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E1利率——LIBOR之迷霧重重

2012-07-18
利率,LIBOR
2012.07.14.E1 利率——LIBOR之迷霧重重 By 劉思其
【導讀】

目前,全球各大金融中心有數十個為各種貨幣制定的銀行間拆放款利率,其中倫敦及布魯塞爾的拆息利率最具影響力。上個月,因為LIBOR操縱丑聞巴克萊已經分別向英美兩國相關監管機構繳納總值4.5億美元的罰款,成為第一家因操縱LIBOR而接受相關機構罰款的銀行。隨著調查的深入,越來越多的大行逐漸浮出水面。丑聞爆發后,各銀行紛紛評估留在此類透明度不高的指標制定系統對銀行商譽可能造成的風險。蘇格蘭皇家銀行日前表示,退出新加坡銀行間拆放款利率(Sibor)報價小組。

【譯文】

Interest rates
利率
The fog of LIBOR

LIBOR之迷霧重重
LIBOR is badly broken. But for now, a flawed number is better than none

LIBOR被嚴重扭曲。但目前來看,有一個有缺陷的數字總好過沒有。
Jul 14th 2012 | from the print edition

THE furore over alleged manipulation of the London Interbank Offered Rate (LIBOR) and its European cousin, the Euro Interbank Offered Rate (EURIBOR), continues to rage. In Britain, the deputy governor of the Bank of England and the chairman of Barclays were hauled over the coals this week by a parliamentary committee. In America, it emerged that the Federal Reserve Bank of New York may have been informed of alleged manipulation of LIBOR some time after 2007; the Senate Banking Committee plans to look into the affair.

對所謂的操縱倫敦銀行同業拆放利率(LIBOR)與其歐洲籍兄弟歐元區銀行同業拆放利率(EURIBOR)一事,公眾的騷動持續升級為憤怒。在英國,英格蘭銀行的副總以及巴克萊的董事長本周受到了國會委員會的譴責。在美國,紐約的聯邦儲備銀行被發現可能是在2007年后一段時間里所謂的操縱LIBOR一事的知情者;參議院銀行委員會計劃就此事展開調查。


Yet all the while the basic mechanism of LIBOR trundles on. Each morning at 11am in London, submitters at panels of some of the world’s biggest banks send their estimates of borrowing costs in various currencies and for various terms. A few minutes later the benchmark figures flash to life on tens of thousands of traders’ machines around the world, and ripple out into the pricing of loans, derivatives and other financial instruments.

然而LIBOR的基礎機制始終在運轉著。每天上午倫敦11時,幾家世界級大銀行的會將他們針對各幣種與各期限估計出的借款成本發送出去。數分鐘后,基準數字就會閃現在世界各地數以萬計的交易員的電腦上,從而影響貸款、衍生工具以及其他金融工具的定價。



Be generous, and assume that attempts to manipulate LIBOR are in the past. A deeper problem still besets these numbers: they are almost entirely fanciful even if the banks that submit them are providing honest estimates. That is because the unsecured interbank funding market, which is supposed to be where banks borrow from each other, is frozen solid. In the euro area in particular, banks are lending almost no money to one another. Most banks that now have cash prefer to deposit funds at the European Central Bank (ECB), which in turn lends it on to those that are short of it. At the moment banks have more than 800 billion (0 billion) parked at the ECB, where it earns no interest. LIBOR and EURIBOR measure an activity that barely exists.

退一步來說,假設操縱LIBOR的企圖已成為過去,一個更加深層的問題依舊困擾著這些數字:即使那些提交數字的銀行都誠實地給出估算值,這些數字也幾乎是完全憑空想象出來的。其原因在于,本應進行銀行互借業務的無擔保銀行同業資金市場如冰封一般凝滯。尤其在歐元區,銀行之間幾乎不會互借。大部分當前持有現金的銀行愿意把錢存入歐洲中央銀行(ECB)后者會再借錢給那些資金短缺的銀行。此時各銀行在ECB的存款總數超過8000億歐元(980億美元),而這些錢一點利息都賺不到?梢哉fLIBOR與EURIBOR衡量的是一種幾乎不存在的業務。



Even if markets were functioning properly, some of the banks submitting estimates would struggle to borrow at any interest rate, let alone the one they have been submitting. This problem is starkest for EURIBOR, where individual banks have been submitting rates that are likely to be a good deal lower than the rates they would have to pay in actual transactions. The biggest banks in Italy and Spain generally estimate the cost of borrowing euros for a year at about 1.1%. This rate is much lower than the 4% and 5% their governments (and ultimate guarantors) pay to borrow for the same period.

