Clearing Houses: Flight to Safety

清算所：避险

 

Have regulators created a new type of financial monster?

监管机构造就了一种新的金融怪兽吗？

 

Grimstad, Norway, is an unlikely setting for financial-market shenanigans. But the fishing town is home to Einar Aas, a trader who took huge bets on Scandinavian energy markets. His 15 minutes of infamy came in September 2018, when his bets went spectacularly wrong. Unable to cover his losses, he blew a €114m ($133m) hole in the capital buffers of Nasdaq Clearing, which handled his trades. Other members of the clearing house – mostly banks and energy-trading companies – were called upon to replenish its buffers.

 

挪威的渔村格里姆斯塔（Grimstad）可不像是能上演什么金融市场鬼把戏的地方。然而这里却是交易商艾纳·奥斯（Einar Aas）的家乡。奥斯将巨额赌注押在斯堪的纳维亚的能源市场上。2018年9月，由于押注出现重大失误，他在15分钟里犯下臭名昭彰的恶行。由于无力弥补亏损，他令处理交易的纳斯达克清算所损失了1.14亿欧元（1.33亿美元）的缓冲资本。清算所的其他会员——主要是银行和能源交易公司——被要求补充缓冲资本。

 

The affair sent shivers down regulators’ spines everywhere. In the midst of the global financial crisis in 2009, leaders at the G20 summit in Pittsburgh decided that the chaotic world of derivatives needed to be made safer by ensuring that they were centrally cleared. A decade later the notional value of all derivatives outstanding globally stands at a trifling $639trn, of which 68% are centrally cleared through a handful of clearing houses. Collectively these institutions contain one of the biggest concentrations of financial risk on the planet.

 

这起事件让世界各地的监管机构不寒而栗。早在2009年全球金融危机期间，参加匹兹堡G20峰会的各国领导人就决定，需要确保金融衍生品被集中清算，以让这个混乱的市场变得更安全。十年后，全球所有未清偿衍生品的名义价值仅为639万亿美元，其中68%是通过少数几家清算所集中清算的。这些清算所构成了全球金融风险最集中的地方之一。

 

Regulators fret most about a murky subset of derivatives: those that are traded over the counter by dealers and investors, rather than on exchanges. The notional value of these OTC derivatives is $544trn, of which 62% are centrally cleared. That is up from just 26% before the crisis. The share will rise further: traders who avoid clearing houses will soon be financially penalised by new rules.

 

监管机构最担心那类不透明的衍生品，也就是由交易商和投资者在场外交易而不是在交易所里交易的衍生品。这些场外交易衍生品的名义价值为544万亿美元，其中62%是集中清算的。而金融危机前这一比例仅为26%。很快将实施的新规会对绕开清算所的交易商进行财务处罚，因而这一比例还会进一步上升。

 

All this raises a queasy question: does central clearing, which was meant to make the system safer, come with new risks of its own? To answer that you have to understand Mr Aas’s fiasco better and peer into the complex cascades of liability that clearing houses manage.

 

所有这些引发了一个令人不安的问题：原本旨在让金融体系更加安全的集中清算，其本身是否带来了新的风险？要回答这个问题，必须更清楚地了解奥斯的惨败是怎么回事，并深入探究清算所管理的复杂的责任联动体系。

 

A call like Mr Aas’s is rare. Before trading through a clearing house, the parties must post an “initial margin”. When Lehman Brothers defaulted in 2008 a British clearing house, LCH, was able to cover all Lehman’s trades with its initial margin. If bets are souring, clearing houses can demand extra “variation margin”. Mr Aas posted a further $42m as markets moved against him. But when he failed to meet another margin call on September 10th, his positions were liquidated. Nasdaq had to dip into its default fund – a pool of money collected from its members.

 

像奥斯收到的催单很少见。在通过清算所进行交易之前，交易双方必须缴纳“初始保证金”。2008年雷曼兄弟违约时，伦敦清算所（LCH）就得以用雷曼的初始保证金覆盖了雷曼的所有交易。如果押注显现问题，清算所可以要求另外的“变动保证金”。奥斯就在市场对其不利时又缴纳了4200万美元。但当他在9月10日未能再次满足追缴保证金的要求时，他的头寸就被清算了。纳斯达克不得不动用自己的违约基金——从其会员那里收取的资金。

 

Nasdaq’s Scandinavian clearing house is tiny compared with the biggest, like LCH, which clears more than half the global market for interest-rate swaps, or ICE, which dominates clearing for credit-default swaps. The optimistic view is that had Mr Aas been a smaller fish, or the pond bigger and more liquid, Nasdaq might have been able to find buyers for his positions.

