset-backed debt. Brussels-based KBC had 9 billion euros in CDOs as of Oct. 15, primarily linked to corporate debt, according to an investor presentation.

    10 Cents

    CDOs pooling asset-backed securities have been blamed for losses at the world’s biggest banks, from UBS AG to Citigroup Inc. Now, corporate CDOs are starting to be affected as defaults rise and speculation mounts that the world economy is headed for a recession.

    Some synthetic CDOs, tied to credit-default swaps on corporate bonds, are trading at less than 10 cents on the dollar, according to Sivan Mahadevan, a derivatives strategist at Morgan Stanley in New York.

    CDOs parcel fixed-income assets such as bonds or loans and slice them into new securities of varying risk, providing higher returns than other investments of the same rating.

    Credit-default swaps are derivatives based on bonds and loans and used to protect against or speculate on defaults. Should a borrower fail to meet debt agreements, the contracts pay the buyer face value in exchange for the underlying securities or the cash equivalent. An increase in the agreement’s cost indicates a deteriorating perception of credit quality.

    Private Market

    About $254 billion of CDOs tied to mortgages for borrowers with poor credit histories have defaulted, according to Wachovia Corp. Estimating losses on those linked to corporate bonds is difficult because the underlying debt and the structure of the transaction can vary in this private market, said Mahadevan.

    Derivatives are contracts whose value is derived from assets including stocks, bonds, currencies and commodities, or from events such as the weather or changes in interest rates.

    Downgrades of corporate CDOs will force investors to boost capital, according to an Oct. 17 report from Barclays Capital analysts led by Puneet Sharma in London.

    Buyers of deals graded AA by Standard & Poor’s and Aa2 by Moody’s Investors Service, the third-highest rankings, may have to increase cushions against losses to cover the full amount of the investment, up from 1.2 percent now, Sharma said. His estimate is based on the world economy entering a « severe » recession.

    Regulation

    Demand for synthetic CDOs helped fuel growth in the credit- default swap market, which authorities in the U.S. are propoosing to regulate, and pushed the cost of default protection to record lows in 2007. That in turn drove down company borrowing expenses. Sales of such CDOs surged to $503 billion in 2006, from $84 billion five years earlier, according to Morgan Stanley.

    Bankers loaded the securities with bonds and swaps offering the highest return for a given credit ranking, indicating higher risk. An AA rated European issue offered an average yield of 50 basis points over money-market rates when sold in 2006, according to UniCredit SpA analysts in Munich. Similarly rated corporate bonds paid 9 basis points. A basis point is 0.01 of a percentage point.

    « The maths ended up driving the way CDO portfolios were put together, » said Nigel Sillis, a fixed-income and currency analyst at Baring Asset Management Ltd. in London.

    Credit Analysis

    The banks that structured the securities and investors both failed to do « fundamental credit analysis, » said Janet Tavakoli, president of Tavakoli Structured Finance in Chicago. « They were using correlation models, they were using spread models, but they weren’t doing analysis on the underlying corporations. »

    Fitch downgraded 422 classes of CDOs on Oct. 13 after seven financial companies defaulted or were bailed out since September. The company didn’t disclose the total number of classes it rated.

    Defaults and so-called « credit events, » which can include government takeovers, force payment of the credit-default swaps packaged in the debt. This causes losses for investors or erodes capital.

    « The same kind of shudders that went through the asset- backed CDO market will probably go through the corporate CDO market, » said Sillis. « We’ll see a pickup in default rates. »

    Barclays Capital estimates that 70 percent of synthetic CDOs sold swaps on Lehman. Swaps on Kaupthing Bank hf, Landsbanki Islands hf and Glitnir Banki hf were included in 376 CDOs rated by S&P. The company ranks almost 3,000.

    About 1,500 also sold protection on Washington Mutual, the bankrupt holding company of the biggest U.S. bank to fail, according to S&P. More than 1,200 made bets on both Fannie Mae and Freddie Mac, the New York-based rating company said.

    `Substantial’ Impact

    The collapse of Lehman, WaMu and the Icelandic banks, as well as the U.S. government’s seizure of the mortgage agencies, will have a « substantial » impact on corporate CDO ratings, S&P said in a report Oct. 16.

    The government in Reykjavik seized Kaupthing Bank, the country’s largest lender, earlier this month. Assets and liabilities from Landsbanki Islands and Glitnir Banki were transferred to state-owned entities, triggering default swaps.

