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商业 - 金融

解决Libor定价缺陷的四大途径

Nin-Hai Tseng 2012年07月25日

巴克莱银行操纵Libor的丑闻曝光之后,我们已经知道了Libor定价中存在的猫腻。有鉴于此,我们必须采取行动来杜绝这类现象再次发生。

    伦敦银行间同业拆借利率(London Interbank Offered Rate,简称Libor)引发的利率操纵丑闻成为了近期各大媒体的报道焦点,新闻标题大多含有“调查”和“改革”等字眼。Libor影响着这个世界的诸多领域,范围涉及从西班牙、美国的住宅抵押贷款到伦敦的衍生品合同。

    2008年年初以来,决策者们承认Libor的计算过程存在缺陷。近期,总部位于伦敦的巴克莱银行(Barclays)基于利率操纵指控达成的和解案,证实了华尔街和金融界很多人一直以来的怀疑:这里头可能存在一些腐败行为。

    预计今年9月央行行长们将开会商讨Libor的未来。本文将逐一分析众多政策制定者和投资者们热议的四大改革或监管选择。究竟有哪些选择? Libor能通过改革解决问题,还是到了非换不可的地步?

1. 将Libor交给政府来管

    如果将Libor交给银行管,留下了人为操纵空间。或许政府能帮助管好它也说不定?

    目前,监管Libor设定流程的是私营行业团体——英国银行家协会(British Bankers Association)。美国联邦储备委员会(Federal Reserve)主席本•伯南克上周警告称,这个体系存在结构性缺陷,欧洲央行(European Central Bank)或许最适合担起监管Libor监管的责任。

    欧洲央行负责设定Eonia已有时日,它是一种帮助控制通胀的隔夜借贷利率。正如路透社(Reuters)所指出的那样,与Libor和Euribor不同,Eonia是基于一组银行真实发生的交易,而不是给串通留下空间的估算值。当然,巴克莱和解案涉及更多的政府监管。除了要求巴克莱基于市价(而非估算借贷成本)提交Libor利率,和解案还要求未来五年设立独立审计人,审查巴克莱提交的利率,并汇报给美国商品期货交易委员会(Commodity Futures Trading Commission)。

    但即便政府在监督Libor中扮演更积极的角色,可能仍然无法解决Libor体系的问题。正如《纽约时报》(The New York Times)所指, Libor似乎天然功能失灵。即便Libor利率建立在真实的交易基础之上,这些交易并不容易获得,因为近年来很多银行已不愿互相借贷。

    而且,前车之鉴表明,并不能确定政府能提供多大帮助。正如上周公布的一系列文件显示,2008年,美国财政部长、时任纽约联邦储备银行行长蒂莫西•盖特纳在从交易员处听说一些银行故意低报每日利率后,已经敦促英国银行(Bank of England)改革Libor。但是迄今为止,改革显然还远远不够。

2. 将Libor交给市场来管

    既然政策制定者们认为Libor存在内在缺陷,为什么干脆取消这一基准利率?

    巴克莱和解案暴露出了Libor事实上源于估算、而不是真实的市场数据这一事实。除此之外,最终Libor的计算方法也有缺陷,因为种种迹象显示,银行间基本上已经停止了互相借贷的行为。

    伯南克和全球金融稳定委员会主席、加拿大银行(Bank of Canada)行长马克•卡尼建议改用回购利率,这是很多金融机构互相收取的短期贷款利率。

    此类利率的好处是它们是基于真实的市场交易。而且,据报道,有些银行已经在测试一个与回购协议市场联动的利率。

    不过,正如伯南克等人指出的那样,Libor作为市场基准很难取代,因为投资者已经习惯了Libor(1986年以来Libor一直被广为应用)。虽然回购利率被认为能更准确地反映借贷成本,但事实可能并非如此,正如《华尔街日报》(The Wall Street Journal )所述,回购利率拥有美国国债等抵押资产,因此比Libor市场中的贷款风险低很多。

3. 采用拍卖式

    正如《经济学家》(The Economist)最近所指,Libor计算过程中存在的很多问题同样也存在于拍卖过程中。因此,或许可以运用拍卖的一些遏制机制来弥补Libor的缺陷。

