【作者简介】
陈兰兰，北方工业大学文法学院法律系副研究员、硕士生导师；专业方向：国际经济法学。
【注释】本文系2012年教育部人文社科青年基金项目“信用违约互换集中清算机制研究”（项目编号：12YJC820007）、2010年中国法学会部级法学研究课题“场外金融衍生交易法律规制研究”（项目编号：CLS-D1048）、2009年北京市优秀人才培养个人项目“金融衍生产品法律监管研究”（项目编号：2009D005002000002）的研究成果之一。
信用保护买方在购买信用违约互换时无需持有基础资产。若信用保护买方在并未持有基础资产的情形下参与信用违约互换交易，即进行无实体信用违约互换交易。信用保护买方通常基于三种目的进行无实体信用违约互换交易：一是做市商为对冲做市风险而进行无债务头寸的交易；二是为投资者提供“代理对冲”（Proxy Hedge）的手段；三是被部分投资者用作投机牟利的金融工具。其中，做市商为对冲做市风险进行无实体信用违约互换交易，将有助于其在有效控制头寸信用风险的同时，为市场提供流动性。投资者利用无实体信用违约互换进行代理对冲，是指当由于某些原因不能直接达成某信用违约互换交易时，通过与该信用违约互换的第三方主体所在行业相同、信用状况相似的主体的信用违约互换交易进行风险对冲。近年来，投资者越来越多地借助无实体信用违约互换实现代理对冲，虽然并不持有基础资产，但其套期保值的需求却是真实存在的。譬如，跨国银行在为某一特定国家的许多交易方提供贷款时，使用以主权债务为基础资产的信用违约互换来对冲交易对手风险或国家风险。再如，投资者持有某一特定国家的高额股权投资、债权投资等，使用以主权债务为基础资产的信用违约互换来对冲政治风险、市场风险和流动性风险。若投资者预期基础资产的信用状况在未来将大幅下降，而通过买入信用风险保护并在其信用状况实际下降后，甚至发生违约时获取收益，则此类无实体信用违约互换交易可视作信用风险市场上的一种投机行为。2010年5月，鉴于欧元区主权债务异常波动且信用违约互换利差明显扩大，德国对其境内进行的以欧元区主权债务为基础资产的信用违约互换实施暂时禁令。同年7月德国议会通过了禁止以主权债务为基础资产的信用违约互换交易的法案。考虑到德国单方面实施禁令可能造成的市场混乱，2010年11月欧盟轮值主席向欧盟委员会代表提交《欧洲议会和欧盟理事会关于卖空和信用违约互换特定问题的规定（建议稿）》，建议对无实体信用违约互换制定严格的公开或非公开信息披露要求。从德国颁布的禁止部分信用违约互换交易的法案来看，主要是针对以主权债务为基础资产的信用违约互换作出的临时性措施，其目的是防止国家信用被恶意操纵，在欧洲部分国家发生主权债务危机背景下具有一定的合理性，但是否作为长期政策在欧盟范围内推广仍处在激烈讨论之中。一些政治家指责无实体信用违约互换加剧了希腊赤字危机，因为他们认为无实体信用违约互换主要是对冲基金设计出来进行投机牟利的金融工具。赞同禁止信用违约互换交易的一方还认为，如果市场参与者在没有债务头寸的情况下进行信用违约互换交易，CDS头寸必然超过债务的待偿付余额，当这些超量的头寸集中在少数主体，可能造成过高的杠杆率，甚至引发系统性风险。但国际货币基金组织于2010年4月发布的《金融稳定报告》提出，主权债务CDS不可能对包括希腊在内的政府债券市场施加显著的影响。从做市商为对冲做市风险进行无实体信用违约互换交易、投资者借助无实体信用违约互换进行代理对冲来看，无实体信用违约互换是对冲风险的有效金融工具。还有观点提出，如果在实践中严格执行无实体信用违约互换交易禁令，可能监管难度较大，并且不能完全防止风险在信用保护卖方积聚的情况。参见徐光,邵诚.关于“裸卖空”和“CDS裸卖空”的经济分析及启示.国际金融研究.2011(3):89; European Commission, Proposal for A Regulation of the European Parliament and of the Council on Short Selling and Certain Aspects of Credit Default Swaps, 2010; 包香明,王冬丽.我国信用衍生产品市场发展构思.中国货币市场.2010(9):33; 徐光,邵诚.关于“裸卖空”和“CDS裸卖空”的经济分析及启示.国际金融研究.2011(3):94.
