全球金融危機續集即將上演

The financial scene is familiar, the stuff of films like Inside Job and The Big Short. Rocket-scientist financiers buy up billions of dollars of risky loans and repackage them into complex investments with multiple layers of debt. Credit rating agencies classify the top layers as triple A. Institutional investors, including pension funds and charitable organisations, flock to buy these apparently risk-free yet high-yielding investments. Tension builds.

這幅金融景象非常熟悉，都是《監守自盜》(Inside Job) 和《大空頭》(The Big Short，見上圖)等電影中的場景。金融能手們購買了數十億美元的高風險貸款，並將它們重新打包爲帶有多層次債務的複雜投資產品。信用評級機構將最高層債務評爲AAA。包括養老基金和慈善組織在內的機構投資者競相購買這些貌似無風險但高收益的投資產品。緊張不斷加劇。

But the year is not 2006 or 2007. It is today. While the US administration talks of repealing Dodd-Frank, the reality is that regulators have been flouting that law for years and now the shadow financial markets are frothing. Almost a decade after the global financial crisis, the sequel has arrived.

但這不是2006年或者2007年的情景，而是現在。儘管美國政府談論廢除《多德-弗蘭克法案》(Dodd-Frank Act)，但現實情況是，監管機構多年來一直無視這部法律，現在影子金融市場出現了泡沫。在全球金融危機爆發近十年後，續集來了。

The central culprit this time is the collateralised loan obligation. Like its earlier esoteric cousins, a CLO bundles risky low-grade loans into attractive packages and high credit ratings. In May, there were two deals of more than $1bn each, and experts estimate that $75bn worth are coming this year. Antares Capital recently closed a $2.1bn CLO, the largest in the US since 2006 and the third-largest in history. Although most of the loans underlying these deals are of “junk” status, more than half the new debt is rated triple A. Sound familiar?

這次的罪魁禍首是“貸款抵押債券”（collateralised loan obligation，簡稱CLO）。與早先晦澀難懂的產品一樣，CLO是將高風險的低評級貸款打包爲具有吸引力和高評級的投資產品。今年5月有兩筆CLO發行，每筆都超過10億美元，專家們估計今年還會有價值750億美元的CLO發行。Antares Capital最近完成了一筆21億美元的CLO發行，這是美國自2006年以來規模最大、歷史上第三大的CLO交易。儘管這些協議中的大多數貸款是“垃圾”級別，但逾半數新債券是AAA評級。聽起來很熟悉是吧？

During the early 2000s, similar highly rated deals called collateralised debt obligations were popular. At first, they seemed harmless, or at least not so big that their collapse could cause financial contagion. But when regulators ignored their growth, they became more opaque and more profitable, with credit ratings disconnected from reality. Like cracks in a building’s foundation, the risks seemed minor at first. But high ratings hid the instability of the entire structure. Until it was too late.

在本世紀初，名爲“債務抵押債券”（collateralised debt obligation，簡稱CBO）的類似高評級產品非常流行。最初，它們似乎沒啥危害，或者至少危害沒有大到它們的崩盤可能蔓延至整個金融行業的程度。但是在監管機構忽視其增長的時候，它們越來越不透明，而且利潤越來越高，信用評級與現實脫節。與房屋地基出現裂縫一樣，這些風險最初似乎很小。但高評級掩蓋了整個結構的不穩定性。直到最後爲時已晚。

Dodd-Frank was supposed to stop these credit-rating ploys. But the Securities and Exchange Commission has permitted the agencies to dodge that law. While Dodd-Frank imposed liability on the agencies for false ratings, the SEC exempted them. Likewise, Congress barred the agencies from getting inside information about issuers they rate, but the SEC permitted that, too. As CLOs grow, the cracks are spreading again.

《多德-弗蘭克法案》本有望阻止這些信用評級的花招。但美國證交會(SEC)允許這些機構規避該法。儘管《多德-弗蘭克法案》會讓這些機構爲錯誤評級承擔責任，但證交會免除了它們的責任。同樣，國會禁止這些機構獲取有關它們所評級的發行人的內部信息，但證交會同樣允許這麼做。隨着CLO的發展，裂縫再次擴散。

Last Christmas Eve, the so-called risk-retention rule of Dodd-Frank took effect, requiring that arrangers of these complex deals keep a slice of the downside. But clever financiers arranged for third parties to take on this risk.

