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| Title: | 店頭衍生性商品交易集中結算之研究─以美國2010金融改革法案為中心
A study on the central clearing of over-the-counter derivatives –emphasis on the U.S. financial reform act 2010 |
| Authors: | 鄭琇霙 |
| Contributors: | 楊光華
鄭琇霙 |
| Keywords: | 店頭衍生性交易
集中結算
Dodd-Frank法案
集中結算例外
OTC Derivatives
Central Clearing
Dodd-Frank Act
Central Clearing Exemptions |
| Date: | 2010 |
| Issue Date: | 2013-09-05 16:49:29 (UTC+8) |
| Abstract: | 原為避險目的而生之衍生性商品，因為金融創新，不僅交易規模擴大，交易對象也變得多元，甚至進一步成為部分投機者賺取高報酬之工具。依統計資料，透過店頭市場交易之衍生性商品，其名目價值遠高於在集中市場交易者，然店頭市場交易係由雙方自行協商交易條件，在欠缺相關揭露要求之情況下，市場透明度低，且欠缺有力之違約風險控管機制，兼之此市場中參與者間之高度關聯性，使得一旦有違約情況發生，影響層面往往波及當事人以外之眾多對象。
在金融危機過後，國際間開始檢討此次危機之成因，並研擬後續可能改革方向，針對店頭市場交易部分，則強調透過集中交易、集中結算以及交易資訊揭露等方式加強監管。美國為眾多戮力於金融改革之國家中較早通過具體條文者，2010年的改革法案將店頭衍生性交易納入規範，以集中結算為改革重點，並施加交易資訊申報公開、保證金、資本準備和部位限制等要求。儘管集中結算制度為改革關鍵，在法案中卻存在部分豁免規定，例如僅標準化衍生性商品須集中結算、外匯換匯及遠期外匯兩類衍生性商品可免集中結算、以及最終使用者所從事之交易亦可豁免等。
對於上述豁免規定，本文認為基於集中結算制度本身運作之前提，為結算之衍生性商品必須有一定之流動性及標準化，加上採行集中結算可能會增加之避險成本，因此美國改革法案中之例外為妥協後之結果。上述例外存在之本身，以及相關主管機關所提行政規則修正草案中存在之缺失，皆增加了藉以規避集中結算制度之可能性，而成為美國改革法案集中結算制度之潛在漏洞，無法防範店頭衍生性交易再度賈禍。觀察過去美國幾次重大金融改革，皆是在金融危機後大幅加強對市場之管制，然管制之必要性卻須待多年運行後才能獲致理性檢驗之機會。此次集中結算制度之改革然結果如何，仍需待實際於市場實施後才能準確評價。
Because of financial innovation, the trading volume of derivatives increases and the market participants get varied. Derivatives, that were developed to hedge or mitigate risk, become one of the tools to speculate. According to statistics, the total nominal value of derivatives traded in the over-the-counter (OTC) market is much higher than that traded in the exchange. Because of the low market transparency, the lack of powerful risk mitigating mechanism and the high correlation among major market participants, default of one counterparty may cause systemic risk.
After the global financial market meltdown in 2008, countries devoted attention to the causes of the financial crisis, especially to the OTC derivatives. To reduce the risk identified in the OTC derivatives market, trading on the exchange or electronic trading platform, central clearing and information disclosure are some measures to be implemented. The Dodd-Frank Act was the earliest reform act passed by the U.S. among these countries. Although central clearing is the major component of the act, there are also several exemptions of it. For example, non-standard derivatives, foreign exchange swaps, foreign exchange forwards and derivatives traded by end-user are exempted from central clearing requirement.
