Рынок CDS может быть уничтожен

LONDON, June 20 (IFR) — Senior credit derivatives traders have warned policymakers against deliberately avoiding triggering Greek credit default swaps when restructuring Greek debt. Dealers have previously expressed concern that a non-trigger could undermine the effectiveness of CDS as a hedge, with one senior sovereign CDS trader now predicting such a scenario could cause bond spreads to spike violently.

«CDS not triggering would be a net negative thing,» he said. «At the moment there are various instruments to hedge country risk — FX, derivatives and bonds — and you don't want to force people to stop using any of those instruments. As well as a reduction in CDS volumes, there would be a correspondingly large increase in bond spreads — especially the bigger reference names such as Spain, Italy, and France.

The impact on those bond markets would be severe.» Clients have already reportedly jettisoned Greek CDS hedges due to fears over their ineffectiveness. Dealers have speculated an ineffective sovereign CDS market could undermine risk-taking, as participants would have fewer clean ways to hedge country risk. «Ultimately, it will translate into less people willing to take risk,» warned the senior sovereign CDS trader. «People will factor in a greater cost of hedging — going short via bonds is harder to do.

There will be additional levels of costs for banks.» Whether Greek CDS triggers or not depends on how the debt is restructured. One head European of credit trading at a major European bank, said a «soft» restructuring involving a re-profiling of Greek debt should not trigger CDS, and argued the market was prepared for this. «Re-profiling Greek debt should not trigger CDS, but it is unlikely they will be able to avoid a trigger if they haircut and actually lower the amount of the debt,» he said.

«It is definitely an issue for bank loan desks if CDS doesn't get triggered when there is a haircut. But CDS not triggering on a profile extension should not be a massive issue for loan desks as their books are not marked to market.» As any action on Greek debt in the near future is expected to involve a re-profiling without any haircuts, the head of European credit trading indicated CDS should not be triggered this time around, although he added: «I don't think Greece will be able to escape a hard restructuring next year.» Meanwhile, peripheral sovereign CDS have spiked over the course of the week as concern over the Greek situation has mounted. Five-year Greek CDS jumped to more than 2,000bp, while protection on Portugal and Ireland also reached record highs of 805bp and 797bp respectively, according to Markit. «It has been very volatile. We've seen one of the biggest flows in the last 48 hours — it's been crazy,» said the European head of credit trading. «We're seeing short covering this morning; we've seen capitulation in investment grade and in some of the government bonds. High-yield in the US is really under pressure — there is certainly a change of sentiment