在去年聖誕節前夕，《多德-弗蘭克法案》的所謂風險自留規則生效，要求這些複雜協議的組織者承擔一部分風險。但聰明的金融家安排第三方來承擔這種風險。

The credit rating agencies, particularly Moody’s Investors Service and S&P Global Ratings, are the central actors in this story, just as in the original. The computer programs they use to assign triple-A ratings remain flawed. Because loan defaults can come in waves, mathematical models should account for “correlation risk”, the chance that defaults might occur simultaneously. But the models for CLOs assume correlations are low. When defaults occur at the same time, these supposed triple-A investments will be wiped out. CLOs are just CDOs in new wrapping.

信用評級機構，尤其是穆迪投資者服務公司(Moody's Investors Service)和標普全球評級(S&P Global Ratings)，是這種故事的主角，就像原版金融危機一樣。它們用來評定AAA評級的計算機程序依然存在缺陷。因爲貸款違約可能蜂擁而來，數學模型應該考慮“關聯風險”，即違約同時爆發的可能性。但CLO的模型假定關聯風險很低。當違約同時出現的時候，這些所謂的AAA投資產品將會血本無歸。CLO只是換了包裝的CDO。

Some experts say this time it is different. Earlier this month, Ashish Shah, a managing director of Madison Capital Funding, a subsidiary of New York Life, told a roundtable of CLO experts they should not worry about defaults in 2017. “The appetite for assets is ferocious,” he said. Pension funds, insurance companies and university endowments are demanding both safety and high returns. CLOs seem to offer both.

一些專家說，這次有所不同。7月早些時候，隸屬紐約人壽保險(New York Life)旗下的麥迪遜資本融資(Madison Capital Funding)的董事總經理阿希什?沙阿(Ashish Shah)告訴一衆CLO專家們，他們在2017年不必擔心違約問題。他說：“人們對資產的渴望非常強烈。”養老基金、保險公司和大學捐贈基金會既要求安全性，又要求高回報。CLO似乎滿足這兩個要求。

A new Office of Credit Ratings within the SEC is supposed to provide a check on this appetite. But when I sent a Freedom of Information Act request, seeking to identify which credit rating agencies have been found to violate SEC rules, the regulators refused to divulge names. Violators remain anonymous.

美國證交會內部新設立的一個信用評級辦公室本應爲這種渴望把關。但是當我依據《信息自由法》(Freedom of Information Act)發出詢問函，尋求確認哪些信用評級機構被發現違反了證交會法規的時候，監管機構拒絕透露名字。違規者依然沒有被公諸於衆。

It is hard to police the financial markets. New business school graduates are inevitably one step ahead of their regulator counterparts, and many of the least creditworthy businesses find it easy to borrow, because their loans can be quickly repackaged and sold. During the debates about Dodd-Frank repeal, legislators should keep their eyes on these complex investments and the agencies that facilitate them.

金融市場很難管。商學院的新畢業生必然比監管機構的新人領先一步，許多最沒有信譽的企業之所以發現很容易借到錢，是因爲它們的貸款可以被迅速重新打包賣出。在圍繞《多德-弗蘭克法案》廢除與否的辯論中，立法者應該密切關注這些複雜的投資產品，以及助長這些投資產品的機構們。

Some might claim CLOs are different or smaller, or that regulators are better prepared today, or that business loans could not possibly default all at once, as home mortgage loans did. But similar arguments were made about risks during the early 2000s, before they spread to the major banks and AIG, and the markets spiralled out of control.

一些人可能宣稱，CLO有所不同，或者規模較小，或者監管機構如今準備更爲充分，或者企業貸款不可能像住房抵押貸款那樣同時違約。但在本世紀初，在風險蔓延至大銀行和美國國際集團(AIG)、市場逐漸失控之前也存在類似的觀點。

To avoid an even bigger crisis, regulators should heed warnings about financial dysfunction and hidden risks now, before the cracks spread.

爲了避免一場更大危機的到來，監管機構應該在裂縫擴散前注意金融市場失靈和隱藏風險的跡象。