付賣方。之後每個月由貸款服務公司負責收取 按揭還款，而貸款服務公司收到還款之後，會 將款項交給資金提供者（通常是包括銀行在內 的金融機構，簡稱FI），FI則從金融市場籌集資 金作為貸款來源。如遭違約，FI將承擔全部違 約責任，同時負責將資金還給金融市場的投資 者。換言之，第一和第二環節的相關方不會有 任何損失，因此他們也就沒有必要去全力確保 貸款人是否信譽良好，或符合貸款條件，他們 唯一注意到的只是這些「不太符合資格」的貸款 人持有的是「次級貸款」。另一邊廂，如果FI無 法負擔它要支付投資者的股息或利息而不得不 申請破產的話，最終的輸家將會是投資者。 那麼，如果整個過程存在著這麼多隱憂，投資 者為什麼還要投資FI呢？那是全拜「金融創新」 所賜！金融機構通過分拆的獨立實體（通常叫 做「特殊目的實體」，簡稱SPV）將不同按揭貸 款重新捆綁成各種級別的證券，以吸引不同風 險偏好的投資者，這個過程稱為「證券化」。 而為了推銷這些證券產品，SPV會聘請專業評 級機構（如穆迪、標準普爾等）進行評級，將 證券產品分成AAA（最高投資級別）的優級系 列、中級系列和最低級的股本系列。因為這些 稱為抵押擔保證券（MBS）或商業抵押擔保證券 （CMBS，如果標的資產是商業物業）的證券是 用標的資產做抵押，所以又稱為資產抵押證券 （ABS）。請注意，每一次證券化後形成 的證券大多數都屬於中級系列，但令人 難以想像的是，SPV再將幾個中級系列 的證券重新捆綁、評級，分成AAA級的 優級系列等，這些「二次證券化」之後形 成的證券稱為ABS債務抵押債券（ABS CDO）。這樣的證券化過程亦可無止境地 重複，通過捆綁類似證券形成新的CDOCDO等。若投資者擔心所購CDO會出現 違約，可以進行風險規避（類似購買汽 車保險，以抵銷萬一出事故將蒙受的損 失）。那麼，如何進行風險規避呢？就 是通過購買「信用違約互換」（簡稱CDS） 與另一間FI進行風險互換。美國國際集 團（簡稱AIG）就是為規避SPV違約風險 而售出太多此類CDS，迫使美國政府 不得不在必要時注入巨資救市。 那麼，在危機中到底是哪裡出了問 題呢？由於利率上漲，導致借款 mortgage servicers, who then pass the money to the fund provider, often a !nancial institution (FI) that was not necessarily a bank. The FI would raise money from the !nancial market to fund the mortgages. In case of default, it would be this FI that bore all the risk of default while paying back the investors in the !nancial market. In other words, participants in the !rst two steps would have no loss, and therefore no incentive to ensure the mortgagor was quali!ed or creditworthy for the loan. All they would note was that these “not very quali!ed” mortgagors held what was called “subprime mortgages”. At the other end, if the FI could not afford the dividend or interest payments it owed to the investors and therefore had to !le bankruptcy, the ultimate losers would be the investors. So, why did people invest in these FIs if the process operated in such an insecure manner? We can thank !nancial innovations! The FIs, often through spin-off separate entities called Special Purpose Vehicles (SPV), rebundled the different mortgages into new securities with various grades to attract investors with different risk appetites, a process called “securitization”. To be able to market these securities, rating agents such as Moody’s and Standard & Poor were employed to give each one a rating, from AAA (the top investment grade) “senior tranche”, to the middle “mezzanine tranche”, and to the lowest grade “equity tranche”. These are called mortgage backed securities (MBS), or commercial mortgage-backed securities (CMBS) if the underlying assets are commercial properties. And because there are underlying assets to back up these securities, they are also called asset-backed securities (ABS). Notice that the majority of each securitization is made up of the mezzanine tranche. What is unbelievable was that the SPVs of the FIs then bundled several mezzanine tranches and then re-rated them so that the top would be the AAA senior tranche, and so on. The securities from this second securitization are then called ABS CDOs to stand for “ABS collateralized debt obligations”. The securitization process can be replicated endlessly by bundling similar securities together to form CDOs of CDOs and so on. Any investor who worried that the CDOs he or she bought would default could always hedge the risk (that is, to offset the amount of risk-taking, similar to buying car insurance to protect against accidents). They did so by buying credit default swaps (CDS) which swap the risk with another FI. In an attempt to insure against default of SPVs, AIG (the American International Group, INC.) sold too many of these CDS and that created the need for the major bailout by the USA government. 作者為澳門大學工商管理學院副院長及金融系副教授，專門從事期權定 價模型、風險管理、不動產金融及管理學及行為金融學等方面的研究。 The author is the associate dean of the Faculty of Business Administration and associate professor of !nance at the University of Macau. She specialises in Option Pricing Models, Risk Management, Real Estate Finance and Economics, and Behavioural Finance, among others. 43
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