????到底什么樣的人算“流氓”？我們到thefreedictionary.com網站查了查，第一個定義是“目無法紀、欺詐成性且靠不住的人”。根據這個定義，瑞銀集團（UBS）雇員中符合這個描述的恐怕不止奎庫?阿多博利一個。據指控，阿多博利的違規交易導致瑞銀虧損了23億美元左右。顯然，他的舉動之所以被歸入“流氓”行為并不單單因為他虧損了20多億美元，而是因為他虧掉的是銀行自己的錢。

????你或許會覺得我們沒有必要這樣憤世嫉俗，且聽我們解釋：

????去年，世界證券交易所聯合會（the World Federation of Exchanges）根據國別進行了一項針對同日確認（SDA）的調查。交易確認是一只毛茸茸的老鼠，蝸居在華爾街一個毫不起眼的角落，也就是運營與后臺部門（Operations and Back Office）陰暗的墻角。人們現在才發現，這個部門時至今日還在靠回形針和橡皮筋工作，而高頻交易員們使用的電腦則排成了行，足以使《太空堡壘卡拉狄加》（Battlestar Galactica）里的首席武器官垂涎三尺。

????這個行業盈利的部門，即銷售與交易，霸占了所有的榮耀、所有風頭和所有的資產。而交易處理部門幾乎總是跟在后面望塵莫及。瑞銀集團的這起丑聞卻使負責交易后事務的部門進入了公眾的視線。根據《金融時報》（the Financial Times）的報道，這位被指違規操作的瑞銀交易員非常熟悉確認程序，了解“已經完成交易的確認程序……可以在交割完成后再進行”。公司可能在賣家向買家確認某筆交易之前就獲得該交易的支付款項。盡管在賣家的證券交付之前取出買家的現金并非易事，但賣家仍可以在自己的賬簿上把這筆現金記錄為已經收到的款項，甚至可以將其用于進一步交易。

????《金融時報》解釋稱，這種風險在場外交易市場尤其普遍，而交易所開放式指數基金（ETF）、外匯期權和多種大宗商品衍生品的通常進行場外交易。貨幣市場工具也是如此交易的，萬一價值幾千億美元的短期商業票據出現交割違約，結果將不堪設想，盡管我們的交易賬戶清單里仍會將這些票據稱為“現金”余額，但其實這個數字非常具有誤導性。

????降低此種風險的方法之一是要求雙方在同一天確認交易，即使正式的交易確認文件（紙質也好，電子版也好）要到一兩天后才能出具也無所謂。上述世界證券交易所聯合會調查顯示，日本、印度和香港的同日確認率最高，均超過90%；二線國家，即同日確認率80%出頭的國家包括德國、法國、英國和中國；在全球領先的市場中，美國遠遠落在最后，只有46.9%的交易是在同一天確認的。或許有人會說，從實際交易數量來說，美國同日確認的交易量仍比其他市場多，可這個事實不容忽視：我們在全球最大的十個市場中排名墊底。巴西總統羅塞夫的擁躉想必會注意到，我們甚至比巴西還差了15個百分點。目前有人倡議，在全球三十個左右的國家協調交割慣例，盡管它們各自的監管體制、銀行和市場慣例以及現行后臺慣例各不相同。在此，我們只能祝他們一切順利。

????瑞銀違規交易丑聞曝光前不久，《金融時報》曾報道過被業內人士稱為“交割違約”（fails to deliver）的現象。最近幾個月來，交割違約現象大增，也就是交割日到了，買家卻沒有交付現金，或者賣家沒有交付證券。《金融時報》數據顯示，目前僅在美國市場，這種違約的規模就達到每天2,000億美元。在美國，我們至少還知道這個數字呢，而歐洲根本就沒有相應的數據。

為生存而違約

????部分觀察人士認定，許多投行是蓄意違約，以此“應對財務壓力”。在一段時間內，比方說兩個會計周期之間或者兩次部門審計之間，交割違約使一位交易員、一個交易柜臺乃至整個金融機構得以在其賬簿上同時納入其已經出售但尚未交付的證券的價值，以及已經收錄但尚未到賬的現金的價值。根據慣例，保證金規則和交易系統通常允許某次出售證券的對價實際到賬之前就投入用于買入新的證券；如果在太多下游交易交割之前，現金支付違約問題就能夠解決，這個問題或許不會引起注意。否則就可能引起連鎖反應，造成隨后的一系列交易都必須中止，那么這家公司就不但要承擔自己的虧損，還得承擔所涉交易的對手方的虧損。看起來，這就是瑞銀集團面臨的情況。

