Blog de Paul Jorion

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