次級債“危機”也許是一個不折不扣的騙局！

感謝“atene”網友的信息，“知道次貸運作者在其英國《金融時報》的博客上爆料，美國次級債券的復雜包裝根本是有意詐騙，對象就是國外投資人，包括中國的銀行和政府機構在內！”

http://ftalphaville.ft.com/blog/2007/08/21/6727/the-full-subprime-letter-from-haymans-kyle-bass/

親愛的投資者，
在過去的幾個月里，我們看到了惡化的次級債問題，在以倉促的步伐加快。且慢… …我還以為次級債風險已經被美聯儲整齊地疊好放進了一個小箱子里？經過多次與券商和資產管理者的各領導人會議后，我認為次級債問題多的讓你難以相信。為了次級債大規模的連鎖反應問題，你必須深入探討誰擁有最終的風險，以及次級債將如何影響他們的未來行為。
歷史上最大的"誘餌和掉包計"
最近，我花了一些時間與高級行政人員接觸，他們均來自世界上最大的經紀公司之一的結構化產品營銷集團（CDO抵押債務權證，CLO抵押貸款權證等）。我是在西班牙的羅斯出席我一個朋友的婚禮時，他認為把我們兩個人放在一起蠻合適（由于我們在結構化信貸市場有共同的興趣）。這個人接著告訴我次級債的夾層CDO（Mezzanine CDO）業務如何存在以及為什么存在。次級債的夾層CDO是一種有著10 - 20倍的杠桿工具，僅包含了惠譽評級為BBB和BBB-的可轉換次級債債務。他對我說，“真正的錢”（美國保險公司，養老基金等）的賬戶在2003年底已停止購買可轉換的夾層CDO的次級債債務，他們需要一種機制能夠對這些貸款進行標記并進行不透明化包裝，然后將這些采用新包裝的危險品出口給那些在亞洲和中歐的不知情的買主！！！他誠實地告訴我，這些夾層CDO是從可轉換次級債中剔除風險最高的債券的唯一出路。很有意思的是，這些買家（中國大陸的銀行，中國政府，臺灣銀行，朝鮮銀行，德國銀行，法國銀行，英國銀行）在全球范圍內擁有"過剩"的流動性資金池。這些資金池基本上來自兩個來源：1）巨大的對美貿易盈余，且以美元結算，2）石油美元再循環。迄今為止，這兩個資金池的過剩資本都是以美元計價的，并且對美元計價的債務有不知疲倦的需求。他們的訂單出現在華爾街不同的辦公桌上以購買任何由美國評級機構評級為AAA的美國債務。 BBB和BBB-的可轉換次級債債務是如何掉包成AAA評級的呢？通過夾層CDO的煉丹術。在評級機構的幫助下，夾層CDO經理搜集了一系列BBB和BBB-的可轉換次級債債務，并用一個級聯現金瀑布對此進行重新包裝，使得在所有的轉換中最高等級的首先支付，這樣就可以被評級為AAA了。那么，當你僅僅使用10 - 20倍杠桿的夾層可轉換次級債時，噗（吹氣聲）… 你神奇地擁有80 ％的由評級機構給出的結構化的AAA評級，無論其背后的抵押品是BBB或BBB-的抵押資產… 這個將成為世界上從未見過的最大的金融錯覺。這些機構讓這些投資品大部分以按面值或100美分標價。現在這些抵押品已開始被下調評級，這只是一個時間的問題（星期，幾天，或者幾個小時），然后評級機構（或是別的什么機構）開始對不同的結構的CDO按照其實際情況下調評級。當評級被下調，國外的買家將最有可能出售這些資產，因為事實上他們只被允許在美國冒的“超高”的風險。我估計這些可轉換的夾層CDO的市值將約為10美分。隨之而來的“恐怖秀”將使得資產價值僅等于入場券和爆米花。因此，當我聽到人們喜歡Kudlow對CNBC的觀眾說次級債是“可控”的時候，我甚至不堪觀賞。
“燙手的山芋”的道德風險
次級債問題存在的關鍵原因是由于今天人們的肆意揮霍與次級貸款的固有風險的分離。與1980年代的S&L危機不同，今天的借款人在借款時不用對自己的資產負債風險負責。這些經紀人也是只顧得到報酬數量不管貸款質量。資產負債表內的風險在90天內通過三個實體轉移出去。最初的貸款方將整個貸款這個燙手山芋往下傳遞。在華爾街的公司整個貸款的買家都是很簡單聚合的貸款，聚集，包裝，批發，然后更快地賣給那些不知原委的買主。這種風險轉嫁是次級債狀況的焦點。試想一下… …如果你是一個20多歲的按揭貸款人，在加州使用的是別人的資產負債表，并支付百分之x的貸款（對貸款業績無從考證），你將支付多少不三不四的可疑貸款呢？