????在美國，還有一種稱為“未經清算”（ex clearing）的神奇所在，未能完成交割的交易可以進入此種永久性的中間狀態。它們成了互為對手的經紀人之間的賬外合同，雙方都同意不再追究此事。完全沒有任何辦法查清按這種方式處理的未完成交割的交易到底有多大金額，因此也就無法弄清在銀行的資產負債表上到底有多少錢屬于永遠不可能真正追回幽靈資本。

????《金融時報》報道稱，直到2009年5月雷曼兄弟公司破產后，美國國債市場才引入了違約罰金制度。僅在當月，每日國債違約額就達到了5,690億美元。美國現在計劃在抵押擔保證券交易中也引入違約罰金制。交易人士指出，此舉可能會迫使投行將違約轉入市場的其他門。《金融時報》稱，ETF交易的違約率現在比普通證券交易還高。

????讓我們回到流氓交易員一事上來。阿多博利在瑞銀集團的證券部門工作，根據《華爾街日報》（the Wall Street Journal）的說法，他的職責是進行相當“安靜的交易”。據報道，其虧損源于他使用未經對沖的指數期貨，一邊倒地對市場走勢下注；。據報道，阿多博利還通過虛構的相抵消的交易來掩蓋虧損。據稱，他利用ETF創造了虛構的交易，因為ETF的交割周期比實際造成他虧損的金融工具更長，這些所謂交易的對手方是歐洲公司，后者所在市場的規則并不要求確認ETF交易。

????上述《華爾街日報》報道的評論意味深長，它指出瑞銀的內部風險監控主要聚焦于固定收益證券的自營交易——因為瑞銀在2008-2009年期間正是因該業務而減記了500億美元資產，當時巨虧的部分原因在于太過依賴某一類證券。“瑞銀對其風險控制體系的全面檢查未能防止后臺員工找出偽造交易的辦法。”公平的將，如果某個雇員一心想要違反法律，他總會找出辦法。可是，總的來說證券交易業務的監管力度不夠，“因為它通常是為客戶打理資產，風險較小”。虧掉客戶20億美元，可以稱為一系列壞運氣，虧掉銀行自己的20億美元，那就叫欺詐。

????瑞銀首席執行官郭儒博已經為此辭職。阿多博利正關在英國監獄里，等待接受審判。與法興銀行的熱羅姆?凱維埃爾不同，迄今似乎還沒有跡象表明他會號稱得到了上司的默許。我們不認為這件事上還會曝出什么重大的新變局。瑞銀的風險控制很成問題。現在回過頭來看，人人都會高呼：對雇員的欺詐行為不加防備簡直是愚蠢至極。在瑞銀的交易柜臺上，交易權被交給了一個頭腦發熱、喪失理智的傻瓜；監管他的人顯然也是傻瓜，他們的所謂管理程序就是每天打印海量交易記錄，而不是真正去了解雇員的交易風格。有鑒于此，我們能給瑞銀的最好的建議也只能是：以后別再雇傻瓜干活了。

????譯者：小宇

????What exactly makes a person a "rogue"? We checked at thefreedictionary.com and found the first definition as "an unprincipled, deceitful, and unreliable person." Using this definition, we are not sure that Kweku Adoboli, the UBS employee alleged to have fumbled some $2.3 billion of the bank's money, would be the only employee on his desk to merit the characterization. Clearly, what makes Adoboli's actions "rogue" activity is not the fact that he allegedly lost over $2 billion, but that he lost the bank's own money.

????Lest you think us unnecessarily cynical, we offer the following:

????Last year the World Federation of Exchanges did a study of same-day affirmation (SDA) by country. Trade affirmation is a small furry rodent that inhabits the musty shadows of an un-sexy corner of Wall Street known as Operations and Back Office. This is the part that, as people are only now finding out, is held together by paper clips and rubber bands, while the high frequency traders run computer arrays that would make the chief weapons officer of Battlestar Galactica drool.

????The revenue generating part of the business – sales and trading – has glommed all the glamour, all the publicity, and all the assets. The transaction processing piece, meanwhile, has almost always had to play catch-up. The UBS scandal has brought the post-trade piece of the business to public attention. According to the Financial Times, the accused UBS (UBS) trader had intimate knowledge "of how confirmation that trades have been done… can happen after settlement." It is possible for a firm to receive payment for a trade before the seller has confirmed the transaction to the buyer. And while it is not so simple to take the buyer's cash out before seller's the securities have been delivered, the seller can show the cash on their own books as having been received, and can even spend it in further transactions.

