摩根大通“伦敦鲸”重返危险水域

    “看到这种行为，人们可能会得出结论：大银行全都愚不可及，”结构融资交易研究公司R&R Consulting联席主管西尔万•雷恩斯说。“这好比用四个2.5毛的硬币换取一美元，不过它们得到的可能是89美分。因此，对于一般的观察人士而言，银行家们整日跑上跑下其实什么也没干。但事实是，金融监管是非理性的。一旦考虑到这一因素，银行的行为就很好理解了。”

    摩根大通拒绝对其CLO头寸置评，只是强调相关信息已经在提交给美国证券交易委员会（SEC）的文件中进行了披露。富国银行和花旗集团也拒绝发表评论。总体上，银行家们表示，CLO能促进投资多元化。而CLO现在之所以大行其道是因为它们的浮动利率，意味着利率上升时它们不会贬值。此外，银行家们指出，和其他结构性产品不一样的是，CLO撑过了金融危机，实际损失很少。这提振了它们安全性的声誉。更重要的是，CLO占银行整体资产的比例还非常小，而四大银行总资产已经超过1万亿美元。

    但是，CLO市场几乎所有的参与者（包括很多银行家）都表示，银行购买CLO的一个最大原因与法规有关。金融改革本应杜绝监管套利（银行用一种资产交换另一种类似资产，以便能够提高杠杆水平，而这通常会增加风险）。

    但是，监管套利并没有在CLO市场被杜绝。根据美联储（Federal Reserve）在7月初批准的最新资本监管要求，公司贷款的风险权重为100%。而CLO评级为AAA的部分（银行通常会买进的部分）只有20%的风险权重。它意味着，通过等额资本金，银行可以投资的CLO资产规模可以高达标的高收益贷款金额的5倍。额外的资金来自借贷，从而提高银行的杠杆水平。

    价格使得这样的交易在CLO市场特别有吸引力。它正好迎合了银行目前在低利率环境下寻求更高收益率的诉求。尽管银行家们说CLO中AAA级的部分是相对安全的，这些债券往往带来比类似抵押贷款支持证券或信用卡及汽车贷款支持债券高得多的收益率，而银行针对这几类资产的资金拨备水平是相当的。不过，虽然很少有CLO交易出现巨亏，但这些债券的价格在金融危机期间市场冻结之际也出现了大幅下跌。因此，这些交易并非完全没有风险。

    如今，打包成CLO的一般贷款所支付利息约等于4%加伦敦银行间同业拆借利率（Libor）。CLO的AAA级部分债券的收益率约为Libor加1.3%。它意味着，通过等额资本，银行可以进行回报率基本达到6.5%而不是4%的投资。虽然它们将不得不支付额外融资的成本，但大银行的融资成本相对较低。

    最近，一些监管机构对银行为较低评级的公司提供大量信贷感到担忧。今年四月，美国联邦存款保险公司（Federal Deposit Insurance Corp.）通过了一项规则，迫使银行根据它们的CLO头寸规模支付更高的保费。美国联邦存款保险公司（the Federal Deposit Insurance Corp.）根据规模和风险评估所有银行所需支付的保险费用。CLO管理公司和银行家们说，它导致一些银行放缓了CLO收购步伐。而其他一些银行已经开始收购CLO中评级较低的部分，以提高收益率、弥补增加的保险金支出。最近监管机构已提出了新的规则，要求银行针对所有投资拨备最低比例的资本金，无论它们的投资是杠杆贷款还是CLO。银行家们称，这个资本金要求没有必要。他们同时表示，它将打击银行的贷款积极性。

    “对于银行而言，它们玩的游戏向来都是以最小的投入和尽可能高的杠杆来获得回报，”斯坦福大学（Stanford）工商管理研究生院（Graduate School of Business）教授阿那特•阿德玛蒂说。阿德玛蒂著有《银行家的新衣》（The Banker's New Clothes）一书，主张提高资本要求。 “这是很多玩法中的一种。” （财富中文网）

    译者：默默

    "You might look at this behavior and draw the conclusion that big banks are pretty stupid," says Sylvan Raines, who co-heads R&R Consulting, a firm that examines structured finance deals. "It's like exchanging four quarters for a dollar, except they are only getting back 89 cents. So to the average observer it looks like bankers spend their days running around and doing nothing. But the truth is it's financial regulation that is irrational. Once you factor that in, the banks' behavior makes a lot of sense."

    JPMorgan declined to comment on its CLO holdings other than to point to its SEC filings. Wells and Citi also declined to comment. In general, bankers say CLOs offer diversification. And CLOs are popular now because they have floating rates, which means they won't drop in value when interest rates rise. Also, bankers point out that CLOs, unlike other structured products, made it through the financial crisis with few actual losses. That's bolstered their reputation as safe. What's more, CLOs still make up a very small portion of their overall assets, which for the big four banks is over $1 trillion.

    But almost everyone in the CLO market, including many bankers, say one of biggest reasons banks are buying CLOs has to do with regulations. Financial reform was supposed to stamp out regulatory arbitrage, in which banks are able to swap one similar asset for another in order to be able to increase their leverage, which generally increases risk.

    But that hasn't happened in the CLO market. Under the new capital rules, which were approved by the Federal Reserve in early July, loans to corporations have a risk weighting of 100%. The AAA slices of CLOs, which are the portion of the deals banks typically buy, have a risk weighting of only 20%. That means banks can invest five times as much in CLOs as they can in the underlying high-yield loans with the same amount of capital. The additional funds come from borrowing, which increases a bank's leverage.

    Price makes this trade particularly attractive in the CLO market. And it plays into the banks' current search for yield in a low-interest-rate environment. Despite the fact that bankers say the AAA portions of CLOs are relatively safe, the bonds tend to pay considerably higher yields than a similar investment in mortgage backed securities, or bonds that are backed by credit card or auto loans, on which banks would have to hold similar levels of capital. And while few CLO deals ended up blowing up, the prices of the bonds fell sharply during the financial crisis, as the market froze up. So the deals are hardly risk-free.

    These days, the average loan that goes into a CLO has an interest payment equal to about 4% plus Libor. The AAA portion of a CLO yields around Libor plus 1.3%. That means with the same amount of capital a bank can get investment that essentially pays a 6.5% return instead of 4%. They will have to pay some money to borrow the additional funds, but big banks can borrow pretty cheaply.

    Recently, a number of regulators have gotten worried about the amount of credit banks are extending to lower-rated companies. In April, the Federal Deposit Insurance Corp., which assesses an insurance fee on all banks based on size and risk, passed a rule that would force banks to pay a higher premium based on their CLO holdings. CLO managers and bankers say that has slowed the buying by some banks. Other banks have started buying lower-rated portions of the CLOs in order to boost their yield to make up for the added insurance payments. Recently regulators have proposed new rules that would require banks to hold a minimum amount of capital against all their investments, no matter if it's say a leveraged loan or a CLO. Bankers have called the additional capital rule unnecessary and said it would discourage lending.

    "The game for banks is always get the returns with as little skin in the game and as much leverage as possible," says Anat Admati, a professor at Stanford's Graduate School of Business, who has written a book called The Banker's New Clothes and pushed for high capital requirements. "This is one of the many ways to play the game."