中国银行间市场交易商协会.中国信用衍生品创新与发展问题研究.2010(7):9-10.
Derivatives: A Closer Look at What New Disclosures in the U.S. Reveal, Fitch Ratings, July 22, 2009, pp. 3.
U.S. Government Accountability Office, GAO-09-397T, Systemic Risk: Regulatory Oversight and Recent Initiatives to Address Risks Posed by Credit Default Swaps 13-15 (2009), pp. 22.
See ISDA Margin Survey 2009, Int''l Swaps and Derivatives Ass''n 7 (2009),
http://www.isda.org/c and a/pdf/ISDA-Margin-Survey-2009.pdf；ISDA Margin Survey 2010, Int''l Swaps and Derivatives Ass''n 10 (2010),
http://www.isda.org/c and a/pdf/ISDA-Margin-Survey-2010.pdf.
Jeremy C. Kress, Credit Default Swaps, Clearinghouses, and Systemic Risk: Why Centralized Counterparties Must Have Access to Central Bank Liquidity, Harvard Journal on Legislation, Winter 2011, Volume 48, Issue 1, pp. 56.
Miguel A. Segoviano, Manmohan Singh, Counterparty Risk in the Over-The-Counter Derivatives Market, IMF Working Paper(WP/08/258), November 2008, pp.4.
Willa E. Gibson, Clearing and Trade Execution Requirements for OTC Derivatives Swaps under the Frank-Dodd Wall Street Reform and Consumer Protection Act (November 17, 2010), University of Akron Legal Studies Research Paper No. 10-12.
Jeremy C. Kress, Credit Default Swaps, Clearinghouses, and Systemic Risk: Why Centralized Counterparties Must Have Access to Central Bank Liquidity, Harvard Journal on Legislation, Winter 2011, Volume 48, Issue 1, pp. 58.
郭锋，刘燕，杨东，杜晶.金融危机后美国的金融监管体制与法律的改革.金融服务法研究咨询报告.2010(4):29.
European Commission, Proposal for a Regulation on OTC Derivatives，Central Counterparties and Trade Repositories (COM(2010) 484/5).
郭锋，刘燕，杨东，杜晶.金融危机后美国的金融监管体制与法律的改革.金融服务法研究咨询报告.2010(4):22.
韩龙.当下国际社会金融规制与监管改革的发展趋势［A］.陈安.国际经济法学刊［C］.2010(1).北京:北京大学出版社,2010.264-265.
关于商品期货交易委员会与证券交易委员会在历史上对场外衍生交易监管权的争夺，以及《多德－弗兰克法案》所规定的二者对互换交易的监管分工，参见郭锋，刘燕，杨东，杜晶.金融危机后美国的金融监管体制与法律的改革.金融服务法研究咨询报告.2010(4):20-27；David T. McIndoe, R. Michael Sweeney, Jr., OTC Derivatives Reform: Wall Street Transparency and Accountability Act of 2010, Hunton & Williams LLP, July 2010. Willa E. Gibson, Clearing and Trade Execution Requirements for OTC Derivatives Swaps under the Frank-Dodd Wall Street Reform and Consumer Protection Act (November 17, 2010), University of Akron Legal Studies Research Paper No. 10-12,pp.4-5.
see Process for Review of Swaps for Mandatory Clearing, 75 Federal Register, Nov. 2, 2010.
Craig Pirrong, Would this Derivatives Market Reform Provide the Silver Bullet for Systemic Risk, University of Houston Working Paper, 31 (4), 2008, pp.46.