To be central cleared, the OTC derivatives must be standardized and with certain liquidity. Once central cleared, companies would be unable to use customized derivatives to mitigate commercial risk and the cost of hedge would probability increases. These are some reasons mentioned to support the central clearing exemption. However, the existence of these exemptions may become the inherent loopholes of the act. This article would first introduce the central clearing exemptions and evaluate the possible effect these exemptions might cause. |
| Reference: | 一、中文文獻
1. 許誠洲，衍生性金融商品理論與實務，台北市，金融研訓院，2010年1月。
2. 謝鳳瑛，「國際外匯清算機制－CLS系統」，財金資訊第42期，2005年10月20日，網址：http://www.fisc.com.tw/fiscweb/fiscbimonthly/Article.aspx?Volume=42&TNo=28 (最後瀏覽日：2011.05.20)。
二、英文文獻
（一）英文專書
1. ACHARYA, VIRAL V. & MATTHEW RICHARD eds., RESTORING FINANCIAL STABILITY: HOW TO REPAIR A FAILED SYSTEM (2010).
2. ACHARYA, VIRAL V. et al. eds., REGULATING WALL STREET: THE DODD-FRANK ACT AND THE NEW ARCHITECTURE OF GLOBAL FINANCE(2011).
3. JACQUE, LAURENT L., GLOBAL DERIVATIVE DEBACLES: FROM THEORY TO MALPRACTICE (2010).
4. JOHNSON, PHILIP MCBRIDE & THOMAS LEE HAZEN, DERIVATIVES REGULATION (Aspen Publishers, 3rd edition, Oct. 1, 2004).
（二）新聞、期刊與其他資料
1. Andrews, Edmund L., Michael J. de la Merced &, Mary Williams Walsh, Fed’s $85 Billion Loan Rescues Insurer, THE NEW YORK TIMES, Sep. 17, 2008, at http://www.nytimes.com/2008/09/17/business/17insure.html?hp (last visited June 5, 2011).
2. Ariail, Laurin C., The Impact of Dodd-Frank on End-Users Hedging Commercial Risk in Over-the-Counter Derivatives Markets, 15 NORTH CAROLINA BANKING INSTITUTE 175 (Mar. 2011).
3. Baseri, Nazanin, Credit Default Swap and Clearing, American University Legislation and Policy Brief, Winter 2011, 7-38.
4. BIS, Committee on Payment and Settlement Systems, New Developments in Clearing and Settlement Arrangements for OTC Derivatives, Mar. 2007.
5. BIS, Semiannual OTC Derivatives Statistics at End-December 2010, at http://www.bis.org/statistics/derstats.htm (last visited July 7, 2011).
6. BIS, Statistical Annex, June 2011, at http://www.bis.org/publ/qtrpdf/r_qa1106.pdf#page=136 (last visited June 9, 2011).
7. BIS, Semiannual OTC Derivatives Statistics at End-December 2010, at http://www.bis.org/statistics/derstats.htm (last visited July 7, 2011).
8. Braithwaite, Joanne P., The Inherent Limits of ‘Legal Devices’: Lessons for the Public Sector’s Central Counterparty Prescription for the OTC Derivatives Markets, European Business Organization Law Review 12 87-119 (2011).
9. Bresnahan, John & Carrie Budoff Brown, Lincoln Wall Street Bill Tacks Left, POLITICO, Apr. 13, 2010, at http://www.politico.com/news/stories/0410/35752_Page2.html (last visited June 28, 2010).
10. Carini, Peter J., PJC Group of New England, Comments on Rulemakings Required by the Dodd-Frank Wall Street Reform Act, Dec. 3, 2010, available at http://www.cftc.gov/ucm/groups/public/@swaps/documents/dfsubmission/dfsubmissionmult_120310-1.pdf (last visited July 9, 2011).
11. CFTC, Remarks of Chairman Gary Gensler, OTC Derivatives Reform, Exchequer Club of Washington, Nov. 18, 2009, available at http://www.aciforex.org/docs/markettopics/20091119_CFTC.pdf (last visited July 7, 2011).
12. CFTC, Analysis of Proposed Over-the-Counter Derivatives Markets Act of 2009, Aug. 17, 2009, at http://tradeobservatory.org/library.cfm?refid=106665 (last visited May 6, 2011).
