Les contrats d'assurance contre le non remboursement de la dette (CDS) de la Grèce ont de nouveau bondi jeudi, pour atteindre un niveau jamais vu qui en fait le pays le plus risqué au monde au regard du marché des produits financiers dérivés.
 
Les CDS de la Grèce s'affichaient à 2.072 points de base, selon le spécialiste des données du marché de gré à gré CMA, filiale de la Bourse de Chicago, le CME.
 
Cela signifie que pour s'assurer contre le non remboursement de 10 millions de dollars (base du contrat en général) de dette grecque à un horizon de 5 ans, un créancier devra payer 2,07 millions de dollars par an d'ici à l'échéance.
 
Concrètement, un investisseur devra donc débourser plus que le montant de la dette qu'il détient pour l'assurer sur 5 ans.
 
Selon l'indicateur du CMA, le niveau du CDS signifie que les investisseurs considèrent que la Grèce a une probabilité de 78,9% de faire défaut avant le dénouement du CDS, soit dans 5 ans.
 
En deux jours, les CDS de la Grèce ont pris près de 500 points de base.
 
A titre de comparaison, le pays considéré comme le plus risqué après la Grèce est le Venezuela, dont les CDS cotaient jeudi 1.131 points seulement, correspondant à une probabilité de défaut à 5 ans de 54,5%, au regard des investisseurs.
 
A l'autre bout du spectre, le CDS de l'Allemagne se situait jeudi à 42,3 points de base.

 
Nerves on edge as Greece teeters
Eric Johnston
June 17, 2011
 
Greece is now balancing on what is being described globally as the ''Lehman moment'' with any sovereign debt default likely to be felt across Europe's banks, potentially sending shockwaves throughout the global financial system.
 
A default or restructure would require the holders of Greek bonds - largely made up of banks and the European Central Bank - to write down the value of their holdings, triggering a fresh round of losses.
 
While European banks have been working to offload their exposure to Greek bonds over the past year, they still hold in total €39 billion (A$52.3 billion) with the French, German and Belgium banking systems most exposed.
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If bondholders were required to take a 40 per cent haircut - a figure most thrown up by analysts - this would translate to losses of €15.6 billion.
 
"European banks directly hold Greek government bonds and on a case-by-case basis those holdings can be quite sizeable," Philip Bayley, a debt market analyst with ADCM Services, said.
 
"A lot of European banks also have direct exposure into Greece in terms of the private sector and Greek banks," he said.
 
At the same time there are lingering concerns of contagion spreading to some of Europe's other financially stressed countries. ''Once Greece goes, what's to stop Ireland or Portugal going?'' Mr Bayley said.
 
Cracks began appearing through Europe after the credit ratings agency Moody's placed France's top three banks on review overnight for a possible downgrade because of their exposure to Greece's debt and corporate bonds.
 
France's BNP Paribas and Credit Agricole face one-notch downgrades and Societe Generale might see a two-notch decline through its holdings of Greek government bonds or through its local banking subsidiaries, Moody's said.
 
Analysts estimate that BNP Paribas is the single most exposed of the European banks to Greek debt, with about €5 billion of bonds on its books. Credit Agricole is estimated to have more than €800 million exposure to Greek government debt, although it also owns Athens-based bank Emporiki. Societe Generale also owns a small Greek bank, Geniki, but also has a reported €2.5 billion of Greek government bonds.
 
Societe Generale's CEO, Frederic Oudea, told reporters a possible Greek debt restructuring ''would be unpleasant but manageable''.
 
The governor of the Bank of France, Christian Noyer, also moved to ease worries over the impact on his nation's banks.
 
"I have no concerns over French banks because even if we take extreme hypotheses, of very large losses on French banks' positions in Greece, that would only cut relatively modest amounts from annual results," Mr Noyer, who is also a member of the European Central Bank governing council, said.
 
Despite Europe's banks having a sizeable exposure to Greek bonds, brokerage Nomura said potential write-downs were largely ''manageable'' in the context of €1.8 trillion of equity capital sitting in Europe's banks.
 
However, the much larger exposure of UK and German banks to Ireland, and of Spanish banks to Portugal, starts to result in second-order loss assumptions of as much as 11 per cent of the European banking system capital.
 
This could also make debt investors more nervous towards banks at a time when many lenders are still undergoing restructuring.
 
While Australian banks have minimal exposure to Greece, executives concede if credit market volatility continues, bank funding costs could move higher.
 
Signs of an increase in costs have been seen in a recent run-up in credit default swap prices, a key barometer of pricing.
 
The focus in the next few days will remain on National Australia Bank's launch of a benchmark 5-year bond issue with early indications that pricing will rise.
 
Meanwhile, another ratings agency, Standard & Poor's, downgraded four key Greek banks deeper into ''junk'' territory. It cut the rating on National Bank of Greece, EFG Eurobank Ergasias, Alpha Bank and Piraeus Bank to ''CCC'' from ''B'', citing the prospect of a bond default.
 
Greek banks are the most exposed to their country's debt, holding €72 billion, or 22 per cent of the total government debt outstanding. Losses of this magnitude could wipe out the capital base of some of Greek lenders.
 
''The downgrade … reflects the significant risks to the Greek banks' capital basis that we believe may arise should the government restructure some, or all, of its debt,'' Standard & Poor's said.
 
Read more: http://www.theage.com.au/business/ [...] z1PUE0AoMH

Well, all that bitching at the Comex over PM manipulation has paid off. The Chicago exchange just lowered its initial and maintenance margins by 10% from $6,751 to $6,075 and $5,001 to $4,500 respectively.  
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