Глава НБРК озвучил обоснованные претензии к использованию котировок CDS по казахстанским эмитентам. Из громадных разрывов между котировками бид/аск (например по BTA максимальный разрыв составил более 1200 б.п.!) можно судить о низкой ликвидности данного рынка (по крайней мере, сегмента в котором торгуются CDS по казахстанским банкам). Однако это не гарантирует, что CDS “не имеет никакого сопряжения” с реальной ситуацией. Вполне возможно, что это leading indicator. Поживем-увидим.
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Свежие комментарии
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Исследователи Svetlana Boyarchenko и Sergei Levendorskiĭ предлагают закрыть рынки Credit Default Swap
Elimination of CDS as the necessary prerequisite for recovery
http://www.eurointelligence.com/index.php?id=581&type=98&tx_ttnewstt_news=2310
Однако Peter Wallison не согласен, считая что чрезмерное регулирование рынка CDS может увеличить риски:
http://www.rgemonitor.com/globalmacro-monitor/255257/everything_you_wanted_to_know_about_credit_default_swaps–but_were_never_told
Цитата:
Kazakhstan last sold foreign-currency bonds in 2000 and repaid the $350 million securities two years ago, according to data compiled by Bloomberg. Credit-default swaps, conceived to protect bondholders against default, pay the buyer face value in exchange for the underlying securities or the cash equivalent should a borrower fail to adhere to its debt agreements.
Investors should not be buying contracts linked to Kazakhstan because it has no outstanding foreign bonds, making them irrelevant, Marchenko said.
“If they do buy it, they should do it at their peril and it should have no relevance whatsoever to the performance of the Kazakh economy,” Marchenko said. “Why people are buying this CDS beats me and why some other people are being driven in their investment decisions by a CDS market on non-existent securities also beats me.”
http://www.bloomberg.com/apps/news?pid=20601087&sid=aS9QKnSLGNys&refer=home
That trade may have left some players with a net “short” position in the banks (meaning they stand to benefit if the company goes into default). What Mr Marchenko is trying to understand is how these incentives are affecting credit behaviour.
“This is a whole new ball game – I don’t think anyone was prepared for what has happened here,” says Mr Marchenko. “There is a new class of financial institutions now who are speculating that BTA [and others] go into a default … rather than in keeping the bank as a going concern. There is an underlying principle of restructuring that all investors should be treated equally. But what if everyone [in the creditor group] accelerated [the process of default]?”
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Thus far, the Kazakhs are not seeking to ban CDSs. “Abolishing [CDS contracts] might be a bit radical – it is easier to regulate CDSs than prohibit them entirely. They grow like mushrooms in the dark,” says Mr Marchenko. The central banks wants to see “a middle-of-the-road approach – only those companies and institutions that own underlying securities should be allowed to buy CDS. There should be better disclosure and central clearing”.
http://www.ft.com/cms/s/0/61533508-722f-11de-ba94-00144feabdc0.html?nclick_check=1
Уведомление: Суверенные CDS и сравнительный кредитный риск « econ.kz