資產負債表未必可信 Don't always believe a balance sheet
According to the latest data from the Bank for International Settlements, the central bankers’ central bank, the total amount of outstanding derivative contracts has declined from a 2012 peak of $700tn to about $550tn. To put this into perspective, the figure has fallen from just under three times the value of all the assets in the world to a little over twice the value.
根據全球央行官員的央行——國際清算銀行(BIS)的最新數據，全球衍生品合約的餘額總量已從2012年的峯值700萬億美元降低至約550萬億美元。要作一個客觀比較的話，這個數字已由略低於全球總資產的3倍下降至略高於全球總資產的2倍。
The largest element is interest rate swaps followed by foreign exchange derivatives. Credit default swaps, the instrument at the heart of the 2008 global financial crisis, are now relatively small — if you can accustom yourself to a world in which $15tn is a small number. It is only slightly less than the US gross domestic product (a little more than $18tn in the final quarter of 2015).
衍生品中體量最大的品種是利率互換產品，緊隨其後的是外匯衍生品。信貸違約互換(CDS)，曾被2008年全球金融危機推到風口浪尖的金融工具，目前的規模相對較小——如果你能習慣一個把15萬億美元稱爲小數字的世界。這僅僅略低於美國的國內生產總值(GDP)——2015年最後一季度美國GDP略高於18萬億美元。
Two banks, JPMorgan and Deutsche Bank, account for about 20 per cent of total global derivatives exposure. Each has more than $50tn potentially at risk. The current market capitalisation of JP Morgan is about $200bn (roughly its book value); that of Deutsche, $23bn (about one third of book value). From one perspective, Deutsche Bank is leveraged 2,000 times. Imagine promising to buy a house for $2,000 with assets of $1.
摩根大通(JPMorgan，見上圖)和德意志銀行(Deutsche Bank)這兩家銀行佔到了全球衍生品敞口總量的大約20%。每家銀行的敞口都高於50萬億美元。摩根大通目前的市值約爲2000億美元（大致相當於其賬面價值）；德意志銀行的市值爲230億美元（大致相當於其賬面價值的三分之一）。從某個角度上看，德意志銀行的槓桿率達到了2000倍。想象一下，承諾以1美元的資產爲基礎，購買價格爲2000美元的房子。
Before you head for the hills, or the bunker, understand that there is no possibility that these banks could actually lose $50tn. The risks associated with these exposures are largely netted out — that is, they offset each other. As you promised to buy the house in question, you also promised to sell it: though not necessarily at just the same time or price or to the same person. That mismatch is the source of potential profit.
在你跑開躲起來之前，你要明白，這兩家銀行實際虧損50萬億美元的可能性是沒有的。與這些敞口相聯繫的風險大部分都被化解掉了——也就是說，它們是相互抵銷的。當你承諾購買上述房子時，也承諾把房子賣掉：儘管未必買入立即售出，售價未必等於買價，買你房子的人未必是當初賣給你的人。這種錯配是潛在利潤的來源。
How effectively are these positions netted? Your guess is as good as mine, and probably not much worse than those in charge of these institutions. We are reliant on their risk modelling but these models break down in precisely the extreme situations they are designed to protect us against.
這些頭寸相互抵銷的效果如何？你的猜測結果跟我猜測得同樣好，並且可能不會比這兩家銀行的負責人猜測得差太多。我們依賴的是他們的風險模型，但這些模型在極端情況下會失效，儘管它們的宗旨正是在極端情況下保護我們。
You will not find these figures for derivative exposures in the balance sheets of banks nor do such exposures enter directly into capital adequacy calculations. The apparent lack of impact on balance sheet totals is the product of the combination of fair value accounting and the tradition of judging the security of a bank by the size of its credit exposure (counterparty risk) rather than its economic exposure (loss from market fluctuation).
你在銀行的資產負債表上將找不到這些衍生品敞口，這類敞口也不會直接進入資本充足率的計算。衍生品敞口對資產負債表不產生影響，是兩個因素共同作用的產物：一是公允價值會計，二是在判斷一家銀行的安全性時，使用其信貸敞口規模（對手方風險）而不是其經濟敞口（市場起伏產生的虧損）的傳統。
The fair value today of an agreement that has an equal chance of you paying me 100 or me paying you 100 is zero. Since your promise to pay or receive 100 is marked to market at nil there is no credit risk: you cannot default on a liability to pay nothing.
對於你支付給我100英鎊和我支付給你100英鎊的機率均等的一份合約，如今它的公允價值爲零。既然你支付或接收100英鎊的承諾按市值計價爲零，那麼就不存在信用風險了：你不可能對無需支付一分錢的債務違約。
Under generally accepted accounting principles in the US, you are allowed even to net out exposures to the same counter party in declaring your derivative position. This is not permitted under international financial reporting standards, which is why the balance sheets of American banks appear (misleadingly) to be smaller than those of similar European institutions.
根據美國的公認會計原則(GAAP)，你在披露自己的衍生品頭寸時，甚至可以相互抵銷對同一交易對手方的敞口。這在國際財務報告準則(IFRS)下是不允許的。這正是美國銀行的資產負債表貌似（這具有誤導性）小於歐洲同行的原因。
The fundamental problem is accounting at “fair value” when that fair value is the average of a wide range of possible outcomes. The mean of a distribution may itself be an impossible occurrence — there are no families with 1.8 children, for example. And netting offsetting positions may also mislead. There is a large difference between being a dollar millionaire and having assets of $100m and liabilities of $99m.
根本問題在於，在公允價值是大量可能結果的平均值的情況下進行“公允價值”的會計操作。分佈平均值本身或許就是不可能出現的——比如，不存在擁有1.8個孩子的家庭。把相互抵銷的頭寸計價爲零，或許也有誤導性。一名美元百萬富翁跟同時擁有1億美元資產和9900萬美元負債之間存在很大差別。
Accounting practices provide an appearance of precision that may be a poor guide to a world characterised by multiple risks and radical uncertainty. The superficial information we have from balance sheets and capital adequacy calculations understates the scale of complexity and interdependence in the global financial system. Market participants are right to be sceptical, and nervous, about banks.
會計實踐提供了一種精確的表象，這種表象對於以多重風險和劇烈不確定性爲特點的世界而言，也許是糟糕的指引。我們從資產負債表和資本充足率計算中獲得的表面信息，未能充分道出全球金融體系中複雜性和相互依賴性的程度。市場參與者對銀行感到懷疑和緊張是合情合理的。