    人们指责交易员们在提交Libor利率时互相勾结。尽管英国银行家协会会公布各家银行的估算值,但却于事无补——因为如果交易员能看到他人的报价,要想影响最终利率就更容易了。这类似于拍卖环节的竞标团伙(bidding rings)。

    为了整顿Libor报价,英国银行家协会可以惩治给出失实数据的交易员,就像拍卖会惩罚不实出价者一样。而且,为了提高准确率,英国银行家协会可以增加上报利率的银行数量,将相关信息保密。

    Investigations and talk of reform are dominating the headlines about the rate-fixing scandal tied to the London Interbank Offered Rate, or Libor. The interest rate influences many aspects of the world we live in, from Spanish and U.S. mortgages to derivatives contracts in London.

    Since as early as 2008, policymakers have acknowledged the process by which Libor is calculated is imperfect. And London-based Barclays' recent settlement over interest rate manipulation has confirmed what many of us had suspected on Wall Street and the rest of the finance world: Something corrupt could be going on.

    In September, central bankers are expected to gather for a meeting on the possible future of Libor. Fortune takes a look at four fixes that many policymakers and investors are talking about. What are the options – could Libor be reformed, or should it be replaced?

    1. Leave it to the government

    If leaving it to the banks has left Libor exposed to manipulation, might the government help clean things up?

    Currently, the British Bankers Association, a private industry group, oversees the process by which Libor is set. But U.S. Federal Reserve Chairman Ben Bernanke warned last week that the system is structurally flawed, so the European Central Bank could be best positioned to police Libor.

    The ECB already sets Eonia, an overnight lending rate that helps control inflation. As Reuters notes, unlike Libor and Euribor, Eonia is based on actual transactions by a panel of banks rather than estimates that leave the rate exposed to collusion. To be sure, the Barclays settlement includes more government oversight of the bank. It not only orders the bank to base its Libor submissions on market prices rather than estimates of borrowing costs, but the settlement also calls an independent auditor to scrutinize its submissions for the next five years and report back to the Commodity Futures Trading Commission.

    But even if government plays a more active role monitoring Libor, it still might not solve the problems of the system. As The New York Times notes, Libor seems inherently dysfunctional. Even if the rate were based on actual transactions, those aren't easy to come by, as many banks in recent years have been reluctant to lend to each other.

    What's more, judging by previous warnings, it's uncertain how helpful government would be. As a slew of documents released last week revealed, in 2008, U.S. Treasury Secretary Timothy Geithner, then head of the New York Fed, pushed the Bank of England to reform Libor after hearing from traders that bankers were deliberately understating the daily rates. Needless to say, reforms didn't go far enough.

    2. Leave it to the markets

    As policymakers argue that Libor is inherently imperfect, might it be better just to do away with the benchmark altogether?

    Not only has the Barclays settlement exposed the fact that Libor is derived from estimates rather than real market data, but the way the final rate is calculated is further flawed by evidence that banks have mostly stopped lending to each other.

    Bernanke and global financial regulator Mark Carney, who is also governor of the Bank of Canada, have suggested the idea of using repo rates, the rate that financial institutions charge each other for short-term loans.

    The benefit of such rates is that they're based on actual market transactions. And some banks have reportedly been testing a rate linked to the market for repurchase agreements.

    However, as Bernanke and others have noted, Libor will be difficult to replace as a market benchmark simply because investors are so accustomed to it (Libor has been around since 1986). And while repo rates are thought to provide more accurate borrowing costs, that may be less so given, as The Wall Street Journal notes, that collateral such as Treasuries are used and therefore are less risky than loans in the Libor market.

    3. Go auction-style

    Many of the problems in calculating Libor are also evident in auctions, as The Economist recently pointed out. And so it might make sense to apply some of the checks that go on at auctions to correct flaws in Libor.

    Traders have been accused of colluding when coming up with the benchmark. This isn't helped by the fact that the BBA makes individual estimates public and so it's relatively easy for traders to peek at what others have done to influence the final rate. This is similar to those of bidding rings formed at auctions.

    To help clean up Libor, the BBA could penalize traders giving false estimates, just as auctions have penalized those giving false bids. What's more, to increase chances of accuracy, the trade group could increase the number of banks reporting rates and keep those private.

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