Hayman Capital 2626 Cole Avenue, Suite 200
Dallas, TX 75204
July 30th, 2007

Dear Investors,
Over the past few months, we have seen the exacerbation of the Subprime problem accelerate at a precipitous pace. Wait a minute…I thought the Subprime problem was neatly contained in a nice little box of risk that the Fed had put it in? After many meetings and conversations with the various leaders of brokerage firms and asset managers, I don’t think the Subprime problem is as contained as many would like for you to believe. To understand the massive ripple effects of the Subprime problem, you have to look deeply into who owns the eventual risk and furthermore, how it will affect their behavior going forward.

The Greatest “Bait and Switch” of ALL TIME
I recently spent some time with a senior executive in the structured product marketing group (Collateralized Debt Obligations, Collateralized Loan Obligations, Etc.) of one of the largest brokerage firms in the world. I was in Roses, Spain attending a wedding for a good friend of mine who thought it would be an appropriate time to put the two of us together (given our shared interests in the structured credit markets). This individual proceeded to tell me how and why the Subprime Mezzanine CDO business existed. Subprime Mezzanine CDOs are 10-20X levered vehicles that contain only the BBB and BBB- tranches of Subprime debt. He told me that the “real money” (US insurance companies, pension funds, etc) accounts had stopped purchasing mezzanine tranches of US Subprime debt in late 2003 and that they needed a mechanism that could enable them to “mark up” these loans, package them opaquely, and EXPORT THE NEWLY PACKAGED RISK TO UNWITTING BUYERS IN ASIA AND CENTRAL EUROPE!!!! He told me with a straight face that these CDOs were the only way to get rid of the riskiest tranches of Subprime debt. Interestingly enough, these buyers (mainland Chinese Banks, the Chinese Government, Taiwanese banks, Korean banks, German banks, French banks, UK banks) possess the “excess” pools of liquidity around the globe. These pools are basically derived from two sources: 1) massive trade surpluses with the US in USD, 2) petrodollar recyclers. These two pools of excess capital are US dollar denominated and have had a virtually insatiable demand for US dollar denominated debt…until now. They have had orders on the various desks of Wall St. to buy any US debt rated “AAA” by the rating agencies in the US.

How do BBB and BBB-tranches become AAA? Through the alchemy of Mezzanine-CDOs. With the help of the ratings agencies the Mezzanine CDO managers collect a series of BBB and BBB- tranches and repackage them with a cascading cash waterfall so that the top tiers are paid out first on all the tranches – thus allowing them to be rated AAA. Well, when you lever ONLY mezzanine tranches of Subprime RMBS 10-20X, POOF…you magically have 80% of the structure rated “AAA” by the ratings agencies, despite the underlying collateral being a collection of BBB and BBB- rated assets… This will go down as one of the biggest financial illusions the world has EVER seen. These institutions have these investments marked at PAR or 100 cents on the dollar for the most part. Now that the underlying collateral has begun to be downgraded, it is only a matter of time (weeks, days, or maybe just hours) before the ratings agencies (or what is left of them) downgrade the actual tranches of these various CDO structures. When they are downgraded, these foreign buyers will most likely have to sell them due to the fact that they are only permitted to own “super-senior” risk in the US. I predict that these tranches of mezzanine CDOs will fetch bids of around 10 cents on the dollar. The ensuing HORROR SHOW will be worth the price of admission and some popcorn. Consequently, when I hear people like Kudlow on CNBC tell their viewers that the Subprime problem is “contained”, I can hardly bear to watch.

