资产负债表未必可信

According to the latest data from the Bank for International Settlements, the central bankers’ central bank, the total amount of outstanding derivative¹ 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.

根据全球央行官员的央行——国际清算银行(BIS)的最新数据，全球衍生品合约的余额总量已从2012年的峰值700万亿美元降低至约550万亿美元。要作一个客观比较的话，这个数字已由略低于全球总资产的3倍下降至略高于全球总资产的2倍。

The largest element is interest rate swaps² followed by foreign exchange derivatives³. Credit default swaps, the instrument at the heart of the 2008 global financial crisis, are now relatively⁴ small — if you can accustom⁵ 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).

衍生品中体量最大的品种是利率互换产品，紧随其后的是外汇衍生品。信贷违约互换(CDS)，曾被2008年全球金融危机推到风口浪尖的金融工具，目前的规模相对较小——如果你能习惯一个把15万亿美元称为小数字的世界。这仅仅略低于美国的国内生产总值(GDP)——2015年最后一季度美国GDP略高于18万亿美元。

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 leveraged⁶ 2,000 times. Imagine promising⁷ to buy a house for $2,000 with assets of $1.

摩根大通(JPMorgan，见上图)和德意志银行(Deutsche Bank)这两家银行占到了全球衍生品敞口总量的大约20%。每家银行的敞口都高于50万亿美元。摩根大通目前的市值约为2000亿美元（大致相当于其账面价值）；德意志银行的市值为230亿美元（大致相当于其账面价值的三分之一）。从某个角度上看，德意志银行的杠杆率达到了2000倍。想象一下，承诺以1美元的资产为基础，购买价格为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 offset⁸ 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.

在你跑开躲起来之前，你要明白，这两家银行实际亏损50万亿美元的可能性是没有的。与这些敞口相联系的风险大部分都被化解掉了——也就是说，它们是相互抵销的。当你承诺购买上述房子时，也承诺把房子卖掉：尽管未必买入立即售出，售价未必等于买价，买你房子的人未必是当初卖给你的人。这种错配是潜在利润的来源。

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 precisely⁹ the extreme situations they are designed to protect us against.

这些头寸相互抵销的效果如何？你的猜测结果跟我猜测得同样好，并且可能不会比这两家银行的负责人猜测得差太多。我们依赖的是他们的风险模型，但这些模型在极端情况下会失效，尽管它们的宗旨正是在极端情况下保护我们。

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 accounting¹⁰ 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).

你在银行的资产负债表上将找不到这些衍生品敞口，这类敞口也不会直接进入资本充足率的计算。衍生品敞口对资产负债表不产生影响，是两个因素共同作用的产物：一是公允价值会计，二是在判断一家银行的安全性时，使用其信贷敞口规模（对手方风险）而不是其经济敞口（市场起伏产生的亏损）的传统。

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 nil¹¹ there is no credit risk: you cannot default on a liability to pay nothing.

对于你支付给我100英镑和我支付给你100英镑的几率均等的一份合约，如今它的公允价值为零。既然你支付或接收100英镑的承诺按市值计价为零，那么就不存在信用风险了：你不可能对无需支付一分钱的债务违约。

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.

根据美国的公认会计原则(GAAP)，你在披露自己的衍生品头寸时，甚至可以相互抵销对同一交易对手方的敞口。这在国际财务报告准则(IFRS)下是不允许的。这正是美国银行的资产负债表貌似（这具有误导性）小于欧洲同行的原因。

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 offsetting¹² positions may also mislead. There is a large difference between being a dollar millionaire and having assets of $100m and liabilities of $99m.

根本问题在于，在公允价值是大量可能结果的平均值的情况下进行“公允价值”的会计操作。分布平均值本身或许就是不可能出现的——比如，不存在拥有1.8个孩子的家庭。把相互抵销的头寸计价为零，或许也有误导性。一名美元百万富翁跟同时拥有1亿美元资产和9900万美元负债之间存在很大差别。

Accounting practices provide an appearance of precision that may be a poor guide to a world characterised by multiple risks and radical¹³ uncertainty¹⁴. The superficial information we have from balance sheets and capital adequacy calculations understates the scale of complexity¹⁵ and interdependence in the global financial system. Market participants are right to be sceptical, and nervous, about banks.

会计实践提供了一种精确的表象，这种表象对于以多重风险和剧烈不确定性为特点的世界而言，也许是糟糕的指引。我们从资产负债表和资本充足率计算中获得的表面信息，未能充分道出全球金融体系中复杂性和相互依赖性的程度。市场参与者对银行感到怀疑和紧张是合情合理的。