Under the high leverage amplification of 20 times, the investment loss rate of major financial groups in the subprime mortgage crisis reached 18% to 66%, with an average loss of about 30%. The subprime mortgage crisis swept the financial system of the whole developed country. In addition to the nationwide in the United States, New Century Finance Corporation, Northrop Bank and Northern Rock Bank in the United Kingdom, and other institutions whose businesses are relatively concentrated in the field of mortgage loans, large-scale comprehensive banks or investment banks such as Merrill Lynch, Citigroup and UBS have not been spared. Although Merrill Lynch has a large number of relatively stable brokerage businesses, although Citigroup has a large number of retail banking businesses and global diversified investments, although Swiss banks have always enjoyed the highest credit rating because of their low-risk wealth management business; Although real estate mortgage is only one of their many sources of profit, and its contribution is not great-but it is this humble business that has dealt a heavy blow to these financial giants. Financial groups hope to spread risks through complex business structure and prepare for risks through careful calculation. However, from the junk debt crisis in the early 1980s, to the hidden danger of portfolio investment insurance strategy on Black Friday of 1987, to the arbitrage crisis of long-term capital management companies in the late 1990s, and then to the subprime mortgage crisis, large financial groups are vulnerable to all previous financial innovation product crises, and "risk dispersion" and "liquidity provision" become meaningless. Although the losses of Chinese-funded enterprises in the subprime mortgage crisis are relatively small, in the process of China's financial development, innovation is needed everywhere, and there may be innovative "mines" everywhere. The subprime mortgage crisis in the United States may give us more enlightenment. Merrill Lynch and Bear Stearns suffered heavy losses in the subprime mortgage crisis, but from the business structure, they include equity, fixed income, investment banking, transaction clearing, private customer wealth management and asset management, involving valet trading, transaction clearing, structured product design and sales, market makers, proprietary trading, risk arbitrage (arbitrage mergers and acquisitions), traditional arbitrage (arbitrage spreads) and securities lending. In addition to mortgage-backed securities (MBS or ABS), their business also covers domestic stocks, international stocks, government bonds, municipal bonds, corporate bonds, junk bonds, convertible securities, stock derivatives, interest rate swaps, foreign exchange swaps, commodity futures, hedge funds and other products. The same is true of Lehman Brothers, whose business structure is an extremely complex system, and every node is full of risks. They hope to spread this risk through multiple nodes. In fact, they did. Generally speaking, the income of large investment banks in the United States comes from five aspects: principal, investment banking, MortgageServicingFees rights, commission and asset management. However, large financial institutions such as Citigroup and UBS, which mainly focus on banking, have more complex business structures and more extensive sources of income. But the problem is that the high leverage of financial institutions may completely spread the risk of washing away multiple sources of income. After hundreds of years of development, financial institutions in Europe and America have established a strict liquidity and capital management system. The core of this system is to calculate the maximum liquidity required by the group in case of crisis according to scenario analysis and stress test, and this liquidity demand will be mainly met by capital. That is, the company's capital should be able to meet the normal debt repayment needs, statutory capital needs and the amount of contingent liabilities (guarantees, capital commitments, etc.). ) When extreme events occur and external financing cannot be carried out, not selling assets under a certain probability can also meet the capital demand when mortgage financing is reduced or even unavailable due to the depreciation of collateral value in crisis, and the additional margin requirement generated by derivative transactions when the company's long-term liabilities are reduced by one level. In order to be conservative, financial groups generally require that the liquidity pool composed of cash capital and other standby liquidity should be greater than the maximum capital demand at the time of the crisis-both Bear Stearns and Merrill Lynch require that their liquidity resources should be greater than 1. 1 times of short-term unsecured financing, while Lehman Brothers requires that their liquidity pool should maintain at least $2 billion in residual liquidity. In addition, Merrill Lynch also requires its long-term capital resources to be at least $654.38+0.5 billion more than its long-term asset demand. The New Basel Accord also applies this principle in bank risk supervision. Accurate quantitative management seems to provide sufficient guarantee for the company's steady operation, and one of its realistic results is that all financial institutions are assured to use lower provisions and higher financial leverage. The average total financial leverage (total assets/shareholders' equity) of American securities companies is more than 20 times, while the net financial leverage (total assets-low-risk assets/tangible shareholders' equity) is about 15 times, while the average total financial leverage of commercial banks is about 12 times. Although high leverage improves the return on capital, it also puts forward higher requirements for risk estimation. Once the company underestimates the risk, resulting in insufficient provision, the risk of a single business will be amplified to the whole group under the leverage of 20 times. Take Bear Stearns as an example, the total