13. Chander, Anupam & Randall Costa, International Law and the Economic Crisis: Clearing Credit Default Swaps: A Case Study in Global Legal Convergence, 10 CHICAGO JOURNAL OF INTERNATIONAL LAW 639 (Winter, 2010).
14. Chlistalla, Michael, OTC Derivatives: A New Market Infrastructure is Taking Shape, Deutsche Bank Research, Apr. 28, 2010, available at http://www.dbresearch.com (last visited July 15, 2011).
15. Comment Letter by Dan Shackelford, Vice President and Chair of Fixed Income Derivatives Committee, T. Rowe Price Associates, Inc. and Jonathan D. Siegel, Vice President & Senior Legal Counsel, T. Rowe Price Associates, Inc. to Mary Miller, Assistant Secretary for Financial Markets, Department of the Treasury (Nov. 29, 2010).
16. Comment Letter by Global FX Division of the Securities Industry and Financial Markets Association, Association for Financial Markets in Europe, and the Asia Securities Industry and Financial Markets Association, to Mary J. Miller, Assistant Secretary for Financial Markets, Office of Financial Institutions Policy, Department of the Treasury, Determination of Foreign Exchange Swaps and Forwards (Nov. 29, 2010).
17. Culp, Christopher L., OTC-Cleared Derivatives: Benefits, Costs, and Implications of the “Dodd-Frank Wall Street Reform and Consumer Protection Act”, JOURNAL OF APPLIED FINANCE, Issue 2, 2010.
18. Dennis, Brady, Trade Coalition Seek Curbs on Plans to Regulate Derivatives Market, WASHINGTON POST, Oct. 7, 2009, at http://www.washingtonpost.com/wp-dyn/content/article/2009/10/06/AR2009100603477.html (last visited June 29, 2011).
19. Duffie, Darrell, Comment Letter by Darrell Duffie, Professor, Graduate School of Business, Stanford University, to Inc to Mary Miller, Assistant Secretary for Financial Markets, Department of the Treasury, On The Clearing of Foreign Exchange Derivatives (May 12, 2011), available at http://www.darrellduffie.com/uploads/policy/DuffieClearingFXDerivatives2011.pdf (last visited June 29, 2011).
20. Duffie, Darrell, How Should We Regulate Derivatives Markets? PEW, at http://www.pewfr.org/project_reports_detail?id=0017 (last visited July 3, 2011).
21. Ezickson, Doron F., Prajakt Samant & Rashpaul Bahia, EU Financial Reforms Impact on OTC Derivative and Commodities Market, PLC Magazine (Dec. 2010).
22. Flitter, Emily, More Wiggle Room in New Derivatives Bill, American Banker (Oct. 6, 2009).
23. FX Investor Group, Response to the Department of the Treasury’s Request for Further Comments on the Proposed Determination of Foreign Exchange Swaps and Forwards, June 3, 2011, at http://www.regulations.gov/#!home (last visited July 5, 2011).
24.Glass, Adam W., The Regulatory Drive towards Central Counterparty Clearing of OTC Credit Derivatives and the Necessary Limits on This, CAPITAL MARKETS LAW JOURNAL, Vol. 2, No. S1 79.
25. Gogel, Jeremy, “Shifting Risk to the Dumbest Guy in the Room”- Derivatives Regulation after the Wall Street Reform and Consumer Protection Act, 11 Journal of Business & Securities Law 1-52 (Fall, 2010).
26. Gordon, Marcy, Behind Obama’s Plan to Rein in Derivatives, BLOOMBERG, Aug. 12, 2009, at http://www.businessweek.com/investor/content/aug2009/pi20090812_505067.htm (last visited June 30, 2011).
27. Greenberger, Michael, Out of the Black Hole: Regulatory Reform of the Over-the-Counter Derivatives Market, Make Markets Be Markets 99-115 (Roosevelt Institute 2010) at http://makemarketsbemarkets.org/report/MakeMarketsBeMarkets.pdf.
