Pimco总裁Stracke受访警告CFO/SRT等结构化私募融资存在"低估风险的自满"，并类比次贷前结构，但明确表示非系统性风险

Some investors aren’t getting paid enough to take the risk they’re shouldering when they buy complicated and increasingly popular products like collateralized fund obligations, according to the president of Pacific Investment Management Co.

The structured products, which generally allow money managers and banks to shift some of their exposure to insurance companies, are a key pocket of innovation now. But investors may be complacent about the risks they are taking with these structures, said Christian Stracke, president at Pimco, in a recent interview in Sydney.

The problem isn’t systemic, and Pimco isn’t bracing for the next big global financial crisis, Stracke said. But the current products, which also include instruments called significant risk transfers, share at least some similarities with the intricate subprime mortgage structures that triggered broad financial meltdown in 2008 and 2009, according to Stracke.

“In an SRT, your writing credit protection on a mezzanine piece of paper is very similar to what we saw before the GFC,” he said. “These are examples of things that we’re watching, they’re examples of complacency, they’re examples of people under-pricing the risk to get leverage.”

Collateralized fund obligations are one of the fastest growing instruments in the over-$1 trillionmarket known as fund finance, where money managers raise cash by transforming shares of funds — a form of equity — into credit. In related products, banks can use significant risk transfers to shift loan exposure to third parties.

The common theme is often insurance companies, bursting at the seams with cash, taking on exposure. Because insurers are typically required to mostly buy high-quality debt, these instruments are frequently designed to carry high ratings from bond graders. A wide array of money managers, including Blackstone Inc., Carlyle Group Inc., and Vista Equity Partners have created collateralized fund obligation structures. The structures are growing more common in Asia, where in July, for example, Seviora Holdings Pte Ltd, a Temasek Holdings-owned asset manager, and Churchill Asset Management closed a $400 million CFO.

Pimco has been more vocal than most about potential risks of financial engineering. The California-based asset manager said in a July note it sees “evidence of excess” across markets, even if the firm was careful to avoid overstating the risks.

In some cases private equity firms have struggled to get collateralized fund obligations done because investors viewed deals as containing too much leverage.

“Some collateralized fund obligations and synthetic risk transfers are where we see pockets of risk, where people are under-pricing the risk that they’re taking because they can get embedded leverage on these structures,“ Stracke said.

However overall borrowing levels in the global financial system are low and don’t pose a systemic risk. “The very important difference of today versus pre-GFC was the amount of leverage-on-leverage that we saw before the financial crisis,” he said.