摩根大通“伦敦鲸”重返危险水域

    摩根大通（JPMorgan Chase）“伦敦鲸”曾供职的首席投资办公室正在重返高风险业务水域。

    据几位熟悉相关交易的人士称，摩根大通设在伦敦的首席投资办公室正在敲定收购大笔贷款抵押证券（CLO）的交易。CLO是结构化债券，由提供给评级低于投资级公司的贷款池支持。去年，摩根大通首席投资办公室因信用衍生品交易而亏损超过60亿美元。

    德克特律师事务所（Dechert）专攻CLO业务的律师约翰•蒂姆帕瑞阿说，他目前正在为两笔交易提供法律顾问服务，摩根大通有望成为主要买家。其中一笔CLO涉及向中型公司提供的贷款，所涉及风险更高，但收益率也更高。在另一笔CLO交易中，摩根大通打算将几乎所有评级最高的一部分收入囊中。 蒂姆帕瑞阿说：“交易规模相当大，摩根大通已经重新进入这个市场。”

    CLO并不属于在一定程度上导致此前美国住房抵押贷款市场崩盘的衍生金融产品，后者是曼哈顿下城正在对高盛（Goldman Sachs）前银行家法布里斯•图尔进行审判的案件的核心。那些衍生金融产品是债权抵押证券（CDO），是由次级住房抵押贷款支持的。不过，它们和CLO非常相似。

    银行发放贷款（通常面向信用评级为BBB或更低的公司），然后将它们卖给CLO管理公司。CLO管理公司在银行的协助下将这些贷款打包成债券，根据风险水平分级出售。尽管初始贷款的评级较低，通过资产证券化的魔力，典型CLO约60%的债券可以获得最高的AAA评级。

    2008年年中，CLO的发行量和其他结构性融资交易一样出现枯竭。但与金融危机期间签订的高风险抵押贷款交易不同的是，最近CLO强势卷土重来。汤森路透（Thomson Reuters）的数据显示，今年上半年各大银行共承销了近440亿美元的杠杆贷款交易，高于2011年上半年的170亿美元和2010年上半年的110亿美元。由于利率上升，CLO市场在过去一个月有所放缓，但今年仍然有望达到2007年市场见顶时的水平（920亿美元的CLO发行量）。

    CLO重新崛起最令人惊讶的一面也许是：高风险银行贷款支持的CLO的最大买家是银行本身。摩根大通持有的CLO资产比任何对手都要多。过去的两年中，这家银行持有的CLO资产几乎增加了一倍，达到了270亿美元（截至第一季度末，这是它最近一次披露CLO头寸的时间）。根据它提交给监管部门的文件，这些CLO由摩根大通的首席投资办公室购买。有“伦敦鲸”之称的布鲁诺•伊克西尔曾在这个部门就职。三位知情人士证实，摩根大通通过设在伦敦的首席投资办公室管理手头的CLO组合。摩根大通旗下首席投资办公室负责该行超额储备的投资，目前由克雷格•德拉尼主管。此前长期担任首席投资办公室主管的伊娜•德鲁在数十亿美元亏损曝光后不久离职。出现这笔巨额亏损后，摩根大通一度放缓了CLO资产的收购。但现在看来，这家银行正在再次加大收购力度。

    富国银行（Wells Fargo）也是一个大买家。截至三月底，富国银行持有150亿美元的CLO，高于上年同期的80亿美元。截至第一季度末，花旗集团（Citigroup）持有约45亿美元的CLO，高于上年同期的30亿美元。相比之下，美国银行（Bank of America）已经基本决定退出CLO投资市场。第一季度末，美国银行持有的CLO仅略高于7亿美元。

    former office of JPMorgan Chase's London Whale is diving back into risk.

    According to several people familiar with the deals, JPMorgan's London chief investment office, which last year lost more than $6 billion betting on credit derivatives, is in the process of inking deals to buy significant portions of collateralized loan obligations, which are structured bonds that are backed by groups of loans to below investment-grade companies.

    John Timperio, a lawyer at Dechert who specializes in CLOs, says he is working on two deals right now in which JPMorgan (JPM) is expected to be the main buyer. One is for loans to mid-sized companies, which carry more risk, but higher yields. In another deal, JPMorgan is planning to buy nearly all of the highest-rated piece of the CLO. "It's a fairly large deal," says Timperio. "JPMorgan is back in this market."

    CLOs are not the derivatives that are in part credited with blowing up the mortgage market and are at the heart of a trial going on in lower Manhattan against former Goldman Sachs (GS) banker Fabrice Tourre. Those are collateralized debt obligations, or CDOs, which were backed by subprime home loans. But CLOs are close cousins.

    Banks make the loans, typically to companies with credit ratings of BBB or lower, and then sell them off to a CLO manager, who, with the help of a bank, packages up those loans into bonds that are sold off in slices based on risk. Despite the lower rating of the original loans, through the magic of securitization, about 60% of the bonds of a typical CLO get an AAA rating, which is the highest.

    Issuance of CLOs dried up in mid-2008 along with other structured finance deals. But unlike the risky mortgage deals that were inked during the financial crisis, CLOs have recently made a big comeback. Banks underwrote nearly $44 billion of the leveraged loan deals in the first half of the year, according to Thomson Reuters. That's up from $17 billion in the first half of 2011, and $11 billion in the year before that. The CLO market has slowed a little bit in the past month as interest rates have risen, but it's still on pace to nearly match the $92 billion in CLOs that were issued in 2007 when the market peaked.

    Perhaps the most surprising thing about the CLO revival is this: The entities that have emerged as the biggest buyers of the packages of risky bank loans are the banks themselves. JPMorgan holds more CLOs than any of its rivals. In the past two years, the bank has nearly doubled its holdings of CLOs to $27 billion, as of the end of the first quarter, which was the last time it disclosed its holdings. According to its filings, the CLOs were purchased by JPMorgan's chief investment office, which is the unit where Bruno Iksil, who was nicknamed the London Whale, worked. Three people confirmed that JPMorgan manages its CLO portfolio out of its London office. JPMorgan's CIO unit, which invests the bank's excess reserves, is now headed by Craig Delany, who took over for long-time CIO chief Ina Drew, who left shortly after the bank's multi-billion losses were revealed. JPMorgan slowed its CLO purchases in the wake of those losses. But it appears the bank is in the process of ramping up their purchases again.

    Wells Fargo (WFC) has been a buyer as well. It had $15 billion in CLOs at the end of March, up from $8 billion the year before. Citigroup (C) had about $4.5 billion in CLOs at the end of the first quarter, up from $3 billion the year before. Bank of America (BAC), in contrast, has largely decided to stay out of the CLO investment market. At the end of the first quarter, BofA held just over $700 million in CLOs.