泰勒法则提出人：有毒资产为何这么难清理

2009-7-22

泰勒法则提出人：有毒资产为何这么难清理
 证券化的复杂性令人发狂 强制性信息透明性是唯一的解决途径
WSJ
# JULY 20, 2009
Why Toxic Assets Are So Hard to Clean Up
Securitization was maddeningly complex. Mandated transparency is the only solution.
By KENNETH E. SCOTT and JOHN B. TAYLOR

Despite trillions of dollars of new government programs, one of the original causes of the financial crisis -- the toxic assets on bank balance sheets -- still persists and remains a serious impediment to economic recovery. Why are these toxic assets so difficult to deal with? We believe their sheer complexity is the core problem and that only increased transparency will unleash the market mechanisms needed to clean them up.

The bulk of toxic assets are based on residential mortgage-backed securities (RMBS), in which thousands of mortgages were gathered into mortgage pools. The returns on these pools were then sliced into a hierarchy of "tranches" that were sold to investors as separate classes of securities. The most senior tranches, rated AAA, received the lowest returns, and then they went down the line to lower ratings and finally to the unrated "equity" tranches at the bottom.
有毒资产的主体是从住房抵押贷款债券RMBS－－按揭债券中生长出来的，成千份抵住房押贷款被混放在一起，变成按揭债务水池。从这种债务池发生的收益被分级分类“切块块切块”，作为另一类债券，出售给投资人。最好的那些“块块”被定级三A，收益率是最低的，评级较低的收益率就略高，一级一级排到底。〔因为评级低的“资产”风险大，所以“价格”就高，收益率就高〕

But the process didn't stop there. Some of the tranches from one mortgage pool were combined with tranches from other mortgage pools, resulting in Collateralized Mortgage Obligations (CMO). Other tranches were combined with tranches from completely different types of pools, based on commercial mortgages, auto loans, student loans, credit card receivables, small business loans, and even corporate loans that had been combined into Collateralized Loan Obligations (CLO). The result was a highly heterogeneous mixture of debt securities called Collateralized Debt Obligations (CDO). The tranches of the CDOs could then be combined with other CDOs, resulting in CDO2.
[COMMENTARY] Getty Images
这还没有完，来自某一个按揭债务池的“块块”和其他按揭债务池中的“块块”被组合起来，变成CMO，就是抵押按揭债券。还没有完，别的债务“块块”将要被组合到完全不同的“池”里去，例如商业抵押债务，汽车贷款，学生贷款，信用卡应收款，小企业贷款，甚至公司贷款，这些东西被组合成抵押贷款债券CLO。这样做的结果是高度复杂的贷款、债务和证券混合在一起，称为抵押债务证券CDO。切块块的CDO还能和别的CDO组合，叫作CDO2。

Each time these tranches were mixed together with other tranches in a new pool, the securities became more complex. Assume a hypothetical CDO2 held 100 CLOs, each holding 250 corporate loans -- then we would need information on 25,000 underlying loans to determine the value of the security. But assume the CDO2 held 100 CDOs each holding 100 RMBS comprising a mere 2,000 mortgages -- the number now rises to 20 million!
每一次一个债务“块”和别的池中的“块块"组合的时候，证券就变得更加复杂。假定有一支CDO2，里面有100份CLD，抵押贷款证券，每一个分部持有250公司贷款－－这时候我们就需要25000份公司信息；才能决定这支CDO2的价值。如果我们再假定这支CDO2里面是100份CDOs，每一个都有100份RMS，仅仅包含2000笔按揭贷款，我们所需要的信息量就是2千万条了。

Complexity is not the only problem. Many of the underlying mortgages were highly risky, involving little or no down payments and initial rates so low they could never amortize the loan. About 80% of the $2.5 trillion subprime mortgages made since 2000 went into securitization pools. When the housing bubble burst and house prices started declining, borrowers began to default, the lower tranches were hit with losses, and higher tranches became more risky and declined in value.
复杂性还不是唯一的问题。有很多的按揭贷款本身就是岌岌可危的，首付很低甚至没有首付，分期偿付的额度低到永远也还不完的程度。从2000年以来发生的2.5万亿美元的次贷中，大约80%进了那些水池。房地产泡沫破裂的时候、当房价下降的时候，借款人开始违约，低层的“块块”被市场击中，发生亏损，高层的“块块”风险增大，价值下降。

To better understand the magnitude of the problem and to find solutions, we examined the details of several CDOs using data obtained from SecondMarket, a firm specializing in illiquid assets.
One example is a $1 billion CDO2 created by a large bank in 2005. It had 173 investments in tranches issued by other pools: 130 CDOs, and also 43 CLOs each composed of hundreds of corporate loans. It issued $975 million of four AAA tranches, and three subordinate tranches of $55 million. The AAA tranches were bought by banks and the subordinate tranches mostly by hedge funds.
我们分析了2005年一家大银行创造的一个价值10亿美元的CDO2，数据来自SecondMarket,这是一家不动产专业服务公司。这里有173笔投资，“块块”是来自别的水池，其中有130块CDOs，43块CLDs，每一个里面都包含着数百笔公司贷款。这个CDO2发行了价值9.75亿美元的四笔三A级投资“块”，三笔质量较低的投资块，价值5500万美元。三A级投资块的购买者是银行，次一点的投资块主要是对冲基金买的。

