Credit Default Swap a 5 anni che rompe gli indugi e sale vorticosamente. Rischio default all’orizzonte?
Il post sul rischio default Argentina (si, un altro default, cliccate qui per vederlo) lo avrete letto molto probabilmente già nelle passate ore. Oltre che gli interessanti commenti, tra cui quelli di un amico che abita “il loco”, a conferma di quanto temuto, vi riporto il grafico del CDS a 5 anni proprio dell’Argentina.
Direi che l’inversione è quanto mai evidente e…sembra riproporsi lo scenario di qualche anno fa, quando il CDS aveva raggiunto picchi pazzeschi. Cosa era successo? Default, appunto…
Here are a few back-of-the-envelope things to think about as we wait for Argentina to spell out its position in its brief to the court in the holdout saga on Friday:
1. This is, remember, a case in which there could be a technical default if money Argentina uses to pay the holders of bonds it exchanged in debt swaps in 2005 and 2010 – when it restructured nearly 93 per cent of the $100bn on which it defaulted in 2001 – is diverted to pay the litigants in the New York case, led by US hedge fund Elliott.
The exchange bonds are the par bond, due 2038, and the discount bond, due 2033. According to market analysts, some $10bn is outstanding in these bonds – at least at nominal value. Given their recent turbulence, market value is about half that. So if Argentina were to fall into technical default, those would be the bonds affected. There could be more too, given cross-default clauses with restructured euro and yen bonds, but the bulk is the New York legislation restructured exchange bonds.
2. What we’re not counting here is the GDP warrants – issued to sweeten the buzzcut haircut bondholders (as little as 30 cents on the dollar) that non-holdout creditors had to settle for. Why not? Well, there’s no nominal claim on these, since payment depends on Argentina achieving 3.3 per cent growth during the preceding year. The next payment is due on December 15 and Argentina doesn’t look able to wriggle out of that by trying to restate its 2011 growth (it was 8.9 per cent).
3. Can there be a cross default to local law bonds? Hmm. The jury seems to be out on this. At least some people seem to think this is a risk.
4. Here is a handy resume of the outstanding New York law and local law bonds, made available Argentine consultancy EconViews:
5. How much does Argentina owe in total? That’s a big question. According to its latest filing to the US Securities and Exchange Commission (made more than a year ago), it had $11.2bn in holdout debt at the end of 2010. Of this $6.8bn are in principal and $4.4bn in interest. It reckoned that penalty interest on its untendered debt was nearly $137m. But that’s not all – it also said it owed $8.9bn ($6.3bn in unpaid debts and $2.6bn of penalty interest) to the Paris Club of Western creditor nations. Then there is debt owed as per rulings of the World Bank arbitration tribunal, ICSID, which analysts reckon around $700m
6. The holdouts believe Argentina can pay, but won’t pay – a strikingly similar analysis to that of the government, which takes pride in paying its restructured debts but has promised not a cent to the funds it calls “vultures”. Central bank reserves are currently $45.4bn, but EconViews’ Miguel Kiguel pointed out that some $2-3bn remains outstanding on Bank of France and Bank of International Settlement loans, and another $4bn is related to the reserve requirement. So the effective amount would be $38bn to $39bn, he noted.
7. Scenarios. Deutsche Bank summarised things thus: the worst case scenario for the restructured creditors, a payment formula imposed by Judge Griesa that leads to Argentina paying no one to avoid having to pay everyone. As Deutsche Bank said in a note to clients:
This should lead to CDS trigger event and (yet another) potentially lengthy debt workout.
The best-case scenario for the restructured creditors would be for the holdouts to be granted the same amount as if they had entered the exchanges. But that’s still “far from likely”, it said.