银行业应简单至上

And still the revelations come. At the height of the financial crisis Deutsche Bank, once the great banker to German industry, now deeply involved in global investment banking, appears to have sailed closer to the wind of insolvency than previously thought.

问题还是被曝光了。现在看来，在本次金融危机最为严峻的时期，德意志银行(Deutsche Bank)距离破产边缘并不像人们此前认为的那么远。德银历史上曾是德国工业最为重要的“钱庄，如今已深入涉足全球投行业务。

According to a Financial Times investigation, three whistleblowers have separately complained to regulators including the Securities and Exchange Commission that the bank failed to recognise up to $12bn of losses on a huge position in derivatives structures known as leveraged super senior trades. The suggestion is that if Deutschehad accounted realistically for the decline in the value of this position, with a notional value of $130bn, its regulatory capital would have been so badly dented as to necessitate a government bailout.

英国《金融时报》的一项调查显示，三名检举者各自向包括美国证交会(SEC)在内的监管机构控诉称，德银名为“杠杆超高级交易(leveraged super senior trades)的衍生结构性产品的巨大头寸曾产生高达120亿美元的亏损，但该行没有在账目中计入这笔亏损。言下之意是，如果德银当初如实计入这一名义价值为1300亿美元的头寸的价值下跌，其监管资本将严重折损，必须要靠政府纾困才能维持下去。

The transactions concerned, which related to synthetic collateralised debt obligations, are fiendishly complicated for mere mortals to grasp. Yet the principles were simple enough. The bank wanted to insure against default by companies generally regarded as among the safest. It sought insurance from investors who were desperate for income in a world where yields had plunged to extraordinarily low levels. In exchange for posting very modest collateral with the bank, they were paid an income stream equivalent to an insurance premium.

这里涉及的交易与合成债务抵押债券(Synthetic CDO)有关，可谓极其复杂，凡人难以理解。不过，其原理倒是相当简单。德银想要购买保险，防范某些通常被认为最为安全的企业发生违约。它寻求从一些投资者那里购买这种保险，由于当时的收益率已暴跌至极低水平，这些投资者非常渴望获得投资收益。他们向德银提供了绝对算不上多的抵押品；作为交换，德银向他们支付了相当于保费的收益流。

Because the spread between this income and the investors’ cost of funding was narrow, leverage, or borrowing, was introduced into the transaction to juice up the return. This was deemed safe because the likelihood of default at the insured companies was thought remote.

由于这一收益与投资者融资成本之间的差额较小，交易中便引入了杠杆（也就是借贷）来提高回报。此举被认为是安全的，因为作为保险标的的企业发生违约的可能性被认为很校

In the crisis, markets took a more alarmist view. The possibility that investors might not be able to post more collateral in deteriorating conditions became pressing. So while the value of Deutsche’s insurance policy was rising, so generating mark to market gains, the risk of its counterparties walking away from transactions was increasing. There was thus a need for marking down as well as up. The whistleblowers are suggesting that the accounting approaches adopted by Deutsche to address this risk were inadequate.

在本次危机期间，市场情绪以“草木皆兵来形容更为恰当。随着形势不断恶化，投资者或许无力提供更多的抵押品，这种可能性变得越来越大。所以，尽管德银手中保单的价值在不断上升、从而产生以市价记值的收益，但其交易对手退出交易的风险也在加大。因此，德银既有必要在账目中计入浮盈，也有必要计入潜在亏损。上述检举者是在暗示，德银针对这一风险而采取的会计方法存在缺陷。

It is too early to make judgments on the rights and wrongs of the case. Yet a number of points about the nature of the risks run in a modern financial system are worth making. First, $12bn was a huge sum in relation to Deutsche’s capital, amounting to a quarter of its net equity in 2007. Note, too, that the balance sheet leverage at that time was vast, with net equity amounting to just under 2 per cent of total assets. Put bluntly, a mere 2 per cent fall in the value of the assets would have wiped out the bank. Yet its tier one core capital under the Basel weighted capital adequacy regime was 8.6 per cent, putting a gloss on a parlous situation. These two different measures diverged at the end of 2008 after the Lehman collapse, with the leverage ratio falling to 1.4 per cent, while the tier one capital rose to 10.1 per cent.

现在就对此案中的对与错作出评判还为时尚早。尽管如此，还是有必要针对现代金融体系中存在的风险的本质谈上几点。首先，与德银的资本金相比，120亿美元可是一笔巨额资金，相当于该行2007年净股本的四分之一。还要注意的是，德银当时的资产负债表杠杆率非常高，净股本相对于总资产的比例略低于2%。不客气地讲，当时总资产价值若下跌2%，足以“抹掉这家银行。但按照巴塞尔加权资本充足率制度，德银的一级核心资本比率为8.6%，这种漂亮的假象掩盖了当时危机四伏的局面。2008年末雷曼兄弟(Lehman Brothers)破产后，上述两个指标发生了背离，杠杆率降至1.4%，一级资本比率升至10.1%。

That Basel is situated in cloud cuckoo land is underlined by the fact that there is substantial discretion in the calculation of risk weights and a longstanding suspicion that in a capital-stretched German banking system discretion prettifies the ratio.

这种巴塞尔资本充足率制度完全不切实际，凸显出这一点的是：风险权重的计算上存在很大的自由度，而且人们长期以来一直怀疑，在资本金吃紧的德国银行业体系中，这种自由度对资本充足率起到了粉饰的作用。

This serves to underline an iron law of financial markets that states that leverage always turns out to have been greater than was assumed before a financial crisis erupts. It has also become more opaque because leverage is built into the structure of complex financial instruments, in the sense that small market movements can bring large swings in value. This does not show up in accounts as straight borrowing does.

这可以凸显出金融市场的一个铁律：实际杠杆总是比金融危机爆发前设想的高。此外，杠杆还变得更加不容易看清，因为它融入到复杂金融工具的结构中，些微的市场变动就会导致价值大幅波动。与直接借款不同，这一点并不体现在账目中。

A striking feature of the Deutsche case is just how big a risk it was taking in just one of the many complex markets in which it operates. This tends to reinforce the case of those who argue that a far greater capital cushion will be necessary to address the next financial crisis.

德银案的一个显著特征是，该行在一个市场上就承担了如此巨大的风险，而这个市场还只是该行所涉足的众多复杂市场之一。有人认为，要应对下一场金融危机，就必要建立规模比现在大出许多的资本缓冲。德银案看来为这种观点提供了佐证。

The saga also lends strength to the arguments of Andrew Haldane of the Bank of England, who argued at the central bankers’ talkfest at Jackson Hole in August that simple leverage ratios have been better predictors of default at big, complex banks than risk-weighted alternatives. For my money the fact that Deutsche’s leverage ratio stood at only 2.6 per cent in the third quarter of this year is a great deal more interesting than its tier one ratio of 10.7 per cent. Simplicity should take precedence.

这一神奇事件还对英国央行(BoE)的安德鲁·霍尔丹(Andrew Haldane)的论点形成了支持。霍尔丹在今年8月召开的杰克逊霍尔(Jackson Hole)央行官员会议上主张，与风险加权比率相比，简单的杠杆率向来是预测大型复杂银行违约的更准确指标。今年第三季度德银的杠杆率仅为2.6%，在我看来，这一事实要比该行10.7%的一级资本比率有趣得多。银行业应简单至上。