28. Greenberger, Michael, Is Our Economy Safe? A Proposal for Assessing the Success of Swaps Regulation under the Dodd-Frank Act (Oct. 2010), University of Maryland Legal Studies Research Paper No. 2010-50, available at http://works.bepress.com/michael_greenberger/34 (last visited May 20, 2011).
29. Greenberger, Michael, The Role of Derivatives in the Financial Crisis, Testimony before the Financial Crisis Inquiry Commission, June 30, 2010, at http://www.michaelgreenberger.com/files/FCIC-Michael_Greenberger_Testimony.pdf (last visited May 15, 2011).
30. Greenberger, Michael, Comment Letter to Mary J. Miller, Assistant Secretary for Financial Markets, Office of Financial Institutions Policy, Department of the Treasury, Determination of Foreign Exchange Swaps and Forward, Nov. 29, 2010, at http://www.michaelgreenberger.com/files/Greenberger_FX_comment_letter.pdf (last visited May 6, 2011).
31. Greenberger, Michael, Comment Letter to Elizabeth Murphy, Secretary, Securities and Exchange Commission, and David Stawick, Secretary, Commodity Futures Trading Commission, Further Definition of “Swap Dealer,” “Security-Based Swap Dealer,” “Major Swap Participant,” “Major Security-Based Swap Participant,” and “Eligible Contract Participant” (Feb. 22, 2011), at http://www.michaelgreenberger.com/files/Second-Def-CL.pdf (last visited Sep. 11, 2011).
32. Greenberger, Michael, Comment Letter by Michael Greenberger, Professor, University of Maryland School of Law, Director, Center for Health and Homeland Security, to David Stawick, Secretary, Commodity Futures Trading Commission, End-User Exception to Mandatory Clearing of Swaps (Feb. 22, 2011), available at http://www.michaelgreenberger.com/files/End-User-CL.pdf (last visited May 20, 2011).
33. Gubler, Zachary J., The Financial Innovation Process: Theory and Application, 36 Delaware Journal of Corporate Law 1 55-119 (2011).
34. Hamilton, James, Senators Dodd and Lincoln Clarify the End User Exemption in the Derivatives Title of Dodd-Frank, WOLTERS KLUWER CCH FINANCIAL REFORM NEWS CENTER, July 2, 2010, at http://financialreform.wolterskluwerlb.com/2010/07/senators-dodd-and-lincoln-clarify-the-end-user-exemption-in-the-derivatives-title-of-dodd-frank.html (last visited May 3, 2011).
35. Knott, Raymond and Alastair Mills, Modelling Risk in Central Counterparty Clearing Houses: A Review, FINANCIAL STABILITY REVIEW (Dec. 2002).
27. Larsen, Kari S., What Is the End Game for the “End User” Exception? Feb. 5, 2010, at http://www.securitiestechnologymonitor.com/issues/22_2/-24628-1.html?zkPrintable=true (last visited July 3, 2011).
36. McBride, Paul M., The Dodd-Frank Act and OTC Derivatives: The Impact of Mandatory Central Clearing on the Global OTC Derivatives Market, 44 INTERNATIONAL LAWYER, winter 2010 1077, 1106-1107.
37. Medero, Joanne T., The Great Treasury Amendment Debate, FUTURES INDUSTRY (Mar. 1997), at http://www.futuresindustry.org/fi-magazine-home.asp?v=p&a=505 (last visited July 10, 2011).
38. Miller, Rena S., Key Issues in Derivatives Reform, CRS Report for Congress, Apr. 8, 2010, available at http://assets.opencrs.com/rpts/R40965_20100408.pdf (last visited July 9, 2011).
39. Morgenson, Gretchen, Behind Insurer’s Crisis, Blind Eye to a Web of Risk, THE NEW YORK TIMES, Sep. 27, 2008, at http://www.nytimes.com/2008/09/28/business/28melt.html (last visited June 5, 2011).