    Nonpayment on speculative-grade corporate bonds may rise to 7.9 percent worldwide in a year, from 2.8 percent at the end of the third quarter, as the credit crisis deepens, Moody’s said Oct. 8. Those in the U.S. may rise to 7.6 percent, said S&P.

    « As there are credit events, you’ll have losses in portfolios and marking down of other assets, » said Claude Brown, a partner at law firm Clifford Chance LLP in London.

    Investors may sell the CDOs back to the banks that structured them, which will unwind protection they wrote to hedge swap transactions, Barclays said. The chain of events will push up the price of default protection and company borrowing, according to Barclays.

    Doubling Cost

    Banks unwinding hedges helped double the cost since April of default insurance on the lowest-ranking equity portion of the benchmark Markit CDX North America Investment Grade Index, to 75 percent upfront and 5 percent a year. That equates to $7.5 million in advance plus $500,000 annually on $10 million of debt for five years.

    For European investment-grade company debt, as shown by the Markit iTraxx Europe index of credit-default swaps, the price for protecting against nonpayment may climb 50 basis points to a record 200 next year, Barclays forecasts.

    Some investors are choosing to buy protection and determine their losses now, according to Edmund Parker, head of derivatives at law firm Mayer Brown LLP in London.

    National Australia Bank, the country’s biggest lender by assets, paid A$100 million ($67 million) this year to hedge the risk of loss on six company-linked CDOs totaling A$1.6 billion. It will pay a further A$60 million annually for the next five years, according to company filings.

    `Drawn a Line’

    « The upside is that you’ve now drawn a line on those assets and you know you’re not going to lose more than your hedging costs, » Parker said. « Unless, of course, your counterparty goes under. »

    Still, investors don’t have to unwind CDOs. They could hold on until the debt instrument matures if they judge defaults won’t be bad enough to prevent them getting their money back, according to Barclays Capital analysts.

    Companies most frequently referenced in synthetic CDOs include Philadelphia-based Radian Group Inc., the third-largest U.S. mortgage insurer, whose stock fell 68 percent in New York trading this year. Another is CIT Group Inc., an unprofitable commercial lender in New York that dropped 83 percent. The company faces about $2.4 billion in debt repayments by the end of 2008, according to data compiled by Bloomberg.

    Ability to Pay

    « We feel very strongly that we have adequate claims-paying capabilities for both our financial-guarantee business and our mortgage-insurer business, » said Radian spokesman Richard Gillespie.

    CIT spokesman Curtis Ritter declined to comment, pointing to the company’s statement last week that it will meet funding needs for the next 12 months.

    Forecasts for ratings downgrades are « going to force a lot of activity » in unwinding CDOs, said Rohan Douglas, former director of global credit derivatives research at Citigroup. He now heads Quantifi Inc., a provider of valuation models for the debt. « Buy-and-hold investors suddenly find themselves in a situation where they will have to sell these assets. »

  12. En résumé, M’sieur Jorion, on les a retrouvés les CDS à Lehman (91,375 cents du dollar) ! Ils ont été planqués dans des synthetics CDOs (marché de 1200 milliards de dollars, 90 percent in the $1.2 trillion market). On note le 90% vers 91,375% …

    Attachez les ceintures, le deuxième étage de la fusée vient de s’allumer après les subprimes … et ces cons de gouvernements qui grillent les cartouches, ils pissent dans la mer d’aral en espérant la remplir (avec notre pognon) !!!

    Sainte Marie, Mère de Dieu,
    priez pour nous pauvre pêcheurs,
    maintenant et à l’heure de notre mort.
    Amen.

    Préparez vos semis pour bouffer …

  13. Lehman default swaps still pending, DTCC says

    By MarketWatch
    Last update: 11:42 p.m. EDT Oct. 21, 2008Comments: 122This update corrects and clarifies that final settlement is still pending.

    NEW YORK (MarketWatch) — An industry clearing organization said late Tuesday that it was still awaiting final results from the settlement of Lehman Brothers’ credit-default swaps, a massive financial transfer that would add significant support to a recovery in the credit markets.
    The Depository Trust & Clearing Corp. will issue a statement when the settlement is completed, according to spokeswoman Melanie Best. She declined to comment on timing.

