信用评级与次贷危机.docx
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信用评级与次贷危机.docx
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信用评级与次贷危机
MorganStanleyisselling$87.1millionofsecuritiesthatitexpectstoreceivetopAAAratingsand$42.9millionofnotesgradedBaa2,thesecond-lowestinvestmentgradebyMoody’sInvestorsService,accordingtomarketingdocumentsobtainedbyBloombergNews.ThebondswerecreatedfromGreywolfCLOILtd.,aCDOarrangedinJanuary2007byGoldmanSachsGroupInc.andmanagedbyGreywolfCapitalManagementLP,aninvestmentfirmbasedinPurchase,NewYork.
Twoyearsafterthecreditmarketsbegantoseizeup,costingtheworld’sbiggestfinancialinstitutions$1.47trillioninwritedownsandlosses,banksareagaintakingso-calledstructuredfinancesecuritiesandturningthemintonewdebtinvestmentswithtopcreditratings.WhiletheMorganStanleydealisthefirsttoinvolveCDOsofloans,bankshavebeendoingthesamewithcommercialmortgage-backedsecuritiesinrecentweeks.
Alotofbanksandinsurers“cannotbuyanythingbutAAA,”saidSylvainRaynes,aprincipalatR&RConsultinginNewYorkandco-authorof“ElementsofStructuredFinance,”whichisduetobepublishedinNovemberbyOxfordUniversityPress.“You’remanufacturingAAAoutofnotAAA,thereforeallowingthosepeoplewhohaveAAAwrittenontheirforeheadtobuy.”
CopyingRe-REMICs
NewYork-basedMorganStanleyiscopyingafinancingstructureknownasRe-REMICsthatbundlemortgagesecuritiesintonewbondsthatoftenofferinvestorsanadditionallayerofprotection,orcollateral,fromdowngrades.Credit-ratingcutsmaysometimesforceinvestorstosellthedebtandcausefinancialinstitutionsthatownthebondstoincreasecapital.
JenniferSala,aspokeswomanforMorganStanley,andGregoryMount,aGreywolfpartner,declinedtocomment.
Moody’sreducedthe$365milliontop-rankedportionofGreywolfinJunebysixlevelstoA3fromAaaasthedefaultrateontheloansintheCDOroseto7percent.Theratingcompanycut83loanCDOswiththetoprankingsfromMay28throughJune26,accordingtoWachoviaCorp.
RaisingCapital
Structuredfinancesecuritiesfueledthewritedownsandlossesattheworld’sbiggestfinancialinstitutionssincethestartof2007,helpingtoplungetheU.S.economyintotheworstrecessionsincethe1930s.Financecompanieshavebeenforcedtoraise$1.27trillionincapital,accordingtodatacompiledbyBloomberg.
CDOsparcelfixed-incomeassetssuchasbondsorloansandslicethemintonewsecuritiesofvaryingriskintendedtoprovidehigherreturnsthanotherinvestmentsofthesamerating.GreywolfisatypeofCDOcalledacollateralizedloanobligation,orCLO,whichfocusesondoingthesamewithcompanyloans.
Banksareusingre-REMICstoprotectagainstlossesonresidential-mortgagesecuritiesduringtheworsthousingslumpsincetheGreatDepression.
About$27billionofhome-loanbondRe-REMICshavebeenissuedthisyear,upfrom$17billionforall2008,accordingtoaJune12reportbyBankofAmericaMerrillLynch.Re-REMICstandsfor“resecuritizationsofrealestatemortgageinvestmentconduits,”theformalnameofmortgagebonds.
‘MakeMagic’
Thestrategyisincreasinglybeingusedforcommercialmortgagedebt.Standard&Poor’ssaidonJune26thatitmaylowertherankingson$235.2billionofbondsbackedbyloansonpropertiessuchasofficebuildingsandshoppingmalls.
Bankshaveissuedabout$2billionofthedebtinthelastthreeweeks,accordingtoBarclaysCapital.Thatcompareswith$5.8billionofsimilarofferingsinallof2008,CreditSuisseGroupdatashow.
“Somebodydoessomethinganditseemstomakemagic,andtheotherguysays‘Hey,let’sdothat,too,’”Raynessaid.
NewYork-basedGoldmanSachsplanstosell$216.9millionofrepackagedcommercialmortgagedebt,accordingtopeoplefamiliarwiththesalewhodeclinedtobeidentifiedbecausetermsaren’tpublic.There-REMICisbeingcarvedoutoffourbondssoldin2006,saidthepeople.MichaelDuVally,aGoldmanSachsspokesman,saidhecouldn’tcomment.
Inmostcases,theissuersofsecuritiesarecompanies,specialpurposeentities,stateandlocalgovernments,non-profitorganizations,ornationalgovernmentsissuingdebt-likesecurities(i.e.,bonds)thatcanbetradedonasecondarymarket.Acreditratingforanissuertakesintoconsiderationtheissuer'screditworthiness(i.e.,itsabilitytopaybackaloan),andaffectstheinterestrateappliedtotheparticularsecuritybeingissued.
Thevalueofsuchsecurityratingshasbeenwidelyquestionedafterthe2007/2009financialcrisis.In2003theU.S.SecuritiesandExchangeCommissionsubmittedareporttoCongressdetailingplanstolaunchaninvestigationintotheanti-competitivepracticesofcreditratingagenciesandissuesincludingconflictsofinterest.[1]
Acompanythatissuescreditscoresforindividualcredit-worthinessisgenerallycalledacreditbureau(US)orconsumercreditreportingagency(UK).
