Ken

陷入困境的银行[经济学家]
Banks in trouble

The game is up



Aug 16th 2007

From The Economist print edition

In a special section, we look at how trouble in the credit markets has led to a crisis of confidence in global finance

Illustration by Satoshi Kambayashi



THE old-fashioned financial system was like Old Maid, a parlour game once beloved of small children. The banks were like players, dealt hands from a pack of cards, which they swapped among each other. At the end, one player was left holding a lonely queen—a bad debt, if you will—and lost. Over the past few decades the game has changed. Securitisation has snipped the old maid into pieces; new faces, such as hedge funds, have joined the party, enabling the banks to distribute those pieces among a larger number of players. When the game is over, lots of players are left holding small losses instead of one player holding a big one.

老式的金融系统就象是小孩子喜欢玩的一种扑克牌。银行就如同是一个牌手，从一堆牌中取出一手，然后他们相互交换一只牌。最后，会有一位倒霉的家伙拿到单独的一只Q，对银行来说就是坏帐损失。经过十多年后，游戏已经发生了变化，证券化将这些牌剪成一条条的碎片，新的加入者，比如对冲基金也加入游戏，使银行得以分散这些小的碎片到大量的人手中。当游戏结束的时候，会有不少人遭到较小的损失，而不象从前那样一个人承担较大的损失。



During two exceedingly prosperous decades, that theory seemed to work just fine. But the swings in almost all financial markets this month have made dispersed risk suddenly morph into dispersed mistrust. The uncertainty has been magnified by the way that bad risks have become so hard to value. Investors have bought asset-backed securities that use shaky subprime mortgages in America as collateral, but as defaults have risen, the value of that collateral has tumbled. Meanwhile, collateralised-debt obligations (CDOs), made up of clumps of those securities and laced with leverage, have become almost impossible to trade. So none of the players really knows how much he has lost. While this uncertainty lasts, investors are taking it out on the banks that peddled the securities by dumping their shares; and the banks are taking it out on those they sold them to by demanding more collateral on their loans. The banks have even grown cagey about lending to each other.

在过去极其繁荣的二十年间，上述理论似乎行之有效。但是在本月，几乎所有的金融市场出现了动荡，这使得分散的风险突然间转变为分散的怀疑。不利风险已经变得难以计量，由此不确定性也随之扩大。投资者已经购买了许多抵押证券，这种证券的背后正是摇摇欲坠的美国次级抵押债券，但随着违约可能性增加，这种证券的价值出现猛跌。同时，CDO--它构建了许多这种证券并附上杠杆作用--已经变得不可能交易。如此一来，没有谁确切的了解自己损失了多少。当这种不确定性持续下去，投资者用抛售股份的方式来将此风险扔给销售证券的银行，而银行用更高的借贷抵押要求来将风险扔给另一销售方。银行对同业之间的借贷甚至也变得谨慎。



The doubts burst into the open on August 9th when central banks were forced to inject liquidity into the overnight money markets because banks were charging punitive rates to lend to each other. At first, the problems appeared more serious among European banks, especially in Germany, where low profitability among state banks led them to take risky bets in subprime markets. The pain in America was concentrated in the largest hedge funds, including those run by Wall Street's biggest name, Goldman Sachs. Increasingly, however, analysts worry about the exposure of American, Canadian and Asian banks to mortgage-backed securities and especially those funded by short-term commercial paper that is becoming increasingly hard to roll over. On August 15th shares in Countrywide Financial, a large American mortgage lender, fell 13% after a Merrill Lynch analyst abruptly changed his buy rating on the stock to a sell, warning of possible funding difficulties. Despite a large liquidity injection by the Federal Reserve on August 15th, the S&P 500 index fell 1.4%. The heavy selling spread to Asian stocks on August 16th.

这种疑虑在八月九号公开爆发，这时间正是央行被迫为隔夜货币市场注入资金的时候，这是因为银行间开始收取极高的借贷利息。起初，这些问题在欧洲银行表现的比较严重，特别是在德国，在该国，赢利能力较弱的州属银行被准许在次级市场上进行投资。美国方面的问题主要在于最大的对冲基金，包括那些由华尔街最大的高盛操作的基金。然而，分析师逐渐对美国，加拿大，亚洲地区银行在证券市场中的风险暴露感到担忧，特别是那些由短期商业票据作融资手段的银行会变得难以延展。在八月十五日，一家美国的大型抵押借贷公司的股票下跌13%，这是由于美林分析师突然将其“买入”评级降为了“卖出”，以此警告融资困难的可能。虽然美联储在当天注入了大量资金，标普500指数还是下跌了1.4%.在16号这种重挫的情况也传递到了亚洲股票市场。



Every crisis begets finger-pointing, and the blame now is falling on the rating agencies that helped structure these exotic instruments. The European Commission is understood to be reviewing why rating agencies failed to move more quickly in response to the growing crisis in subprime mortgages. Currently, they are guided by a voluntary code that aims to tackle potential conflicts of interest. The biggest is that the agencies are paid by the firms they rate. Rating CDOs was a profitable business.