    Payments under these derivatives contracts have to be made by the close of business Tuesday.
    The International Swaps and Derivatives Association, the group that represents swaps dealers, issued a statement just before 6 p.m. Eastern noting the « success » of the Lehman settlement.
    « Today’s settlement demonstrates that the industry infrastructure for [credit-default swaps] clearly works, » said Robert Pickel, chief executive of the ISDA.

    The exchange between the buyers and sellers of credit-default swaps, a type of derivative contract that pays out when a company reneges on its debt, spooked markets Tuesday. Some investors worriedsellers would be unable to come up with the cash to pay their counterparties, and these no-shows would usher in a new round of bank or fund failures.

    This type of domino effect turned what started as a U.S. housing-market collapse into a global credit crisis.

    « Settlement of Lehman’s CDS is what has the market on the nervous side, » said Peter Cardillo, chief market economist at Avalon Partners, said earlier Tuesday about the credit-default swaps.

    The major U.S. stock indexes briefly scaled back declines late in the session after reports that counterparties had closed the swaps settlement without a hitch. See Market Snapshot.

    Global interest rates spiked and lending contracted after Lehman Brothers declared bankruptcy in mid-September, a failure that risked taking some of the firm’s numerous trading partners down with it.
    The bankruptcy also triggered a relatively rare event in the $50 trillion market for credit-default swaps: the requirement that holders of protection on Lehman debt get paid by the sellers of these swaps.

    An Oct. 10 auction determined terms of the payout. Buyers of protection against a Lehman default were slated to receive 91.375 cents for every dollar of Lehman debt they held. See full story.
    The overall size of the payout was expected to be as much as $400 billion. But if the counterparties’ offsetting trades are taken into account, the Depository Trust and Clearing Corp. has forecast that sellers of the protection may only have to cough up about $6 billion.

    The credit-default swap settlement comes as stressed credit markets showed some early signs of recovery.

    The cost of short-term borrowing continued its recent fall Tuesday.

    The London interbank offered rate, or Libor, for three-month dollar loans fell to 3.83375% from 4.05875% the previous day. The decline follows a sharp drop of about 35 basis points, or 0.35 of a percentage point, on Monday. See Libor story.

    Still, there are more companies at risk of default and more debt outstanding than in several years, and credit-default swaps may cause continued headaches for credit markets, said John Atkins, a fixed-income analyst at IDEAGlobal.

    Going forward, « workouts can be much more convoluted, » he added. « This doesn’t mean things can’t go wrong. »

    commentaire d’un lecteur :
    jalex 18 hours ago +6 Votes (7 Up / 1 Dn)
    |

    As I add up the unexplained, ambiguous dollars that have been floating around over the last month or so, I’m beginning to see what may have happened. Firstly, if people remember JPMorgan « advanced » Lehman Brothers $138 billion dollars in mid September after they were already in bankruptcy court. This money was repaid to JP Morgan by the Fed Reserve Bank of NY. The Fed loaned $85 billion to AIG, then an additional $37.8 billion in mid September. Also, several member banks of the Fed Reserve set up a « fund » for $70 billion again in mid September. I can’t clearly say what these monies were for, but something seems eerily coincidental. The Lehman bond exposure was about $400 billion. The CDS sellers were to pick up the tab for roughly .91 on the dollar. This would amount to about $360 billion. The total of all of these known, but unexplained transactions amount to roughly $330 billion. Also, it’s flowing among the major players in the crisis–AIG, one of the largest CDS sellers, JP Morgan, one of the largest derivative holders, and Lehman, the principal in this whole mess.

    If someone can piggyback on this if they think it makes sense or if they have any additional information, please do so. Or if you think this hypothesis is flawed, please knock it down. I just want to get to the bottom of this.

  14. http://market-ticker.denninger.net/archives/618-Congress-What-Bernanke-and-Hank-Arent-Telling-You.html

    un avis fort interessant sur le rapport entre la masse monétaire et le PNB US si j’ai bien compris.

    mais ca ne répond pas à la question qui nous préoccupe à l’instant;

    dans le post précédent, un lecteur pensait que la perte était de l’ordre de 360 milliards de dollar sur les cds « lehman » mais que ces fonds ont déja été apportés aux banques par la fed au cours de ces dernieres semaines (d’où une liquidation « calme » des cds)

    Quelqu’un peut traduire les passages essentiels du message de Philippe SVP ?

