次级债的讨论和分析

投行人生

上周发生的美国次级债危机在股市一片走红当中已经少有人再谈起了！但是这次危机给了我们一个很强的信号，给了投行业很强的一个警示，今日重提想借机提示，在经济一片大好的时候，更要防范不经意埋下的失败种子！
   下面给大家摘录《中国经营报》的两篇文章！原对从事这块业务的朋友有所收获！

投行人生

来源：中国经营报 作者：陈伟 2007-8-20 21:34:05  




　　美国次级债危机正在肆虐全球股市，时隔十年后，人们再次感触到了金融危机的阴霾。
　　借助坚固的资本项目屏障，中国当可安然度过此次危机，甚至可能会给相关国家施以援手，然而，在全球流动性过剩到流动性枯竭的戏剧性转换中，中国可以借鉴的内容似乎很多。
　　上世纪80年代以来，美国的金融业发生了激烈的变革，同业竞争加剧使美国的很多银行传统的信贷业务渐行渐远，转而投身于高收益的消费信贷。衍生产品的大量面世、金融技术快速的发展也使金融机构产生了强烈的错觉——误以为所有金融风险都是可以精确衡量和可控的。由此，各种金融机构愈发变得雄心勃勃，纷纷大量介入高收益的次级按揭贷款业务，以弥补原来过于“消极”的资产组合。
　　分享了次级贷款按揭的巨大收益，却难以正确衡量宏观经济蕴含的巨大风险，各个金融机构之间开始了危险的比赛，金融风波的种子就在不知不觉中埋下。
　　美国信贷机构的自我膨胀使很多次级贷款者寻觅到了高杠杆的财务手段，他们开始利用次级贷款资信要求不高的特点，不断地从不同的次级按揭贷款机构那里获取贷款。由于美国房价不断上涨，次级贷款者总是处于有暴利可图的循环中，进而又会刺激这种贷款者盲目扩大消费贷款规模，美国房地产市场的泡沫在这种互相反馈中逐渐升级。
　　然而，随后美联储连续17次的加息逐渐刺破了美国房地产的泡沫，贷款买房者的应付按揭快速增加，支付能力不足的次级抵押贷款客户中，随即出现了大量付不起按揭的现象，其中的过度投机者更是难以左右逢源。作为次级贷款衍生品的次级债也是难逃厄运，连锁反应接踵而至，进而酿就了波及全球的危机。
　　由是观之，美国次级贷款危机之于中国同样意味深长。
　　现在，中国的购房者依然沉浸在房价只会升不会降的暗示和他示中，对逐渐上升的利率水平却视而不见，殊不知利率的上升具有节点效应，此后可能就是社会投资心理的强烈逆转，就像此时美国正在上演的剧目。
　　而短视的金融机构尽管自诩为现代化的股份制商业银行，在高额的利润率面前却刻意上演“迷失”，善意忽略风险——一些银行对房地产按揭贷款的资质审核形同虚设，而不问贷款用途的“个人消费贷款”、个人信用透支等等也如雨后春笋般冒出，大量的中国式次级贷款者正在涌现。
　　事实上，中国持续多年的经济景气掩盖了这类贷款的巨大风险，在历尽若干次不良贷款剥离和政府注资后，中国的银行体系看起来也健康异常。然而，一旦资产市场尤其是楼市和股市发生反复，大量的不良消费贷款就会立即浮出水面，未及夯实信用基础的中国消费金融将会脆弱无比。也许过不了多久，商业银行必然将为这一轮消费贷款的冒进付出高昂的代价。
　　以事实为鉴，“恰逢其时”的美国次级债危机给中国的投资者、投机者、监管层提供了珍贵的反思机会。让我们可以冷静观察泡沫破裂后的房地产市场究竟会带来哪些危害？过于激进的信贷模式如何侵蚀整个社会的信用环境？道德风险又是如何被一再强化？监管模式的着力点又应该落脚何处？这一系列拷问，也是当前中国金融开放中难以逃避的命题。