leverage ratio and net leverage ratio are 30 times and 16 times respectively. As long as 3% of total assets and 6% of risky assets have net losses, it will have fatal consequences-the company's tangible equity capital is $654.38+03 billion, and under normal circumstances, it can generate a pre-tax profit of $2 billion every year, that is, the maximum loss it can bear is $654.38+. For Merrill Lynch, the off-balance-sheet risk position is a potential threat. The off-balance sheet commitment of mortgage securitization is as high as $47 billion a year, and the extra margin or repurchase commitment caused by special events such as downgrade is $63 billion a year. The two items add up to $65.438+065.438+000 billion, while the company's tangible capital is less than $40 billion. Even if other standby liquidity is added, in fact, the company's total financial leverage ratio and net financial leverage ratio are 20 times and 13.8 times respectively. If the loss of total assets exceeds 5% and the loss of risky assets exceeds 7%, it will lead to bankruptcy crisis. In fact, it is high leverage that makes financial holding groups extremely vulnerable in the process of financial innovation. If the financial group distributes its total assets evenly among 20 businesses, then under the leverage of 20 times, 50% loss of each asset will lead to half of the group's capital loss. In the subprime mortgage crisis, the investment loss rate of major financial groups ranged from18% to 66%, with an average loss of about 30%. The real reason why Bear Stearns sold its equity to CITIC lies in its mature business. After years of data and experience accumulation, mature financial institutions in European and American markets have indeed made accurate risk forecasts, which are enough to support their low provision and high leverage operation and become a powerful weapon to beat emerging market financial institutions in terms of yield. However, in the process of financial innovation, due to the short historical data, the risk estimation often appears deviation-this deviation is not the deviation of one or two financial institutions, but is likely to be a systematic deviation, such as the subprime mortgage crisis, which finally proved to be the overall valuation error of the entire financial system in the real estate bull market. Therefore, when the crisis really occurs, the actual liquidity demand may far exceed the company's estimate: the value of collateral may depreciate more than expected, thus requiring more margin support-no institution will leave 30% depreciation space for AAA bonds (the actual provision is less than 2%) and 60% decline space for AAA bonds. In fact, when the crisis came, the value of all subprime loans depreciated greatly. At present, AAA bonds have fallen by more than 30%, AA bonds by more than 60% and AA bonds by more than 70%, catching up with BBB and BBB-80%. Although major financial groups mainly use AAA and AA subprime loans, the investment loss rate of major financial groups in subprime loans has reached more than 20%. In addition, contingent liabilities may be required to be paid in full at a certain moment-the repurchase agreement in the subprime mortgage crisis has become the achilles heel of many financial institutions. According to historical estimates, the probability of being asked to buy back the sold subprime loans is only 1% to 2%, but when the crisis occurs, the default rate of almost all subprime loans has risen to 10%, or even more than 20%, so it is required to buy back all the loans. Mortgage financing channels may shrink sharply, and it is almost impossible to issue new subprime loans at present; Moreover, the company's credit rating may be downgraded many times, so it is necessary to add a lot of margin for derivatives transactions other than subprime loans ..... In short, the provision for financial innovative products may be completely insufficient, which will eat up all the remaining working capital and the funds planned by the company for expansion, and even consume the provision for other businesses, and lead to comprehensive layoffs. In the process of financial innovation, it is usually inaccurate to choose high risk rather than high leverage. Financial groups hope to reduce the impact of a single event with complex business and scattered income points, but the high leverage of financial enterprises magnifies the impact of a single event, which may infect other businesses and endanger the safety of the whole group-in fact, when the average net financial leverage of investment banks is about 15 times and the total financial leverage is more than 20 times, it exceeds 5%. In addition, the crisis has had a long-term impact on the stock price, limiting the expansion speed of enterprises in other high-speed growth areas. If the three elements of financial institutions are drawn into a three-dimensional diagram, volatility, yield and leverage ratio. Then it is particularly important for financial groups to control the leverage ratio in new business, because the data of volatility becomes less credible at this time. Once the risk is out of control, the low-leverage group can control the risk locally, so as to play the role of a real financial group, spread the risk with multiple sources of income, and take the opportunity to acquire other enterprises in the trough; In contrast, highly leveraged groups will spread the risk to the whole group, thus becoming prey in the trough. In financial innovation, the only safe thing is the realistic provision, not the credit rating or other simulation calculation based on historical data. In the process of financial innovation, controlling leverage is the premise of dispersing business risks and the necessity of controlling the scope of innovative business risks. The principle of "can bear high risks and never bear high leverage" applies not only to the expansion of new products, but also to cross-regional expansion. In the new geographical market, with unpredictable risks, controlling leverage is more important than controlling risks.