  15. Je dois pas vraiment comprendre la question, j’ai l’impression que la réponse est dans la note :

    « FICC is now requesting member firms to resubmit their templates reflecting the final monies of each liquidated transaction and the associated P&L for each net liquidation trade »

    la FICC demande à tous le monde de faire ces comptes Profit et perte de son coté.

    « Please furnish this information by close of business Thursday, October 23rd. Upon final review of these documents, FICC will announce the processing date of the appropriate COI entries. »

    Tous doit être envoyé avant le 23(demain) et après une revue général ont passera les écritures profit et perte à une date appropriée (interprétation de la date « approriate » : après les élections).

  16. Petite erreur d’Anglais c’est pas la date qui est appropriée ce sont les écritures profit et perte, mais c’est quand même eux qui choisiront la date.

  17. Ce qui est curieux, c’est qu’il n’y a pas de transferts notables de fonds des vendeurs nets vers les acheteurs nets de protection .

  18. http://ftalphaville.ft.com/blog/2008/10/22/17306/dtcc-clearnet/

    une info sur la société dtcc mais angliciste distingué requis SVP !

    si j’ai compris : un « mariage » annoncé le lendemain de cette drôle d’affaire des cds lehman ?

    22 October 2008 – The Depository Trust & Clearing Corporation (DTCC) and LCH.Clearnet Group (LCH.Clearnet) today jointly announce that they have signed non-binding heads of terms regarding the proposed merger of the two companies. The merger proposal aims to create the world’s leading clearing house, which would operate a user-owned, user-governed model, with LCH.Clearnet moving to an at-cost based structure comparable to DTCC’s within three years. As a result of the transaction, LCH.Clearnet shareholders would receive total consideration of up to €739 million (€10 a share), the majority of which would be funded through LCH.Clearnet’s revenue.

    sur ce m^me site :

    Sam, as our resident guru on all things difficult, can we take it that the LEH CDS thing is all over and is fine and dandy?

    Throg: seems so. Nothing to fear but fear itself etc.
    Of course, all we see is the net numbers, so no idea what was happening behind the scenes the past few weeks. Generally, I think the disaster has been absorbed by the huge loans the Fed has made to AIG: they were a big exposed LEH counterparty. I’d assume they’ve taken quite a hit, though we don’t know that yet.
    Lots of CDS ‘I told you sos’ out there right now: but many ignoring the fact that banks were genuinely worried about the whole affair. I think the turning point came on friday night, when JPM realised it was all going to be fine and offered up a series of multi-billion short term facilities to eurobanks.
    Libor is starting to fall properly now too, which would also suggest the LEH thing was a genuine fear. It was certainly on the mind of everyone I’ve spoken to.

  19. la suite à l’instant toujours sur ftalphaville
    traducteurs HELP please !

    Lombard: DTCC-LCH
    Cometh the hour, cometh the merger. With politicians and regulators on both sides of the Atlantic fretting about the risks that built up in the world financial system – particularly in the pipework that links parties to trades – the takeover of one plumber, LCH.Clearnet, by another, The Depository Trust & Clearing Corporation ought to be welcome.

    Charlie McCreevy, the European commissioner in charge of the single market, last week challenged participants in the over-the-counter derivatives market to come up with solutions to the threat of a blow-up in the opaque area of credit default swaps. Coincidentally he was due to meet some of those participants in Brussels yesterday [WEDNESDAY], as the DTCC-LCH proposal was being unveiled in London.

    A DTCC-LCH deal was floated before the latest cruel twists in the financial crisis. It won’t be consummated until well into next year, if all goes according to plan. But the combination could ease the strain on the system in future, if, as intended, the combined company embraces OTC products. LCH.Clearnet was rightly proud of the way it sorted out the trading positions left stranded when Lehman Brothers collapsed. The European clearer took on the risk of futures and options trades and transferred most of them to other banks in the space of just two weeks. Lehman’s OTC trades, by contrast, are still being sorted out – bilaterally and laboriously.

    The more obvious benefits, however, should come in the traditional on-exchange areas, where users would reap savings from economies of scale as technologies were integrated. Consolidation should in theory allow improved competition between exchanges and trading platforms, further driving down costs. The combination would bring Europe closer to another of Mr McCreevy’s objectives by providing a strong alternative to the “vertical silos” run by exchanges like Deutsche Börse that control their own clearing houses.

