Mortgage losses

按揭损失

Move over, subprime

次按之上

2009年2月5日 | 纽约 
《经济学人》印刷版

Decay is spreading to the upper floors of America’s mortgage market

美国按揭市场的上层部分正在变质

Reuters

THE days when subprime mortgages were what kept bankers awake at night are long gone—though thanks only to the barrage of explosions in other corners of finance. In terms of toxicity, however, subprime has had no equal. Until now, perhaps. Even as credit markets, particularly corporate-debt markets, show some signs of improvement, mortgage loans to supposedly better-heeled Americans are souring at a gut-wrenching rate.

由于金融业接二连三地爆发出其它问题，次按已不再让银行家们彻夜不眠。就其毒性而言，次按一直以来可谓首屈一指，但往后就可能未必如此了。即便信贷市场，尤其是公司债券市场，有复苏的迹象，收入相对较好的那部分美国人所负担的按揭贷款却正在以惊人的速度变质。

Of particular concern are “Alt-A” mortgages, offered to borrowers sandwiched between subprime and prime. This market was trumpeted as a means of extending home ownership to those, such as the self-employed, with a reasonable credit standing but unsteady income. Its practitioners specialised in loans with scant documentation and exotica such as negative-amortisation mortgages, which allow borrowers to pay less than the accrued interest, with the difference added to the loan balance.

其中最让人担心的是所谓的次优按揭贷款，这种产品针对那些信贷状况在次级抵押贷款（subprime mortgage）和优惠抵押贷款（prime mortgage）所规定的标准之间。该产品的上市让那些信贷记录基本良好但收入不固定的自雇人士居者有其屋，因而得以名噪一时。从业者们把这种贷款做成了一种对证明文件要求极低并可以具有负按揭等新奇特色的产品。负按揭是指贷款者可以支付少于累计的利息，但少付的那部分利息会被算入贷款余额。

That Alt-A has troubles comes as no surprise. Last summer, for instance, it helped to bring down IndyMac, a Californian bank. But the speed with which loans have soured in recent months, and the reaction of rating agencies, have been startling. Delinquencies rocketed in the final months of 2008. They even rose sharply for loans made in 2005, before underwriting turned really sloppy (see chart).

次优按揭出问题并不奇怪。举个例子，就在去年夏天，加利福尼亚的一间银行IndyMac因次优按揭而倒闭。但最近几个月贷款变质的速度，以及评级机构的反应之强烈，都让人目瞪口呆。2008年末几个月，违约事件飙升。甚至连2005年发放贷款的违约率也在快速攀升，而2005那时年房贷发放还未变得像后来那么草率（如图）。

The rating agencies are rushing to catch up with this grim reality. Moody’s, which last summer had issued a sanguine outlook for Alt-A, recently quadrupled its loss projections on bonds backed by such loans. A steady flow of downgrades has turned into a flood in recent weeks, with thousands of Alt-A tranches taking the plunge. The falls have been unusually steep: of the $59 billion of AAA-rated securities that Moody’s cut between January 29th and February 2nd, an astonishing 91% went straight to junk, according to Laurie Goodman of Amherst Securities. In ratings terms, Alt-A is doing worse than subprime.

评级机构正匆忙地应付这个可怕的事实。去年夏天，穆迪还曾对次优按揭持乐观态度，现在它预计这些按揭所支持的债券将产生四倍于以往的损失。评级下调的个案如排山倒海般地增加，成千上万的次优按揭纷纷跳水。而评级跳水之深非同寻常：安姆斯特证券（Amherst Securities）的劳里·古德曼指出，穆迪于1月29日和2月2日之间评估的总市值为590亿美元的AAA评级证券，其中91%的评级直接降到垃圾级，这相当惊人。就评级而言，次优按揭比次级按揭还要差。

Moody’s calls this “unprecedented”. That is putting it mildly. It now expects losses for 2006-07 Alt-A securitisations to top 20%, compared with an historical average of well under 1%. In an ugly echo of the fiasco over collateralised-debt obligations, holders lower down the structure can expect total write-offs, while the vast majority of senior holders will not be spared substantial losses.

穆迪称此“史无前例”。这还是比较温和的说法。穆迪如今预计2006-07年发行的次优证券的损失将达20%，远高于不到1%的历史均值。与担保债务凭证的惨败类似，次优按揭担保证券下层结构的价值将完全蒸发，而广大上层结构的价值也难免遭受重大的损失。

The sums involved are depressingly large. In the worst case, losses on the $600 billion of securitised Alt-A debt outstanding—roughly the same as the stock of subprime securities—could reach $150 billion, reckons David Watts of CreditSights, a research firm. Analysts at Goldman Sachs put possible write-downs on the $1.3 trillion of total Alt-A debt—including both securitised and unsecuritised loans—at $600 billion, almost as much as expected subprime losses. Add in option ARMs, a particularly virulent type of adjustable-rate loan, many of which are essentially the same as Alt-A, and the potential hit climbs towards $1 trillion.

