former office of JPMorgan Chase's London Whale is diving back into risk.

    According to several people familiar with the deals, JPMorgan's London chief investment office, which last year lost more than $6 billion betting on credit derivatives, is in the process of inking deals to buy significant portions of collateralized loan obligations, which are structured bonds that are backed by groups of loans to below investment-grade companies.

    John Timperio, a lawyer at Dechert who specializes in CLOs, says he is working on two deals right now in which JPMorgan (JPM) is expected to be the main buyer. One is for loans to mid-sized companies, which carry more risk, but higher yields. In another deal, JPMorgan is planning to buy nearly all of the highest-rated piece of the CLO. "It's a fairly large deal," says Timperio. "JPMorgan is back in this market."

    CLOs are not the derivatives that are in part credited with blowing up the mortgage market and are at the heart of a trial going on in lower Manhattan against former Goldman Sachs (GS) banker Fabrice Tourre. Those are collateralized debt obligations, or CDOs, which were backed by subprime home loans. But CLOs are close cousins.

    Banks make the loans, typically to companies with credit ratings of BBB or lower, and then sell them off to a CLO manager, who, with the help of a bank, packages up those loans into bonds that are sold off in slices based on risk. Despite the lower rating of the original loans, through the magic of securitization, about 60% of the bonds of a typical CLO get an AAA rating, which is the highest.

    Issuance of CLOs dried up in mid-2008 along with other structured finance deals. But unlike the risky mortgage deals that were inked during the financial crisis, CLOs have recently made a big comeback. Banks underwrote nearly $44 billion of the leveraged loan deals in the first half of the year, according to Thomson Reuters. That's up from $17 billion in the first half of 2011, and $11 billion in the year before that. The CLO market has slowed a little bit in the past month as interest rates have risen, but it's still on pace to nearly match the $92 billion in CLOs that were issued in 2007 when the market peaked.

    Perhaps the most surprising thing about the CLO revival is this: The entities that have emerged as the biggest buyers of the packages of risky bank loans are the banks themselves. JPMorgan holds more CLOs than any of its rivals. In the past two years, the bank has nearly doubled its holdings of CLOs to $27 billion, as of the end of the first quarter, which was the last time it disclosed its holdings. According to its filings, the CLOs were purchased by JPMorgan's chief investment office, which is the unit where Bruno Iksil, who was nicknamed the London Whale, worked. Three people confirmed that JPMorgan manages its CLO portfolio out of its London office. JPMorgan's CIO unit, which invests the bank's excess reserves, is now headed by Craig Delany, who took over for long-time CIO chief Ina Drew, who left shortly after the bank's multi-billion losses were revealed. JPMorgan slowed its CLO purchases in the wake of those losses. But it appears the bank is in the process of ramping up their purchases again.

    Wells Fargo (WFC) has been a buyer as well. It had $15 billion in CLOs at the end of March, up from $8 billion the year before. Citigroup (C) had about $4.5 billion in CLOs at the end of the first quarter, up from $3 billion the year before. Bank of America (BAC), in contrast, has largely decided to stay out of the CLO investment market. At the end of the first quarter, BofA held just over $700 million in CLOs.

    摩根大通（JPMorgan Chase）“伦敦鲸”曾供职的首席投资办公室正在重返高风险业务水域。

    据几位熟悉相关交易的人士称，摩根大通设在伦敦的首席投资办公室正在敲定收购大笔贷款抵押证券（CLO）的交易。CLO是结构化债券，由提供给评级低于投资级公司的贷款池支持。去年，摩根大通首席投资办公室因信用衍生品交易而亏损超过60亿美元。

    德克特律师事务所（Dechert）专攻CLO业务的律师约翰•蒂姆帕瑞阿说，他目前正在为两笔交易提供法律顾问服务，摩根大通有望成为主要买家。其中一笔CLO涉及向中型公司提供的贷款，所涉及风险更高，但收益率也更高。在另一笔CLO交易中，摩根大通打算将几乎所有评级最高的一部分收入囊中。 蒂姆帕瑞阿说：“交易规模相当大，摩根大通已经重新进入这个市场。”

    CLO并不属于在一定程度上导致此前美国住房抵押贷款市场崩盘的衍生金融产品，后者是曼哈顿下城正在对高盛（Goldman Sachs）前银行家法布里斯•图尔进行审判的案件的核心。那些衍生金融产品是债权抵押证券（CDO），是由次级住房抵押贷款支持的。不过，它们和CLO非常相似。

    银行发放贷款（通常面向信用评级为BBB或更低的公司），然后将它们卖给CLO管理公司。CLO管理公司在银行的协助下将这些贷款打包成债券，根据风险水平分级出售。尽管初始贷款的评级较低，通过资产证券化的魔力，典型CLO约60%的债券可以获得最高的AAA评级。

    2008年年中，CLO的发行量和其他结构性融资交易一样出现枯竭。但与金融危机期间签订的高风险抵押贷款交易不同的是，最近CLO强势卷土重来。汤森路透（Thomson Reuters）的数据显示，今年上半年各大银行共承销了近440亿美元的杠杆贷款交易，高于2011年上半年的170亿美元和2010年上半年的110亿美元。由于利率上升，CLO市场在过去一个月有所放缓，但今年仍然有望达到2007年市场见顶时的水平（920亿美元的CLO发行量）。

