国际金融衍生交易终止净额结算法律制度研究
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摘要
金融衍生产品因其具有独特的风险管理作用,自上世纪70产生以来,在世界范围内得到了广泛运用,交易量持续快速增长,品种创新层出不穷。衍生交易业务已成为现代金融活动的核心部分之一。
然而,由于衍生交易按名义金额计算,具有很强的杠杆交易特性,使得衍生交易在发挥风险管理作用的同时,其自身也蕴含着巨大的风险。历史经验表明,如果衍生交易的风险控制不好,即便是一家资本规模雄厚的百年老店,也完全可能在顷刻之间灰飞烟灭。另外,由于在衍生交易市场上,从事衍生交易的机构以金融机构为主,机构之间重复交易情况常见,交易集中度非常高,导致衍生交易的潜在风险也是集中这些少数机构身上。一旦其中任何一家机构因风险控制不好而出现破产倒闭事件,都会给与之交易的机构对手造成负面影响,甚至可能连锁性导致其交易对手以及其交易对手的对手也发生债务危机或破产倒闭,从而可能给整个金融市场、一国的经济甚或是世界范围内的经济活动造成震荡,出现系统性风险。
为了有效控制衍生交易风险,避免引发市场系统风险,国际市场实践中采用了一个独特的合同安排――终止净额结算机制。根据终止净额结算机制,当衍生交易一方出现合同约定的风险事件(违约事件和终止事件)时,交易对方有权立即终止双方在主协议项下全部未完成履行之交易(或全部受影响交易),或根据双方事先的合同约定该等全部未完成交易于特定违约事件发生的当时被视为立即终止,并在终止后按合同约定方式计算每个终止交易的终止金额即盈亏头寸,然后将所有这些盈亏头寸进行抵冲或轧差,求得一个最终的净余额。终止净额结算的作用在于衍生交易双方通过它能有效控制和降低各自所面临对手的信用风险敞口。终止净额结算制度包括两个核心部分,一是提前终止合同交易的权利,即终止权;二是终止后对各交易盈亏头寸进行净额计算或净额处理的安排,即净额结算。终止净额结算制度作为一项合同条款安排,其设计功能和巨大价值能否实现,取决于其在法律上是否始终是有效的、可执行的。在一般情况下(即不涉及破产程序时),终止净额结算是具有法律有效性和可执行性的。但是当出现破产强制程序时,由于终止净额结算制度与破产法律制度的基本原则存在冲突,特别是终止净额结算所内含的提前终止权和净额结算机制与破产法律项下破产管理人的选择履行权和限制抵销的规定有着直接的冲突,从而使得终止净额结算制度此时的法律有效性和可执行性就存在不确定性。在国际上,为了确保终止净额结算制度的法律有效性和可执行性,充分发挥其制度设计价值和功用,各国纷纷通过修订破产法律,明确承认其可不受破产法律基本制度的限制,构成破产法律制度适用的例外。可以说,终止净额结算已经成为一项重要的金融制度,在国际金融市场上被广泛采用并得到各经济金融发达国家法律的明确认可。
然而,在我国,无论是在市场实践或是理论研究中,无论是金融学界或是法律学界,对这一制度仍然缺乏了解,我国现行法律中更是不存在这样的制度。这对我国的金融市场特别是金融衍生交易市场的长远发展是不利的。
本文的目的就是研究衍生交易市场的终止净额结算制度。首先在介绍金融衍生产品及市场交易状况的基础上,分析终止净额结算机制的法律内涵,说明其是与抵销制度有着实质性区别的一项独特制度,它对金融衍生市场的风险管理具有十分巨大的意义和价值。本文着重从合同法和破产法的角度对终止净额结算的法律有效性和可执行性进行深入分析,详细阐述终止净额结算制度与破产法律制度之间所存在的冲突,说明为什么要通过立法明确承认终止净额结算制度的法律有效性和可执行性,为什么要在破产法律体系中给予衍生交易特别对待;同时运用经济分析方法和案例分析,说明为什么可以给予终止净额结算制度特别的对待,揭示和分析其作为一项法律制度的经济内涵和社会成本效益。另外,本文还通过比较分析方法,介绍了部分金融发达国家的终止净额结算立法状况。最后,本文讨论了我国目前的金融衍生市场的发展状况,指出在我国市场实践中已经借鉴国际惯例,在最近引入了终止净额结算制度,但是我国还不存在真正法律意义上的终止净额结算制度;同时着重从法律角度分析了终止净额结算制度在我国现行合同法律和破产法律制度中的有效性和可执行性,指出我国进行终止净额结算立法的必要性和现实意义,并分析探讨了我国进行终止净额结算立法的可行路径。
本文的选题是基于笔者十多年从事衍生交易法律实务的经验、体会和研究。在国内,迄今为止,尚未有学者对终止净额结算制度进行过真正系统的深入研究,因而具有一定的创新性和开创性。同时,由于金融衍生市场在我国整体金融市场中的地位日益重要,金融衍生交易对我国未来金融市场的发展将具有举足轻重的作用,因而对衍生交易市场的一项最核心的制度――终止净额结算进行研究也就具有相当的现实意义。
With the unique risk management function, since their creation in 1970s, financial derivatives have been widely used in the world with trenmendous growth of trading volume and remarkable evelopment of new products. Derivative business has already become one of the core businesses of the current financial market.
However, as derivative is traded at nominal amount and such trading is highly leveraged, while playing the role of risk management for the market, it may by itself incur great potential risk. As demonstrated in the past practice, if without proper control of such derivative trading risk, collapse could be a reality in a minute even for a hundred year old prestigious company with substantial capital scale. Again, since participants at derivative market are mainly financial institutions which normally conduct repeated trading among themselves and therefore the trading