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Articolo interessante che mette in evidenza il problema CDS su SNS.
By Abigail Moses
Feb. 5 (Bloomberg) -- The International Swaps & Derivatives
Association said it will rule whether the nationalization of SNS
Reaal NV constitutes a credit event that will trigger payouts on
derivatives insuring the debt.
The ruling on credit-default swaps will be made after an
anonymous request was posed to the determinations committee, a
group of 15 dealers and money managers that govern the market,
ISDA said on its website. The Netherlands took control of SNS
after real estate losses brought the fourth-largest Dutch bank
to the brink of collapse, with Finance Minister Jeroen
Dijsselbloem saying the government would “expropriate” equity
and subordinated debt.
There’s no precedent in the derivatives market for such a
move and it doesn’t fall into ISDA’s defined categories of
credit events, which include bankruptcy, failure to pay and
restructuring. ISDA is working on changes to standard swaps
contracts to address issues highlighted by credit events since
the definitions were written.
“The CDS definitions don’t expressly address expropriation
but ultimately, expropriation could be a credit event depending
on how it’s done,” David Geen, general counsel at ISDA in
London, said in an e-mail.
Credit-default swaps on the senior debt of SNS were quoted
at 392 basis points at 12 p.m. in London, according to data
compiled by Bloomberg.
Though contracts on SNS aren’t actively traded, the impact
of the expropriation will prove a test for the market. Even if
the determinations committee rules a credit event has occurred,
settlement may be distorted because the securities that could be
delivered in exchange for compensation have been eliminated.
“It does lead you to question the efficacy of CDS,” said
Steve Hussey, a credit analyst at AllianceBernstein Ltd. in
London, which manages $430 billion.
Contracts on SNS aren’t among the 1,000 most-traded
entities tracked by the Depository Trust & Clearing Corp., which
runs a central registry for the market. Swaps 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
Articolo interessante che mette in evidenza il problema CDS su SNS.
By Abigail Moses
Feb. 5 (Bloomberg) -- The International Swaps & Derivatives
Association said it will rule whether the nationalization of SNS
Reaal NV constitutes a credit event that will trigger payouts on
derivatives insuring the debt.
The ruling on credit-default swaps will be made after an
anonymous request was posed to the determinations committee, a
group of 15 dealers and money managers that govern the market,
ISDA said on its website. The Netherlands took control of SNS
after real estate losses brought the fourth-largest Dutch bank
to the brink of collapse, with Finance Minister Jeroen
Dijsselbloem saying the government would “expropriate” equity
and subordinated debt.
There’s no precedent in the derivatives market for such a
move and it doesn’t fall into ISDA’s defined categories of
credit events, which include bankruptcy, failure to pay and
restructuring. ISDA is working on changes to standard swaps
contracts to address issues highlighted by credit events since
the definitions were written.
“The CDS definitions don’t expressly address expropriation
but ultimately, expropriation could be a credit event depending
on how it’s done,” David Geen, general counsel at ISDA in
London, said in an e-mail.
Credit-default swaps on the senior debt of SNS were quoted
at 392 basis points at 12 p.m. in London, according to data
compiled by Bloomberg.
Though contracts on SNS aren’t actively traded, the impact
of the expropriation will prove a test for the market. Even if
the determinations committee rules a credit event has occurred,
settlement may be distorted because the securities that could be
delivered in exchange for compensation have been eliminated.
“It does lead you to question the efficacy of CDS,” said
Steve Hussey, a credit analyst at AllianceBernstein Ltd. in
London, which manages $430 billion.
Contracts on SNS aren’t among the 1,000 most-traded
entities tracked by the Depository Trust & Clearing Corp., which
runs a central registry for the market. Swaps 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
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