太陽底下沒有新鮮事，由人性所推動累積的歷史也如是，人性貪婪和愚昧所交織而成的金融市場更是如此，SO？尼莫始終認為先花個三五年把經典讀熟讀透，再進入市場鍛鍊人性還不遲。

以下文章出自Seth A. Klarman的經典作品Margin of Safety第四章討論1980年代垃圾債券風雲的一小段。Klarman何許人也？最為人知的就是一、1990(或1991)出版的經典投資書籍Margin of Safety作者，這本書已經絕版，聽說在美國eBay拍賣價是一本兩千美金。以及二、私募基金The Baoposot的發起人，聽說這家基金公司長期績效也頗穩定且打敗S&P500，比較特別的是投資組合中平均有40%是現金。先參考文章內容如下；

小標題：Collateralized Junk-Bond Obligations
垃圾債券所構成的債券抵押證券

One of the last junk-bond-market innovations was the collateralized bond obligation (CBO). CBOs are diversified investment pools of junk bonds that issue their own securities with the underlying junk bonds as collateral. Several tranches of securities with different seniorities are usually created, each with risk and return characteristics that differ from those of the underlying junk bonds themselves.
垃圾債券市場最近的創新是其所組成的債券抵押證券，說穿了就是把一堆垃圾債券摻在一起，並以其為擔保品發行證券，之後再將發行的債券抵押證券依據違約時受償的優先次序發行不同品種的證券，每種證券有其對應的風險和報酬特性，此時這種新品種的證券的風險和報酬已與發行基礎的那堆垃圾債券脫鉤。

What attracted underwriters as well as investors to junk-bond CBOs was that the rating agencies, in a very accommodating decision, gave the senior tranche, usually about 75 percent of the total issue, an investment-grade rating. This means that an issuer could assemble a portfolio of junk bonds yielding 14 percent and sell to investors a senior tranche of securities backed by those bonds at a yield of, say, 10 percent, with proceeds equal to perhaps 75 percent of the cost of the portfolio. The issuer could then sell riskier junior tranches by offering much higher yields to investors.
發行機構和投資人對垃圾債券抵押證券趨之若鶩的一個原因是評等機構非常慷慨的將垃圾債券抵押證券中的大概3/4都評級為投資等級債券。這代表垃圾債券抵押證券的發行機構可以找一堆平均收益是14%的垃圾債券，透過CBO的包裝，將其中3/4說成是投資等級的債券並只給投資人10%的收益，省下來的息差一部份再回饋到剩餘的1/4次級債券給予比較高的收益。

The existence of CBOs was predicated on the receipt of this investment-grade credit rating on the senior tranche. Greedy institutional buyers of the senior tranche earned a handful of basis points above the yield available on other investment-grade securities. As usual these yield pigs sacrificed credit quality for additional current return. The rating agencies performed studies showing that the investment-grade rating was warranted. Predictably these studies used a historical default-rate analysis and neglected to consider the implications of either a prolonged economic downturn or a credit crunch that might virtually eliminate refinancings. Under such
circumstances, a great many junk bonds would default; even the senior tranche of a CBO could experience significant capital losses. In other words, a pile of junk is still junk no matter how you stack it.
垃圾證券抵押證券的存在是市場接受這種投資等級優先受償證券的最好證明。貪婪的機構投資人藉由投資這種優先受償債券享有比普通的投資等級證券高好幾個百分點的收益。一如往常這些＂眼中只見高收益不見風險的豬腦＂（yield pigs）是以犧牲信用品質的方式來獲得額外的當期利潤。雖然評級單位做出的研究顯示投資這些3/4投資等級的垃圾債券抵押證券是有保障的，但這些研究必然是使用歷史的違約率來分析，以及忽略了較長的經濟衰退期或是信用緊縮造成這些債券無法再融資，在這樣的情況下，絕大多數的垃圾債券最終將會違約，而此時在以這些垃圾債券為基礎發行的債券抵押證券中，即使當初被歸類到投資等級的那3/4，大多數也會碰到無法收回本金而虧本的情形。換句話說，不管你怎麼堆怎麼分類，把一堆垃圾堆在一起，最終還是一堆垃圾。

尼莫心得：

一、 作者提到的CBO乍看之下和前兩年發生的次貸風暴如出一輒，但請注意這段文字撰寫並發表於近20年前！這就是經典的價值，且這樣看來當年的垃圾債券抵押證券和後來的次貸抵押證券，根本是換湯不要換。

三、 Margin of Safety這本書分成三部分，1-4章為Where most investors stumble，5-8章為A value-investment philosophy，9-14章為The value-investment process。原本在讀的時候打算跳過第一部份的內容，後來還是硬著頭皮慢慢啃，覺得頗有收穫。作者藉由他自身在華爾街十年（寫書的時候卡拉曼也才約35歲）的經驗，配合他自身的專業能力以及對統計和數量能力的掌握（卡拉曼是哈佛的MBA），用簡單的邏輯深刻的點出華爾街的缺陷和投資人的無知之處，當中的利害關係看的極端通透。

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