40. Nasiripour, Shahien & Ryan Grim, Two Leading House Dems Will Close $50 Trillion Loophole in Derivatives Reform Bills, HUFFINGTON POST, Nov. 18, 2009, at http://www.huffingtonpost.com/2009/11/18/exclusive-two-leading-hou_n_362154.html (last visited May 20, 2011).
41. Onaran, Yalman & Michael McKee, In Geithner We Trust Eludes Treasury as Markets Fails to Recover, BLOOMBERG, Feb. 25, 2009, at http://www.bloomberg.com/apps/news?pid=newsarchive&sid=aLhs5Byln00k# (last visited June 6, 2011).
42. Paletta, Damian & Aaron Lucchetti, Law Remakes U.S. Financial Landscape, THE WALL STREET JOURNAL, July 16, 2010, at http://online.wsj.com/article/SB10001424052748704682604575369030061839958.html (last visited June 9, 2011).
43. Pirrong, Craig, The Economics of Central Clearing: Theory and Practice, ISDA Discussion Papers Series, No. 1 (May, 2011).
44. Pittman, Mark, Goldman, Merrill Collect Billions after Fed’s AIG Bailout Loans, BLOOMBERG NEWS, Sep. 29, 2008, at http://www.bloomberg.com/apps/news?pid=newsarchive&sid=aTzTYtlNHSG8# (last visited June 5, 2011).
45. PwC, OTC Derivatives: Should All Customized Derivatives Be Standardized? July 2009, at http://www.pwc.com/us/en/point-of-view/otc-derivitives.jhtml (last visited July 3, 2011).
46. Rausser, Gordon, William Balson, & Reid Stevens, Centralized Clearing for Over-the-Counter Derivatives, (Sept. 18, 2009), available at SSRN: http://ssrn.com/abstract=1475351.
47. Report of the President’s Working Group on Financial Markets, Hedge Funds, Leverage, and the Lessons of Long-Term Capital Management (April, 1999), 39-40, at http://www.treasury.gov/resource-center/fin-mkts/Documents/hedgfund.pdf (last visited June 9, 2011).
48. Scannell, Kara, Big Companies Go to Washington to Fight Regulations on Fancy Derivatives, THE WALL STREET JOURNAL, July 10, 2009, at http://online.wsj.com/article_email/SB124718445317920379-lMyQjAxMDI5NDE3MDExODA0Wj.html (last visited June 29, 2011).
49. Sackheim, Michael et al, Knocking on the Clearinghouse Door A Lawyer’s Introduction to Cleared OTC Derivatives, 30 Futures & Derivatives Law Report, No. 7 (Aug. 2010).
50. SEC Action Allows Central Counterparty for Credit Default Swaps, Wolters Kluver Law& Business, Dec. 24, 2008, at http://financialreform.wolterskluwerlb.com/2008/12/sec-action-allows-central-counterparty-for-credit-default-swaps.html (last visited July 16, 2011).
51. Sackheim, Michael et al. Knocking on the Clearinghouse Door A Lawyer’s Introduction to Cleared OTC Derivatives, 30 FUTURES & DERIVATIVES LAW REPORT, No. 7 (Aug. 2010).
52. Stone, Peter H., Derivatives Fight Widens, NATIONAL JOURNAL MAGAZINE (Sep. 24, 2009).
53. The White House, Remarks by the President on 21st Century Financial Regulatory Reform, June 17, 2009, at http://www.whitehouse.gov/the_press_office/Remarks-of-the-President-on-Regulatory-Reform/ (last visited Apr. 8, 2011).
54. U.S. House of Representatives, Committee on Oversight and Government Reform, Public Disclosure as a last Resort: How the Federal Reserve Fought to Cover up the Details of the AIG Counterparties Bailout from the American People, at http://oversight.house.gov/images/stories/Reports/20100125aigstaffreportwithcover.pdf (last visited June 7, 2011).
