【英语财经】银行违约保险价格跌至危机前水平 Cost of insuring against bank defaults back at pre-crisis le …

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2014-6-16 15:34

小艾摘要: The cost of insuring against global bank defaults has plunged to its lowest level since the financial crisis in a sign that investors are willing to bet the industry has become safer.Buyers of bank de ...
Cost of insuring against bank defaults back at pre-crisis le ...
The cost of insuring against global bank defaults has plunged to its lowest level since the financial crisis in a sign that investors are willing to bet the industry has become safer.

Buyers of bank debt often purchase “credit default swaps,” a type of derivative that helps insure their investments against a default. The price they are paying for that protection is now the lowest since the collapse of Lehman Brothers in September 2008.

“We’ve gone back to pre-crisis levels,” said Brian Monteleone, analyst at Barclays. “Capital is much higher today than it was pre-crisis. The economic environment is vastly improved. Regulations are in place today that didn’t exist five to 10 years ago that increase confidence that the ability of banks to get too levered is reduced.”

The price paid for bank CDS is viewed as a gauge of a financial institution’s perceived riskiness. The premium paid for protection or “spread” widened sharply in 2008 and early 2009, indicating that investors were willing to pay more to insure against a default or to bet against the creditworthiness of a bank.

Since then, regulators have launched wide-ranging efforts to reform the financial system, including requiring banks to raise more long-term capital and remove riskier assets from their balance sheets.

Five-year CDS protection on bonds issued by Goldman Sachs, Morgan Stanley, Wells Fargo, Citigroup and Bank of America this month reached their lowest levels since late 2007 or early 2008, according to Bloomberg.

JPMorgan Chase is the only leading US bank that has not touched a pre-crisis low recently. CDS on its debt fell to 47.6 basis points last week – the lowest since January 2010.

In Europe, bank CDS levels declined sharply after the ECB’s new stimulus announcement. At Barclays, the cost of CDS fell to 50 bps, its lowest since February 2008. BNP Paribas and Société Générale have seen their CDS levels drift to 56.5 bps and 62.3 bps respectively, the lowest since early 2008.

While demand for CDS that protects a single company’s bonds has generally diminished in favour of indices with multiple corporate credits, “single-name” swaps on large US and European banks remain some of the most liquid in the world.

A Barclays index of CDS on US banks dropped to 86 bps this month, the lowest level since July 2007, and a far cry from the 701 bps reached in March of 2009, just before the Federal Reserve announced its emergency bond-buying programme.

The Markit iTraxx Europe Senior Financials index, which includes 25 European banks and financial firms, has fallen to 60 bps. That is the same level as the Markit iTraxx Europe Main, which includes 125 mostly non-financial corporate credits, indicating that investors are no longer differentiating strongly between banks and other types of companies.

防范全球银行违约的保险成本已迅速降至金融危机以来的最低水平,这表明投资者愿意押注在金融业已变得更安全。

银行债券的买家往往会买入“信贷违约互换(CDS)”,这是一种有助于保障他们的投资不受违约影响的金融衍生品。目前,他们买入此类保护工具的价格正处于2008年9月雷曼兄弟(Lehman Brothers)倒闭以来的最低点。

巴克莱银行(Barclays)分析师布赖恩?蒙泰莱奥内(Brian Monteleone)表示:“我们已重返危机前的水平。比起危机前,如今的资本要充裕得多。经济环境已大大改善。如今的监管制度在5到10年前还不存在。这些监管制度提高了人们的信心,令他们相信银行过度杠杆化的能力已经降低。”

为银行CDS所支付的价格被视为衡量金融机构已知风险的一种手段。2008年和2009年初,此类保护机制的溢价(或者说“利差”)曾急剧扩大,这显示投资者愿意支付更多成本购买防范违约的保险,或者说他们愿意押注于银行的信誉崩溃。

自那以来,监管机构已广泛采取措施改革金融体系,要求银行筹集更多长期资本,并从资产负债表中移除风险较高的资产。

根据彭博(Bloomberg)的数据,针对本月由高盛(Goldman Sachs)、摩根士丹利(Morgan Stanley)、富国银行(Wells Fargo)、花旗集团(Citigroup)及美国银行(BoA)所发行债券的五年期CDS保护产品价格跌至2007年末2008年初以来的最低水平。

摩根大通(JPMorgan Chase)是美国顶尖银行中唯一一个最近没有接近危机前水平的。上周针对该行债券的CDS跌至47.6个基点——这是2010年1月以来的最低水平。

在欧洲,在欧洲央行(ECB)公布新的刺激措施之后,银行的CDS也出现了急剧下跌。巴克莱银行的CDS成本跌至50个基点,这是自2008年2月以来的最低水平。法国巴黎银行(BNP Paribas)和法国兴业银行(Société Générale)的CDS成本则分别跌至56.5个基点和62.3个基点,这是自2008年初以来的最低水平。

尽管对防范单个企业债券违约的CDS产品的需求普遍缩水——这对衡量多家企业信贷的指标起到了支撑作用,针对欧美大型银行的“单名”掉期依然属于全球流动性最强的金融产品。

这个月巴克莱美国银行CDS指数跌至86个基点,这是自2007年7月以来的最低水平,大大低于2009年3月701个基点的水平。当时,美联储正要公布买入债券的紧急项目(即量化宽松计划)。

涵盖25家欧洲银行和金融机构的Markit iTraxx欧洲高级金融指数(Markit iTraxx Europe Senior Financials)跌至60个基点。这与涵盖125家企业(这些企业多数是非金融机构)信贷的Markit iTraxx欧洲主要指数(Markit iTraxx Europe Main)处于同一水平。这表明投资者不再明显区分银行和其他类型的企业。

译者/简易

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