i veri indicatori del mercato azionario - gz
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By: GZ on Mercoledì 08 Agosto 2007 03:26
i veri indicatori del mercato azionario e dei cambi ora sono diventati gli indici dei derivati esotici, quelli che non trovi sui giornali e nemmeno sui sistemi di quotazione più comuni
leggi qui, di colpo ora tutti gli operatori dei cambi e i gestori e traders azionari si preoccupano di sapere ora per ora cosa succede all'Itraxx che è l'indice dei credit default swap sui bonds corporate europei (cioè un indice sui derivati sul debito delle aziende)
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...Corporate bonds eclipsed
By Gillian Tett and Paul J. Davies
Published: August 7 2007
When Matt King, an analyst at Citi, started covering credit derivatives a few years ago, his clients tended to be investors with a specialist interest in the credit world.
This month, however, he is witnessing a striking change: many requests he receives about areas such as the oddly-named iTraxx index – a specialised European derivatives basket that can be traded as a contract – now come from across the markets spectrum. Traders in the yen-dollar market, for example, are now so hungry for information on iTraxx that they have asked Mr King for direct data feeds.
“I spend half my time rushing down to the equity team or talking to foreign exchange people,” he says with a chuckle. “Where we used to follow equities, suddenly all anyone cares about is what is happening to iTraxx.”
......The size of the corporate bond market is limited by companies’ need for funding, which in practice has been much less than the desire of investors to trade credit. The derivatives market does not face the same restrictions. If investors want to trade more contracts, bankers can simply create them by pressing a few computer keys (always assuming that a buyer and seller can agree on price, limited only by investors’ appetite for risk). CDS thus offer bankers a 21st-century cyber-heaven: a virtual financial world that can be conjured up by traders rather than tangible companies themselves.
Unsurprisingly, bankers have responded to this freedom by creating numerous products out of CDS. However, the single most important development – and the one that has turbo-charged the sector this summer – is the emergence of the CDS indices, run by IIC, a small Frankfurt-based data company. These indices, going under the family names of iTraxx in Europe and CDX in the US, began their journey towards dominance of the credit markets only three years ago after a group of investment banks buried their differences and merged competing products.
They are now traded by investors as instruments in their own right and used to create entirely new products. The fact that the indices are large baskets of different companies’ debt also means that investors who know little about the real analysis and tricks of investing in credit can make simple bets about where they think the market in general is going.
This summer, those investors have rushed to take a more defensive stance on credit, partly due to the worsening news from the US mortgage markets. In previous cycles, the only way they could have done this would have been to sell bonds or other debt assets. However, during times of stress this avenue is often closed because of a shortage of buyers. As one investment fund recently wrote in its weekly letter: “Cash credit markets have virtually ceased to function.”
Consequently, asset managers increasingly turn to the arena where they can still trade – the iTraxx and CDX indices. And this has triggered a self-reinforcing cycle: precisely because investors now think credit derivatives are more liquid, they are becoming more wary of cash instruments, which is pushing even more activity into derivatives. Thus it is the price of credit derivatives indices – not bonds – which moves first in response to economic news or shifts in investor sentiment. So when investors in other sectors such as equities want to track the credit markets, the first place they look is the iTraxx or CDX.
“The whole point of a market is to let participants trade with each other and transfer risk,” says Mr Hirani. “This is what credit derivatives have let investors do at a time when many other markets have been substantially challenged.”
This, in turn, is starting to transform the wider asset management world. When credit derivatives first appeared, they left some mainstream asset managers uneasy. The esoteric structure of instruments such as iTraxx jarred with the investment approach of many old-style corporate bond investors. However, traditional bond fund managers are discovering that it is almost impossible to perform well against their peers unless they follow the herd by using derivatives. As a senior fund manager from Pimco recently noted: “If you are compared to a benchmark [as a credit fund], it is hard to not use derivatives now.”
Not everybody welcomes this shift. Some company executives, for example, hate the idea that investors are now focusing so much attention on an instrument that companies themselves never created at all. “It scares me,” confessed one British corporate treasurer at a recent investment seminar in London, who likened the derivatives arena to the “Second Life” virtual world on the internet, because it is almost completely detached from the real corporate world.
Other observers worry about the longer-term implications of so much activity rushing away from exchanges into a market that is private and lightly regulated. In the past couple of years investment banks have scrambled to improve the infrastructure of the CDS sector: trading systems have improved under heavy criticism from regulators, and a procedure has been developed for settling CDS contracts when companies do default.
However, these efforts have not removed all the potential logistical hiccups: some investors worry, for example, that the system for settling CDS when companies default is untested in Europe. Meanwhile, because trading activity occurs away from public exchanges, the sector is less visible to regulators than many other spheres.
It is difficult to judge the magnitude of the recent wild swings in the indices against what is a short history for the product, and even more difficult to work out exactly what is driving the moves.
For example, the indices covering relatively safe investment-grade bonds have counter-intuitively performed much worse than the riskier junk-rated indices. Many analysts and bankers believe this is to do with the hedging activities of huge programmes of complex investment products run by the big banks. However, analysts cannot even tell what volume of trading has occurred, since – unlike listed equity markets – there is no central source of data.
The question of who is making these trades and why is even more difficult to fathom. Thus much of the movement in the indices may be governed more by so-called “technical” factors than real changes in investors’ appetite for credit risk.
However, problems like this are unlikely to deter investors right now: barring any serious infrastructure problem, most bankers are confident that the sector will keep expanding next year. The market is changing in focus too, as increased attention is given to indices of derivatives of private equity loans and bonds backed by mortgages. Indeed, an index related to the US subprime mortgage market became one of the strongest early signals that a broader credit storm was gathering as hedge funds and others increasingly bet on troubles in that market.
For the moment, in other words, there seems to be little chance of the genie of virtual finance going back into the bottle. Citi’s Mr King and and his peers look set for a very busy summer.