See Robert R. Bliss, Robert S. Steigerwald, Derivatives Clearing and Settlement: A Comparison of Central Counterparties and Alternative Structures, Econ. Perspectives, 4th Q. 2006, pp.25.
中国银行间市场交易商协会.中国信用衍生品创新与发展问题研究.2010(7):27.
Jeremy C. Kress, Credit Default Swaps, Clearinghouses, and Systemic Risk: Why Centralized Counterparties Must Have Access to Central Bank Liquidity, Harvard Journal on Legislation, Winter 2011, Volume 48, Issue 1, pp. 58.
see Craig Pirrong, Would this Derivatives Market Reform Provide the Silver Bullet for Systemic Risk, University of Houston Working Paper, 31 (4), 2008, pp.49.
see Robert R. Bliss, Chryssa Papathanassiou, Derivatives Clearing, Central Counterparties and Novation: The Economic Implications 19-24 (Mar. 8, 2006),
http://www.ecb.int/events/pdf/conferences/ccp/BlissPapathanassiou final.pdf, pp.8.
see Goldman Sachs, Discussions with the CFTC & SEC., Clearing, September 2010 pp.1-6.
Alan Murray, Fed’s New Chairman Wins a Lot of Praise on Handling the Crash, Wall St. J., Nov. 25, 1987, Factiva, Doc. No. j000000020011118djbp00s3j.
Mark Carlson, A Brief History of the 1987 Stock Market Crash with a Discussion of the Federal Reserve Response 11 (Fed. Reserve Bd. Divs. of Research & Statistics & Monetary Affairs, Fin. & Econ. Discussion Series, Working Paper No. 2007-13, 2006),
http://www.federalreserve.gov/Pubs/Feds/2007/200713/200713pap.pdf.
see Goldman Sachs, Discussions with the CFTC & SEC., Clearing, September 2010, pp.4.
CFTC, Proposal to Mitigate Potential Conflicts of Interest in the Operation of Derivatives Clearing Organizations, Designated Contract Markets, and Swap Execution Facilities, October 1, 2010; SEC, Proposed Rule Release No. 34-63107,October 13, 2010.
郭锋，刘燕，杨东，杜晶.金融危机后美国的金融监管体制与法律的改革.金融服务法研究咨询报告.2010(4):31-32.
see Review of CME Group’s Credit Default Swap Margin Model and Financial Safeguards for CDS Clearing, CME Group 14 (April 18, 2009),
http://www.cmegroup.com/trading/cds/files/cds-review.pdf; Yves Smith, The Fantasy of the Clearinghouse Magic Bullet, Naked Capitalism (Nov. 6, 2009),
http://www.nakedcapitalism.com/2009/11/the-fantasy-of-the-clearing-house-magic-bullet.html.
IMF, Sovereigns, Funding, and Systemic Liquidity: Global Financial Stability Report, 10 (2010).
Testimony of Gary Gensler, Chairman of the Commodities Futures Trading Commission, Before the Senate Committee on Agriculture, Nutrition and Forestry, June 4, 2009.
Chatham Financial, 17 Reasons Why Clearing Should NOT Be Required for ALL OTC Derivatives,
http://www.chathamfinancial.eu/en/17-reasons-why-clearing-should-not-be-required-for-all-otc-derivatives, July 2009, pp.1-3.
see Chatham Financial, 17 Reasons Why Clearing Should NOT Be Required for ALL OTC Derivatives,
http://www.chathamfinancial.eu/en/17-reasons-why-clearing-should-not-be-required-for-all-otc-derivatives>, July 2009, pp.2.
郭锋，刘燕，杨东，杜晶.金融危机后美国的金融监管体制与法律的改革. 金融服务法研究咨询报告.2010(4):14,24,37.
郭锋，刘燕，杨东，杜晶.金融危机后美国的金融监管体制与法律的改革. 金融服务法研究咨询报告.2010(4):23-27.
