Clearing-Houses: Double-Crossed

清算所：豪赌翻番

 

Bigger may not be better when it comes to clearing-houses

对清算所来说，大未必好

 

The bookmaker on Aldgate High Street, on the fringes of London’s financial district, attracts its fair share of risk-takers. But across the road, at the offices of LCH.Clearnet, part of the London Stock Exchange Group (LSE), the really big bets are handled. It and other clearing-houses now occupy a central position in high finance. They ensure that trillions of dollars are paid out on derivatives contracts each day. A decade of dealmaking has created five big beasts of clearing: LSE, Deutsche Börse, CME Group, ICE and HKEX. A planned merger between LSE and the Germans would reduce that to four.

 

位于伦敦金融区边缘的阿尔德门大街（Aldgate High Street）上的博彩公司吸引了自己的一批冒险者。但马路对面，属于伦敦证券交易所集团（LSE）的伦敦清算所集团（LCH.Clearnet）才是真正玩大赌注的地方。它和其他清算所目前占据了高级金融的核心地位。它们确保每天数万亿美元的衍生品合约得以兑付。并购交易的十年创造了清算所的五大巨兽：伦敦证券交易所（LSE）、德国证券交易所（Deutsche Börse）、芝加哥商品交易所（CME）集团、洲际交易所（ICE）和香港交易及结算所（HKEX）。LSE和德国证券交易所之间的合并计划将会把巨兽的数目减少到四个。

 

LSE and Deutsche Börse take their names from their respective bourses. But they now make more money from their clearing-houses, LCH.Clearnet and Eurex Clearing. That is because the clearing of derivatives has become central to the modern financial system.

 

伦敦证券交易所和德国证券交易所的名字是来自于各自的交易所。然而如今各自的清算所——伦敦清算所集团和欧洲期交所清算公司（Eurex Clearing）挣的钱却更多，因为衍生品清算已经成为现代金融体系的中心。

 

Imagine two banks want to hedge against interest-rate movements, but in opposite directions. They sign a contract that will lead to a payment from one to the other if rates rise, and the reverse if they fall. The potential loss or gain is theoretically unlimited, since there is no ceiling (or floor, as the world is fast learning) to rates. To make sure the other party is able to pay up, the two will often work through a middleman – the clearing-house. For a fee, the clearing-house signs two offsetting but technically separate derivatives contracts with the two parties. As long as both know that it is good for the money, they know their bets are solid.

 

想象一下，比如有两家银行要对冲利率波动，但方向相反。它们签了一份合同，如果利率上升则由一家向另外一家付款，下降则相反。理论上，可能的损失或收益是无限的，因为利率没有上限（也没有下限，大家很快就发现了）。为了确保对方能够支付，双方常常需要一个中间人，即清算所。在收取一定费用之后，清算所会和双方签订两份相互抵消但理论上独立的衍生品合约。只要双方都觉得合算，它们就知道自己的赌注是成立的。

 

But the clearing-house is now left with the risk that the losing party fails to stump up. So it asks the two parties to post collateral, or margin, which it can keep if one of them defaults. That way the clearing-house only suffers if the defaulting party owes more than the margin it has posted.

 

但是这样一来，清算所就要面临输钱一方不掏腰包的风险。因此，它要求双方提供担保品或保证金，如果有一方违约就可以扣下。这样，只有在违约方欠款超过已付保证金时它才会蒙受损失。

 

In theory, this system makes bank failures less contagious and the financial system more resilient. In 2009 the G20, a club of big economies, decided that simple derivatives contracts should all be put through clearing-houses, rather than settled directly between the two parties. As a result, clearing-houses, also known as central counterparties, now handle trades with a notional worth of hundreds of trillions of dollars.

 

从理论上讲，这个体系会降低银行倒闭的传染性，让金融体系更坚挺。2009年，20国集团（G20）这个大型经济体的俱乐部决定简单衍生品合约都应该经过清算所，而不是在双方之间直接结算。这样一来，清算所（也称为中央交易对手）就要处理名义价值高达百万亿美元的交易。

 

The more margin the clearing-houses take, the safer they are. The required margin is calculated using sophisticated actuarial models, and is heavily regulated. The riskier a trade, naturally, the more margin is needed. LCH.Clearnet and Eurex Clearing hold some €150 billion ($170 billion) in collateral between them. Deutsche Börse notes that its large margin pool helps to ensure the “safety, resiliency and transparency of global financial markets”. But having to put up more collateral is expensive for customers. Clearing-houses, which compete for customers, therefore have an incentive not to take too much.

