全球经济&衍生品市场展望以及回顾（Vol. III）

全球经济&衍生品市场展望以及回顾（Vol. III）

原创： Dorian君 灰岩金融科技 今天

前文参考：

全球经济&衍生品市场展望以及回顾（Vol. I）

全球经济&衍生品市场展望以及回顾（Vol. II）

全球经济&衍生品市场展望以及回顾（Vol. III）

Insuffificient risk valuation and risk management capabilities

风险评估和风险管理能力不足

As revealed by the current crisis, OTC derivatives markets have yet another fundamental weakness: they lack sufficient capabilities for comprehensive risk assessment and management. For complex derivatives, the problem is twofold. First, many market participants lack the ability to adequately price and value derivatives and, in some cases, independent valuations by a third party are not available to support them. Second, after having exposed themselves to risks, many do not have sufficient capabilities to monitor and mitigate these risks effectively.29)

正如当前危机所揭示的那样，场外衍生品市场还有另一个根本性的弱点：它们缺乏进行全面风险评估和管理的足够能力。对于复杂的导数，问题是双重的。首先，许多市场参与者缺乏对衍生工具进行适当定价和定价的能力，并且在某些情况下，第三方无法提供独立估值来支持他们。其次，许多人在暴露于风险之后，没有足够的能力有效地监控和缓解这些风险。29）

As OTC derivatives are sometimes complex and frequently not traded openly, they are inherently difficult to price. In most cases, there are information asymmetries between broker-dealers that issue and trade derivatives and the end-user. Historically,broker-dealers have therefore taken the lead on valuing these derivatives and providing prices to their counterparties. Clearly, this resulted in a conflict of interest, given that broker-dealers stood to gain or lose, depending on their pricing.30)

由于场外交易（OTC）衍生品有时很复杂并且经常不公开交易，因此它们固有地难以定价。在大多数情况下，发行和交易衍生产品的经纪商与最终用户之间存在信息不对称。因此，从历史上看，经纪交易商一直率先评估这些衍生产品并向其交易对手提供价格。显然，这导致了利益冲突，因为经纪交易商根据其定价而必定会盈利或亏损（30）。

Derivatives transactions require adequate risk management. While in the case of exchange-traded derivatives risk management capabilities are already institutionalized (e.g. via CCPs), this is not true for most of the OTC market. The crisis has demonstrated that many market participants are not equipped with suitable means for monitoring and controlling risks. The US insurance group AIG is but one example of how substantial derivatives risks can accumulate over time if internal supervision and controlling fail (see AIG case study in the box on p. 15).

衍生产品交易需要适当的风险管理。虽然在交易所交易的衍生产品中风险管理能力已经制度化（例如通过CCP清算方），但对于大多数OTC市场而言并非如此。这场危机表明，许多市场参与者没有配备适当的手段来监控和控制风险。如果内部监督和控制失灵，美国保险集团AIG只是大量衍生品风险如何随着时间累积的一个例子（请参阅第15页方框中的AIG案例研究）。

Interconnectedness and complexity

衍生品的联动以及复杂性

While too high bilateral exposures and gaps in risk management can be a problem for individual participants already, the interconnectedness of derivatives market participants adds to that problem and can impact the market as a whole. Where the market is organized on the basis of bilateral counterparty relations, the failure of one single participant can pose a systemic risk to the market as a whole by destabilizing all its direct and indirect trading partners. A significant part of the OTC segment does not have any mechanisms that can absorb such a potential for domino effects.

尽管双边风险敞口和风险管理差距过大对于个人参与者来说已经是一个问题，但衍生品市场参与者的相互联系加剧了这一问题，并可能影响整个市场。如果市场是根据双边交易方关系来组织的，那么一个参与者的失败会通过破坏其所有直接和间接贸易伙伴的稳定性而对整个市场构成系统性风险。OTC细分市场的重要部分没有任何机制可以吸收这种潜在的多米诺骨牌效应。

Participants in the OTC derivatives market are highly interconnected with other market participants. At the time of its bankruptcy, Lehman Brothers’main European subsidiary had open derivatives positions with almost 22,000 counterparties.31) AIG was involved in derivatives dealings with 1,500 counterparties before its bailout.32) 

场外衍生品市场的参与者与其他市场参与者之间有着高度的联系。雷曼兄弟破产时，雷曼兄弟在欧洲的主要子公司拥有近22,000个交易对手的衍生品头寸。31）AIG在纾困前曾与1,500个交易对手进行衍生品交易。32）

For the largest broker-dealers, it is safe to assume that these figures are even higher. Should one of those large market participants fail, a vast number of parties would be affected, and a chain reaction of negative spillover effects may develop across many of its counterparties.33) If AIG had not been rescued, some of the largest global banks would have stood to lose sums of up to 30 percent of their equity capital.