投行人生

8月1日早晨，贝尔斯登公司董事长兼首席执行长詹姆斯·凯恩（James  Cayne）坐在下曼哈顿贝尔斯登大厦的办公室里吸着他的顶级雪茄。这位领导公司14年的老CEO正在承受着华尔街的冲击：旗下两只总共价值15亿美元的对冲基金已经化为乌有，导致公司股价下跌超过1/3。
　　在贝尔斯登公司（Bear Stearns Cos. NYSE：BSC）的各种介绍中，总是宣称“本公司及其附属机构承诺秉承最高标准的商业道德”。但是，这两只内部对冲基金倒闭，原因却是其购买的以住房次级抵押贷款为标的的金融产品，都是在“严重降低商业道德水准”的条件下发放的——两只基金管理资产15亿美元，现今价值几乎为零。这家有着84年历史的华尔街老牌券商，正面临着严重的信用危机。
　　对于持有与次级债相关金融资产的中国银行（601988.SH，3988.HK）、工商银行（601398.SH，1398.HK）、交通银行（601328.SH，3328.HK）、建设银行（0939.HK）及其他中资机构而言，由于次级债危机所招致的损失很可能进一步扩大。但对于有意染指贝尔斯登股权的中信集团来说，危机可能会给它带来新的投资机会。但中信集团会否出手及何时出手，最终取决于次级债危机将会严重到何种程度。
内部斗争导致危机？
　　凯恩先生在烟雾中思索并找到了自己的出路：公司总裁兼联席首席营运长沃伦·斯佩克特（Warren J. Spector）先生，后者管理着该公司最强势的资产管理业务，同时兼管公司的风险控制。“我认为，为了公司的最高利益，您最好辞职。”他告诉斯佩克特。一位接近二人此次谈话的人士说，大吃一惊的斯佩克特随后表示，为了解决公司面临的困难，他已经付出了艰苦的努力，但是他愿意承担相关的责任。
　　表面上看来，凯恩的举措立竿见影。随着斯佩克特（此前一直被认为是凯恩的唯一继任者）的辞职，以及57岁的艾伦·施瓦茨（Alan  Schwartz）继任公司总裁，贝尔斯登面临的危机似乎找到了一个支撑点：在8月6日创出52周以来的最低点99.17美元/股之后，其股价已经有所回升——虽然目前121.12美元/股的水平，仍然远远低于今年初的172.61美元/股以及6月初的150美元/股。
　　在随后的一次市场调查中，大部分投资者认为，斯佩克特只是公司遭遇困难的替罪羊，被辞退的真正原因是和凯恩的长期不和，而继任者施瓦茨和凯恩关系则相当亲密，施瓦茨也是联席首席营运长。“在两只对冲基金3月份就开始陷入危机的时候，斯佩克特曾奋力拯救，但最终失败，但施瓦茨并未做什么努力，凯恩今年以来则有一半的时间呆在新泽西的家中。”一位接近贝尔斯登董事会的消息人士称。
　　“他们（指贝尔斯登董事会）之前预感到了风暴即将来临，但是他们挖了一个巨大的坑，并注入了大量炸药。当流动性遇到问题时，人们通常选择在下降趋势中出售相关资产，但他们并没有这么做。”长期专注于纽约金融股跟踪与分析的瑞银集团（UBS）分析师Glenn Schorr先生表示。
　　无论如何，随着斯佩克特的辞职，贝尔斯登似乎又有了一些起色。市场期望，公司管理层能够保持团结，并找到能够将公司拉出泥潭的战略投资者。
中国买家观望中