Two of the 173 investments held by this CDO2 were in tranches from another billion-dollar CDO -- created by another bank earlier in 2005 -- which was composed mainly of 155 MBS tranches and 40 CDOs. Two of these 155 MBS tranches were from a $1 billion RMBS pool created in 2004 by a large investment bank, composed of almost 7,000 mortgage loans (90% subprime). That RMBS issued $865 million of AAA notes, about half of which were purchased by Fannie Mae and Freddie Mac and the rest by a variety of banks, insurance companies, pension funds and money managers. About 1,800 of the 7,000 mortgages still remain in the pool, with a current delinquency rate of about 20%.
上面的CDO2中那173笔投资中的两笔，是从另一个十亿美元级的CDO的投资块来的，也是2005年被创造出来的，主要的基础是155块按揭证券和40块CDOs。155笔按揭证券RMS中有两笔来自一个10亿美元级的住房按揭抵押证券RMBS池，这是2004年由一家大型投资银行创造的，包含7000笔按揭（90%为次贷）。这个住房按揭证券RMGS发行了8.65亿美元三A级票据，一半左右被两房购买，其余的由许多种银行、保险公司、养老基金和短期资本持有人购去。现在7000笔住房贷款中还有1800笔留在那个水池里，拖欠率是20%。

With so much complexity, and uncertainty about future performance, it is not surprising that the securities are difficult to price and that trading dried up. Without market prices, valuation on the books of banks is suspect and counterparties are reluctant to deal with each other.
证券于是很难定价，交易就枯竭了。美元市场定价，对银行账面财产就无法估价，交易的对手就不愿意做交易了。

The policy response to this problem has been circuitous. The Federal Reserve originally saw the problem as a lack of liquidity in the banking system, and beginning in late 2007 flooded the market with liquidity through new lending facilities. It had very limited success, as banks were still disinclined to buy or trade such securities or take them as collateral. Credit spreads remained higher than normal. In September 2008 credit spreads skyrocketed and credit markets froze. By then it was clear that the problem was not liquidity, but rather the insolvency risks of counterparties with large holdings of toxic assets on their books.
处理问题的手法一直都是兜圈子。美联储起初把问题看成银行系统缺乏流动性，从2007年起就往市场“冲水”，还要建立新机构来做这件事。流动性还是没有，银行还是不愿意购买或交易这种债券，或者用它们做抵押，信贷余额高于常规。2008年九月信贷像冲天烟火，信贷市场却冻结了。到此时问题看得出来不是缺乏流动性，而是持有大量有毒资产的对手破产的巨大风险。

The federal government then decided to buy the toxic assets. The Troubled Asset Relief Program (TARP) was enacted in October 2008 with $700 billion in funding. But that was not how the TARP funds were used. The Treasury concluded that the valuation problem seemed insurmountable, so it attacked the risk issue by bolstering bank capital, buying preferred stock.
联邦政府这时决定去购买有毒资产。“问题资产救助计划”（TARP）从2008年10月开始执行，7000亿美元资金。可是救助资金？财政部决定估价的困难是不可克服的，所以就用这些钱去支撑那些银行的资产－－去买它们喜欢的股票。

But those toxic assets are still there. The latest disposal scheme is the Public-Private Investment Program (PPIP). The concept is that private asset managers would create investment funds of half private and half Treasury (TARP) capital, which would bid on packages of toxic assets that banks offered for sale. The responsibility for valuation is thus shifted to the private sector. But the pricing difficulty remains and this program too may amount to little.
有毒资产还在那里。最晚近的计划是“公私（合资）资产投资计划”（PPIP)，这个想法是：私人资产管理者会创造投资基金，一半自有资金，一半政府的PPIP资金，用来竞标购买银行想出售的有毒资产。就这样把定价问题转交给私人部门了。可是定价的困难依然存在，这个项目也会有始无终。

The fundamental problem has remained untouched: insufficient information to permit estimated prices that both buyers and sellers find credible. Why is the information so hard to obtain? While the original MBS pools were often Securities and Exchange Commission (SEC) registered public offerings with considerable detail, CDOs were sold in private placements with confidentiality agreements. Moreover, the nature of the securitization process has made it extremely difficult to determine and follow losses and increasing risk from one tranche and pool to another, and to reach the information about the original borrowers that is needed to estimate future cash flows and price.

根本的问题并没有被触及：信息太少，不足以让买卖双方估价。信息为何如此难以获得？MBS 按揭贷款证券最初是证券交易委员会（SEC)登记的公募资金，有相对详细的信息，CDOs的交易是对着买者的直接出售，其中有保密协定。更重要的是，证券化的本质就把确认和追踪亏损、风险的变动弄得极端困难，要从一个水池到另一个水池，要找到最初贷款人的信息。难得无法实现

This account makes it clear why transparency is so important. To deal with the problem, issuers of asset-backed securities should provide extensive detail in a uniform format about the composition of the original pools and their subsequent structure and performance, whether they were sold as SEC-registered offerings or private placements. By creating a centralized database with this information, the pricing process for the toxic assets becomes possible. Making such a database a reality will restart private securitization markets and will do more for the recovery of the economy than yet another redesign of administrative agency structures. If issuers are not forthcoming, then they should be required to file the information publicly with the SEC.
透明度因此是重要的。要解决问题，发行用资产支撑的证券的那些机构应该提供大量详尽的信息，用标准化的模式，把最初的水池的构成，下面的结构，运行的状态，都提供出来；不论是卖给证券交易委员会登记的发售，还是私下的交易。通过建立中心信息库，纳入这些信息，有毒资产定价就有可能了。建立这样的数据库将会重启私人证券化市场，还能为经济复苏有助，比再来一个行政机构更有用。

Mr. Scott is a professor of securities and corporate law at Stanford University and a research fellow at the Hoover Institution.
Mr. Taylor, an economics professor at Stanford and senior fellow at the Hoover Institution, is the author of "Getting Off Track: How Government Actions and Interventions Caused, Prolonged and Worsened the Financial Crisis" (Hoover Press, 2009).

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