Interestingly, the European Banking Authority (EBA) and Depository Trust & Clearing Corporation (DTCC) data on net CDS exposure does not match. The difference could be that EBA is only reporting on European data, so one presumes worldwide exposure would be even larger.
In any event, DTCC reported $3.2 billion of net exposure. While EBA reports €21.201 billion, of which it says €20.651 billion was hedged.
With what? “[M]ost banks have hedged against losses by themselves buying CDS cover to their exposure.”
Well, that’s reassuring… Except even if Bank A sells CDS and then buys CDS to cover it from Bank B, if the bond defaults, Bank A still has to pay out the full amount of the CDS, and is counting on Bank B to provide the funds to do it.
The whole idea of “net exposure” assumes that the CDS the banks bought to cover the CDS they sold on Greek debt will similarly pay out in full. Will it? That is unclear, but it appears that the extent of Greek CDS exposure is much larger than was initially reported last week.
From WSJ at http://blogs.wsj.com/eurocrisis/2012/03/12/at-a-glance-european-banks-hedged-against-greek-cds/tab/print/ :
Austria
*Erste Bank has CDS worth €110 million, with €111 million hedged.
*Oesterreichische Volksbanken AG had €35 million in CDS, €81 million hedged.
Belgium
*Dexia SA had €19 million in CDS, no hedge.
France
*BNP Paribas SA had €306 million in CDS, €214 million hedged.
*Credit Agricole SA had €48 million in CDS, €9 million hedged.
*BPCE had €353 million in CDS, €212 million hedged.
*Societe Generale SA had 2.46 billion in CDS, €2.45 billion hedged.
Germany
*Bayerische Landesbank had €4 million of CDS, fully hedged.
*Commerzbank AG had €825 million of CDS, fully hedged.
*DekaBank had €20 million in CDS, €10 million hedged.
*Deutsche Bank had around €4.42 billion of CDS, around €4.32 billion hedged. When looking at CDS that only relate to the Greek federal government, the net amount outstanding was €29 million at the end of September, according to the bank’s third-quarter earnings, making this the maximum possible net payout.
*DZ Bank had €806 million in CDS, €636 million hedged.
*LBBW had €216 million in CDS, €271 million hedged.
*NordLB had €92 million in CDS, no hedge.
*WestLB had €403 million in CDS, €326 million hedged.
*WGZ Bank AG had €31 million in CDS, fully hedged.
Italy
*Intesa Sanpaolo SpA had €142 million in CDS, €167 million hedged.
*UniCredit SpA had €1.12 billion in CDS, €817 million hedged.
*Banca Monte dei Paschi di Siena SpA had €275 million in CDS, €264 million hedged.
Netherlands
*Rabobank had €19 million in CDS, fully hedged.
Portugal
*Banco Comercial Portugues S/A had €148 million in CDS, fully hedged.
*Espirito Santo Financial Group S/A had €9 million in CDS, fully hedged.
Spain
*Banco Santander SA had €214 million in CDS, fully hedged.
*Banco Bilbao Vizcaya Argentaria SA had €46 million in CDS, €33 million hedged.
U.K.
*Royal Bank of Scotland Group PLC had €3.15 billion in CDS, €3.38 billion hedged.
*HSBC Holdings PLC €1.48 billion in CDS, €1.73 billion hedged.
*Barclays PLC €4.45 billion in CDS, €4.37 billion hedged.