损失总额会很大，大到让人绝望。据CreditSights的David Watts分析，在最坏的情况下，总额与次按相当的6000亿美元的次优按揭贷款将产生1500亿损失。高盛的分析师则称包括证券化以及非证券化总额为1.3兆亿美元的次优按揭贷款将损失6000亿美元，几乎与次按预计的损失相同。这还未算上一种叫做期权可变利率的按揭贷款（option ARM），它毒性很强，但很多情况下和次优按揭基本相同。加上它的话，损失将达1兆亿美元。

Part of the problem is that much of the Alt-A lending came at the tail-end of the credit boom in late 2006 and early 2007. By then, subprime was already getting a bad name. So Wall Street hit on a ruse: it took borrowers who in normal times would have been subprime and dressed them up as “mid-prime”. Many of these loans were doomed from the start. According to the Bank for International Settlements, a staggering 40% of American mortgages originated in the first quarter of 2007 were interest-only or negative-amortisation loans.

问题的部分原因在于很多次优按揭贷款发放于2006年末到2007年初，这段时期正好是信贷膨胀的末期。那时候，次按已经臭名远扬。华尔街的投行们因此耍了一个伎俩：它们找来通常只能发放次按的客户，把他们的信用状况包装一下，并发放“中级优惠”按揭贷款。这批贷款很多从一开始就注定劫数难逃。国际清算银行称，美国2007年第一季度发放的按揭贷款中，高达40%是那些纯利率或负按揭的贷款。

In theory, interest-rate declines over the past year should offset the “payment shock” felt by borrowers whose loans reset from low teaser rates to higher ones. But house prices have fallen so steeply that perhaps half of all Alt-A borrowers are in negative equity; for many, walking away may seem the best option. Moreover, option-ARM borrowers who had not expected to start repaying principal until 2015 or later may now have to do so as early as this year, because they are hitting triggers that recast the loan early. Government efforts to stem foreclosures should help these unfortunates, though they may do little for owners of mortgage-backed bonds, who could face higher losses as a result of “cramdowns”, in which bankruptcy courts order a reduction in the principal owed.

照理来讲，去年利率下调了几次，对于那些初期低息、而后高息的按揭借款人士而言，他们经受的所谓“还款惊魂”理应得到缓解。但住房价格下跌之深，可能使约半数的次优按揭贷款人士变成了负资产。对他们而言，一走了之可能是最好的选择。此外，期权可变利率按揭贷款的借款人原本可以到2015年或更晚才开始偿还本金，但一些条款被触发而导致本金还款期提前，因此有些不得不今年就开始偿还本金。政府阻止房屋提前收回的举措或许能够帮助这些不幸的人士，但对于按揭支持债券的持有人而言，他们将由于破产法院的“强制批准”而面对更高的损失，因为在“强制批准”中法院会强制下调借款人所欠本金。

Alt-Aaaaaargh

次优啊次优

The pain will be felt across the financial industry. Insurance firms, which gobbled up large but unknown quantities of highly rated Alt-A paper, will now be forced sellers since they are not permitted to hold securities rated below investment grade.

整个金融业将感到切肤之痛。保险公司先前吞下了大量但数目不详的高评级次优证券，现在将被迫清仓，因为它们持有的证券不得低于投资评级。

Banks have already sold a sizeable chunk of their Alt-A holdings to hedge funds and other asset-management firms, often at large discounts. UBS’s exposure has fallen from $26.6 billion to just $2.3 billion, for instance. But other European banks were not so zealous. ING, a Dutch bank, still has €27.7 billion ($35.1 billion) of Alt-A debt. American banks are sitting on perhaps $800 billion of the stuff.

银行则已经将很大一部分的次优按揭大打折扣地转让给了对冲基金以及其它资产管理公司。比如，瑞士银行的敞口已从266亿美元减至23亿美元。但其它欧洲银行就没那么积极了。ING，一个荷兰的银行，仍然持有277亿欧元（折351亿美元）的次优贷款。美国的银行目前总共持有8000亿美元。

As the market prices of mortgage securities have fallen, banks have had to mark down their holdings, taking “unrealised” losses that erode their capital position. Multi-notch downgrades could put further downward pressure on prices. They hit capital in another way, too, because junk-rated debt carries a punitive risk weighting; banks must set aside five times as much capital as they have to for top-notch securities. Rating cuts also affect income statements, by pushing banks to acknowledge that losses which they had classified as temporary are now permanent.