Contents
[hide]
∙1Usesofratings
o1.1Ratingsusebybondissuers
o1.2Ratingsusebygovernmentregulators
o1.3Ratingsuseinstructuredfinance
∙2Criticism
o2.1Oligopolyproducedbyregulation
∙3Listofcreditratingagencies
∙4TheBigThree
∙5CRAbusinessmodels
∙6Seealso
∙7Furtherreading
∙8References
∙9Externallinks
[edit]Usesofratings
Creditratingsareusedbyinvestors,issuers,investmentbanks,broker-dealers,andgovernments.Forinvestors,creditratingagenciesincreasetherangeofinvestmentalternativesandprovideindependent,easy-to-usemeasurementsofrelativecreditrisk;thisgenerallyincreasestheefficiencyofthemarket,loweringcostsforbothborrowersandlenders.Thisinturnincreasesthetotalsupplyofriskcapitalintheeconomy,leadingtostrongergrowth.Italsoopensthecapitalmarketstocategoriesofborrowerwhomightotherwisebeshutoutaltogether:
smallgovernments,startupcompanies,hospitals,anduniversities.
[edit]Ratingsusebybondissuers
Issuersrelyoncreditratingsasanindependentverificationoftheirowncredit-worthinessandtheresultantvalueoftheinstrumentstheyissue.Inmostcases,asignificantbondissuancemusthaveatleastoneratingfromarespectedCRAfortheissuancetobesuccessful(withoutsucharating,theissuancemaybeundersubscribedorthepriceofferedbyinvestorstoolowfortheissuer'spurposes).StudiesbytheBondMarketAssociationnotethatmanyinstitutionalinvestorsnowpreferthatadebtissuancehaveatleastthreeratings.
Issuersalsousecreditratingsincertainstructuredfinancetransactions.Forexample,acompanywithaveryhighcreditratingwishingtoundertakeaparticularlyriskyresearchprojectcouldcreatealegallyseparateentitywithcertainassetsthatwouldownandconducttheresearchwork.This"specialpurposeentity"wouldthenassumealloftheresearchriskandissueitsowndebtsecuritiestofinancetheresearch.TheSPE'screditratinglikelywouldbeverylow,andtheissuerwouldhavetopayahighrateofreturnonthebondsissued.
However,thisriskwouldnotlowertheparentcompany'soverallcreditratingbecausetheSPEwouldbealegallyseparateentity.Conversely,acompanywithalowcreditratingmightbeabletoborrowonbettertermsifitweretoformanSPEandtransfersignificantassetstothatsubsidiaryandissuesecureddebtsecurities.Thatway,iftheventureweretofail,thelenderswouldhaverecoursetotheassetsownedbytheSPE.ThiswouldlowertheinterestratetheSPEwouldneedtopayaspartofthedebtoffering.
Thesameissueralsomayhavedifferentcreditratingsfordifferentbonds.Thisdifferenceresultsfromthebond'sstructure,howitissecured,andthedegreetowhichthebondissubordinatedtootherdebt.ManylargerCRAsoffer"creditratingadvisoryservices"thatessentiallyadviseanissueronhowtostructureitsbondofferingsandSPEssoastoachieveagivencreditratingforacertaindebttranche.Thiscreatesapotentialconflictofinterest,ofcourse,astheCRAmayfeelobligatedtoprovidetheissuerwiththatgivenratingiftheissuerfolloweditsadviceonstructuringtheoffering.SomeCRAsavoidthisconflictbyrefusingtoratedebtofferingsforwhichitsadvisoryservicesweresought.
[edit]Ratingsusebygovernmentregulators
Regulatorsusecreditratingsaswell,orpermitratingstobeusedforregulatorypurposes.Forexample,undertheBaselIIagreementoftheBaselCommitteeonBankingSupervision,bankingregulatorscanallowbankstousecreditratingsfromcertainapprovedCRAs(called"ECAIs",or"ExternalCreditAssessmentInstitutions")whencalculatingtheirnetcapitalreserverequirements.IntheUnitedStates,theSecuritiesandExchangeCommission(SEC)permitsinvestmentbanksandbroker-dealerstousecreditratingsfrom"NationallyRecognizedStatisticalRatingOrganizations"(NRSRO)forsimilarpurposes.Theideaisthatbanksandotherfinancialinstitutionsshouldnotneedkeepinreservethesameamountofcapitaltoprotecttheinstitutionagainst(forexample)arunonthebank,ifthefinancialinstitutionisheavilyinvestedinhighlyliquidandvery"safe"securities(suchasU.S.governmentbondsorshort-termcommercialpaperfromverystablecompanies).
CRAratingsarealsousedforotherregulatorypurposesaswell.TheUSSEC,forexample,permitscertainbondissuerstouseashortenedprospectusformwhenissuingbondsiftheissuerisolder,hasissuedbondsbefore,andhasacreditratingaboveacertainlevel.SECregulationsalsorequirethatmoneymarketfunds(mutualfundsthatmimicthesafetyandliquidityofabanksavingsdeposit,butwithoutFederalDepositInsuranceCorporationinsurance)compriseonlysecuritieswithaveryhighNRSROrating.Likewise,insuranceregulators
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