论文翻译
再抵押在影子银行系统的重要角色
作者：Manmohan Singh and James Aitken
2010年7月
摘要：
本论文检验了再抵押在影子银行系统的重要角色。再抵押是指允许已发表的抵押品再次抵押的做法，例如对冲基金抵押给其首要经纪人的抵押品可以被经纪人为其自身融资所用而再次抵押。在英国，首要经纪人这种运用客户资产的行为不受资产数量的限制，而在美国再抵押行为是有上限的。结合对再抵押行为（包括相关抵押品的再利用）在最近的这次金融危机的估计，可表明非银行融资的崩塌规模是可观的。我们展示的影子银行系统至少要比书面记录的规模大50%。同时我们也预测了对冲基金行业中的“翻腾”因素或者抵押品的再利用行为。从政策的角度来看，需要以全球视角报告的大型银行高管需要加深他们从其他机构接收的再抵押方式的表外业务融资的理解。
目录
I. 绪论 .............................................................................................................................3
II. 美国和英国现有的关于再抵押的法规.............................................................................4
III. 雷曼兄弟破产后的再抵押行为......................................................................................5
IV. 影子银行系统的崩塌(再抵押活动的调整) ....................................................................6
V. 抵押品的翻腾（或速率）-- 对美国银行的分析..............................................................9
VI. 政策含义....................................................................................................................12
图表
1. 可以在大型美国银行抵押的抵押品 ...............................................................................6
2. 非银行资金通过再抵押向美国银行流动 ........................................................................8
3. 美国的影子银行系统--实际规模大于书面记录................................................................9
4. 可以在大型欧洲银行抵押的抵押品................................................................................11
Boxes
1. 允许已用抵押物再抵押的分析方法.................................................................................7
2. 抵押品的速率（或翻腾) -- 全球水平.............................................................................12
参考文献..........................................................................................................................14
I. 绪论
The United Kingdom provides a platform for higher leveraging stemming from the use (and
re-use) of customer collateral. Furthermore, there are no policy initiatives to remove or
reduce the asymmetry between United Kingdom and the United States on the use of customer
collateral. We show that such U.K. funding to large U.S. banks is sizable and augments the
measure of the shadow banking system. Supervisors of U.S. banks that report on a global
consolidated basis need to enhance their understanding of the collateral funding that the U.S.
banks receive in the United Kingdom.
Rehypothecation occurs when the collateral posted by a prime brokerage client (e.g., hedge
fund) to its prime broker is used as collateral also by the prime broker for its own purposes.
Every Customer Account Agreement or Prime Brokerage Agreement with a prime brokerage
client will include blanket consent to this practice unless stated otherwise. In general, hedge
funds pay less for the services of the prime broker if their collateral is allowed to be
rehypothecated.
There has been very little research in this area. One of the first papers on this topic showed
how the collapse in rehypothecation levels was contributing to global deleveraging after
Lehman’s demise (Singh and Aitken, 2009a). Adrian and Shin (2009) provide an analytical
model where collateral assets can be recycled by pledging and re-pledging; the model shows
that during a crisis, the cumulative haircuts (or ‘margin spiral’) on pledged collateral can be
sizable. Gorton (2009) shows that during a crisis, haircuts on collateral can result in a run on
the shadow banking system. Singh and Aitken (2009b) show that counterparty risk during
and in the aftermath of the recent crisis resulted in a decrease of up to $5 trillion in highgrade
collateral due to reduced rehypothecation, decreased securities lending activities and
the hoarding of unencumbered collateral.
This paper contributes to the ongoing policy debate on the size of the shadow banking system
and how it impacted the funding for large banks. We show that in addition to the previously
documented research (Adrian and Shin, etc.), that the shadow banking system was at least
50 percent larger than previously estimated. We also provide estimates from the hedge fund
industry and their prime brokerage relationships with large banks for the “churning” or the
extent of re-use of collateral. The rest of the paper is organized as follows. Section II
discusses rehypothecation in the United Kingdom and the United States and the associated
regulatory regimes; the United Kingdom provides a platform for higher leveraging (and
deleveraging) not available in the United States. Section III highlights the collapse in
rehypothecation levels in the United States, especially after the demise of Lehman. Section
IV shows that the shadow banking system in the United States was much larger than
envisaged, if we adjust for rehypothecation. Section V calculates the ‘churning’ factor for
pledged collateral via hedge fund’s relationships with their prime brokers. Section VI
4 concludes with some suggestions for regulators to enhance their understanding of the funding
sources for large banks.
