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债券市场被人为操纵了吗?

Stephen Gandel 2014年03月11日

新债券上市当天一般会像新股一样大幅上涨,但在债券认购的过程中,一部分客户可能会受到承销商的优待,而承销商也可能会收到回扣。听起来债券市场显然像又一个受到操纵的市场。因此,监管部门正在对此展开调查。不过,最后可能还是一切照旧。

    华尔街可能面临着新的债券问题。

    上周晚些时候,高盛(Goldman Sachs)表示,监管部门正在对它如何分配、交易债券进行调查。有报道称,监管机构还瞄上了花旗集团(Citigroup)和华尔街其他公司。调查的焦点在于这些银行最初发行债券时如何决定谁能成为买家。

    以去年威瑞森(Verizon)大规模发债为例。华尔街公司得到的认购资金为1000亿美元,而威瑞森的发行额为490亿美元,其中约四分之一债券由两家公司购得,它们是债券基金领域的巨无霸贝莱德(BlackRock)和太平洋投资管理公司(Pimco)。有些人因此受到了刺激,这可以理解。看来美国证监会(SEC)正在调查的就是这个问题,其他监管机构可能也在这样做。

    但这真的是监管部门的工作吗?华尔街两大债券公司占据了这只热门债券的很大一部分,这一点并不让人意外。这两家公司的规模意味着它们在支付给华尔街的佣金中占了很大的比重。就连一些受到不公平待遇的经理人似乎也能接受这种情况:

    Bryn Mawr Trust Co.管理着14亿美元固定收益资产,该公司投资经理兼交易员玛丽•塔尔伯特说,她认购了约150万美元的威瑞森债券,但都没有中签。玛丽表示,自己对较大的基金拿到较多的债券没有任何异议,因为这就是资本市场的运作方式。

    她说:“我在这一行干了这么长时间,基本上已经习惯了。”

    但这里可能还有其他问题。

    大多数公司发行债券的第一步都是公布债券募集说明书,其中包括发行公司的信息以及信用评级。随后,投行方面会给贝莱德和太平洋投资管理公司等债券投资机构打电话或者发送电子邮件,询问后者会买多少,会出什么样的价格(以及希望收益率达到怎样的水平)。接下来,承销商会根据这些信息给债券定价。在外界看来,他们应该完成债券发行公司的融资目标,同时尽可能降低债券的利率。

    到现在,大家可能怀疑问题出在他们没有按这样的程序来操作。两年前,巴克莱(Barclays)信贷研究团队在杰夫•梅利的带领下对投资级公司债的发行情况进行了研究。他们发现,和首次发行的股票一样,债券上市当天往往也会大幅上涨。

    平均而言,从发行到纳入巴克莱综合债券指数(Barclays Aggregate Bond index),新发行债券的价格涨幅比同类现有债券高0.14个百分点,把这些债券纳入这个指数的时间都是在它们上市当月的最后一天。此外,超过一半的价格增长都出现在第一天。也就是说,许多没有中签的投资者都非常愿意用超过初始发行价的水平购买这些债券。研究咨询及资产管理机构TF Market Advisors创始人彼得•切尔看来也进行过类似的研究,而且得出了类似的结论。

    巴克莱信贷研究团队指出,如果某位债券投资经理每次都能中签,他的业绩增速就有望比同行高1.05个百分点。考虑到目前公司债市场的平均收益率为3%左右,这已经是一个相当大的优势。所有这些都表明,华尔街是在把一部分客户的资金装进另一部分客户的口袋。

    Wall Street may have a new debt problem.

    Late last week, Goldman Sachs (GS) disclosed that regulators are probing how it allocates and trades bonds. Citigroup (C) is reportedly in regulators' crosshairs as well, along with the rest of Wall Street. At issue is how banks decide who gets to buy into bonds when they are initially offered.

    Take last year's massive Verizon deal (VZ). Wall Street dealers received orders for $100 billion in bonds. Verizon sold $49 billion, with about a quarter of that debt going to two firms, bond-fund behemoths BlackRock (BLK) and Pimco. Understandably, some feathers were ruffled. And this appears to be what the Securities and Exchange Commission and potentially other regulators are looking into.

    But is this really a job for regulators? It's not surprising that a good chunk of a hot deal would go to Wall Street's two bond powerhouses. Their size means they pay a large percentage of Wall Street's commission. And even some of those unfairly treated managers seem to accept the situation:

    Mary Talbutt, portfolio manager and trader at Bryn Mawr Trust Co., which oversees about $1.4 billion in fixed-income assets, said she put in an order for about $1.5 million of Verizon bonds but didn't receive any. She said she didn't really have a problem that larger funds got more bonds, noting that is just how capital markets work.

    "I've been doing this for so long that you just kind of get used to it," she said.

    But there could be something else at play here.

    Most bond deals start with the distribution of an offering document, which includes info about the selling company and a credit rating. Bankers then call up or e-mail bond managers, like BlackRock or Pimco, and ask them how much they would buy and what they would pay (or what yield they are looking to get). Underwriters then use that information to determine how to price the deal, you would assume at the lowest interest rate they can get that will allow them to place all the debt that the company is hoping to raise.

    The problem, as you may have suspected by now, is that it doesn't go down that way. Two years ago, Barclays' credit research team, headed by Jeff Meli, took a look at investment grade corporate bond offerings and found that, like IPOs, bond deals tend to have pops. On average, the price of a newly issued bond rises 0.14 percentage points more than similar existing bonds between the time it is first sold to when it's added to the Barclays Aggregate Bond index, which happens on the last day of the month in which the deal came to market. What's more, more than half of the price increase happens on the first day. That means there are a whole bunch of investors not getting a piece of bond deals that would be more than willing to pay more than the initial asking price. Peter Tchir at TF Market Advisors appears to have done some similar research getting similar results.

    A bond manager who is able to get in on every new issue could expect to outperform his rivals by 1.05 percentage points, the Barclays authors assert. Considering the average yield in the corporate bond market is around 3% these days, that advantage is sizable. All of this suggests that Wall Street is paying off one client with money from another. Corporations sold $1.1 trillion in investment grade bond deals in 2013. That means bond investors who got first access to these deals pocketed nearly $12 billion that could have stayed in the accounts of borrowers, creating a pot of money that potentially Wall Street is rationing out to its best customers presumably in return for more trades later.

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