　　虽然股东们不太可能按现在的股价水平出售该公司，但据接近贝尔斯登高层的人士称，大型海外投资者已经表示了收购少数股权的兴趣。市场人士普遍猜测“这一收购兴趣来自流动性过剩的亚洲，很可能是中国”。有消息称，贝尔斯登正在寻求将部分股权出售予中信集团。
　　事实上，早在去年春天就有传言称，中国建设银行和中信集团正在与贝尔斯登高管进行磋商，建设银行将投资20亿～40亿美元购买贝尔斯登发行的可转换债券，这些债券最终可以转换成10%～20%的股权，若此次购买成行，建设银行将成为贝尔斯登最大股东。当时的传言称，中信集团将在“磋商达到一定阶段后”加入。
　　现在看来，如果当时双方洽谈成功，建设银行无疑将会拿下中国企业投资海外的第一笔大单——现在也会成为损失最大的一笔。但是，“随着常振明先生离开建行回到中信集团，建行的相关磋商随即结束，而与中信集团的磋商却又上了台阶。”一位与凯恩有多年交情的华裔银行家表示。凯恩曾在进入中国市场的多个问题上咨询过他。
　　“从建行上市的过程来看，常振明的确是解决困局的一把好手，他带领建行走过了很多困难和危机。毕竟，第一家在国际金融市场上挂牌的建设银行，需要很多突破和创新才能完成。”华尔街多位分析师这样评价常振明。
　　但是，随后的多次接触并没有取得突破性进展。中信集团和常振明的谨慎也可见一斑。而今年早些时候，筹建中的中国国家外汇投资公司以30亿美元购入黑石集团近10%的股权后，由于股价下跌带来近5亿美元账面亏损，应该也会给中国企业投资海外金融企业一定的警示。
　　“中国公司也许会认为，在贝尔斯登处于困境中购入其股权也许能够分享未来更多的收益。但问题在于，次级抵押贷款危机是否会就此止步，或者在降息之后能否迅速扭转局面？目前我们还看不到这样的希望。”市场资深人士认为，这是影响中信集团决策的重要因素。
危机继续蔓延
　　在笔者问及贝尔斯登的问题是否就到此为止时，该公司发言人卢塞尔·谢尔曼（Russell  Sherman）表示，公司目前的财务状况良好。但是否还会发生更大的损失，市场人士目前仍然普遍持观望态度。
　　虽然美联储曾反复表示，次级抵押贷款市场问题至今还未蔓延到住房市场以外，但这种观点已经遭到了市场人士和美国国会议员的猛烈抨击。由于其丰富的流动性，次级抵押贷款一度成为很多金融产品的替代物或相关金融产品的桥梁。目前，市场担心次级抵押贷款危机可能向两个方向蔓延：一是商业银行。商业银行已经多次收紧银根，减少对相关金融产品和金融机构的贷款支持，但仍有大量低息时代贷款可能成为坏账。二是投资银行。贝尔斯登已经成为第一个，接下来的很可能是汇丰银行。今年上半年，汇丰的坏账金额同比大涨63％达63.5亿美元。其他金融巨头的次级抵押贷款也发生了不同程度的损失，公司债券也已经受到了一定程度的影响。
　　而在此次危机中受到波及的中国银行和中国工商银行声称，两家银行各自掌握的相关次级抵押贷款不过几十亿美元。虽然这两家银行持有多少与次级债相关联的金融产品是一个未知数，但截至2006年6月底，中国金融机构购入的美国按揭证券及相关金融产品至少1075亿美元，在之后的一年里，这一数字至少又增加了一倍，其中相当部分为高风险的次级抵押贷款证券及相关产品，尤其是增加部分。随着流动性紧缩，这些产品都面临着损失的可能。

