你真的看懂《大空頭》了嗎？談談次貸危機的真實始末（下）

作者：蔡逸

華爾街的精英們通過將證券化的資產進行分層管理，優先層（Senior tranche）、夾層（Mezzanine tranche）、次級層（Equity tranche）三個層級依舊無法滿足華爾街精明的金融從業者對於利益最大化的貪婪本性，然而這些錙銖必較的葛朗台們並未做出什麼流芳百世的金融創新品，在他們眼中利益最大化的唯一方式就是繼續分層、分層、在分層。

一、CDO （債務抵押債券）

Financial engineers created an ABS from the mezzaninentranches of ABSs that were created from subprime mortgages. This is known as annABS CDO or Mezz ABS CDO（collateralized debt obligation ）.

金融工程師們將ABS中的夾層帶進行繼續分層，再次分為優先層、夾層、次級層三層，此方式稱為ABS CDO，即債務抵押債券。

Financial institutions and other investors who had boughtnthe tranches of ABSs and ABS CDOs lost money. Losses were also incurred by somenmortgage originators because they had provided guarantees. Investors becamenreluctant to take any credit risk and preferred to buy Treasury instruments.

It was difficult for many nonfinancial companies tonobtain loans from banks. Banks became reluctant to lend to each other andninterbank lending rates increased sharply.

後來，金融機構和其他投資者均因購買ABS和ABS CDOs而虧損，虧損的主要是由於具有擔保身份的抵押發起人違約所造成的。因該類產品的投資虧損致使大量投資者避而遠之並將其手頭資產流入保值性較高的債券市場。因該類產品的高風險致使非金融機構在銀行貸款難度逐漸增加，且銀行間借款難度隨之加大，銀行間拆借利率大幅上升。

The tranches of ABSs and ABS CDOs were downgraded bynrating agencies in the second half of 2007. The market for these tranchesnbecame very illiquid. Banks suffered huge losses.?

There were many government bailouts of financialninstitutions. Lehman Brothers was allowed to fail.?The world experienced the worst recession since the 1930s.?Even people in remote parts of the world that had nonconnection with U.S. financial institutions were affected.?Banks are now required to keep more capital than before,nmaintain certain liquidity ratios.

以上一系列的原因致使評級機構於2007年下半年降低對於ABS和ABS CDOs的評級，這一舉動也致使該類資產流動性大幅降低，銀行遭受巨大損失。諸多金融機構在政府救濟下維持生計，最具有代表性的破產便是具有158年歷史的投行--雷曼兄弟的轟然倒下，這也昭示著全球正經歷著自上世紀三十年代以來最嚴重的經濟衰退，銀行為規避風險大幅增加備用金，遠在世界盡頭的他國百姓因經濟全球化的原因已深受其害。

二、CDS （信用違約互換）

In a Credit DefaultnSwaps contract, a protection buyer (say A) pays a premium to the protectionnseller (say B), in exchange for payment if a credit event occurs. If there is andefault, the buyer receives a payment, which limits the buyer』s downside risk. Anlong position in a corporate bond, is equivalent to a long position in a risk-freenbond plus a short position in a credit default swap. ?

在信用違約合約中，信用保障承買人需向信用保證出售人支付一份保險費，以此來抵禦信用違約事件的發生。一旦違約產生，購買人將會得到一筆用於抵禦風險的補償金。一個買進位置的企業債券相當於買進一份無風險債券加上一份看跌的信用違約互換。

n下圖邏輯可有助於大家對於該衍生品的理解：

通俗來講，CDS是指買方在有抵押下借款給第三方（欠債人）而又擔心欠債人違約不還款，就可以向CDS的賣方購買一份有關該債權的合約，買方會定期向賣方支付一定的費用，賣方則承諾在合約期間，若所指定資產出現信用事件時，會向買方賠償相應的損失。電影《大空頭》中幾位眼光獨到的投資鬼才正是預感到危機才大幅做空CDS最終而獲得巨大收益。

三、究其金融危機的原因，主要有：

Irrational exuberance: people thought that U.S. housenprices would continue to increase. Products were developed to enable mortgagenoriginators to profitably transfer credit risk to investors. Rating agenciesnmoved from their traditional business of rating bonds to rating structurednproducts: little historical data.

美國群眾始終認為房價降持續上漲的非理性繁榮和金融創新產品致使抵押貸款發起人所承擔的信用風險轉移至投資者身上是此次危機的根本原因。相比較對於傳統債券的評級，評級機構在結構化產品方面的評級經驗較少，數據量相對不足；

刺激金融危機加重的主要原因有：

The incentive of the originators of mortgages: make loansnthat would be acceptable to the creators of the ABS and ABS CDO tranches.

Incentive of the individuals who valued houses: pleasenthe lender by providing as high a valuation as possible so that thenloan-to-value ratio was as low as possible.

Incentive of ABSs and ABS CDOs: they wanted the volume ofnAAA-rated tranches that they created to be as high as possible.

Incentive of the rating agencies: were paid by thenissuers of the securities they rated.

Incentive of the employees: the bonus.

抵押貸款發起人的刺激：此類借款申請均會被ABS或者ABS CDOs的所接納，致使不良貸款項目逐漸增多；

房屋估值人的刺激：放款人會通過過高估值房屋價值的方式來降低貸放率；

ABSs和ABS CDOs的刺激：此類資產擔保證券大幅增加AAA評級的資產數量，致使夾層和次級層資產數量降低，增加優先層的風險。

評級機構的刺激：評級機構的評級標準被債券發起人所操縱；

員工的刺激：虛高的獎金致使員工敢於博弈。