????“看到這種行為，人們可能會得出結(jié)論：大銀行全都愚不可及，”結(jié)構(gòu)融資交易研究公司R&R Consulting聯(lián)席主管西爾萬?雷恩斯說?！斑@好比用四個2.5毛的硬幣換取一美元，不過它們得到的可能是89美分。因此，對于一般的觀察人士而言，銀行家們整日跑上跑下其實什么也沒干。但事實是，金融監(jiān)管是非理性的。一旦考慮到這一因素，銀行的行為就很好理解了?！?/p>

????摩根大通拒絕對其CLO頭寸置評，只是強調(diào)相關(guān)信息已經(jīng)在提交給美國證券交易委員會（SEC）的文件中進行了披露。富國銀行和花旗集團也拒絕發(fā)表評論?？傮w上，銀行家們表示，CLO能促進投資多元化。而CLO現(xiàn)在之所以大行其道是因為它們的浮動利率，意味著利率上升時它們不會貶值。此外，銀行家們指出，和其他結(jié)構(gòu)性產(chǎn)品不一樣的是，CLO撐過了金融危機，實際損失很少。這提振了它們安全性的聲譽。更重要的是，CLO占銀行整體資產(chǎn)的比例還非常小，而四大銀行總資產(chǎn)已經(jīng)超過1萬億美元。

????但是，CLO市場幾乎所有的參與者（包括很多銀行家）都表示，銀行購買CLO的一個最大原因與法規(guī)有關(guān)。金融改革本應(yīng)杜絕監(jiān)管套利（銀行用一種資產(chǎn)交換另一種類似資產(chǎn)，以便能夠提高杠桿水平，而這通常會增加風險）。

????但是，監(jiān)管套利并沒有在CLO市場被杜絕。根據(jù)美聯(lián)儲（Federal Reserve）在7月初批準的最新資本監(jiān)管要求，公司貸款的風險權(quán)重為100%。而CLO評級為AAA的部分（銀行通常會買進的部分）只有20%的風險權(quán)重。它意味著，通過等額資本金，銀行可以投資的CLO資產(chǎn)規(guī)模可以高達標的高收益貸款金額的5倍。額外的資金來自借貸，從而提高銀行的杠桿水平。

????價格使得這樣的交易在CLO市場特別有吸引力。它正好迎合了銀行目前在低利率環(huán)境下尋求更高收益率的訴求。盡管銀行家們說CLO中AAA級的部分是相對安全的，這些債券往往帶來比類似抵押貸款支持證券或信用卡及汽車貸款支持債券高得多的收益率，而銀行針對這幾類資產(chǎn)的資金撥備水平是相當?shù)?。不過，雖然很少有CLO交易出現(xiàn)巨虧，但這些債券的價格在金融危機期間市場凍結(jié)之際也出現(xiàn)了大幅下跌。因此，這些交易并非完全沒有風險。

????如今，打包成CLO的一般貸款所支付利息約等于4%加倫敦銀行間同業(yè)拆借利率（Libor）。CLO的AAA級部分債券的收益率約為Libor加1.3%。它意味著，通過等額資本，銀行可以進行回報率基本達到6.5%而不是4%的投資。雖然它們將不得不支付額外融資的成本，但大銀行的融資成本相對較低。

????最近，一些監(jiān)管機構(gòu)對銀行為較低評級的公司提供大量信貸感到擔憂。今年四月，美國聯(lián)邦存款保險公司（Federal Deposit Insurance Corp.）通過了一項規(guī)則，迫使銀行根據(jù)它們的CLO頭寸規(guī)模支付更高的保費。美國聯(lián)邦存款保險公司（the Federal Deposit Insurance Corp.）根據(jù)規(guī)模和風險評估所有銀行所需支付的保險費用。CLO管理公司和銀行家們說，它導(dǎo)致一些銀行放緩了CLO收購步伐。而其他一些銀行已經(jīng)開始收購CLO中評級較低的部分，以提高收益率、彌補增加的保險金支出。最近監(jiān)管機構(gòu)已提出了新的規(guī)則，要求銀行針對所有投資撥備最低比例的資本金，無論它們的投資是杠桿貸款還是CLO。銀行家們稱，這個資本金要求沒有必要。他們同時表示，它將打擊銀行的貸款積極性。