对于最大的经纪交易商，可以放心地假设这些数字甚至更高。如果这些大型市场参与者之一失败，那么将对众多当事方造成影响，并且其许多交易对手之间可能会产生负面溢出效应的连锁反应。33）如果AIG没有得到拯救，那么一些最大的全球银行将已经损失了多达30％的股本。

AIG case study 35) 

AIG   案例分析

AIG and derivatives: 

AIG built up an OTC derivatives portfolio of more than €2.1 trillion through its subsidiary AIG Financial Products. Over the period 2003 to 2005， it became one of the largest providers of credit protection to other market participants through extensive dealings in CDS.

AIG及其衍生产品：

AIG通过其子公司AIG Financial Products建立了超过2.1万亿欧元的场外衍生品投资组合。在2003年至2005年期间，通过CDS的广泛交易，它成为向其他市场参与者提供信用保护的最大提供者之一。

AIG’s demise: 

As AIG incurred heavy losses in 2007, its rating was lowered in May 2008. Due to this decrease in creditworthiness, AIG had to post several billion dollars of additional collateral for its OTC derivatives transactions. When AIG faced further rating downgrades in September 2008 and could not afford any additional collateral calls, the Federal Reserve had to step in and rescue the company. 

AIG的灭亡：

由于AIG在2007年遭受了严重损失，其评级在2008年5月被下调。由于信誉度下降，AIG必须为其场外衍生品交易增加数十亿美元的抵押品。当AIG在2008年9月面临进一步的信用评级下调并且无法承担任何额外的抵押要求时，美联储不得不介入并营救该公司。

Potential impact of a default of AIG on other derivatives market participants: 

At the time of its bailout, AIG had OTC derivatives trades with around 1,500 counterparties (including institutional investors, corporates, a number of US and international state and local governments, and most of the largest global banks). Data on payments to AIG counterparties through the bailout reveals that banks stood to lose in some cases more than 30 percent of their equity capital had AIG defaulted – amounts that would have taken some of them to the brink of default. The lion’s share of these potential losses would have been from OTC derivatives transactions. 

AIG违约对其他衍生品市场参与者的潜在影响：

纾困之时，AIG与大约1500个交易对手（包括机构投资者，企业，美国和国际多个州和地方政府以及大多数最大的全球银行）进行场外衍生品交易。有关通过救助向AIG交易对手付款的数据显示，在某些情况下，如果AIG违约，银行将损失超过30％的股本–这会使一些银行濒临违约。这些潜在损失中的绝大部分将来自场外衍生品交易。

Lack of transparency in selected market areas 

The derivatives market is often described as being opaque.36) Especially in the case of bilaterally traded derivatives not cleared by CCPs, there is a lack of transparency on their pricing as well as their risk positions. These intransparencies have a destabilizing effect on the market because doubts regarding the creditworthiness of individual counterparties can create a crisis of confidence – a phenomenon broadly observed during the financial crisis when investors faced severe illiquidity in certain products.37)In addition, intransparencies make it extremely difficult for regulators and supervisors to assess risks on an aggregate level and respond accordingly. AIG, for example, managed to build up its CDS portfolio without supervisors noticing its level of risk exposure for a long time.

在某些市场区域缺乏透明度

衍生品市场通常被描述为不透明的。36）特别是在没有由中央对手清算的双边交易衍生品的情况下，其定价以及风险头寸缺乏透明度。这些不透明性会对市场造成破坏性影响，因为对单个交易对手的信誉度的怀疑会造成信任危机-在金融危机期间，当投资者面临某些产品的严重流动性不足时，这种现象普遍存在。37）此外，不透明性使这种情况变得极为严重。监管者和监管者很难从整体上评估风险并做出相应的反应。例如，AIG设法建立了自己的CDS投资组合，而监管者却没有长时间注意到其风险敞口水平。

Both market complexity and insufficient reporting are drivers of intransparency. Bilateral trading implies a vast number of counterparty relations. At the time of its bankruptcy, Lehman Brothers held roughly 134,000 active OTC derivatives contracts.38) Likewise, AIG’s outstanding derivatives trades numbered around 50,000.39) Without central counterparties, which effectively serve to disentangle these relations, it is nearly impossible to gain a realistic view on effective risk positions. In addition, large areas of the OTC market have no reporting requirements – and hence no post-trade transparency.40) In this respect, there are no market mechanisms which ensures timely, independent monitoring of the market and in particular the OTC segment.