positions and the exposures will naturally concentrated on such small number of institutions. In this circumstance, if any one of such market participants becomes insolvent due to its improper risk control, it will bring negative impact to its counterparties and even worse a chain of financial risk reaction and collapse might be caused to such counterparties and the counterparties of such counterparties, and eventually lead to disruption and systemic risk at the whole financial market, the economy of a country or even the worldwide economy.
In order to reduce the risk of derivative trading and avoid the occurrence of systemic risk, a unique contractual arrangement is adopted at international market, i.e. close-out netting. By close-out netting, in the case a risk event (default events and termination events) occurs to one party, the counterparty will have the right to immediately designate a date to terminate all the unperformed transactions (or all affected transactions) under the master agreement between the parties, or such transactions will be deemed terminated immediately upon the occurrence of certain default events, and then after termination, a termination amount (either negative or positive) will be calculated for each terminated transaction, and all the termination amounts will be netted and one final net amount will be obtained which constitutues a payable obligation. The function of close-out netting is that the parties to derivative transactions could by using it effectively control and substantially reduce the credit exposure they may have from each other. Close-out netting mechanism has two core components; one is the right to terminate the transaction, i.e. termination right, the other is to net the termination amounts, i.e. netting. Close-out netting being a contractual arrangement, realization of its designed function and value very much depends on whether it is always legally valid and enforceable. In normal circumstance (i.e. in situation of no insolvent proceeding), close-out netting is legally valid and enforceable. However, in the event of compulsory insolvent proceeding, there will be some uncertainty with the legal validity and enforceability of close-out netting as the termination right and netting mechanism of close-out netting are by nature in direct conflict with the cherry-picking right of administrator and limitation on insolvency set-off. In order to ensure the legal validity and enforceability of close-out netting and facilitate the realization of its designed function and value, many countries in the world have by amending their bankruptcy law explicitly recognized that close-out netting can apply without being subject to bankruptcy law restriction. Now, close-out netting as an important financial system has been widely adopted at international market and recognized by many countries of strong financial economy.
