新的大卖空：市政债券？

California State Treasurer Bill Lockyer wants to make sure his state's financial crisis doesn't become the catalyst in the next ‘Big Short’ on Wall Street. He put all 86 firms involved in the state's underwriter pool on notice that their quarterly reports to the state, starting with the last quarter of 2010, must include their municipal Credit Default Swap (CDS) activity. And, Lockyer asked Congress to ban naked trading in order to avoid speculation in muni CDS, but the request didn't make it into the Dodd-Frank reform bill.

一般义务（GO）债券，即各州、市政府和当局为支付资本改善和一些不太长期的支出而发放的贷款，最近已经失去了作为一种安全、免税投资的光彩。甚至在金融分析师梅雷迪斯·惠特尼（Meredith Whitney）在2010年秋季晚些时候宣布市政债券违约之前，债券基金就已经下跌，并在11月遭遇了超过200亿美元的撤资。

The State of Washington has no CDSs against its bonds, although its bonds are included in some indexes, the Washington State Investment Board (WIB) acknowledged in a written statement to Institutional Investor. "On a fundamental level, we expect the investment banks we work with to be our partners in the marketplace, not our adversaries." Implicit in that, said a spokesman, is the understanding that they won't bet against the state's bonds. The state didn't even raise the issue in its 2009 RFP for underwriters. But the WIB did include a provision in its RFP to be returned in the first half of this year, which states that banks wanting to underwrite cannot short their bonds.

CDS fears are warranted. Much of the shouting that rocked US Senate chambers during the post credit crisis hearings was sparked when Senate investigators realized banks were shorting the very instruments they were selling by dealing in CDS contracts – what Michael Lewis coined, ‘The Big Short,’ in his book of the same name. Look at what happened to housing when the CDS market took off against Mortgage Backed Securities (MBS) and their derivatives, Collateralized Debt Obligations (CDOs). The overwhelming demand for CDS, much of it by people not invested in MBS, actually fueled the market's appetite for the riskiest mortgages to be used in creation of the CDOs that the CDSs were betting against. Could the same scenario happen to GOs? Institutional Investor has already reported on Wall Street's plans for boosting liquidity in the muni markets.

Could bond buyers be encouraged to simply buy a CDS to hedge their investment and skip the more difficult task of analyzing the credit quality of a GO (which could undermine the positive impact of the free market to get governments to operate more efficiently)? And might people who missed the big MBS/CDS opportunity see this as their next big chance?

正如Markit下图所示，投资者对市政CDS的兴趣有所上升。总部位于伦敦的全球金融服务公司Markit的信贷研究总监奥蒂斯·C·凯西三世（Otis C.Casey III）表示：“人们对市政CDS市场的兴趣一直在稳步增长，这是对市政债务采取信贷观点的一种方式，也是市政借款人面临的市场感知风险的一个指标。”。每周交易量代表“名义净”保护，这意味着这些金额是在市政CDS交易对手在Markit的市政信用违约指数（MCDX）中购买抵消头寸后获得的。

Markit从交易信息仓库（Trade Information Warehouse，由总部位于纽约的存管信托清算公司（Depository Trust Clearing Corporation，DTCC）运营）中提取其索引的CDS交易量数据，该仓库记录双边约定的OTC合同。凯西说：“成交量显示，就指数而言，购买市政保险的净保护总额从2008年的略低于5亿美元，扩大到2011年2月22日这一周的近50亿美元。”。重要的是，这些位置是基于整个指数。因此，它们并不代表个别合同风险，但如果指数中的所有信用发生信用事件，且从其债券中收回的金额为零，则一方可能必须向其交易对手支付的保险净额。此外，实际付款将取决于标的债券的回收率。

"Anytime you have rank speculation without intelligent decision making you get an over-bought market," says Brett Schundler, the former mayor of Jersey City, who created securitized tax lien-backed bonds during his administration of that cash-strapped city. "You could have people just rushing in because they saw people make a bundle on MBS/CDSs and say, 'I hear the next market to blow up is going to be munis. I don't know the credit quality of this state's GO, but I bet I'll make a bundle on these things.'"

从市场角度来看，市政CDS等保险产品的出现，“可能会让投资者对购买债券更有信心，”舒德勒补充道。舒德勒曾是所罗门兄弟的金融专业人士。“任何增加市场流动性的东西都可能是好事。”另一方面，关于围棋的负面谣言可能会吓唬人们为保险支付更多费用。“两者都有潜力，”他说。

Meanwhile California's Treasury office is still slogging through the reports from its underwriters pool. According to the spokes person, "some members of the pool no doubt have traded in California CDS. The question is the extent to which they have been net short or long, and the extent to which those positions have been taken in market-making or propriety trading." But all six major banks have already told the state they have no clue as to why their clients buy California CDS or the extent of their market-making activities in naked trading of California CDS.

舒德勒说：“沃伦·巴菲特说，如果你在玩扑克游戏20分钟后还不知道谁是替罪羊，你很可能就是替罪羊。”。“有人会认为，保险公司，这些合同的起草者，实际上会对他们所担保的信用额度做功课，”这样保费和费用就合适了。

Still, it's got to make residents of struggling states a little uneasy to think as they commute home at night that there are a growing number of investors, whose risk reward is greater if a bond defaults, out there betting against your recovery to the tune of 50 or 100 times premium.