 

伦敦清算所囊括了全球利率互换市场一半以上的清算业务，洲际交易所（ICE）则主导着全球信用违约掉期的清算业务。与这些世界上最大的清算所相比，纳斯达克的斯堪的纳维亚清算所的规模微不足道。乐观的看法是，如果奥斯是条小点的鱼，或者鱼塘再大些、流动性再强些，纳斯达克或许能为奥斯的头寸找到买家。

 

Some regulators are unwilling to brush off the episode quite so easily. In a letter in March to Randal Quarles, the American Federal Reserve’s chief bank regulator, Paul Tucker, a former deputy governor of the Bank of England, expressed alarm that a single trader could wipe out two-thirds of the default fund of a clearing house – albeit a relative tiddler. It augured badly for giant institutions, he argued.

 

一些监管机构不愿如此轻易地将这起事件一笔勾销。英国央行前副行长保罗·塔克（Paul Tucker）在3月写给美联储负责银行监管的兰德尔·夸尔斯（Randal Quarles）的一封信中说，单单一名交易商就能让一家清算所（尽管规模相对较小）损失掉三分之二的违约金，实在让他震惊。他认为，这对大清算所来说是个坏兆头。

 

Clearing houses can work as intended only if no one believes they can fail. Their purpose is to sit between market participants. If a hedge fund buys $100m-worth of Apple shares from an investment bank, say, and the transaction is centrally cleared, it is the clearing house that guarantees the bank gets its $100m and the fund get its shares. For simple transactions this is a small role. Cash-equity trades are settled within two days. The risk that a party goes bust before settlement is minimal.

 

只有在没人相信清算所也会倒闭的情况下，它才能正常运转。清算所是介于各个市场参与者之间的机构。例如，如果一只对冲基金从一家投资银行购买了价值1亿美元的苹果公司股票，并且这笔交易是集中清算的，那么清算所就能保证投资银行得到1亿美元，同时对冲基金得到相应的苹果股票。对于简单的交易，清算所起到的作用很小。股票现金交易在两天内结算。一方在结算前破产的风险很小。

 

Now suppose the fund wants to buy an option – say, the right to buy $100m-worth of Apple shares at today’s price in a year’s time. The price it pays – the premium – will settle quickly, but the parties’ ongoing exposure will vary during the year. If Apple’s share price rises sharply before its end, the right to buy those shares at the old price becomes more valuable. If the bank holding the shares goes bust before the year is out, the clearing house will be on the hook. The longer the time between execution and settlement, the bigger this credit risk. It is magnified when products are highly leveraged, as options generally are.

 

下面假设该基金想要购买一个期权，比如在一年内以现在的价格购买价值1亿美元苹果股票的权利。该基金为获得该期权所需支付的费用，即权利金，将很快结算，但各方在接下来的一年中面临的风险敞口将有所不同。如果苹果股价在到期前大幅上涨，以原来的价格购买这些股票的权利就变得更有价值。如果持有该股票的银行不出一年破产了，清算所就会陷入困境。执行和结算间的时间跨度越长，这种信用风险就越大。如果产品的杠杆率很高，信用风险就会加剧，期权通常也是如此。

 

That is still better than the alternative – a bilateral trade, in the industry argot – in which the bank and fund face each other for the life of the option. This requires each to keep tabs on the other’s creditworthiness, which is hard when they do not know each other’s positions. If the fund wanted to close its position early, for example, it might sell an offsetting position to another bank. It would then appear to each bank that the fund was exposed to movements in Apple’s share price, though in reality its risks would cancel out. If its trades had been centrally cleared, that would be obvious to everyone. This lack of transparency played a big part in the financial crisis – hence regulators’ desire to shift from bilateral to central clearing.

 

这仍然要好于另一种选择，也就是行话所说的“双边交易”。在这种交易中，银行和基金在整个期权期内直接与对方打交道。这就要求双方都要密切关注对方的信用状况，而当双方互不知道对方的头寸时，这就很难做到。例如，如果该基金想提前平仓，它可能会将抵消性头寸出售给另一家银行。这样一来，两家银行都会认为该基金可能面临苹果股价波动带来的风险，尽管实际上其风险是会相互抵消的。如果交易是集中清算的，风险抵消对各方来说都是显而易见的。这种缺乏透明度的做法对金融危机的发生起了很大的作用，因此监管机构希望从双边交易转向集中清算。

 

The trouble is that central clearing creates new risks. Incentives are skewed when the risk of default is spread across a group, making a weak counterparty everybody’s problem. Market participants may become less choosy about their counterparties. And most clearing houses are for-profit entities. Their profits rise with transaction volume, but losses for bad trades are largely borne by their members. That is a standing temptation to lower standards.