The Moral Hazard of HOT Potatoes
The key reason the Subprime problem exists as it does today has to do with the wanton disassociation of risk inherent in the machine that churns out Subprime loans. Unlike the S&L crisis of the 1980s, the mortgage lenders of today aren’t taking their own balance sheet risk when underwriting loans. These brokers get paid for quantity REGARDLESS of quality. The balance sheet risk is transferred through three entities in less than 90 days from origination. The originator will originate ANYTHING he can sell to a whole loan buyer to pass the hot potato on. Whole loan buyers are simply the aggregators of loans at the Wall St. firms that aggregate, package, tranche, and sell as quickly as they possibly can to the clueless buyer. This transference of risk is the crux of the Subprime situation. Just think about it…if you were a 20-something making mortgage loans in California using someone else’s balance sheet and being paid per loan (with no lookback to performance of the loan), how many dubious loans would you underwrite?

Buyers are now BEWARE
During and after the rout these investors are about to shoulder, how excited do you think they are going to be to purchase the next “AAA” rated piece of structured finance paper?!!?!?!? These same investors and global pools of liquidity have been funding the Leveraged Buyout (LBO) boom by purchasing the debt that funds the Collateralized Loan Obligations (CLOs) which in turn, buy 60%+ of the LBO debt used to finance these transactions. I also recently spent some time with one of the largest CLO issuers in the world. They had just returned from Japan where they were marketing a new CLO in order to be one of the buyers for new LBO debt. Needless to say, their marketing efforts fell on deaf ears. They were told by the Japanese investors that they have lost confidence in the ratings agencies (you think?) and that in an election year there is too much uncertainty. They basically said, “No more.” If there is not a CLO bid from Asian and Central European banks, where do you think the $290 billion in announced LBOs will go to sell their debt? I actually have no idea how to answer that question myself. We have seen the bank-loan index drop from 100.5 to 90.5 in 5 short weeks, and a widening in investment grade as well as non investment grade credit. In the immediate absence of liquidity, there will be many casualties of levered funds and firms. There will be a “re-pricing” of risk on a global scale that will mean more credit funds being carried out the door feet first.

Latest Casualties
Just today, the latest firm to suffer the wrath of too much leverage and mis-priced risk was Sowood Capital. What is truly remarkable about this particular situation is the fact that Jeff Larson, the former manager of the $30 billion Harvard Endowment, is the principal Manager at this firm. Sowood was renowned as being a “best-in-class” fund. If the former manager of the Harvard endowment managed to lose 57% of his fund (more than $1.7 billion in losses) in just 30 days, how are the “other” credit funds out there doing? How are they calculating Value-at-Risk? This afternoon, brokerage firms were sending collateral calls to other funds positioned similarly to Sowood. They joined the ranks of the two Bear Stearns funds managed by Cioffi, Australia’s Basis Capital, Absolute Capital, and Macquarie Fortress Funds as well investments by Korea’s Woori Bank, and London’s Caliber Fund by liquidating and eventually returning what is left to investors. Not to mention the downfall of the poster child of the levered “positive carry” industry, United Capital Market’s Horizon Fund – managed by John Devaney, owner of the aptly titled 142ft yacht, the Postive Carry (which is incidentally now for sale, all enquiries can be directed to http://www.iyc.com/featured_yachts.cfm?mn=1).

I have recently discovered the insightful writings of someone with whom I have not had the pleasure to speak or meet in person. Howard Marks is the Chairman of Oaktree Capital Management and he recently sent a letter to his clients entitled, “It’s All Good”. Mr. Marks had a most astute observation with regard to the recent investing environment:

“…investors’ recurring acceptance that it’s different this time – or that cycles are no more – is exemplary of a willing suspension of disbelief that springs from glee over how well things are going (on the part of people who’re in the market) or rationalization of the reasons to throw off caution and get on board (from those who have been watching from the sidelines as prices moved higher and others made money). In this way, the bullish swing of the investment cycle tends to cause skepticism and risk tolerance to evaporate. Faith, credence and open-mindedness all tend to move up – at just the time skepticism, discrimination and circumspection become the qualities that are most needed.”

The implosion of an asset price bubble always leads to the discovery of frauds and swindles. The supply of corruption increases in a pro-cyclical way much like the supply of credit. Soon after a recession appears likely the loans to firms that were fueling their growth with credit declines as the lenders become more cautious about the indebtedness of individual borrowers and their total credit exposure. In the absence of more credit, the fraud sprouts from the woodwork like mushrooms in a soggy forest.

× 烏有之鄉 WYZXWK.COM

您的打賞將用于網站日常運行與維護。
幫助我們辦好網站，宣傳紅色文化！

歡迎掃描下方二維碼，訂閱烏有之鄉網刊微信公眾號