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- 2006-10-28
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Treasury bonds
国债
Repo men
国债回购操纵者
Nov 2nd 2006 | NEW YORK
From The Economist print edition
Strange goings-on in the giant market for American government debt
美国政府债券这个巨大的市场正在发生一些奇怪的事情
DON'T even think about it. That is the message from financial regulators to those tempted to manipulate the $4 trillion market in American government debt. This week it emerged that the Securities and Exchange Commission (SEC) had opened an investigation into the activities of treasury bond dealers at UBS, Europe's largest bank by assets. Another Swiss bank, Credit Suisse, is also in the spotlight after a bond trader left under a cloud.
不用费思量，这是金融监管者放出的讯息，对象就是试图操控规模高达4万亿美元的美国政府债券市场的那些人。本周，有条消息浮出水面：美国政府交易委员会（SEC）已经开始着手调查瑞士银行（以资产计欧洲最大的银行）长期国债经销人员的交易活动。另外一家瑞士银行，瑞士信贷（Credit Suisse）在一位债券交易人员因失宠离开以后也备受关注。
At least no one can say that they didn't see it coming. Regulators have been wagging their fingers for months. On September 27th James Clouse, a Treasury official, told an uncomfortable audience from the Bond Market Association, a trade group, that although the market was “highly efficient almost all the time”, the last two years have seen an increase in questionable practices among its 22 prime dealers (those licensed to buy paper directly from the Federal Reserve). In some cases firms appeared to have gained control over scarce issues, then used that power to distort prices and make a dishonest buck.
至少，无人敢说这件事情的发生在他们的预料之外。监管者已经不断地向市场发出警告达数月之久。9月27日，美国财政部的一位官员詹姆斯•克洛斯（James Clouse）告诉一个来自债券市场协会（Bond Market Association）的交易商群体：尽管基本上所有时候市场都是高度有效的，但是在过去的两年，来自22个一级证券交易商（经联邦储备局许可的，可以直接从储备局购买债券的交易商）的有问题的交易行为有所增加。在有些情况中，他们似乎对发行量比较稀少的国债拥有控制权，转而利用这一权力扭曲市场价格，赚取不正当的利润。可以想见，作为听众，他们当时多么不舒服。
How might they do this? With some note and bond issues, it seems, banks can “squeeze” the market by getting their hands on much of the paper and then restricting supply, sometimes by parking it with custodian banks. When notes are in short supply, holders can profit by using them as collateral for loans. They do this in the busy repurchase (repo) market, where treasuries are sold for cash with agreement to buy them back later. The scarcer the security you want to swap, the lower the interest rate you pay for the cash, known as the repo rate. On some issues this year the repo rate has fallen close to zero.
他们如何做到的呢？银行似乎可以利用一些中长期国债的发行来压榨市场。他们首先大量掌握这些债券，然后限制其供给。有时他们将这些债券暂时存放在托管行。 当中期国库券供给短缺时，这些持有者就可以通过质押贷款的方式赚取利润。这些都是在繁忙的回购市场进行操作，在那里债券被出售以换取现金，同时按照合约规定，稍后债券要被回购。你想要掉期(swap)的债券越稀缺，你为借取使用的现金付出的利率就越低，这个利率就是所谓的回购利率(repo rate)。今年一些债券的回购利率已经降到接近于零。
Rising interest rates may have encouraged traders to play this game. Overnight money now costs 5.25% after 17 straight hikes. If a little market-cornering gets you funds in the repo market for a small fraction of that, why not? The onset of electronic trading, and the resulting tightening of spreads, has only increased the temptation. Some dealers might see the gains on offer as fair reward for taking on risk and making markets. But Mr Clouse views it as “an exercise in monopoly pricing”.
