????沃倫?巴菲特曾經將信用違約掉期（CDS）描述為“大規模殺傷性金融武器”。如今，復雜的CDS再一次地對“大到不能倒”的美國大銀行們形成威脅。上一次，美國次貸CDS差一點壓垮了美國國際集團（AIG），后者最終不得不接受美國財政部（the U.S. Treasury）850億美元的救助。這一次，出問題的是歐債信用違約掉期。

????美國銀行業自稱所持歐債敞口極少，這一點沒錯。但它們一直在買賣歐債CDS，而主要交易對手正是歐元區的投資者。由于CDS屬于表外項目，這些交易的具體規模尚不得而知。

????但是我們可以根據近期部分銀行公布的歐洲數據作出一個大致的估算。例如，僅美國六大銀行的意大利國債信用違約掉期敞口可能就高達2,000億美元。美國銀行業總計可能持有全部歐債信用違約掉期余額的2/3。

????相信大多數美國大型銀行已汲取了2008年的教訓，不再持有多頭或空頭衍生品，只是對沖敞口，使凈風險接近于零。但真正讓人擔心的是：美國大銀行的交易對手們到底靠不靠得住？

????歐債信用違約掉期的一些大賣家正是歐洲本土銀行。法國巴黎銀行（BNP Paribas）已售出40億美元的法國國債信用違約掉期，占全球總額12%。意大利錫耶納銀行（Banca Monte dei Paschi di Siena）也已售出30億美元的意大利國債信用違約掉期。如果意大利政府違約，這些銀行可能無法按約賠付給美國交易對手。“這類交易具有極高的道德風險，”對沖基金TF Market Advisors的首席執行官彼得?切爾表示。“如果一個國家的國債出現違約，處于該國的歐洲銀行也會陷入債務違約，無力償付。那么為什么不趁現在出售信用違約掉期，大賺一筆呢？”

????因此，無怪乎持有大筆歐債信用違約掉期頭寸的對沖基金們已開始火速撤退。根據提交給美國證券交易委員會（SEC）的文件，由對沖基金業傳奇人物戴維?艾因霍恩打理的綠燈資本再保險公司（Greenlight Capital Re）第三季度已將原先總額6億美元的主權債務信用違約掉期減持了一半。咨詢公司ICS Risk Advisers負責資產管理業務的蓋瑞?斯韋曼表示，他服務的其他幾家對沖基金和金融機構也已經進行了減持操作。因為希臘和本國國際銀行家達成的債務協議要求希臘債權人承擔50%的債券減值損失，令投資者深感恐懼。由于協議標榜為“自愿”，當初發行希臘債券信用違約掉期的銀行無需進行賠付。對沖基金MQS Asset Management的首席執行官鮑勃?格爾豐德稱：“（這些銀行）宣布不進行賠付，事實上損害了信用違約掉期的保險功能，削弱了投資者對沖風險的能力。”

????但可能終有一天，意大利、葡萄牙或西班牙不得不真的違約，并觸發信用違約掉期。屆時，美國銀行業購自歐洲伙伴的所有這些信用違約掉期將何去何從？

????Warren Buffett once famously described credit default swaps as "financial weapons of mass destruction." Now these complex insurance policies are once again posing a menace to America's too-big-to-fail banks. The last time around, CDS on U.S. subprime mortgage bonds nearly brought down insurer AIG (AIG), requiring an $85 billion bailout from the U.S. Treasury. This time, the problem is European sovereign debt.

????America's banks have rightly pointed out that they are only minimally exposed to European government debt. But they have been buying and selling default protection on those bonds, doing deals mainly with investors in the eurozone. Exactly how much is not known, because CDS are held off-balance-sheet.

????Some recently released European data, however, make a ballpark estimate possible. Exposure by six major American banks to CDS on Italian debt alone, for example, may be as high as $200 billion. Overall, U.S. banks may hold two-thirds of the total euro-debt CDS outstanding.

????Presumably, most big banks have learned the painful lessons of 2008 and no longer take either a long or short derivatives position but hedge their exposure, making their net risk close to zero. But the real concern is: How solid are the trading partners of the U.S. banks?

????It turns out some of the largest sellers of protection are banks in Europe. French bank BNP Paribas has sold $4 billion in protection on French government debt, 12% of the global total. Similarly, Italy's Banca Monte dei Paschi di Siena has sold $3 billion worth of protection on Italian government debt. If Italy, say, defaults on its debt, these banks might not be able to pay their American trading partners. "It's the ultimate moral-hazard trade," says Peter Tchir, CEO of hedge fund TF Market Advisors. "If a country defaults on its debts, these European banks domiciled in the same country will also default on their debts and won't pay out, so why not write the protection now and make lots of money?"

????No wonder hedge funds holding big positions in CDS based on European debt have started bolting for the exits. Greenlight Capital Re, an insurance company run by hedge fund legend David Einhorn, sold half its $600 million of CDS on sovereign debt in the third quarter, according to SEC filings. Gary Swiman, who heads the asset manager division at consulting firm ICS Risk Advisers, says several other hedge funds and financial institutions that he works for have followed suit. They have been spooked by the debt deal reached between Greece and its international bankers, which requires Greece's creditors to take a 50% loss on their Greek bonds. Because the deal was labeled "voluntary," the banks don't have to pay up on their insurance policies. "Saying they are not going to pay has essentially ruined CDS as a form of insurance and hurts an investor's ability to hedge," says Bob Gelfond, CEO of the hedge fund MQS Asset Management.

????Yet the day may come when Italy, Portugal, or Spain will be forced into a real default that triggers CDS. What then happens to all those pieces of paper American banks have bought from their friends in Europe?