市场预言篇

AAAsking for trouble - Not all triple-A ratings inspire total confidence

A，A，A, 麻烦自找 – 人无完人，信无足信

Jul 12th 2007
From The Economist print edition

经济学家，2007年6月12日

IN THE depression-era 1930s, when credit worthiness was all that mattered, American government bonds were rated AAAAA—as if the more letters you attached to a borrower, the safer they would seem. In more recent times, the triple-A designation has done the trick. Whether attached to government debt, federal agencies or the strongest corporate borrowers, it has stood as a gold standard among ratings, lowering borrowing costs and reassuring creditors.

二十世纪三十年代，经济大萧条，信誉就是一切。美国政府债券的信用评级一度高至五A，好似借款人的评级每多一个A，贷款人就倍感踏实。

 

近年来，三A评级成为最好的信用保障。无论政府发行公债，或强势机构、大型企业发行债券，三A评级都已成为评级的黄金标杆，不仅可以削减借方成本，还能帮助贷方规避风险。

During the 1980s and 1990s, scarcity only enhanced its standing. The number of companies issuing such high-grade debt dwindled, as corporate-finance theory encouraged companies to borrow more heavily to increase earnings. According to Standard & Poor's (S&P), a rating agency, only six American non-bank companies carry a triple-A rating today, including Berkshire Hathaway and General Electric.

上世纪最后二十年，资金稀缺更是提升了三A评级的市场地位。新兴的公司财务理论开始鼓励企业扩大债务规模，以期获取更多收入。于是乎，发行高评级公司债的企业逐渐减少。如今，据标准普尔分析，非银行类美国企业中，仅有六家信用等级高达三A，伯克希尔·哈撒韦公司[1]和通用电气榜上有名。

But the rating is coming in for some stick from politicians and pundits alike, because it has cropped up in connection with that most unsound of loans, subprime mortgages. These are anything but triple-A, but can be repackaged into securities via collateralised debt obligations (CDOs) in a way that makes default an extremely low mathematical probability. In the process, such ratings have made the agencies a great deal of money. Moody's, for example, made more than 40% of its revenues from rating structured products such as CDOs last year.

近来，因为评级和抵押贷款多有牵连，政客和评论家已开始质疑其本身的信用问题。次级贷款人的信用等级较低，因此银行或贷款机构通常向其收取高额利息。经过证券化包装上市后，次级抵押贷款摇身一变，成为可交易的债务担保证券（CDO）。[2] 新瓶装旧酒，风险转移后，数理上的违约率微乎其微。

 

CDO属结构化金融产品，核心是债务或抵押资产的证券化，于此有关的评级服务已成为评级机构的吸金石。评级公司大发其财，去年穆迪其收入的40%来源于以CDO为代表的结构化产品。

Marc Dann, attorney-general of Ohio, is investigating whether, in his words, the ratings agencies took part in fraud by bestowing triple-A ratings on structured products created out of subprime loans. Bill Gross, a fund manager at PIMCO, a bond-trading firm, likens the highest-rated tranches of CDOs to a Hollywood madame masquerading as a wholesome, all-American girl.

2007年3月以来，美国次级抵押贷款违约率不断上升，相应的CDO也遭质疑。对此，俄亥俄州的司法部长马克·达恩正展开调查，他怀疑评级机构涉嫌商业欺诈，慷慨赠予结构化产品（次级贷衍生品）以三A评级。

The ratings agencies are holding their ground. Cliff Griep, the chief credit officer at S&P, argues that ratings attempt to address only creditworthiness, not market risk, and are driven by fundamentals, not fluctuating prices.

评级机构坚持自己的逻辑判断。标准普尔信用总监克里夫·格利普（Cliff Griep）认为，评级仅试图评判信誉好坏，不会考虑市场风险。参考要素是财务基本面，而非波动的价格。

But the questions being asked of the agencies are important because banks around the world have been filling their vaults with AAA-rated structured products ahead of international implementation of the Basel 2 regulations on bank capital. Under this new accord, a bank holding triple-A assets is allowed to keep less capital, enabling it to lend more. So banks have stocked up, especially on CDOs. If they were forced to sell securities that had been downgraded, liquidity could dry up.

然而，质疑本身十分重要。巴塞尔协议II提出对银行资本的新条例，规定持有三A评级资产的银行可减少资本持有量。该条例一旦施行，银行将得以放松银根，加大贷款规模。面对如此前景，银行开始大量“囤积”以CDO为代表的结构化产品。但是，资产一旦降级，且银行被迫抛售证券，资本流动性也将消耗殆尽。（预言已经成为现实）

No one knows for sure what would happen to the value of the triple-A tranches in such a scenario. In this week's ratings downgrades, the highest-quality tranches of CDOs were unaffected.

市场变化莫测。作为一种投资组合，CDO包含三类证券份额，质量参差不齐，投资评级高低有别。本周的这轮降级虽未波及高等级的证券份额，但是市场的走向依旧扑朔迷离。

But the agencies are caught in a dilemma. They know that if the cherished triple-A rating is seen as devalued, it would undermine their credibility. Yet they earn so much revenue from CDOs that working with the banks and funds that structure them has proved irresistible.

信誉和金钱，评级机构难以取舍。如果三A评级信用度贬值，那么评级机构的招牌也难以幸免。可是，和银行与基金合作推出CDO能够带来大笔收入，结构化产品如此诱人的前景让其欲罢不能。

Some analysts argue that it would make sense to alter the labelling. John Mauldin, who writes a popular financial newsletter, argues that the ratings agencies should have created a new type of standard, using numbers like “CDO rank 1-10”. That way a triple-A mark would still stand for a port in a storm.

一些分析家认为可以改变评级的称呼，比如单独为CDO建立评级体系，命名为CDO1级至10级。若此，风雨飘摇的市场上，三A评级黄金标杆的地位将屹立不倒。

 

 

后记：

 

山雨欲来，评级下降拖累资产估值，连带地产、银行、保险一起，金融地产坠入深渊，标杆不是倒下，而是被连根拔起。美元大跌，金价狂涨，虚拟的经济比虚拟的网络更为脆弱。

去年，次贷风波刚起时，经济学家还在反省地产泡沫的成因。有些把此归因于网络泡沫后美联储过快的提息，可一眨眼，利息已经垂直起飞了。

上世纪二战后建立的世界金融体系濒于崩溃，这是索罗斯的原话，是否耸人听闻，2008年将会给出答案。

 

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