 

清算所拿到的保证金越多就越安全。需要多少保证金是由先进的精算模型计算出来的，并受到严格的监管。自然，交易风险越高，需要的保证金就越多。伦敦清算所集团和欧洲期交所清算公司之间持有的担保品约有1500亿欧元（1700亿美元）。德国证券交易所指出，其庞大的保证金池有助于确保“全球金融市场的安全性、灵活性和透明度”。但提供更多的担保品对于客户来说十分昂贵。因此，清算所在争抢客户时，会倾向于不去要求太多。

 

Banks don’t just bet on interest rates, of course. They may also buy derivatives tied to bond yields or currency movements, say. Some of those prices move in relation to one another in predictable ways. Gains on an interest-rate future may offset losses on a bond-price future, for example. Clearing-houses take such correlations into account when setting the overall amount of collateral they demand from their customers, a technique called “cross-margining” or “portfolio margining”. CME Group boasts that its portfolio-margining service can cut margin requirements by 54-80%. LCH.Clearnet’s “Spider” and Eurex’s “Prisma” services do something similar.

 

银行要赌的当然不只是利率。比如，它们还可以购买和债券收益率 或货币的走势挂钩的衍生品。其中一些价格之间的相对移动是可以预见的，比如利率期货的收益可能会抵消债券价格期货的损失。清算所在计算客户总共要多少担保额时，也会考虑这些相关性，这种技术称为“交叉保证金”或“投资组合保证金”。CME集团宣称其投资组合保证金服务可以将保证金要求下调54-80%。伦敦清算所的“Spider”和欧洲期交所“Prisma”服务也与此类似。

 

All of which gives clearing-houses an incentive to merge. Some clients use LCH.Clearnet and Eurex Clearing to make correlated wagers. If the two entities combined, they could use cross-margining to reduce the amount of collateral such customers needed, gaining an advantage over the competition. (The pair say that initially, at least, they would limit such offsetting to perfectly matching derivatives.)

 

所有这一切都在鼓励清算所合并。一些客户使用伦敦清算所集团和欧洲期交所清算公司来做有相关性的赌注。如果这两家合并，他们就可以利用交叉保证金来降低这些客户的总担保额，从而获得竞争优势（至少这两家当初说过，它们会将这种抵消限于完美匹配的衍生品。）

 

There is a downside, though. The exchange industry is already highly concentrated. Regardless of who gobbles up LSE (ICE may yet enter the fray), the five big groups will soon become four. As they consolidate, the amount of collateral in the system is likely to be reduced.

 

不过凡事都有缺点。交易所业务已经高度集中了。不管谁吃掉LSE（ICE还可能半路杀出），五大集团很快就会变成四大。整合后，整个体系中的担保额就很可能会降低。

 

That could prove risky. Correlations between different asset classes sometimes break down during crises. Such unpredictable movements caused the clearing-house of the Hong Kong Futures Exchange to blow up after the stockmarket crash of 1987, forcing the city’s capital markets to close. Such events suggest that models that rely on correlations to trim margin requirements must be ultraconservative.

 

这可能会有风险。如果发生危机，不同资产类别之间的相关性有时会被打破。这种不可预知的变化导致香港期货交易所的清算所在1987年的股市崩盘后瘫痪，迫使香港资本市场关闭。这些事件表明，靠相关性削减保证金时必须极度保守。

 

There is no evidence that any big clearing-house holds too little collateral. Their models are designed to withstand the simultaneous failure of their two biggest customers. They can also tap big default funds if things go wrong. Regulators are untroubled. But it is a worry, nonetheless, that the logic of competition seems to be ever-bigger clearing-houses with ever less collateral.

 

没有证据表明哪一家大型清算所担保品不足。它们的模型设计能够承受两个最大的客户同时崩溃。如果出了问题，它们还可以利用庞大的违约基金。监管者并无担忧。但我们仍然有顾虑，因为竞争的逻辑似乎就是，清算所越来越大，担保品却越来越少。

下载：英文、中文版本