不断攀高的利率也许已经鼓励交易人员参与这个游戏。在17次直接加息后，隔夜拆借利率已经达到5.25%。如果一点债券囤积行为可以使你在债券回购市场付出较少的钱得到资金，为什么不呢？电子交易的开始使用，以及由此造成的利差之间的缩紧，只是增加了这个游戏的诱惑力。一些交易商也许认为这一业务的获利是他们承担风险和造市（译者注：一级证券交易商负责承销国债，所以说他们make markets）的应得正当回报。但是克洛斯先生却将其看作“一种价格垄断行为”。
It is hardly surprising that the Treasury is touchy. The market for its debt is the world's deepest and most liquid, with an average daily volume of $600 billion—many times more than America's share markets. It is not only where the government borrows but also where the Fed implements monetary policy. And, crucially, it provides the risk-free benchmark against which other credit is measured. If it is not squeaky clean, investors could turn tail, raising the country's borrowing costs.
财政部如此敏感，这一点儿都不令人感到意外。它的债券市场是世界上最具深度、流动性最强的市场，每天平均有6000亿美元的交易额，远胜美国的股票市场数倍。这里不仅仅是美国政府借款的地方，也是联储执行货币政策的地方。而且，关键的在于它为其他信贷方式提供了零风险的基准利率。如果这个市场不是一尘不染的（squeaky clean），投资者有可能撤离，从而提高了这个国家的借款成本。
Traders argue that manipulating the market would be difficult because of its size. And regulators concede that large positions held by banks can be benign. Nevertheless, the financial policemen may be onto something. One cause for concern is the sharp increase in treasury settlement “fails” in the past few years, caused by a failure to return securities on time to the lender (see chart): these tend to jump when the repo rate is low and bonds are scarce. Another is the reported fall in the number of bonds in short supply after Mr Clouse's ominous speech. Coincidence?
交易员争辩说，这个市场规模巨大，因而想要对其进行操纵是相当困难的。而且，监管者承认，银行拥有的大量头寸（position）非常有益。然而，这些金融警察也许对有些事情心里非常有数。一个值得担忧的理由是，债券结算的“失败”在过去几年大幅度增加。原因在于，借取者不按时履行归还债券给贷出者的义务（见图表），当回购利率低且债券稀缺时这类事件的发生就会趋于上升。另一个引起关注的原因则是在Clouse先生带有预兆性的演讲之后，债券报出短缺的次数已经下降，难道是巧合？
Mr Clouse said there could now be a “strong sense of history repeating itself”—a reference to the scandal at Salomon Brothers in the early 1990s, in which the investment bank was caught dodging rules on treasury auctions in order to gain control over certain issues. In its aftermath, senior heads rolled and regulators introduced a joint surveillance programme: these days the Treasury, the Fed and the SEC compare notes on the market every fortnight. They may now feel it's time to get tougher. The Fed's New York arm, which oversees the banks, and the Treasury will air their concerns at a meeting with the prime dealers on November 6th.
提及在上世纪90年代早期所罗门兄弟爆出的丑闻时，Clouse先生说可能现在有一种很强的历史自身重复的感觉。在那起丑闻中，这家投资银行被发现躲避国债拍卖的一些规则以图控制特定的债券发行。结果就是，高级领导层更换，监管者引入一个合作的监管体制：财政部，联储和证券交易委员会每两周就对市场上的中期国库券进行对照。他们也许感到是该变得更严厉的时候了。联储的负责银行监督的位于纽约的分支机构和财政部将会在11月6日召开会议，向那些一级经销商传达他们的担忧。
Among those present will be UBS, which must now try to ensure that any bad smells at its bond-trading desk do not pollute other businesses, particularly its prized wealth-management arm. The bank delivered more bad news on October 31st, announcing a 21% drop in third-quarter profits. The cause was largely put down to poor trading: the bank admitted to, among other things, having been “incorrectly positioned” in the treasury market. Whether that applies in more ways than one remains to be seen.
瑞士银行也位于会议出席者之列，它必须试图确保国债交易的任何不良名声不会危害到其他业务，特别是它珍视的理财业务。在10月31日，这家银行报出更多坏消息，宣布第三季度的利率降幅达21%。这很大程度上得归咎于交易业务的拙劣表现：其中瑞银承认一直以来在国库券市场定位有所失误。这究竟仅仅意味着一件事情，还是更多，有待进一步观察。 |
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