Corporate hedging gets harder
公司对冲愈难

The perils of prudence
慎亦生祸

Jun 18th 2009
From The Economist print edition

The credit crunch has made it much more difficult and expensive for firms to hedge their risks

信用紧缩使得公司对冲风险变得更为不易且成本更高。

WARREN BUFFETT, one of the world’s most famous investors, once called derivatives “financial weapons of mass destruction”. Central bankers worry that those sold “over the counter”, meaning outside exchanges, threaten the stability of the whole financial system. Yet firms that rely on derivatives to limit their exposure to swings in commodity prices, interest rates or exchange rates cannot get enough of them—literally.

世界上最著名的投资家之一，WARREN BUFFETT（沃伦·巴菲特）曾经把衍生品叫“金融大规模杀伤性武器”。 央行官员担心这些衍生品的“柜台销售”， 意指他们是在所外交易，会威胁整个金融系统的稳定。 然而，有的公司靠衍生品来减低大宗商品的价格， 利率， 或汇率大幅波动的影响，这些公司对这些衍生品是如饥似渴却又求之不得。   

Several firms using derivatives in an attempt to manage such risks have suffered huge losses of late, on paper at any rate. Among the hardest hit have been airlines, many of which paid to protect themselves from higher fuel prices last year when the oil price peaked at $147 a barrel. Because oil now costs much less, many have had to write down the value of those contracts, even if they are not due to be settled for years. The losers included Cathay Pacific Airways, which made paper losses of close to $1 billion, Ryanair, Air France-KLM and Southwest.

几家公司想用衍生品来对付上述风险， 近来蒙受巨大损失。 各个公司账面的损失各有不同。损失最惨重的当属航空公司了，很多航空企业在去年原油价格升至每桶147美元的时候买入了衍生品以期对冲未来可能进一步升高的油价。 但是因为现在油价大跌，尽管这些合同还要好几年才会到期，很多公司也不得不因为这些浮亏而记提账面损失。亏失的公司有 Cathay Pacific Airways (国泰航空)， 它账面损失近十亿； 还有Ryanair （瑞安航空），Air France-KLM （法国航空- KLM） 和 Southwest （西南）.

Nonetheless, firms seem as keen to hedge as ever. According to a study by Greenwich Associates, a consultancy, big American, European and Asian firms hedged 55% of their exposure to fuels last year, up from 45% the year before. Even some of the airlines that posted large losses on derivatives tied to the oil price are buying more of them. Ryanair recently said that it has entered contracts to fix the price of 90% of its fuel for the first nine months of this year, almost twice the proportion it had hedged in January. Cathay Pacific, meanwhile, is buying instruments that will protect it from falling as well as rising fuel prices.

然而， 这些公司却“冲”情有加，前所不及。 据咨询公司Greenwich Associates （格林威治联营公司） 的一个研究，美洲， 欧洲， 和亚洲的大公司去年对冲了55%的燃油，比去年的45%高。 有些航空公司账面有大量的油价衍生品损失， 他们却还在购买更多的衍生品。 Ryanair （瑞安航空）最近说， 它已签了合同，固定了今年头九个月90%的燃油的价格。这个比例接近今年一月时的两倍。而Cathay Pacific (国泰航空)购买的金融和约则既能对冲燃油价格升值，亦能对冲其下跌的风险。      

The main reason for this enthusiasm, says David Carter, an academic at Oklahoma State University and one of the authors of several papers studying fuel hedging in the airline industry, is that banks are normally more willing to lend to firms that have reduced their risks by hedging. That in turn allows them, for instance, to buy cheap assets from ailing rivals.