随着按揭证券市价的下跌，银行需要减记它们的持有量，接受“未实现”的损失。这些“未实现”的损失将腐蚀它们的资本充足率。按揭证券的大幅降级会进一步压低价格。银行资本还受到来风险加权的冲击，因为评级为垃圾的债务需要采取惩罚性加权，这意味着银行必须为它们准备更多的资本金，高达顶级评级证券所对应的五倍。评级下跌也影响银行的利润表，因为之前归入临时的损失现在成为了永久性损失。

The weakest may now need to raise fresh equity. If they are lucky, banks will be able to palm some of the risk on to governments via asset guarantees or “bad banks” that assume their noxious assets. The Dutch government has agreed to bear the risk on much of ING’s Alt-A holdings, and Citigroup’s $11.4 billion exposure to Alt-A bonds falls under a guarantee that formed part of its November bail-out. It will receive further help from the industry-wide bank-rescue package that the Obama administration is preparing.

受打击最大的银行现在可能需要注入新鲜的资本了。如果运气好的化，银行或许还可能将部分风险通过资产担保转嫁给政府，或让“坏银行”持有它们的有毒资产。荷兰政府已经同意承担ING的大部分次优资产的风险。去年11月达成的解救措施，让花旗集团114亿美元的次优债券敞口得到担保。

What the taxpayer will get in return is far from clear. Officials are still wrestling with how to value beaten-up mortgages. Assessing the worth of Alt-A loans can be especially tricky because they are maddeningly heterogeneous, thanks to a broad assortment of payment options. Less rigorous banks carry some holdings at around 60 cents on the dollar. Morgan Stanley’s are marked at half that. Its shares have rebounded recently, partly on hopes that it will be able to write up these securities once the government unveils its bail-out.

纳税人所能得到的回报很不明朗。政府官员们仍在努力想办法计算缩了水的按揭价值。而次优贷款的价值尤其难以评估，因为这些贷款千奇百怪，其还款方式千差万别。一些银行将1美元次优按揭的账面价值粗略折算为60美分。摩根史坦利则将其账面价值打对折计算。这家投行的市值最近反弹了一些，部分原因是投资者期望一旦政府出手解救其次优按揭的账面价值将可以回升一些。

The biggest single Alt-A casualties are America’s bungling mortgage agencies, Fannie Mae and Freddie Mac. They waded into the market in 2006-07, snaffling up business in red-hot states such as California and Arizona, comforted by down-payments of 20%. When house prices there fell by more than that, they were left holding the first loss, since borrowers who put in that much equity do not have to take out mortgage insurance.

房贷美和房利美，美国的两家糟糕的按揭中介，是次优按揭的最大牺牲品。它们于2006-07年开始在这个市场狼吞虎咽，将加利福尼亚和阿里桑拿等白热化市场的生意一扫而空。它们收取20%的首付款，并感觉良好。一旦住房价格跌破20%，它们首当其冲承受损失，因为交了20%首期的借款人不需要购买按揭保险。

Rotten as Alt-A loans are, worse may be to come. As unemployment in America heads towards 8%, even strongly underwritten loans will go bad. Bankers are growing increasingly anxious about the $1.1 trillion of prime mortgage loans and securities, much of which they held on to themselves, assuming it to be bombproof. This sits on their books at “much more optimistic” values than lower-grade mortgages, says one. Some 70% of prime securities will eventually have their ratings cut, according to a “downgrade-o-meter” produced by JPMorgan Chase. As Guy Cecala of Inside Mortgage Finance, a newsletter, puts it: “The mortgage storm’s first wave was subprime. Now we are being buffeted by Alt-A. But a bigger wave is on the horizon, and it cuts across all loan types.”

次优按揭已经糟糕头顶，但更坏的还在前面。一旦美国的失业率达到8%，再优质的贷款也要变质。银行正越来越担心它们帐上价值1.1兆亿美元的优质按揭贷款和其证券。其中很大一部分是银行自己持有的，因为它们认为这部分资产坚如磐石。据一位业内人士称，银行对这些资产的估值“远远乐观于”次一级的按揭。Inside Mortgage Finance的Cecala指出，“按揭风暴的第一波是次按。目前我们正在经受次优的打击。但一波更大的冲击正蓄势而来，那将横扫整个贷款市场。”