作者：Manmohan Singh and James Aitken
2010年7月
摘要：
本论文检验了再抵押在影子银行系统的重要角色。再抵押是指允许已发表的抵押品再次抵押的做法，例如对冲基金抵押给其首要经纪人的抵押品可以被经纪人为其自身融资所用而再次抵押。在英国，首要经纪人这种运用客户资产的行为不受资产数量的限制，而在美国再抵押行为是有上限的。结合对再抵押行为（包括相关抵押品的再利用）在最近的这次金融危机的估计，可表明非银行融资的崩塌规模是可观的。我们展示的影子银行系统至少要比书面记录的规模大50%。同时我们也预测了对冲基金行业中的“翻腾”因素或者抵押品的再利用行为。从政策的角度来看，需要以全球视角报告的大型银行高管需要加深他们从其他机构接收的再抵押方式的表外业务融资的理解。
目录
I. 绪论 .............................................................................................................................3
II. 美国和英国现有的关于再抵押的法规.............................................................................4
III. 雷曼兄弟破产后的再抵押行为......................................................................................5
IV. 影子银行系统的崩塌(再抵押活动的调整) ....................................................................6
V. 抵押品的翻腾（或速率）-- 对美国银行的分析..............................................................9
VI. 政策含义....................................................................................................................12
图表
1. 可以在大型美国银行抵押的抵押品 ...............................................................................6
2. 非银行资金通过再抵押向美国银行流动 ........................................................................8
3. 美国的影子银行系统--实际规模大于书面记录................................................................9
4. 可以在大型欧洲银行抵押的抵押品................................................................................11
Boxes
1. 允许已用抵押物再抵押的分析方法.................................................................................7
2. 抵押品的速率（或翻腾) -- 全球水平.............................................................................12
参考文献..........................................................................................................................14
I. 绪论
The United Kingdom provides a platform for higher leveraging stemming from the use (and
re-use) of customer collateral. Furthermore, there are no policy initiatives to remove or
reduce the asymmetry between United Kingdom and the United States on the use of customer
collateral. We show that such U.K. funding to large U.S. banks is sizable and augments the
measure of the shadow banking system. Supervisors of U.S. banks that report on a global
consolidated basis need to enhance their understanding of the collateral funding that the U.S.
banks receive in the United Kingdom.
Rehypothecation occurs when the collateral posted by a prime brokerage client (e.g., hedge
fund) to its prime broker is used as collateral also by the prime broker for its own purposes.
Every Customer Account Agreement or Prime Brokerage Agreement with a prime brokerage
client will include blanket consent to this practice unless stated otherwise. In general, hedge
funds pay less for the services of the prime broker if their collateral is allowed to be
rehypothecated.
There has been very little research in this area. One of the first papers on this topic showed
how the collapse in rehypothecation levels was contributing to global deleveraging after
Lehman’s demise (Singh and Aitken, 2009a). Adrian and Shin (2009) provide an analytical
model where collateral assets can be recycled by pledging and re-pledging; the model shows
that during a crisis, the cumulative haircuts (or ‘margin spiral’) on pledged collateral can be
sizable. Gorton (2009) shows that during a crisis, haircuts on collateral can result in a run on
the shadow banking system. Singh and Aitken (2009b) show that counterparty risk during
and in the aftermath of the recent crisis resulted in a decrease of up to $5 trillion in highgrade
collateral due to reduced rehypothecation, decreased securities lending activities and
the hoarding of unencumbered collateral.
This paper contributes to the ongoing policy debate on the size of the shadow banking system
and how it impacted the funding for large banks. We show that in addition to the previously
documented research (Adrian and Shin, etc.), that the shadow banking system was at least
50 percent larger than previously estimated. We also provide estimates from the hedge fund
industry and their prime brokerage relationships with large banks for the “churning” or the
extent of re-use of collateral. The rest of the paper is organized as follows. Section II
discusses rehypothecation in the United Kingdom and the United States and the associated
regulatory regimes; the United Kingdom provides a platform for higher leveraging (and
deleveraging) not available in the United States. Section III highlights the collapse in
rehypothecation levels in the United States, especially after the demise of Lehman. Section
IV shows that the shadow banking system in the United States was much larger than
envisaged, if we adjust for rehypothecation. Section V calculates the ‘churning’ factor for
pledged collateral via hedge fund’s relationships with their prime brokers. Section VI
4 concludes with some suggestions for regulators to enhance their understanding of the funding
sources for large banks.
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