    The DTCC takeover could provide a Trojan horse for US exchanges and other new trading platforms looking to buy and sell UK stocks and clear the transactions through London. But economic nationalism should present no obstacles to the deal. LCH.Clearnet, while based in the City, is a pan-European group operating across borders. A transatlantic deal would strengthen the global financial system at a time when everybody believes it needs reinforcing. Indeed, it puts some Europeans’ determination to blame the financial crisis on Americans in perspective, if you consider that recent US takeovers mean that much of the systemic pipework will be relaid and operated by American companies along American lines.

  20. N’oubliez pas, c’est très bientôt, 21 H, heure de Paris,
    l’émission sur ARTE avec Paul Jorion,
    pour notre plaisir à tous.

  21. J’avais cru comprendre que certains établissement en risque de faillite avaient été recapitalisés après la faillite de LEH pour faire face à une sortie d’argent. Notamment AIG 85 B$ + 38 B$. Wachovia vient aussi de sortir une jolie perte.

    Par le mécanisme de clearing mis en place, ceux qui savaient qu’ils devraient payer ont donc pu le faire directement sans autre effet de bord.

    D’autre ont vendu comme des malades pour ne pas mourir.

    A mon sens Le con-tribuable amerlocain s’est sans doute appauvri, mais qui s’est enrichi ? Je parierai bien sur les mafieux de GS et JPM.

    La FICC va-t-elle publier les soldes des participants ?

  22. le staff de dtcc

    You’e in good hands with Depository Trust & Clearing Corp (DTCC). The Board of Directors includes Ian Lowitt, Chief Financial Officer, Lehman Brothers, who is one of the Lehman executives that got subpoenas from the U.S. Department of Justice. LEHMAN Brothers now is the subject of three federal US criminal probes.

    The DTCC Board of Directors also includes men with no-conflicts-of-interest from Goldman Sachs, Citi, Citadel, JP Morgan, Barclay’s, State Street, Bank of NY, Merrill Lynch, and UBS (aka « U Bought Merde »). Yes, with these safe, sober, trustworthy firms you can count on honest, transparent settlement of credit default swaps.
    http://www.dtcc.com/about/governance/board.php

  23. Note of caution from Reuters article on Lehman cds settlement: « losses may not be made public until companies post their next quarterly earnings in the months to come. »

    les pertes sur les cds lehman ne seraient pas publiées immédiatement mais dans le cadre des prochains résultats trimestriels – donc « mélangés » aux autres gains et pertes- ( en janvier 2009 ?)

  24. Résumé à l’intention de ceux qui ne lisent pas l’anglais ou qui souffrent d’une indigestion vu la quantité d’information. Un commentateur cité par Pitalugue résume bien la situation :

    Sam, toi qui es notre gourou de service sur tout ce qui est compliqué, est-ce qu’on peut en tirer que tout est bien qui finit bien ?

    @ Throg
    On dirait. Rien à craindre que la crainte elle-même, etc.

    Bien sûr, tout ce qu’on nous montre, ce sont les chiffres net, donc aucune idée sur ce qui s’est passé en coulisses ces dernières semaines. Globalement, je pense que le désastre a été absorbé par les prêts géants de la Fed à AIG : c’était eux la contrepartie la plus exposée à Lehman Brothers. J’imagine qu’ils ont pris une grande claque, même si on ne nous a encore rien dit.

    On entend beaucoup de « Je vous l’avais bien dit [qu’il n’y avait rien à craindre] ! » sur les CDS. Ce qu’ils ignorent, c’est que les banques étaient vraiment préoccupées. Le tournant a eu lieu à mon avis durant la nuit de vendredi, quand JP Morgan Chase s’est rendu compte que tout s’arrangerait et ont offert un ensemble de fonds à court terme aux banques européennes pour plusieurs milliards de dollars.

    Le LIBOR commence aussi à baisser gentiment, ce qui confirmerait que l’affaire Lehman Brothers était une crainte réelle. C’était en tout cas à l’esprit de tous les gens à qui j’ai parlé.

  25. Merci pour la traduction.
    En gros, les pertes ont été masquées ? Comme on le faisait avec les subprimes d’une autre manière ?

  26. Salut à tous,

    C’est beau le progrès : je regarde l’émission sur ARTE en vous lisant …
    Au passage, s’il me lit, merci à Guillaume pour les commentaires sur les fonds spéculatifs.
    C’était juste un coucou d’encouragement … comptez pas sur moi pour retrouvez vos CDS … 8-D
    On voit beaucoup Attali dans cette émission …

    Cordialement.

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