市场复杂性和报告不充分都是不透明的驱动力。双边贸易意味着大量的交易对手关系。在破产之时，雷曼兄弟公司持有约134,000份有效的场外衍生品合约。38）同样，AIG的未偿还衍生品交易数量约为50,000。39）没有中央对手方可以有效地解开这些关系，几乎不可能获得现实的看法有效的风险状况。此外，场外交易市场的大部分区域都没有报告的要求，因此也没有交易后的透明度。40）在这方面，没有市场机制可以确保对市场尤其是场外交易市场进行及时，独立的监控。

衍生品交易自动化水平，分别为信用衍生品，固收类衍生品以及权益类衍生品

Operational inefficiencies and limited legal certainty

运营效率低下和有限的法律确定性

Two further aspects have unnecessarily contributed to the risk of OTC derivatives: operational inefficiencies and legal uncertainty. The former is mostly driven by a lack of standardization and automation in existing products and workflow processes. The latter is primarily due to the unregulated nature and bilateral relationships inherent in OTC derivatives contracts. 

场外交易衍生品的风险有两个方面不必要地增加：运营效率低下和法律不确定性。前者主要是由于现有产品和工作流程中缺乏标准化和自动化。后者主要是由于场外衍生产品合约固有的不受管制的性质和双边关系。

Frequently, OTC derivatives are handled manually, which can result in costly delays and potential errors. Confirmations that are inaccurate and untimely can cause disputes, and market participants run the risk of not having an up-to-date and accurate view of their risk positions. Backlogs in trade processing leaped to alarming levels as early as at the onset of the financial crisis in 2007.41) While the OTC derivatives industry has tackled many operational issues, there is still more room for improvement. In particular, standardization/automation levels – at 30 percent for equity and 70 percent for fixed-income derivatives – are still low (Exhibit 6).42)

通常，OTC衍生工具是人工处理的，这可能导致代价高昂的延迟和潜在的错误。不正确和不及时的确认会引起争议，市场参与者冒着无法及时了解其风险状况的最新风险。早在2007年金融危机爆发之初，贸易加工的积压就跃升至令人震惊的水平。41）尽管场外衍生品行业已经解决了许多运营问题，但仍有更大的改进空间。特别是，标准化/自动化水平（股权的30％和固定收益衍生品的70％）仍然很低（图表6）。42

Stand-alone bilateral contracts are inevitably accompanied by legal uncertainty. The main risk is that counterparties cannot legally enforce their claims. In the course of the crisis so far, disputes over the interpretation of certain clauses, such as the validity of collateral agreements 43), have risen dramatically despite the use of so-called “master agreements” for OTC transactions.

独立的双边合同不可避免地伴随着法律的不确定性。主要风险是交易对手无法合法执行其索偿要求。在迄今为止的危机过程中，尽管在场外交易中使用了所谓的“主协议”，但有关某些条款的解释（例如抵押协议的有效性）的争议却急剧增加。

References:

29) “[Among banks] there were also many cases where internal risk management was ineffective and where boards failed adequately to identify and constrain excessive risk-taking”, FSA 2009, p. 92.

30) See Wall Street & Technology 2008, Dow Jones 2008.

31) See Lehman Brothers International (Europe) – in Administration 2009.

32) See AIG 2009a.

33) In case of default, these entities would thus most likely have to be bailed out as they are “too big to fail”, meaning that a bankruptcy would have dramatic consequences for the stability of the global financial system. 

34) See AIG 2009b.

41) “In July and August 2007, a spike in credit derivatives trades resulted in substantial increases in backlogs of unconfirmed trades throughout the industry”, IOSCO 2009, p. 29; see also Tumpel-Gugerell 2009.

42) See Markit 2009. 

43) See Sutherland 2009.