????“對于銀行而言，它們玩的游戲向來都是以最小的投入和盡可能高的杠桿來獲得回報，”斯坦福大學（Stanford）工商管理研究生院（Graduate School of Business）教授阿那特?阿德瑪?shù)僬f。阿德瑪?shù)僦小躲y行家的新衣》（The Banker's New Clothes）一書，主張?zhí)岣哔Y本要求。 “這是很多玩法中的一種。” （財富中文網(wǎng)）

????譯者：默默

????"You might look at this behavior and draw the conclusion that big banks are pretty stupid," says Sylvan Raines, who co-heads R&R Consulting, a firm that examines structured finance deals. "It's like exchanging four quarters for a dollar, except they are only getting back 89 cents. So to the average observer it looks like bankers spend their days running around and doing nothing. But the truth is it's financial regulation that is irrational. Once you factor that in, the banks' behavior makes a lot of sense."

????JPMorgan declined to comment on its CLO holdings other than to point to its SEC filings. Wells and Citi also declined to comment. In general, bankers say CLOs offer diversification. And CLOs are popular now because they have floating rates, which means they won't drop in value when interest rates rise. Also, bankers point out that CLOs, unlike other structured products, made it through the financial crisis with few actual losses. That's bolstered their reputation as safe. What's more, CLOs still make up a very small portion of their overall assets, which for the big four banks is over $1 trillion.

????But almost everyone in the CLO market, including many bankers, say one of biggest reasons banks are buying CLOs has to do with regulations. Financial reform was supposed to stamp out regulatory arbitrage, in which banks are able to swap one similar asset for another in order to be able to increase their leverage, which generally increases risk.

????But that hasn't happened in the CLO market. Under the new capital rules, which were approved by the Federal Reserve in early July, loans to corporations have a risk weighting of 100%. The AAA slices of CLOs, which are the portion of the deals banks typically buy, have a risk weighting of only 20%. That means banks can invest five times as much in CLOs as they can in the underlying high-yield loans with the same amount of capital. The additional funds come from borrowing, which increases a bank's leverage.

????Price makes this trade particularly attractive in the CLO market. And it plays into the banks' current search for yield in a low-interest-rate environment. Despite the fact that bankers say the AAA portions of CLOs are relatively safe, the bonds tend to pay considerably higher yields than a similar investment in mortgage backed securities, or bonds that are backed by credit card or auto loans, on which banks would have to hold similar levels of capital. And while few CLO deals ended up blowing up, the prices of the bonds fell sharply during the financial crisis, as the market froze up. So the deals are hardly risk-free.

????These days, the average loan that goes into a CLO has an interest payment equal to about 4% plus Libor. The AAA portion of a CLO yields around Libor plus 1.3%. That means with the same amount of capital a bank can get investment that essentially pays a 6.5% return instead of 4%. They will have to pay some money to borrow the additional funds, but big banks can borrow pretty cheaply.

????Recently, a number of regulators have gotten worried about the amount of credit banks are extending to lower-rated companies. In April, the Federal Deposit Insurance Corp., which assesses an insurance fee on all banks based on size and risk, passed a rule that would force banks to pay a higher premium based on their CLO holdings. CLO managers and bankers say that has slowed the buying by some banks. Other banks have started buying lower-rated portions of the CLOs in order to boost their yield to make up for the added insurance payments. Recently regulators have proposed new rules that would require banks to hold a minimum amount of capital against all their investments, no matter if it's say a leveraged loan or a CLO. Bankers have called the additional capital rule unnecessary and said it would discourage lending.

????"The game for banks is always get the returns with as little skin in the game and as much leverage as possible," says Anat Admati, a professor at Stanford's Graduate School of Business, who has written a book called The Banker's New Clothes and pushed for high capital requirements. "This is one of the many ways to play the game."