Se está hablando mucho del famoso bailout, de si será efectivo o no y de su acogida posterior en los mercados internacionales, pero como ya hemos ido apuntando en otros hilos, el verdadero terremoto que aún está por venir son los Credit Default Swaps. He aquí un artículo del Financial Times que puede despejar dudas sobre lo que se nos viene encima o al menos "cuando" puede dar el pistoletazo de salida.

Fuente: FT.com / Companies / Financial services - Settlement day approaches for derivatives

Settlement day approaches for derivatives

By Aline van Duyn in New York

Published: October 1 2008 03:00 | Last updated: October 1 2008 03:00

The $54,000bn credit derivatives market faces its biggest test this month as billions of dollars worth of contracts on now-defaulted derivatives on Fannie Mae, Freddie Mac, Lehman Brothers and Washington Mutual are settled.

Because of the opacity of this market, it is still not clear how many contracts have to be settled and whether payouts on the defaulted contracts, which could reach billions of dollars, are concentrated with any particular institutions.

According to dealers, insurance companies and investors such as sovereign wealth funds, which are widely believed to have written large amounts of credit protection through credit default swaps on financial institutions, could have to pay out huge amounts.

"There is a lot at stake," said an executive at one big dealer. "This is a crisis time, and if these auctions do not go well, or if the amounts investors and dealers have to pay is seen as not being fair, it could have further negative repercussions on the CDS market."

The "auction season" starts tomorrow, when the International Swaps and Derivatives Association has scheduled an auction for Tembec, a Canadian forest products company. This is followed by Fannie Mae and Freddie Mac auctions on October 6. Then, Lehman is settled on October 10, and Washington Mutual is scheduled for October 23.

Even though it is possible that some participants in the credit derivatives market will have to make large payouts, the flipside is there could also be big winners. For every loss in credit derivatives, there is a gain.

The amount of contracts outstanding that reference Fannie Mae and Freddie Mac alone is estimated to be up to $500bn. The default was triggered under the terms of derivatives contracts by the US government's seizure of the mortgage groups, even though the underlying debt is strong after the explicit government guarantee.

The CDS contract settlement could result in billions of dollars of losses for insurance companies and banks that offered credit insurance in recent months. The recovery value will be set by auction. Usually, the bond that is eligible for the auction that trades at the lowest price - the so-called cheapest-to-deliver - is the one that sets the overall recovery value for the credit derivatives.

In the Lehman case, numerous banks and investors have already made losses due to exposure to Lehman as a counterparty on numerous derivatives trades. The auctions next week are for credit derivatives which have Lehman as a reference entity. There are likely to be fewer contracts outstanding than for Fannie Mae and Freddie Mac because Lehman was not included in many of the benchmark credit derivatives. However, exposure remains unclear, which is one concern that regulators now have about the credit derivatives market.

Lehman's bonds have been trading between 15 and 19 cents on the dollar, meaning investors who wrote protection on a Lehman default will have to pay out between 81 and 85 cents on the dollar, a relatively high pay-out.

The previous biggest default in credit derivatives was for Delphi, the US car parts maker that went bankrupt in 2005 and which had about $25bn of CDS.

Noticia encontrada a través de: Jesse's Café Américain: Waves of Credit Default Swaps Incoming

__________________

PORQUE HACE FALTA.

__________________

mñ
pero
si
mmm
había dicho
ppcc
que la crisis
estaba
embridadarl
¿ein?

Hoy tenemos el día de buen humor, veo. 3 de 3.

La verdad es que el tema no es precisamente para reír, pues estamos hablando que la semana que viene ya nos podríamos empezar a encontrar con explosiones de CDS, y eso en medio de la tormenta que ya hay puede ser fatal...

__________________

corred corred, bonistas y derivadienses escapan con fajos de cromos...



