BIS警告：CLO暗藏風險 市場規模已高過金融風暴前的CDO
鉅亨網編譯陳世傑
國際清算銀行 (BIS) 警告稱，在快速增長的貸款市場中，貸款標準正在惡化，而且銀行表外風險 (Off-Balance-Sheet Risk) 的複雜金融產品規模已與 2008 年金融風暴前夕相當，如果與它們有關係的對沖基金遭受損失，銀行可能會間接承擔抵押貸款義務。
近年來，隨著投資者通過購買對較低評級和較高風險公司的貸款來尋求更高的回報，將銀行貸款外包的貸款抵押債券 (CLO) 規模激增，銀行作為 CLO 的服務提供商，可能面臨比直接部位曝險更大的損失，從而加劇了財務壓力。
擔保債務憑證 (CDO) 被視為引發當年全球金融風暴的罪魁禍首，而如同擔保債務憑證 (CDO) 將美國次級抵押貸款捆綁成為複雜產品，CLO 也具有可掩蓋潛在風險的複雜結構。
儘管 CLO 不像 CDO 那麼複雜，而且未使用複雜的信貸衍生品，風險要來得低些，但二者的信貸標準寬鬆以及缺乏透明度卻是相同的。
國際清算銀行並警告，CLO 的集中度和流動性以及市場潛在的連鎖反應，已形成風險。投資者一窩蜂尋求更高收益率正導致貸款標準惡化，從而有可能在未來引發更大的損失。
What Is a Collateralized Loan Obligation (CLO)?
A collateralized loan obligation (CLO) is a single security backed by a pool of debt. Often these are corporate loans that have a low credit rating or leveraged buyouts made by a private equity firm to take a controlling interest in an existing company. A collateralized loan obligation is similar to a collateralized mortgage obligation (CMO), except that the underlying debt is of a different type and character—a company loan instead of a mortgage.
How a Collateralized Loan Obligation (CLO) Works
Loans—usually first-lien bank loans to businesses—that are ranked below investment grade are initially sold to a CLO manager who bundles multiple (generally 100 to 225) loans together and manages the consolidations, actively buying and selling loans. To fund the purchase of new debt, the CLO manager sells stakes in the CLO to outside investors in a structure called tranches. Each tranche is a piece of the CLO, and it dictates who will be paid out first when the underlying loan payments are made. It also dictates the risk associated with the investment since investors who are paid last have a higher risk of default from the underlying loans. Investors who are paid out first have lower overall risk, but they receive smaller interest payments, as a result. Investors who are in later tranches may be paid last, but the interest payments are higher to compensate for the risk.
KEY TAKEAWAYS
- A collateralized loan obligation (CLO) is a single security backed by a pool of debt.
- CLOs are often corporate loans with low credit ratings or leveraged buyouts made by private equity firms to take a controlling interest in a company.
- With a CLO, the investor receives scheduled debt payments from the underlying loans, assuming most of the risk if borrowers default.
There are two types of tranches: debt tranches and equity tranches. Debt tranches are treated just like bonds and have credit ratings and coupon payments. These debt tranches are always in the front of the line in terms of repayment, although within the debt tranches, there is also a pecking order. Equity tranches do not have credit ratings and are paid out after all debt tranches. Equity tranches are rarely paid a cash flow but do offer ownership in the CLO itself in the event of a sale.
A CLO is an actively managed instrument: managers can—and do—buy and sell individual bank loans in the underlying collateral pool in an effort to score gains and minimize losses. In addition, most of a CLO's debt is backed by high-quality collateral, making liquidation less likely, and making it better equipped to withstand market volatility.
CLOs offer higher-than-average returns because an investor is assuming more risk by buying low-rated debt.
Special Considerations for a CLO
Some argue that a CLO isn't that risky. A study by Guggenheim Investments, an asset management firm, found that from 1994 to 2013, CLOs experienced significantly lower default rates than corporate bonds. Even so, they are sophisticated investments, and typically, only large institutional investors purchase tranches in a CLO. In other words, companies of scale, such as insurance companies, quickly purchase senior level debt tranches to ensure low risk and steady cash flow. Mutual funds and ETFs normally purchase junior-level debt tranches with higher risk and higher interest payments. If an individual investor invests in a mutual fund with junior debt tranches, that investor takes on the proportional risk of default.
