当今夏抵押证券市场陷入危机之时，那些持有数百亿此类资产的金融企业用数学模型对这些无人问津的证券进行了定价，而这种模型相当倚重债券的信用评级。从上个月开始，评级公司开始对债券评级进行大规模下调，这样一来，像花旗集团(Citigroup Inc.)和美林公司(Merrill Lynch & Co.)这样的企业就只能眼睁睁地看着自己的资产大幅缩水了。
花旗正准备宣布再冲减一定数目的抵押贷款相关证券资产，由此可见此前的数学模型存在怎样的漏洞以及随之引发的后果是多么严重。花旗周日晚间表示评级下调将导致公司第四财政季度净利润减少50亿至70亿美元。花旗在第三财季业绩中已经冲销了约22亿美元的抵押贷款相关资产损失，其中包括由次级证券和固定收益证券交易所引发的亏损。
花旗此次扩大冲销规模主要应归咎于次级抵押相关证券的损失，而就在不久前的10月底，美林宣布冲销价值79亿美元的抵押证券资产，远超出此前发布预警时估计的45亿美元。正因如此，分析师不再像一开始那样将美林冲减资产视为一个孤立的特殊事件了。
德意志银行(Deutsche Bank AG)负责金融业的分析师迈克•马尤(Mike Mayo)指出，该行预计第四季度中各家银行及经纪公司将冲减逾100亿美元的资产。马尤表示，他的估算基于这些机构在抵押证券领域的头寸情况，而且包括了花旗集团、贝尔斯登(Bear Stearns Cos.)、摩根士丹利(Morgan Stanley)以及美国银行(Bank of America)。花旗集团会在即将向美国监管部门呈报的季度报告中披露有关冲减资产的最新情况。
花旗集团冲减资产背后的原因至少和冲减规模一样为人瞩目。据知情人士称，花旗集团对亏损估测之所以发生如此迅速的变化主要是因为它用来给难以上市交易的资产定价的数学模型非常依赖信用评级信息。
在这种情况下，当穆迪投资者服务公司(Moody's Investors Service Inc.)以及标准普尔(Standard & Poor's)将数百亿美元的证券资产评级下调、或将其列入下调评级观察名单时，花旗集团的处境就非常被动了。
这种事情很可能不只发生在花旗身上。对于许多银行、基金以及保险企业来说，评级在它们的估值模型中都扮演了重要角色。此外近几周来，与次级贷款相关的证券市场状况出现了恶化，因为违约的发生给一些分析师最担心的预测提供了佐证，这使评级进一步下调的可能性升温。
花旗集团表示，该行所面临的次级债风险是其持有的共计550亿美元的资产，这也是问题的源头所在。这些资产分成两部分，其一是价值117亿美元的次级贷款相关的证券，它们在计入负债前将由该行持有，其二是价值430亿美元的超优先级证券。
这些拥有高评级的超优先证券是债权抵押证券(CDO)的组成部分。CDO是由以次级贷款担保的低评级证券打包而成的，拥有不同的风险及回报水平。分析师预计银行、保险公司以及投资基金的帐面上共有价值600亿美元的此类超优先证券。
这些问题可以追溯至美国住房市场的鼎盛时期，当时花旗是CDO市场中的最大玩家之一，这种有由次级抵押证券支持的债券为该行带来了丰厚的回报。据调查公司Dealogic提供的信息显示，2006年花旗共承销了340亿美元的CDO产品，在业内排名第二。
花旗表示，该行涉及次级抵押贷款的资产涵盖了实际贷款和拥有最高评级的CDO资产。银行通常会将这些超优先级证券保留在手中，因为它们虽然拥有非常高的评级但是较低的回报率却令其难以吸引投资者青睐。
花旗集团在一份公告中表示，由于评级公司接连下调了次级抵押相关资产的评级，而且在第三季度结束后市场又出现了一些变化，因此花旗将对次级抵押贷款领域的资产进行冲减。
随着今夏信用市场陷入危机，次级债券的交易也出现了封冻，花旗和其他银行突然间就面临了一项艰难的任务，那就是对这种投资者避之不及的证券进行估值。
据了解花旗集团定价模式的知情人士称，由于缺乏市场定价的帮助，花旗将信用评级当作了重要参照，以此来估算日后将从这些证券中收到多少真金白银。举例来说，花旗在给拥有最高评级(AAA)的次级抵押相关CDO定价时就会参照拥有同样评级的公司债的定价标准。
斯坦福大学(Stanford University)商学院的金融学教授达瑞尔•达菲(Darrell Duffie)表示，总的来说，他认为业内为CDO定价的标准模式考虑不够全面，这意味着在这些资产到底价值几许的问题上仍存在不确定性；金融业确实能找到更好的办法，但这不可能发生在一夜之间。
在为债券定价寻找参照的过程中忽视了一个关键问题，那就是公司债与次级债券存在很大的不同。后者的违约率正以飞快的速度蔓延，这将导致债券评级下调。
这一天在10月11日成为了现实。当时穆迪投资者服务公司在一篇不太引人注目的公告中表示，它下调了逾2000只次级住房贷款抵押债券的评级，这些债券初始价值为334亿美元。穆迪还预言日后将出现更大的问题，称有502只CDO与那些评级被下调的证券直接相关。
Carrick Mollenkamp / David Reilly
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When the market for mortgage securities entered a meltdown over the summer, financial firms holding billions of dollars of hard-to-trade assets used mathematical pricing models that were heavily dependent on credit ratings. When the credit-rating firms began a massive downgrade campaign last month, firms such as Citigroup Inc. and Merrill Lynch & Co. saw the value of their holdings plummet.