????The FT explains that this risk is particularly prevalent in over the counter markets, where ETFs, foreign exchange options and a number of commodity derivatives trade. It is also where money market instruments trade, and we do not fancy the notion of a failure to deliver on a few hundred billion dollars' worth of short term commercial paper in what our brokerage statement misleadingly calls our "cash" balance.

????One way to mitigate this risk is to require both sides to affirm a trade same day, even if the formal trade confirm document – paper or electronic – is not issued until a day or two later. The industry group review found the highest rates of SDA were in Japan, India and Hong Kong, all well above 90%. A second tier – in the 80%-plus range – includes Germany, France, the UK and China. Among leading global markets, the U.S. ranked dead last, with only 46.9% of trades being same day affirmed. One could argue that this is still a larger number of actual trades than the other markets process, but the fact remains that we rank dead last among the ten leading markets in the world – fifteen percentage points behind Brazil, fans of President Rousseff will note. There is an initiative afoot to harmonize settlement practices among some thirty different nations, each with different regulatory regimes, bank and market conventions, and different current back-office practices. We wish them luck.

????Shortly before the UBS scandal broke the FT reported on a phenomenon known in the industry as fails to deliver. Fails – when the buyer does not deliver cash on settlement date, or the seller does not deliver the securities – have spiked in recent months and now average $200 billion a day in the U.S. market alone, according to the FT. At least in the U.S. the number is known. There is no equivalent data available for Europe.

Failing for survival

????Some observers are convinced that banks are deliberately failing "as a way of dealing with financial stress." For a period of time – say the time between accounting cycles, or between departmental audits – fails permit a trader, a trading desk, or even an entire institution to carry on its books both the value of the securities it has sold, but not delivered, and the value of the cash it has booked, but not received. Margin rules and trading system conventions generally allow the proceeds of a sale to be used for new purchases before the cash is actually delivered, so a fail on a cash payment may go unnoticed if it is resolved before too many downstream transactions settle. Or it can set off a cascade where successive trades have to be broken, with the firm eating both its own losses, and those of its counterparties on the trades in question. This appears to be roughly the case facing UBS.

????In the U.S., there is a further Never-Never-Land called "ex clearing," where aged fails go into permanent limbo. They become an off-book contract between the counterparty brokers, who agree not to pursue the matter. There is no way of knowing the dollar value of fails that have been thus dispatched, and consequently it is impossible to know what amounts of money on bank balance sheets are actually phantom capital that will never be recovered.

????The FT reports that only in May 2009, after the Lehman collapse, was a fail penalty introduced in the US Treasurys market. In that month alone daily Treasury fails reached $569 billion. The U.S. now plans to introduce fails charges for mortgage backed securities, which traders say will force fails into other segments of the market. The FT reports that ETFs are now more likely to fail than are normal equity trades.

????This brings us back to our rogue trader. Adoboli worked in UBS's equities division, where he was charged with running a rather "sedate trading book," according to the Wall Street Journal. The losses reportedly stemmed from one-way bets on the direction of the market, using unhedged index futures. The losses were reportedly masked with falsified entries showing offsetting trades. Adoboli reportedly created fictitious trades using ETFs, which settle over a longer cycle than the instruments on which he was actually losing money, recording them with European counterparties who were not obligated by market rules to confirm ETF trades.

????In a revealing comment, the Journal article said UBS's internal risk monitoring focuses on proprietary trading in fixed income – because that is where the bank took a $50 billion write-down in 2008-2009, partly because of heavy concentration in one class of securities. "The overhaul of its risk-control system didn't address the danger of a back-office employee finding a way to fake trades." Fair enough. If an employee is determined to break the law, he will figure out a way to do it. But the equities business is in general not closely monitored "because it had typically been a client business that carried less risk." Losing a client $2 billion is called a streak of bad luck. Losing the bank $2 billion is called fraud.

????UBS chief Oswald Grubel has resigned as head of UBS. Adobli sits in a British jail as he waits for his fate to be decided. Unlike SocGen's Jerome Kerviel, he does not yet appear to have taken the position that his superiors knew of his activities. We doubt there is another major shoe to drop in this matter. The bank did not have adequate controls. In retrospect everyone will clamor that it was idiotic not to anticipate employee fraud. On the UBS trading desk, a trading book was handed over to an idiot who got in well over his head, and who was apparently overseen by idiots whose risk management process consisted of initialing reams of printouts every day, rather than getting to know the trading style of their employees. The best advice we can give to UBS: don't hire any more idiots.