55. WFE & IOMA Comment Letter to Department of the Treasury, Determination of
Foreign Exchange Swaps and Forwards under the Commodity Exchange Act (Nov. 29, 2010), at http://www.world-exchanges.org/news-views/press-releases/wfe-ioma-letter-regarding-fx-swaps-regulation (last visited July 1, 2011).
三、美國立法資料
1. CFTC & SEC, Further Definition of “Swap Dealer,” “Security-Based Swap Dealer,” “Major Swap Participant,” “Major Security-Based Swap Participant” and “Eligible Contract Participant”, FEDERAL REGISTER, Vol.75, No.244, Dec. 21, 2010, 80174.
2. CFTC, Process for Review of Swaps for Mandatory Clearing, FEDERAL REGISTER, Vol. 75, No. 211, 67277-67282, Nov. 2, 2010, at http://www.cftc.gov/LawRegulation/DoddFrankAct/Rulemakings/DF_8_SwapReview/index.htm (last visited June 26, 2011).
3. CFTC, End-User Exception to Mandatory Clearing of Swaps, FEDERAL REGISTER, Vol. 75, No. 246, 80747-80758, Dec. 23, 2010, at http://www.cftc.gov/LawRegulation/DoddFrankAct/Rulemakings/DF_11_EndUser/index.htm (last visited June 26, 2011).
4. Congress Record H5248, June 30, 2010.
5. Dodd-Frank Wall Street Reform and Consumer Protection Act, Public Law 111-203, 124 Stat. 1376 (2010).
6. Hearing to Examine the Regulation of Over-the-Counter Derivatives, Joint Hearing before the Committee on Agriculture and the Committee on Financial Services House of Representatives, First Session, July 10, 2009, Serial No. 111-23, 111-55.
7. Hearing to Review Proposed Legislation by the U.S. Department of the Treasury Regarding the Regulation of over-the-Counter Derivatives Markets, Sep. 17, 22, 2009, Serial No. 111-29.
8. Testimony of the Honorable Steve Bartlett President and Chief Executive Officer of the Financial Services Roundtable on Banking Industry Perspectives on the Obama Administration’s Financial Regulatory Reform Proposal, July 15, 2009, Serial No. 111-58.
9. The Obama Administration’s White Paper on Financial Regulatory Reform, June 17, 2009, at http://media.washingtonpost.com/wp-srv/politics/pdf/nearfinaldraft_061709.pdf?sid=ST2009061603317 (last visited June 9, 2011).
10. U.S. Department of the Treasury, Proposed Legislation, Title VII – Improvements to Regulation of Over-the-counter Derivatives Markets, Over-the-counter Derivatives Market Act of 2009, Aug. 11, 2009, § 711(a)(4), at http://www.financialstability.gov/docs/regulatoryreform/titleVII.pdf.
11. U.S. Department of the Treasury, Fact Sheet: Notice of Proposed Determination on Foreign Exchange Swaps and Forwards, Apr. 29, 2011, at http://www.treasury.gov/press-center/press-releases/Pages/tg1152.aspx (last visited May 18, 2011).
12. U.S. Department of the Treasury, Determination of Foreign Exchange Swaps and Foreign Exchange Forwards under the Commodity Exchange Act, FEDERAL REGISTER, Vol.76 No. 87, May 20, 2011.
13. U.S. House of Representatives, Committee on Oversight and Government Reform, Public Disclosure as a last Resort: How the Federal Reserve Fought to Cover up the Details of the AIG Counterparties Bailout from the American People, at http://oversight.house.gov/images/stories/Reports/20100125aigstaffreportwithcover.pdf (last visited June 7, 2011).
14. Hearing to Examine the Regulation of Over-the-Counter Derivatives, Serial No. 111-23, 111-55, July 10, 2009. |
| Description: | 碩士
國立政治大學
國際經營與貿易研究所
98351003
99 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#G0098351003 |
| Data Type: | thesis |
| Appears in Collections: | [國際經營與貿易學系 ] 學位論文
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