Citigroup's struggles to put an exact number on its losses demonstrate just how fallible the models can be, and how serious the consequences. Last night, Citigroup said that the downgrades will result in a reduction of fourth-quarter net income of $5 billion to $7 billion. That follows a third quarter when Citigroup recorded mortgage-related write-downs of $2.2 billion in the third quarter, including losses on subprime securities and fixed-income trading.
The latest update, much of it involving securities linked to subprime mortgages, follows a revision made late last month by Merrill Lynch that boosted third-quarter write-downs to $7.9 billion from an earlier estimate of about $4.5 billion. As a result, analysts are beginning to see Merrill's big hit as less of an anomaly than originally thought.
'We estimate that there's over $10 billion of write-downs in the fourth quarter for the industry for banks and brokers,' said analyst Mike Mayo, who covers financial firms for Deutsche Bank. Mr. Mayo said his estimate is based on exposure to mortgage securities and includes Citigroup, Bear Stearns Cos., Morgan Stanley and Bank of America Corp. Citi's updated write-downs could be included in its coming quarterly filing with U.S. securities regulators.
The source of Citigroup's write-down is at least as significant as its size. The bank's estimate of its losses has changed so rapidly in large part because the models it used to value hard-to-trade securities relied heavily on credit ratings, according to people familiar with the models.
That made the bank highly vulnerable when, in October, ratings firms Moody's Investors Service and Standard & Poor's slashed, or put on watch for downgrade, the ratings on tens of billions of dollars in securities.
It is unlikely that Citigroup is alone. Ratings play a big role in valuation models used by many banks, investment funds and insurance companies. Meanwhile, the market for securities linked to subprime loans has deteriorated in recent weeks as defaults have confirmed some of analysts' most dire forecasts, increasing the likelihood of further ratings downgrades.
Citigroup's subprime exposure -- and source of its problems -- are two big buckets that together total $55 billion, the bank said. The first bucket totals $11.7 billion, including securities tied to subprime loans that were being held, or warehoused, until they could be added to debt pools for investors. The second, totaling $43 billion, covers so-called super-senior securities.
These highly rated super-senior securities are portions of collateralized debt obligations, or CDOs. CDOs are repackaged pools of lower-rated securities backed by subprime loans into pieces with different levels of risk and return. Analysts estimate that $60 billion in such super-senior tranches are sitting on the books of banks, insurers and investment funds.
The troubles stem back to the heyday of the U.S. housing boom, when Citi became one of the biggest players in the lucrative world of CDOs backed by subprime-linked bonds. Overall, Citi was the second-largest underwriter of CDOs in 2006, doing $34 billion in deals, according to data provider Dealogic.
As a result, Citi's holdings of subprime exposures varies from the actual loans to the most highly rated slices of CDOs, the bank said. They include securities the bank had warehoused to later package into CDOs, extended to the super-senior tranches of CDOs that Citi helped create. Banks often kept the super-senior pieces of CDOs, because their low returns made them unattractive to investors despite their extremely high ratings.
In a statement, Citigroup said the declines in the value of the bank's subprime exposure 'followed a series of rating agency downgrades of subprime U.S. mortgage related assets and other market developments which occurred after the end of the third quarter.'
When trading in the subprime-linked securities all but dried up amid this summer's credit-market turmoil, Citigroup and other banks suddenly faced the difficult task of putting a value on securities that investors no longer wanted to trade.
For lack of any market pricing, Citigroup used credit ratings as a key input in figuring out the value of the future payments they expected to receive on the securities, according to a person familiar with the bank's valuation models. For example, in valuing the payments on pieces of subprime-backed CDOs with the highest triple-A rating, the bank would look to how the market was valuing payments on corporate bonds with the same rating.
'In general, the industry standard model for pricing CDOs is not adequate in my view, which means that there's a lot of uncertainty about what they are worth,' says Darrell Duffie, a finance professor at Stanford University's business school. 'They can get better models but that's not something they can do overnight.'
The problem with the ratings-based approach was that it ignored a key difference between corporate bonds and subprime-backed bonds: Defaults on the latter were growing at a fast rate, which would likely lead to ratings downgrades.
The downgrades began in earnest on Oct. 11 when, in a little-noticed announcement, Moody's Investors Service said it had slashed credit ratings on more than 2,000 bonds backed by subprime home loans that originally carried a total value of $33.4 billion. It also flagged bigger problems ahead, saying that 502 CDOs had direct exposure to the mortgage securities that had been downgraded.
Carrick Mollenkamp / David Reilly