次贷运：亚洲、中东、东欧国家才是次级债危机的最大输家

次级债“危机”也许是一个不折不扣的骗局！

感谢“atene”网友的信息，“知道次贷运在其英国《金融时报》的博客上爆料，美国次级债券的复杂包装根本是有意诈骗，对象就是国外投资人，包括中国的银行和政府机构在内！”

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

亲爱的投资者，
在过去的几个月里，我们看到了恶化的次级债问题，在以仓促的步伐加快。且慢… …我还以为次级债风险已经被美联储整齐地叠好放进了一个小箱子里？经过多次与券商和资产管理者的各领导人会议后，我认为次级债问题多的让你难以相信。为了次级债大规模的连锁反应问题，你必须深入探讨谁拥有最终的风险，以及次级债将如何影响他们的未来行为。
历史上最大的"诱饵和掉包计"
最近，我花了一些时间与高级行政人员接触，他们均来自世界上最大的经纪公司之一的结构化产品营销集团（CDO抵押债务权证，CLO抵押贷款权证等）。我是在西班牙的罗斯出席我一个朋友的婚礼时，他认为把我们两个人放在一起蛮合适（由于我们在结构化信贷市场有共同的兴趣）。这个人接着告诉我次级债的夹层CDO（Mezzanine CDO）业务如何存在以及为什么存在。次级债的夹层CDO是一种有着10 - 20倍的杠杆工具，仅包含了惠誉评级为BBB和BBB-的可转换次级债债务。他对我说，“真正的钱”（美国保险公司，养老基金等）的账户在2003年底已停止购买可转换的夹层CDO的次级债债务，他们需要一种机制能够对这些贷款进行标记并进行不透明化包装，然后将这些采用新包装的危险品出口给那些在亚洲和中欧的不知情的买主！！！他诚实地告诉我，这些夹层CDO是从可转换次级债中剔除风险最高的债券的唯一出路。很有意思的是，这些买家（中国大陆的银行，中国政府，台湾银行，朝鲜银行，德国银行，法国银行，英国银行）在全球范围内拥有"过剩"的流动性资金池。这些资金池基本上来自两个来源：1）巨大的对美贸易盈余，且以美元结算，2）石油美元再循环。迄今为止，这两个资金池的过剩资本都是以美元计价的，并且对美元计价的债务有不知疲倦的需求。他们的订单出现在华尔街不同的办公桌上以购买任何由美国评级机构评级为AAA的美国债务。 BBB和BBB-的可转换次级债债务是如何掉包成AAA评级的呢？通过夹层CDO的炼丹术。在评级机构的帮助下，夹层CDO经理搜集了一系列BBB和BBB-的可转换次级债债务，并用一个级联现金瀑布对此进行重新包装，使得在所有的转换中最高等级的首先支付，这样就可以被评级为AAA了。那么，当你仅仅使用10 - 20倍杠杆的夹层可转换次级债时，噗（吹气声）… 你神奇地拥有80 ％的由评级机构给出的结构化的AAA评级，无论其背后的抵押品是BBB或BBB-的抵押资产… 这个将成为世界上从未见过的最大的金融错觉。这些机构让这些投资品大部分以按面值或100美分标价。现在这些抵押品已开始被下调评级，这只是一个时间的问题（星期，几天，或者几个小时），然后评级机构（或是别的什么机构）开始对不同的结构的CDO按照其实际情况下调评级。当评级被下调，国外的买家将最有可能出售这些资产，因为事实上他们只被允许在美国冒的“超高”的风险。我估计这些可转换的夹层CDO的市值将约为10美分。随之而来的“恐怖秀”将使得资产价值仅等于入场券和爆米花。因此，当我听到人们喜欢Kudlow对CNBC的观众说次级债是“可控”的时候，我甚至不堪观赏。
“烫手的山芋”的道德风险
次级债问题存在的关键原因是由于今天人们的肆意挥霍与次级贷款的固有风险的分离。与1980年代的S&L危机不同，今天的借款人在借款时不用对自己的资产负债风险负责。这些经纪人也是只顾得到报酬数量不管贷款质量。资产负债表内的风险在90天内通过三个实体转移出去。最初的贷款方将整个贷款这个烫手山芋往下传递。在华尔街的公司整个贷款的买家都是很简单聚合的贷款，聚集，包装，批发，然后更快地卖给那些不知原委的买主。这种风险转嫁是次级债状况的焦点。试想一下… …如果你是一个20多岁的按揭贷款人，在加州使用的是别人的资产负债表，并支付百分之x的贷款（对贷款业绩无从考证），你将支付多少不三不四的可疑贷款呢？

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.

×  WYZXWK.COM

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