研究痛批穆迪嫌贫爱富

    几位教授还分析了不同种类资产的评级升降几率，发现了类似的规律。五年后，27%的原定为A级的公司债券遭到降级，而市政债券和主权债券中这一比例分别只有6%和3%，结构型产品不出所料仍是表现最差的，降级率高达53%。

    穆迪对该研究嗤之以鼻。“我们不认同该调查的方法和结论，”穆迪发言人迈克尔•阿德勒称，“它试图得出关于穆迪评级的长期表现和可比性的过于宽泛的结论，但过于依赖金融危机造成的评级波动，而在危机期间穆迪的评级变动正反映了与美国房地产有关的证券的信用史无前例的下降。”

    结果性产品在危机期间的表现极差，但评级机构辩护称，这些证券当初得分很高是因为它们不够透明，难以评估。研究报告的执笔者针锋相对地指出，如果这种不透明性辩护真的成立，那抵押贷款或信用卡应收账款之类的简单工具，就没有理由比包含资产负债表外负债和合成租赁的复杂公司债券更宽大的评级。可事实是，结果性产品获得的评级通常都更宽大，无论复杂与否。

    这几位教授得出结论是：评级注水程度与不透明性无关，倒是与收入有关。“结构性金融产品带来的收入远比金融债券的贡献大，而公司债券相比主权债券和市政债券，贡献的收入又多了不少，”他们写道。

    三大评级机构的商业模式本就饱受批评——债券发行者付钱获得评级，有利益冲突之嫌，本研究再度凸显了这一问题。尽管几位教授并未直接指控评级机构根据收钱多少决定评级，但其言下之意再清晰不过：财大气粗的发行者获得的评级更宽松。

    关于市政债券是否终于获得了公允评级，科尔纳贾称，现在判断还为时过早。但他指出，评级机构的商业模式并未改变，因此促使这些机构给予付费更高的客户更高评级的动力也仍然存在。

    评级机构的这种行为对养老金和保险公司等机构投资者的影响最大，因为它们通常受到限制，只能购买高评级债券。由于这些投资者可以挑选多种类型资产，他们有理由买入收益率更高的债券——而他们可能不知道这些债券的评级有注水之嫌。科尔纳贾指出，这造成为政府债券承担利息的纳税人利益受损。

    作为《多德-弗兰克法案》(Dodd-Frank Act)的一部分，美国证券交易委员会（SEC）正在调查多个与评级机构有关的事项，其中之一就是标准化问题。SEC已经要求评级机构就多个问题作出解释，其中就包括“不同种类资产的评级是否可以比较”。

    穆迪常务董事法里萨•扎林书面回应称，该机构的评级可用于“比较不同国家和地区、产业及资产种类的风险，从而促进全球范围内资产的高效流动。”

    科尔纳贾指出，他的研究驳斥了该机构的说法，表明其评级并不统一。他说：“我们揭示了他们所言不实。”

    The professors also analyzed the rate at which different types of assets had their ratings downgraded or upgraded and found a similar pattern. After five years, 27% of A-rated corporate bonds were downgraded, versus 6% of municipal bonds and just 3% of sovereign issues. Unsurprisingly, a whopping 53% of CDOs were downgraded.

    Moody's dismisses the research. "We disagree with the study's methods and findings," says Michael Adler, a spokesperson for Moody's. "It attempts to draw broad conclusions about the performance and comparability of Moody's ratings over time by relying disproportionately on ratings volatility stemming from the financial crisis, a period in which Moody's' ratings changes reflected the unprecedented decline in credit quality for U.S. housing related securities."

    When structured products tanked during the crisis, ratings agencies defended the securities' high scores by arguing that they were too opaque to evaluate. The study's authors reject that idea. If the opacity defense were true, they wrote, then simple pools of mortgages or credit card receivables ought to have received less inflated ratings than complex corporate issuers with off-balance sheet debt and synthetic leases. But structured products routinely received more liberal grades, irrespective of their complexity.

    The professors concluded that ratings inflation corresponded not to opacity, but revenue. "Revenues generated from structured finance products are significantly higher than those generated from corporate issuers, which are, in turn, higher than those generated from sovereign issuers and municipalities," they wrote.

    The findings corroborate the theory that the agencies' much-critiqued business model, in which bond sellers pay for their own ratings, poses a conflict of interest. Though the professors don't outright accuse the ratings agencies of running a pay-for-play scheme, the implications are clear: Issuers with bigger pockets received more generous scores.

    Cornaggia says it's too soon to tell if municipal bonds are finally receiving a fair shake. But he points out that the industry's business model is the same. As a result, he says, the impetus that may have induced agencies to plump ratings for higher-paying customers hasn't gone away.

    Such practices impact institutional buyers like pensions and insurers, which are often restricted to buying highly rated debt. Because these investors can shop across assets, they have an incentive to buy bonds with fatter yields--even if, unbeknownst to them, those bonds' ratings were inflated. As a result, Cornaggia says, taxpayers, who pay out interest rates on public bonds, suffered.

    As part of the Dodd-Frank Act, the SEC is looking at a number of topics related to the ratings agencies, one of which is standardization. The SEC posted a request for comments that asked, amongst other things, whether ratings were "comparable across asset classes."

    Farisa Zarin, a managing director at Moody's, wrote in response that the agency's ratings are used "to compare risk across jurisdictions, industries and asset classes, thereby facilitating the efficient flow of capital worldwide."

    Cornaggia says his study refutes the agency's claim that its ratings are universal. "What we've shown is that's not the case," he says.