David Carter（大卫·卡特）是在Oklahoma（俄克拉荷马）州立大学的学术界人士，与人合作著有好几篇研究航空业中的燃油对冲的论文。他说，公司有如此热情的主要原因，是银行通常更愿意贷款给靠对冲减少了风险的公司，从而使它们能腾出手来有所动作，比如，从病入膏肓的对手手上购买便宜的资产。

Far from suppressing firms’ appetite for derivatives, the turmoil in the world’s financial markets has increased it. Of the big corporations Greenwich surveyed last year, 38% used options to manage currency fluctuations, up from 28% a year earlier, and the volume of currency options they bought had increased by about a third. In general, the use of interest-rate and currency options has risen dramatically in recent years (see chart).

金融风暴非但没有抑制公司对衍生品的需求，反大开其胃口。Greenwich（格林威治）去年调查的大企业中， 38 ％用期权对冲来管理货币波动，高于一年前的28%， 买的数量也增加了约三分之一。概而言之，近年来，利率和货币期权对冲的使用量急剧上升（见图）。

But in the second half of last year, such hedging declined for the first time since 2001, according to the International Swaps and Derivatives Association, an industry group. Thanks largely to the credit crunch, banks are selling fewer derivatives at a higher cost. Many firms, especially those with weaker credit ratings, have simply been frozen out of the market for derivatives by banks’ reduced willingness to carry risk. Bankers say that only the few airlines with the highest credit ratings have been able to add to their hedge books in recent months to take advantage of lower oil prices.

但在去年下半年，根据国际掉期及衍生品协会（这是一个行业团体）的报道,  对冲自2001年以来首次下降。银行销售的衍生品现在价涨量跌，这很大程度上要归咎于信贷的紧缩。许多企业，尤其是那些信贷评级低的，干脆被冻结出了衍生品市场， 因为银行不愿有大风险。银行家们说，在近数月中， 只有麟毛凤角的几家航空公司， 因为有很高的信用评级，才被加在他们的对冲帐目里。 这几家公司也因此才能利用较低的石油价格。

The bankers’ reluctance stems from the nature of hedging contracts which, although not officially loans, nonetheless create liabilities between banks and their customers which grow or shrink as the underlying variable changes. Thus many of the airlines that had hedged their fuel consumption when oil prices were higher built up huge notional debts to banks, even though no money was due to change hands until the contracts reached the end of their lives, by which time oil prices could have risen again. The amounts concerned can easily grow to exceed the internal limits that banks place on their exposure to particular clients or even industries, preventing them from extending additional credit or writing new contracts.

银行不愿为评级差的企业提供衍生品服务， 源自于对冲合同的本质属性。对冲虽然不是正式的贷款，却还是有银行与客户之间的债务这个概念。这债务随着潜在的变量的变化而或增或减。 许多航空公司在石油价格上涨的时候对冲了他们的燃油，现在石油价格下跌，他们就对银行欠下了庞大的名义债务。 这债务是名义的， 因为合同尚未期满， 钱也就无需易手。 等到合同期满，如果油价再次上升，这债务又会复归为无 。可是此时此刻， 这债务很容易就会达到银行内部对某个客户或产业设置的界限，而一旦到限，公司就不能有新的信贷或合同。

It is not just airlines that are affected. Indian textile exporters, for instance, complain that their banks are not allowing them to take on new currency hedges because of paper losses on contracts tied to the dollar. Pension funds are being affected too, mainly because some specialised derivatives, including certain types of hedges against inflation, completely dried up for a time last year.

受波及的不止是航空公司。印度纺织品出口商就抱怨说，因为美元对冲合同的账面损失， 银行现在已不让他们作新的汇率对冲。 退休基金也受影响， 主要是因为去年的有一段时间， 有一些专门化的衍生品 （包括规避通货膨胀的对冲）完全告罄。

Those hedges that are available have become much more expensive. That is partly because markets are less liquid and less competitive since the collapse of Lehman Brothers last September. But banks are also now explicitly charging for the credit risk that they assume when writing a derivative contract. Estimates of the additional cost that companies are paying to hedge risks vary from firm to firm and product to product, particularly as they depend on the creditworthiness of those who are buying them. But some in the industry talk of bank fees rising from less than 0.1% of the value of a deal to as much as 2%.