4d4

__________________

No, Si Ya Sabía Yo Que El Cdse Era La Puerta Para El Armagedón (con Permiso De Redxlima)

:d:d

Imágenes Adjuntas

cds_avanza.jpg (102,2 KB (Kilobytes), 2631 visitas)

En un CDS el comprador de protección paga una prima, y si el bono de referencia se va a hacer puñetas, recibe del vendedor la diferencia entre el nominal del bono (100%) y el valor residual (lo que se puede recobrar). El valor residual, en la práctica, se decide en estas subastas. No sé como ISDA organiza las subastas, pero sería muy sorprendente que no se intentasen manipular, dado que hay mucho más dinero que depende del pago de los CDS que los bonos en sí.

Moment of truth for default derivatives - Business News, Business - The Independent

The credit derivatives market, worth some $54 trillion (£31trn), began its biggest test yesterday as an unprecedented round of settlement operations on derivatives contracts began,including those covering the debt of Lehman Brothers, Fannie Mae and Freddie Mac.



At stake is how much will be paid out on credit default swaps (CDS) – a type of insurance contract against acompany defaulting on its debt which is sold by investment banks and major insurers such as AIG.
The "auctions" to decide the value of bonds in default and the amounts the derivative insurance will have to pay out on them are organised by theInternational Swaps and Derivatives Association (ISDA), based in New York. ISDA has held only nine auctions since 2005, but this month will see five that will include many of the former giants of the US financial scene. The CDS market is opaque because contracts are only registered between the buyer and seller of the insurance, with no central record of the value or whereabouts of outstanding contracts.
With massive debt defaults taking place, and more predicted as the economy slows, the lack of clarity has raised fears of mounting losses at issuers of CDS paper who may not have thecapital to pay out on their guarantees.
The auctions will also be a big test of investment banks' procedures when the authorities are scrutinising certain securities firms for lapses.
"It is significant because it is probably going to be a good opportunity for investment banks to prove to regulators that they have their house in order. Any big investment bank will want to make sure that nothing is dropped on the floor," said an analyst at oneinvestment bank.
A record 409 firms had alreadyregistered for the Fannie and Freddie auction yesterday, with 300 having signed up in the previous 24 hours and hundreds more in the pipeline. The value of derivatives contracts covering the two US mortgage finance agencies, which were effectively nationalised last month, is estimated at between $400bn and $600bn.
The size of the Fannie and Freddie auction dwarfs the previous biggestdefault in credit derivative markets, which was for Delphi, the US car-parts producer that went bankrupt in 2005.
The auction system was put in place seven years ago to centralise agreement of the recovery rate on company bonds in default.
ISDA calculates an average value for the underlying bonds from varioussubmissions by market makers. If the average is 40 per cent, for example, then the issuer of the protection pays the "lost" 60 per cent to the CDS buyer.
Before the system was brought in, the buyer of protection had to physically find some bonds and present them to the insurer in return for the payment. The insurer then had to get back as much as possible from the defaulting company. The system has become increasingly important because, as the CDS market has grown, for many companies the value of outstanding CDS contracts vastly exceeds the value of the actual bonds issued.
A spokesperson for ISDA said: "It is really a straightforward process. The only difference here is the volume, and we don't see any reason why itshouldn't go smoothly despite theanticipated high volumes of trade."
Freddie and Fannie will be settled on 6 October, with Lehman on 10 October and Washington Mutual on 23 October.
First up in the process yesterday was Tembec Industries, a US business of Tembec Inc, the Canadian paper and timber producer.
54trn
$: Size of credit default swap market.

__________________

Las subastas de CDS de compañías que han quebrado pueden ser este mes de octubre como una gran mascletá. Hay más detalles sobre el tema en The Independent.

Borro el contenido de este post, me ha ganado Miss por unos minutos

Al parecer ahora en octubre se renegocian estos magníficos productos financieros.

Eligieron un buen mes para este negocio; octubre históricamente ha sido el mejor mes para negocios en bolsa, solo hay que ver las estadísticas (además de algún crack, crash).