投行人生

经过对美国17家大型信用卡公司的调查，美联社最新公布的一份分析报告发现，美国消费者的信用卡违约率正以两位数的速度迅速攀升，其中拖欠还款90天以上的账户增幅最大。专家称，这些现象表明，美国次级抵押贷款危机正向信用卡领域蔓延，美国经济未来将面临更严峻挑战。

　　根据这份分析报告，17家信用卡公司10月份共录得拖欠还款30天的账户金额173亿美元，同比增长26%。信用卡公司向美国证券交易委员会提交的文件显示，它们10月份共注销信用卡呆账金额9.61亿美元，同比增长18%。中长期信用卡欠款情况尤其严重。几家最大的信用卡公司，包括Advan-ta、GE money bank和汇丰银行在内，拖欠还款90天以上的信用卡账户金额比一年前增长了50%。(新华社）

hmwy

华盛顿邮报的前阵子的专栏文章
It's Not 1929, but It's the Biggest Mess Since
By Steven Pearlstein
Wednesday, December 5, 2007; Page D01
It was Charles Mackay, the 19th-century Scottish journalist, who observed that men go mad in herds but only come to their senses one by one.
We are only at the beginning of the financial world coming to its senses after the bursting of the biggest credit bubble the world has seen. Everyone seems to acknowledge now that there will be lots of mortgage foreclosures and that house prices will fall nationally for the first time since the Great Depression. Some lenders and hedge funds have failed, while some banks have taken painful write-offs and fired executives. There's even a growing recognition that a recession is over the horizon.
But let me assure you, you ain't seen nothing, yet.
What's important to understand is that, contrary to what you heard from President Bush yesterday, this isn't just a mortgage or housing crisis. The financial giants that originated, packaged, rated and insured all those subprime mortgages were the same ones, run by the same executives, with the same fee incentives, using the same financial technologies and risk-management systems, who originated, packaged, rated and insured home-equity loans, commercial real estate loans, credit card loans and loans to finance corporate buyouts.
It is highly unlikely that these organizations did a significantly better job with those other lines of business than they did with mortgages. But the extent of those misjudgments will be revealed only once the economy has slowed, as it surely will.
At the center of this still-unfolding disaster is the Collateralized Debt Obligation, or CDO. CDOs are not new -- they were at the center of a boom and bust in manufacturing housing loans in the early 2000s. But in the past several years, the CDO market has exploded, fueling not only a mortgage boom but expansion of all manner of credit. By one estimate, the face value of outstanding CDOs is nearly $2 trillion.
But let's begin with the mortgage-backed CDO.
By now, almost everyone knows that most mortgages are no longer held by banks until they are paid off: They are packaged with other mortgages and sold to investors much like a bond.
In the simple version, each investor owned a small percentage of the entire package and got the same yield as all the other investors. Then someone figured out that you could do a bigger business by selling them off in tranches corresponding to different levels of credit risk. Under this arrangement, if any of the mortgages in the pool defaulted, the riskiest tranche would absorb all the losses until its entire investment was wiped out, followed by the next riskiest and the next.
With these tranches, mortgage debt could be divided among classes of investors. The riskiest tranches -- those with the lowest credit ratings -- were sold to hedge funds and junk bond funds whose investors wanted the higher yields that went with the higher risk. The safest ones, offering lower yields and Treasury-like AAA ratings, were snapped up by risk-averse pension funds and money market funds. The least sought-after tranches were those in the middle, the "mezzanine" tranches, which offered middling yields for supposedly moderate risks.
Stick with me now, because this is where it gets interesting. For it is at this point that the banks got the bright idea of buying up a bunch of mezzanine tranches from various pools. Then, using fancy computer models, they convinced themselves and the rating agencies that by repeating the same "tranching" process, they could use these mezzanine-rated assets to create a new set of securities -- some of them junk, some mezzanine, but the bulk of them with the AAA ratings more investors desired.
It was a marvelous piece of financial alchemy, one that made Wall Street banks and the ratings agencies billions of dollars in fees. And because so much borrowed money was used -- in buying the original mortgages, buying the tranches for the CDOs and then in buying the tranches of the CDOs -- the whole thing was so highly leveraged that the returns, at least on paper, were very attractive. No wonder they were snatched up by British hedge funds, German savings banks, oil-rich Norwegian villages and Florida pension funds.
What we know now, of course, is that the investment banks and ratings agencies underestimated the risk that mortgage defaults would rise so dramatically that even AAA investments could lose their value.
One analysis, by Eidesis Capital, a fund specializing in CDOs, estimates that, of the CDOs issued during the peak years of 2006 and 2007, investors in all but the AAA tranches will lose all their money, and even those will suffer losses of 6 to 31 percent.
And looking across the sector, J.P. Morgan's CDO analysts estimate that there will be at least $300 billion in eventual credit losses, the bulk of which is still hidden from public view. That includes at least $30 billion in additional write-downs at major banks and investment houses, and much more at hedge funds that, for the most part, remain in a state of denial.
As part of the unwinding process, the rating agencies are in the midst of a massive and embarrassing downgrading process that will force many banks, pension funds and money market funds to sell their CDO holdings into a market so bereft of buyers that, in one recent transaction, a desperate E-Trade was able to get only 27 cents on the dollar for its highly rated portfolio.
Meanwhile, banks that are forced to hold on to their CDO assets will be required to set aside much more of their own capital as a financial cushion. That will sharply reduce the money they have available for making new loans.
And it doesn't stop there. CDO losses now threaten the AAA ratings of a number of insurance companies that bought CDO paper or insured against CDO losses. And because some of those insurers also have provided insurance to investors in tax-exempt bonds, states and municipalities have decided to pull back on new bond offerings because investors have become skittish.
If all this sounds like a financial house of cards, that's because it is. And it is about to come crashing down, with serious consequences not only for banks and investors but for the economy as a whole.
That's not just my opinion. It's why banks are husbanding their cash and why the outstanding stock of bank loans and commercial paper is shrinking dramatically.
It is why Treasury officials are working overtime on schemes to stem the tide of mortgage foreclosures and provide a new vehicle to buy up CDO assets.
It's why state and federal budget officials are anticipating sharp decreases in tax revenue next year.
And it is why the Federal Reserve is now willing to toss aside concerns about inflation, the dollar and bailing out Wall Street, and move aggressively to cut interest rates and pump additional funds directly into the banking system.
This may not be 1929. But it's a good bet that it's way more serious than the junk bond crisis of 1987, the S&L crisis of 1990 or the bursting of the tech bubble in 2001.