    CLO重新崛起最令人惊讶的一面也许是：高风险银行贷款支持的CLO的最大买家是银行本身。摩根大通持有的CLO资产比任何对手都要多。过去的两年中，这家银行持有的CLO资产几乎增加了一倍，达到了270亿美元（截至第一季度末，这是它最近一次披露CLO头寸的时间）。根据它提交给监管部门的文件，这些CLO由摩根大通的首席投资办公室购买。有“伦敦鲸”之称的布鲁诺•伊克西尔曾在这个部门就职。三位知情人士证实，摩根大通通过设在伦敦的首席投资办公室管理手头的CLO组合。摩根大通旗下首席投资办公室负责该行超额储备的投资，目前由克雷格•德拉尼主管。此前长期担任首席投资办公室主管的伊娜•德鲁在数十亿美元亏损曝光后不久离职。出现这笔巨额亏损后，摩根大通一度放缓了CLO资产的收购。但现在看来，这家银行正在再次加大收购力度。

    富国银行（Wells Fargo）也是一个大买家。截至三月底，富国银行持有150亿美元的CLO，高于上年同期的80亿美元。截至第一季度末，花旗集团（Citigroup）持有约45亿美元的CLO，高于上年同期的30亿美元。相比之下，美国银行（Bank of America）已经基本决定退出CLO投资市场。第一季度末，美国银行持有的CLO仅略高于7亿美元。

    "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."

    “看到这种行为，人们可能会得出结论：大银行全都愚不可及，”结构融资交易研究公司R&R Consulting联席主管西尔万•雷恩斯说。“这好比用四个2.5毛的硬币换取一美元，不过它们得到的可能是89美分。因此，对于一般的观察人士而言，银行家们整日跑上跑下其实什么也没干。但事实是，金融监管是非理性的。一旦考虑到这一因素，银行的行为就很好理解了。”

    摩根大通拒绝对其CLO头寸置评，只是强调相关信息已经在提交给美国证券交易委员会（SEC）的文件中进行了披露。富国银行和花旗集团也拒绝发表评论。总体上，银行家们表示，CLO能促进投资多元化。而CLO现在之所以大行其道是因为它们的浮动利率，意味着利率上升时它们不会贬值。此外，银行家们指出，和其他结构性产品不一样的是，CLO撑过了金融危机，实际损失很少。这提振了它们安全性的声誉。更重要的是，CLO占银行整体资产的比例还非常小，而四大银行总资产已经超过1万亿美元。

    但是，CLO市场几乎所有的参与者（包括很多银行家）都表示，银行购买CLO的一个最大原因与法规有关。金融改革本应杜绝监管套利（银行用一种资产交换另一种类似资产，以便能够提高杠杆水平，而这通常会增加风险）。

    但是，监管套利并没有在CLO市场被杜绝。根据美联储（Federal Reserve）在7月初批准的最新资本监管要求，公司贷款的风险权重为100%。而CLO评级为AAA的部分（银行通常会买进的部分）只有20%的风险权重。它意味着，通过等额资本金，银行可以投资的CLO资产规模可以高达标的高收益贷款金额的5倍。额外的资金来自借贷，从而提高银行的杠杆水平。

    价格使得这样的交易在CLO市场特别有吸引力。它正好迎合了银行目前在低利率环境下寻求更高收益率的诉求。尽管银行家们说CLO中AAA级的部分是相对安全的，这些债券往往带来比类似抵押贷款支持证券或信用卡及汽车贷款支持债券高得多的收益率，而银行针对这几类资产的资金拨备水平是相当的。不过，虽然很少有CLO交易出现巨亏，但这些债券的价格在金融危机期间市场冻结之际也出现了大幅下跌。因此，这些交易并非完全没有风险。

    如今，打包成CLO的一般贷款所支付利息约等于4%加伦敦银行间同业拆借利率（Libor）。CLO的AAA级部分债券的收益率约为Libor加1.3%。它意味着，通过等额资本，银行可以进行回报率基本达到6.5%而不是4%的投资。虽然它们将不得不支付额外融资的成本，但大银行的融资成本相对较低。

    最近，一些监管机构对银行为较低评级的公司提供大量信贷感到担忧。今年四月，美国联邦存款保险公司（Federal Deposit Insurance Corp.）通过了一项规则，迫使银行根据它们的CLO头寸规模支付更高的保费。美国联邦存款保险公司（the Federal Deposit Insurance Corp.）根据规模和风险评估所有银行所需支付的保险费用。CLO管理公司和银行家们说，它导致一些银行放缓了CLO收购步伐。而其他一些银行已经开始收购CLO中评级较低的部分，以提高收益率、弥补增加的保险金支出。最近监管机构已提出了新的规则，要求银行针对所有投资拨备最低比例的资本金，无论它们的投资是杠杆贷款还是CLO。银行家们称，这个资本金要求没有必要。他们同时表示，它将打击银行的贷款积极性。

    “对于银行而言，它们玩的游戏向来都是以最小的投入和尽可能高的杠杆来获得回报，”斯坦福大学（Stanford）工商管理研究生院（Graduate School of Business）教授阿那特•阿德玛蒂说。阿德玛蒂著有《银行家的新衣》（The Banker's New Clothes）一书，主张提高资本要求。 “这是很多玩法中的一种。” （财富中文网）

    译者：默默