P2P借贷衍生品面临重重考验

Newschoolversusoldschoolderivativesmanagementandpeer-to-peerlending

Thoseinvolvedinthepeer-to-peerlendingfracashaveahistoryin“newschool”derivativesmanagement.OfcoursethereisLarrySummers,theformerU.S.TreasurySecretarywho,whenlobbyingtoderegulatederivativesin1998,wasratherrudetoacertainCFTCChairwomannamedBrooksleyBornashetoreapartderivativesregulationsthathadsuccessfullyprotectedthepublicfordecades.WhileSummerstothisdayrefusestoacknowledgeanymistakes,hefoughtlogicalandhighlysuccessfulderivativesmanagementprinciplessuchastransparencyandclearproductstandardizationbasedonriskasthemortgagebackedderivativesthatwereatthecenterofthe2008marketcrashpossessedneitherofthesefeatures.

LendingClub,theleadingpeer-to-peerlender,hasbeencriticizedbynotedbankanalystDickBove,whohasinthepastaccusedthefirmofbeinglessthanappropriatewithregardstotransparencyandloanduediligencestandards.

WhileSummers’involvementinthepeer-to-peerlendingspaceasitrelatestoderivativesmightraisethehaironthebackofsome,itisanotherwiseguyinvolvedinthesituation,himselfaveteranofunregulatedderivatives,thatisequallyofinterest.

Peer-to-peerderivativesspearheadedbymanwhohada“bigshort”againstunregulatedderivatives

Thepeer-to-peerderivativeseffortisbeingspearheadedbyamaninvolvedin“TheBigShort,”MichaelEdman,whotradedunregulatedmortgagederivativesforMorganStanleybeforethe2008crash,successfullybettingagainstthenon-transparentproductsandtheintentionallyobfuscatingfinanciallanguageusedintheirdisclosures.

ItisEdmanwhoisapparentlystructuringthederivativesthistimeratherthanbettingagainstthem.Onewondersifhewilllearnfromthepastandcreateahighlytransparentproductthathehimselfmightbetwith?

OneareawhereEdmancouldrunintoproblemsisinregardstoproductstandardization.Whileloandefaultshavebeenmanageablethusfar–allfactoredintotheriskmanagementequation–astatisticalreviewofpeer-to-peerloandefaultsfiveyearsfromnowmightlikelypointtoadegreeofvolatilitywithfattaileventsremainingunpredictable.Thiscanbethecaseinsub-primeaswellaswhenlendingstandardshavebeenlessthanconsistentacrosslenders.Combiningthesetwovariablesintoaconsistentderivativespackagecouldbethechallenge.

“It’sahigh-couponassetthat’shadverygoodreturnsfortheshortperiodoftimeit’sbeenaround,”Edmanwasquotedassaying,thenhesaidthefuturemightbethesameasthepastforpeer-to-peerloans.“Idon’thavereasontobelievethat’sgoingtochangedramaticallyanytimesoon,buttherearebadloansoutthere.”

It’sthe“therearesomebadloansoutthere”statisticthatmightchangefromproducttoproductasWallStreetpackagestheseloanswithsomewhatinconsistentlendingstandardsandloandefaultoutcomesintooneniceneatpackage.Howcanaderivativesproductprovideahedgewhentheunderlyingproduct,asdefinedbydifferentlendersandstandards,couldbesodifferent?

Inotherwords,basedonexistingproductstructures,itmightbeverydifficultforanindividuallendertohedgethatanindividualloanproductpackagepurchasedisn’tgoingtodefaultandhedgethiswithaderivative.Asloanproducts,iftheyarepackagedinsimilarfashionto2008,mightcontaindifferentriskvariablesthatwon’tbeeasilyshoe-hornedintoaconsistentriskprofile.

“IfyoucouldcreateasyntheticproductthatmimicsallthefeaturesofaP2Ploanandhadthesameriskandyieldtradeoff,therewouldbealotofdemandtobuythatpaper,”BrandonDickinson,principalatCanaanPartners,a$4.2billionassetfirmbasedinNewYorkandMenloPark,wasquotedassayingintheBloombergarticle.

TheissueforEdmantosolvecouldbefoundinthestandardizationofwhatDickinsondescribesas“sameriskandyieldtrade-off.”Findingtherightmixoftransparencyandproductstandardizationthatallowsinvestortohedgeindividualloandefaultriskcouldbeachallenge,andovercomingitcouldleadtoderivativessuccess.

Akeytenantof“oldschoolderivativesmanagement”–anacademicschoolofthoughtthathasasuccessfultrackrecordofavoidingderivativesrelatedcatastrophethatisunmatchedonWallStreet–isthatthederivativesstructurefeaturetransparencyand,potentiallyatissueinthepeer-to-peerlendingderivatives,productstandardization.

Hedgingthisriskistheneedbeingfulfilledbyderivatives,whichismostoftenthecase.Thequestionbecomes:howwillthesederivativesbestructured?

Thederivativesinitiativemakesabundanteconomicsensefromthestandpointofalender’sriskmanagementneeds.Becausepeer-to-peerisliterallylendingthatdis-intermediatesbanks–anon-regulatedentityevaluatestheloananddeterminesinvestmentstandardsoftenusingduediligencestandardsthatmightnotexactlymeetbankstandards.Inexchangeforlendingtowhatareoftenhigherriskborrowers,thelenderreceivesahigherinterestrate.InaQEsoakedworldwhereinterestratesarezeroorbelow,alenderactuallyreceivinganinterestpaymentisspecialandindemand.Thesignificantissue,however,isrisk.Theborrowertakesonasignificantamountofdefaultrisk,astatisticthatwhileyoungmightvarywithtime.