即使市場正確運行,一些銀行不管給出多少利息也都借不到錢,更不用說按它們提交的數字了。EURIBOR的問題最為嚴重,各銀行提交的利率都遠遠低于它們在實際交易中支付的利率。印度與西班牙兩國最大的銀行通常估算出的歐元一年期借款成本約為1.1%。這一利率遠低于其政府(也是其終極擔保人)支付的同期借款利率,兩國分別為4%與5%。



There is nothing necessarily untoward in this. Unlike LIBOR submitters, EURIBOR banks are not asked to provide estimates of what they think they would have to pay to borrow, merely estimates of what the borrowing rate between two “prime” banks should be. Yet the definition of “prime” is essentially now “German”, leading to a widening disconnect between the actual costs of bank borrowing across most of Europe and the benchmark rates that supposedly reflect them. “The reference to EURIBOR is completely useless for Italian banks,” says Giovanni Sabatini, the managing director of the Italian Banking Association. “EURIBOR is less than 1% and our banks are paying 350-400 basis points above EURIBOR.”

并不需要這種情況的出現太過意外。與LIBOR不同,EURIBOR要求銀行提交的并非是它們需要支付的借款成本估計值,而僅僅是介于兩家“主要”銀行之間的借款成本估計值。然而“主要”的定義是“德國”,這導致歐洲大部分地區的銀行實際借款成本與本該反映實際利率的基準利率之間的差異進一步擴大!皡⒖糆URIBOR對意大利的銀行來說毫無用處,”意大利銀行協會的常務董事Giovanni Sabatini說到!癊URIBOR低于1%,我們銀行支付的借款利率較之高出350到400個基本點!



Attempts to improve LIBOR and its equivalents bring fresh problems. Regulators, politicians and industry groups are now poring over ways to improve the calculation of such rates (see Free Exchange). These could include using larger panels of banks and forcing banks to report actual transactions. American authorities have told Barclays to adopt strict governance and reporting rules to ensure its submissions are honest. In isolation each of these changes seems perfectly sensible. Yet in aggregate they pose two big risks.

改良LIBOR及其等同利率的意愿帶來了新的問題。監管者、政治家以及行業集團的注意力正集中在改良這些利率的計算上(見自由交流專欄),其中包括利用更多的銀行專家進行估算,敦促銀行報告實際交易。美國政府已經讓巴克萊銀行采用嚴格的治理及報告規則,以確保其提交數據誠實可信。這些改變各自看起來都很靠譜,但放在一起則會造成兩個重大風險。



The first is that banks may simply stop contributing LIBOR estimates to minimise the risks of being prosecuted or sued. Paul Tucker, the Bank of England official up before MPs this week, said contingency planning has already started to deal with this risk. He also raised the possibility that civil lawsuits against banks might be so large as to undermine financial stability.

首先,銀行可能會為了最小化被告發或被起訴的風險而簡單粗暴地停止參與LIBOR的估算。英格蘭銀行官員Paul Tucker本周在國會議員面前提到,為應對這一風險,應急計劃已經啟動。他還提出,針對銀行的民事訴訟可能會大到影響金融穩定。


A second risk is that changes to the method of calculating LIBOR could lead to very different numbers being generated. Much bigger panels would include banks that are smaller and less creditworthy than those currently submitting, leading to higher LIBOR rates. Since these numbers are hard-wired into tens of thousands of derivatives contracts and loan agreements, the losers would almost certainly dispute the changes. “If LIBOR 2 is going to give an answer that is structurally higher than the old LIBOR, then it will be worth litigating over,” says one lawyer. “Each basis point might not seem much, but multiplied across the billions in contracts it soon adds up to a pretty big number.”

另外,計算LIBOR方法的變化可能會導致得出的數據與之前相差甚遠。更多的銀行專家就意味著,與目前提交數據的銀行相比規模較小以及信用較低的銀行也會參與其中,這將導致得出更高的LIBOR利率。由于這些數字與成千上萬的衍生品合約及貸款合同緊密相關,交易中遭受損失的一方很可能會對這種計算上的變化產生質疑!叭绻碌腖IBOR在結構上得出比原LIBOR更高的結果,那么人們就會為此對簿公堂,”一位律師稱!懊總基點可能看起來不多,但是乘上數十億的合約之后很快就會變成一個相當可觀的數字!

from the print edition | Finance and economics 譯者:劉思其

原文出自《經濟學人》雜志





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