还可拿到的对冲也变得更加昂贵。这一部分是因为自从Lehman Brothers （雷曼兄弟）去年9月的崩溃，市场流动性变差，竞争变弱。 但还有另一个原因。 银行现在明确地对所承担的衍生品合同的信用风险加以收费。据估计，对冲风险中的额外收费的大小， 依银行和产品而不同，还特别是依购买人的信誉而不同。但一些业内人士说，银行收费从不到交易额的0.1 ％上升到交易额的2 ％ 。

For many firms, such costs are prohibitive. The main victims are big exporters of manufactured goods. ThyssenKrupp, a German industrial firm, hedges its currency exposure each time it signs a large export order, for example. Similarly Rolls-Royce, a British aerospace company, is active on foreign-exchange markets because most of its revenues are in dollars but many of its costs are paid in pounds.

对于许多公司，这些费用已具有抑制性。其主要受害者是大的工业制成品出口商。例如，德国工业企业ThyssenKrupp（蒂森克虏伯）在每次签订大的出口订单时都对冲汇率风险。英国航空航天公司Rolls-Royce （罗尔斯罗伊斯）公司也是一样， 它活跃于外汇市场，因为它的大部分收入是以美元计算，它的许多费用却以英镑支付。

Ever since the collapse of Lehman Brothers last year, firms have been worrying about whether they will ever be able to collect on the hedging contracts they have bought if their bank collapses. John Grout of the Association of Corporate Treasurers, an industry group, says that some perfectly solvent banks have wriggled out of derivative contracts by invoking obscure break clauses that they had previously promised their customers they would never use.

自从去年Lehman Brothers（雷曼兄弟公司）崩溃，许多公司就一直在担心，如果（和他们签有衍生品协议的）银行破产，他们所购买的对冲和约是否还能履约。John Grout（约翰•格鲁特）来自公司财务主管协会， 它是一个行业团组。John 说，有些银行完全有偿债能力， 却靠援引一些晦涩的违约条款， 耍滑逃脱履约。这些银行曾向它们的客户许诺过，他们绝不会使用这些违约条款。

Banks, meanwhile, fear that some of their cash-strapped customers may default. The result, says one banker involved in advising firms, is that many of them are asking firms to post collateral for the money they owe on derivative contracts. In effect many are edging towards the sorts of arrangements that regulators are thinking about imposing more broadly: moving most derivatives onto exchanges and having them centrally cleared.

银行则担心有些现金拮据的客户可能会拖欠。一位参与通知客户的银行家说，结果是，许多银行要求企业为其在衍生合约中欠下的钱担保。从效果上看，银行和客户的种种安排已经趋同于监管部门正在考虑普遍实施的办法: 把大多数衍生物转移到交易所并且集中结算。

Yet such arrangements, too, are deeply troubling for many big firms. By turning paper losses into real ones they represent, in effect, a massive withdrawal of credit. Timothy Murphy, the foreign-currency risk manager for 3M, a large manufacturing company, gave warning in testimony before a subcommittee of America’s Congress earlier this month that mandatory clearing of derivatives would “add significant capital requirements for end-users, adding significant costs, discouraging hedging, and diverting scarce capital”. The only thing more dangerous than having too many derivatives floating around the financial system, it seems, may be having too few of them.

然而，这样的安排，还是令许多大公司深感不安。把账面损失转化为现实损失，这实际上是大规模地撤走信贷。3M公司是一个大型制造业公司，Timothy Murphy（蒂莫西•墨菲）是它的外币风险经理。Timothy在美国国会本月初的一个小组委员会上作证时警告道，强制性地结算衍生品将“给终端用户添加显著的资本需求，从而增加大量的成本，阻碍对冲，并且移离稀缺的资本”。衍生品过多，金融系统则充斥其浮沫；可是，唯一能比那更危险的，看来就是衍生品又太少了。