AsaBloombergarticlefromTracyAllowayandMattScullyreveal,WallStreetcan’tgetenoughofpeer-to-peerlending,somuchsotheyarenowcreatingderivativesaroundthelendingproduct.

Peer-to-peerlendingderivativeslikelytomeetwithstrongdemandfromriskmanagers

Asanewcategoryofderivativeisbeingdevelopedaroundpeer-to-peerlending–adomaininfluencedbyLendingClubboardmemberandthefather“newschool”unregulatedderivatives,LarrySummers–are“oldschool”derivativesmanagementrulesgoingtoonceagainbeviolated?

Aspeer-to-peerlendingstandardsarelikelytovarybasedonindividuallender,productstandardizationappearstobederivativeschallange

埃德曼对于标准化问题的解决方案，用迪金森的话可以概括为“相同风险和收益的权益”。透明化和产品标准化的适当组合能够帮助投资者化解个人贷款违约风险，找到这个方案很难，不过一旦找到了，就能迎来衍生品的黄金时代。

CanaanPartners主管布兰登·迪金森(BrandonDickinson)认为：“如果能创造一种综合了P2P贷款所有特点、风险和收益的产品，那么需求肯定很大。”

换句话说，基于已有的产品结构，独立的借款人想要购买个人贷款一揽子产品来对冲风险，很难不违约或不再使用其他衍生品。如果贷款产品仍然按照2008年的方法来打包，风险变量将难以适应一致的风险组合。

正是他那种“也会出现坏账”的论调和情况会容易影响到产品本身。无论华尔街怎么把这些借款标准和违约风险不同的贷款不由分说地打包成”诱人”的优质一揽子贷款，以对冲风险为目的的衍生品怎么可以有这么多不同的借款人和标准？

埃德曼指出：“这是一种高票息资产，短期内能得到不错的回报。”他认为将来的P2P贷款也会出现相同情况。“我并不认为情况会突然发生转变，但也是会出现坏账的。”

埃德曼可能会遇到的问题首先是产品标准化。即使迄今为止贷款违约风险是可管理的，但在风险管理等式中，对于P2P贷款五年内的违约风险的数据分析预示了一定程度的流动性风险，肥尾事件发生概率仍然难以预测。这个问题也存在于次级贷款中，借款人的借款标准并不一致。以上两种变量同时出现在一揽子衍生品中，会造成很大的麻烦。

不过现在，埃德曼并不投资P2P衍生品，而是直接构建衍生品。我们不禁怀疑，他能够吸取教训，开发一种他自己信得过的透明化的产品吗？

出身于摩根斯坦利的埃德曼（MichaelEdman）就参与了揭露华尔街内幕的畅销书《大空头》中所提及的交易。2008年金融危机前他就曾从事不受监管的抵押贷款衍生品交易，投资这些非透明产品，并有意在财务披露中闪烁其词。

曾经的衍生品交易行家积极推动P2P衍生品发展

虽然萨默斯对P2P衍生品领域的干涉可能会触动一些人的利益，但是萨默斯本人也算是未监管金融衍生品领域的老手了，所以说他们所代表的利益诉求其实是一样的。

LendingClub受到了著名银行分析师DickBove的批评，他指出该公司未能遵守透明化和尽职调查标准的规定。

“新式”学派对于P2P衍生品管理有着不同的见解。美国前财政部部长萨默斯是新式学派的拥趸，早在1998年他就游说有关部门放宽对衍生品的管制，并对当时美国商品期货交易委员会的女主席博恩（BrooksleyBorn）态度恶劣，之后还一举废除了衍生品管理条例，尽管该条例几十年来一直有效保护了市场。萨默斯迄今拒绝承认自己犯过错，还高调反对衍生品管理准则，例如透明化和基于风险的明确的产品标准化。他认为显然处于2008年金融危机漩涡中心的抵押贷款衍生品并未能满足以上要求。

新式学派与旧式学派关于衍生品管理和P2P借贷的分歧

“旧式衍生品管理”是华尔街对付重大风险的一个学派。其关键点在于，旧式衍生品构建需要满足透明化和一定的产品标准化，而后者在P2P借贷衍生品中仍颇受争议。

通常情况下，人们会采用衍生品进行对冲来避险。那么，衍生品要如何构建呢？

从借款人风险管理的需求来看，这类衍生品经济意义重大。P2P实际上就是一种去中介化的“银行”，它们不受监管，却依旧可以通过尽职调查进行贷款质量评定，分析投资标准，虽然它们所谓的“标准”并不与银行规定一致。作为给高风险借款人放贷的回报，P2P投资者往往得到较高的利率。如今，量化宽松政策被广泛使用，利率降至零甚至为负，投资者对得到利息回报的需求更加殷切。不过，随之而来的风险也不容小觑。借款人的违约风险很高，即使是初期风险也会随着时间而变动。

彭博社分析员TracyAlloway和MattScully的一篇文章显示，华尔街尚未从P2P借贷中攫取足够利益，所以他们正努力围绕借贷产品开发衍生产品。

P2P借贷衍生品应该会满足风险管理者的潜在需求

得益于LendingClub董事会成员、美国前财政部长萨默斯（LarrySummers）倡导，不受监管的“新式”P2P衍生品开始逐步崭露头角，这会再次威胁到“旧式”衍生品管理条例吗？

随着个人投资者偏好的变化，P2P借贷的规范可能会产生很大改变，产品标准化将成为衍生品的一大挑战。

温馨提醒：随时光飞逝，岁月变迁，文章观点，准确性、可靠性、难免有所变动，因此文章观点仅供参考！