 

问题是集中清算带来了新的风险。当违约的风险分散到整个群体，使较脆弱的交易对手成为所有人的问题时，交易动机就被扭曲了。市场参与者可能不再那么挑剔交易对手。大多数清算所都是以盈利为目的的实体。交易量大，清算所的利润就高，而糟糕交易的损失却主要由其会员承担。这就会一直诱使清算所降低标准。

 

Skimpy margin requirements or shallow default funds increase the chance that the default of a big member would leave a clearing house with large unmatched positions. It would then have just four possible sources of capital: its owner, usually an exchange; its members, usually investment banks; its customers, mostly investment funds – or, in extremis, the taxpayer.

 

对保证金的要求过低或者违约金不足，会增加大会员违约而给清算所留下大量未成交头寸的可能。这种情况下清算所只有以下四种可能的资金来源：其所有者，通常是交易所；其会员，通常是投资银行；其客户，主要是投资基金；或者在最糟糕的情况下，就是纳税人。

 

Each has problems. It is unclear that owners could be obliged (or could afford) to cover much. If a big burden were to fall on members, they too might be forced to default, or decide to cut their losses and walk away. If a clearing house looked likely to call on its customers’ margin, they might pre-emptively step back, closing positions to reduce their margin requirements and perhaps starting a market panic. And financial regulators are rightly determined that taxpayers should not be landed with the bill for another financial crisis.

 

每一种资金来源都有问题。尚不清楚清算所的所有者是否有义务（或有能力）支付大笔资金。如果重担落在会员身上，他们也有可能被迫违约，或者决定止损并退出。如果清算所看上去有要求客户缴纳保证金的迹象，客户可能会先发制人地退一步，平仓以降低清算所对自己的保证金要求，这或许会引发市场恐慌。而金融监管机构坚定地主张纳税人不应该为另一场金融危机埋单——这是对的。

 

Clearing houses have collapsed before. In 1974 a Parisian house was felled by members defaulting on margin calls when sugar prices plummeted. In 1983 one in Kuala Lumpur came to grief when palm-oil futures crashed. But only one has been deemed too big to fail. After global stockmarkets crashed in 1987, the Hong Kong Futures Exchange clearing house collapsed and regulators shuttered the stock exchange while the government and city-state’s largest banks arranged a bail-out.

 

清算所有倒闭的先例。1974年，糖价暴跌，巴黎一家清算所因会员拖欠保证金而倒闭。1983年，棕榈油期货崩盘，吉隆坡一家清算所关门大吉。但只有一家清算所被认为“大到不能倒”。1987年全球股市崩盘后，香港期货交易所清算所破产，监管机构暂停了其证券交易业务，而政府和香港最大的几家银行为其安排了纾困资金。

 

A clearing-house collapse now would have far bigger repercussions. In his March letter Mr Tucker said that a clearing house that could not withstand a member’s default could be a “devastating mechanism for transmitting distress across the financial system”. Central counterparties, he said, were “super-systemic”.

 

如今清算所破产带来的震动会比过去大得多。塔克在3月的信中表示，一家无法承受会员违约的清算所可能是“在金融系统中传播困境的毁灭性机制”。他表示，中央交易对手的“全局影响力非同寻常”。

 

The shift to central clearing has been most pronounced in interest-rate derivatives, but is visible in other categories, such as credit derivatives, too. And it will continue. According to research by Citibank, an American investment bank, from September 2020, when margin requirements for uncleared trades come fully into force, investors may have to post three or four times as much margin when trading bilaterally as when using a clearing house.

 

向集中清算的转变在利率衍生品中表现得最为明显，而在信用等其他衍生品中也看得到。这种转变还会继续下去。根据美国花旗投资银行的研究，从2020年9月起，也就是对未清算交易的保证金要求全面生效时，投资者在双边交易中必须缴纳的保证金可能是在清算所交易的三到四倍。

 

Regulators have reduced the risk that derivatives will cause as much disruption as they did a decade ago. But they have created a new group of institutions that are too big to fail. Without certainty about where a clearing house in distress can seek capital, its members and customers will be more likely to behave in ways that mean it needs that capital. Rules intended to protect taxpayers may have the paradoxical effect of putting them back on the hook.

 

监管机构已经降低了衍生品引发十年前那样的混乱的风险，但也造就了新一类“大到不能倒”的机构。如果不能确定一家陷入困境的清算所可以从何处募集资金，那么其会员和客户的做法就更有可能暴露清算所资金短缺。旨在保护纳税人的规则可能产生自相矛盾的结果，使他们再次受到拖累。

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