每次危机都会产生一个千夫所指的责任者，当前的指责都落在评级机构身上，正是他们帮助建立了这些非常规的工具。欧洲委员会正在仔细调查评级机构不能对次级市场日益增长的危险迅速作出反应的原因。最大的因素在于正是那些被评级的公司付给这些机构报酬。给CDO评级是一项可获利的商业行为。



To understand why so much blame is being heaped on the rating agencies, consider how CDOs and collateralised-loan obligations (CLOs) came into vogue. In the mid-1990s individual loans looked appealing to investors, but their ratings (often below investment grade) made them too risky for conservative types. So whole forests of asset-backed securities were put together into a single CDO. These were structured so that the first losses would be taken by whoever had bought the riskiest, highest-yielding piece of the package. That piece had a low rating. But the piece at the top, which would take the last losses, was rated AAA—a reflection of how unlikely it was that all the loans in the CDO would default at once.

要理解为什么评级机构承受了如此多的指责，我们需要考虑CDO和CLO是如何变得风行一时的。在上世纪九十年代中期，个人信贷对于投资者是很有吸引力的，但它们的评级对于保守者来讲风险过大。那么就将许多证券进行捆绑来构成一个单独的CDO。这些个别的证券经过这样的组织之后，可以预见那些购买了证券包中风险最大利润最高部分的投资者会首先遭到损失，当然这部分的评级是比较低的。但在评级最高的那部分，通常是三A评级，将会承受最后的损失。这一最高评级反应了所有的CDO同时发生违约是极为罕见的。



Rather than standing back and observing this from the sidelines, the rating agencies got involved in structuring these products. Like schoolgirls asking for help with their homework, the banks would go to the agencies and ask how the different slices of the CDOs they were putting together would score. The agencies would suggest improvements based on their models. And lo, the senior tranches were given the ratings required to market them to banks, which liked the security the triple-A ratings conferred, especially because their yields were higher than those of American Treasuries.

评级机构并没有以第三方的角度来远离并观察这些，而是参与到产品的建构中。就象女生拿着她们的家庭作业请求帮助一样，银行也找到评级机构，来咨询他们组合在一起的CDO是如何评分的。评级机构基于自身的模型给出改进的建议。之后，最优良的部分被给予了必要的评级以销售给银行，银行总是喜欢三A的，特别是这部分的收益率要高于美国国债。



If these securities are now downgraded, the same banks could be forced to offload lots of illiquid instruments into a falling market—one of the fastest ways to lose money yet devised. But if there are no buyers, banks may have to sell something else to shore up their balance sheets.

如果这些证券现在被降级，那些银行将不得不在一个下跌的市场中抛售这些不易变现的资产，这真是一个可以想的出来的最快损钱法。但如果市场中根本没有买方的话，银行可能需要出卖其它资产以支持他们的资产负债表。



Something like this indiscriminate selling has been affecting hedge funds over the past couple of weeks. Faced with more demanding standards from their banks and investors, some have been forced to unwind positions in order to realise cash. That has led to unusual movements in debt and equity markets, which have only got some funds deeper into trouble. Quantitative funds have been hardest hit, as investment models that had made money for ages briefly proved worse than useless.

这类不加思索的抛售行为已经在过去几周里影响了对冲基金。面对他们的银行和投资者们更高的要求，一些基金不得不出清头寸以变现资金。由此造成在债市和股市中的不正常波动，这种波动又反过来使一些基金的处境更加困难。数量基金受到打击最大，它们数年来的赢利模型现在证明比失效还要糟糕。



Goldman Sachs admitted as much when it said that its funds had been hit by moves that its models suggested were 25 standard deviations away from normal. In terms of probability (where 1 is a certainty and 0 an impossibility), that translates into a likelihood of 0.000...0006, where there are 138 zeros before the six. That is silly.

高盛承认，当它的基金遭到打击后，其模型偏离正常水平达到25个标准差。从概率的意义上来说，这种偏离的可能性只有0.000...0006，中间有138个零。



Since banks lend to hedge funds, any problems there quickly become their concern. On top of this, both Bear Stearns and Goldman Sachs have found that when funds bearing their name get into trouble the desire to preserve their reputations soon leads to a rescue. Sometimes risk is not as far away from the banks as it seems.

由于银行向对冲基金进行贷款，任何相关问题都会使他们变的紧张。不仅如此，Bear Stearns和Goldman Sachs两家大投资银行均发现当名下基金遇到麻烦的时候，保护他们名誉的期望迅速变成一项求援行动。有时，风险和银行之间的距离并不是想象的那么远。



At the end of Old Maid as banks used to play it, the loser would take a big write-off and then everyone could start playing again. In the new version, the use of leverage means the game is being played with hundreds of packs of cards and by thousands of different players. “Securitisation,” says Avinash Persaud of Intelligence Capital, a financial adviser, “has meant that credit risks have moved from knowledgeable, long-term hands, to fast hands, where the principal risk-management strategy is to sell before prices fall more”. Working out who has won and who has lost in this round will take a long time.

在旧式扑克游戏的最后结局，输家将承担一笔巨大的坏帐注销，然后所有人都可以重新开始游戏。在新版本中，杠杆方式的运用意味着有数以千计的参与者和数百手的牌。用一位金融分析师的话说：证券化意味着信用风险从聪明的长期持有转变到短期持有，这里最重要的法则是在市场下跌前出清头寸。要弄明白在这次游戏中谁是赢家，谁是输家还需要很长一段时间。