However, there is a lack of basic understanding of close-out netting in China at both market and theory research level, and among both finance circle and legal academics. There is no such legal provision in current Chinese law. Apparently, it will be detrimental to the long-term development of Chinese financial market and financial derivative market in particular.
The purpose of this paper is to study on close-out netting at derivative market. Firstly, based on the introduction of financial derivatives and derivative market situation this paper analyzes the legal implication of close-out netting, illustrates that it is such a unique system with a different nature of set-off, and demonstrates its significant value in risk management of financial derivative market. This paper focuses its analysis from the perspective of both contract law and bankruptcy law on the legal validity and enforceability of close-out netting, discussing the conflict between close-out netting and bankruptcy law principles, and then explaining why legislative efforts are necessary for recognition of the legal validity and enforceability of close-out netting, why a special treatment within bankruptcy law regime shall be given to derivatives, and meanwhile by using methodologies of economic analysis and case analysis explaining why the special treatment can be given to close-out netting, and further displaying the economic implication and cost efficiency of close-out netting. Furthermore, this paper gives comparative study on the legislation regarding close-out netting in some financially developed countries. Finally, this paper discusses on the current derivative market in China, and points out that although the Chinese market has by referring to international practice introduced the close-out netting as a contractual arrangement, there is actually no such legal concept of close-out netting under the current law in China. Then this paper focuses on analyzing the legal validity and enforceability of close-out netting under the current Contract Law and Bankruptcy Law of China, explaining the necessity and significance of close-out netting legislation and exploring the approaches of such close-out netting legislation in China.
Selection of this paper subject is based on the author’s experience, thinking and study in the past over ten years in legal practice with respect to derivatives. So far close-out netting has not been really researched in China, and therefore this is a unique and new topic for research. And meanwhile, due to the increasingly importance of financial derivative market in the whole Chinese financial market and the substantial role the financial derivatives will play in the future development of Chinese financial market, research on the close-out netting—the most important mechanism of derivative market-- will then be of significant value in practice.
然而,由于衍生交易按名义金额计算,具有很强的杠杆交易特性,使得衍生交易在发挥风险管理作用的同时,其自身也蕴含着巨大的风险。历史经验表明,如果衍生交易的风险控制不好,即便是一家资本规模雄厚的百年老店,也完全可能在顷刻之间灰飞烟灭。另外,由于在衍生交易市场上,从事衍生交易的机构以金融机构为主,机构之间重复交易情况常见,交易集中度非常高,导致衍生交易的潜在风险也是集中这些少数机构身上。一旦其中任何一家机构因风险控制不好而出现破产倒闭事件,都会给与之交易的机构对手造成负面影响,甚至可能连锁性导致其交易对手以及其交易对手的对手也发生债务危机或破产倒闭,从而可能给整个金融市场、一国的经济甚或是世界范围内的经济活动造成震荡,出现系统性风险。
为了有效控制衍生交易风险,避免引发市场系统风险,国际市场实践中采用了一个独特的合同安排――终止净额结算机制。根据终止净额结算机制,当衍生交易一方出现合同约定的风险事件(违约事件和终止事件)时,交易对方有权立即终止双方在主协议项下全部未完成履行之交易(或全部受影响交易),或根据双方事先的合同约定该等全部未完成交易于特定违约事件发生的当时被视为立即终止,并在终止后按合同约定方式计算每个终止交易的终止金额即盈亏头寸,然后将所有这些盈亏头寸进行抵冲或轧差,求得一个最终的净余额。终止净额结算的作用在于衍生交易双方通过它能有效控制和降低各自所面临对手的信用风险敞口。终止净额结算制度包括两个核心部分,一是提前终止合同交易的权利,即终止权;二是终止后对各交易盈亏头寸进行净额计算或净额处理的安排,即净额结算。终止净额结算制度作为一项合同条款安排,其设计功能和巨大价值能否实现,取决于其在法律上是否始终是有效的、可执行的。在一般情况下(即不涉及破产程序时),终止净额结算是具有法律有效性和可执行性的。但是当出现破产强制程序时,由于终止净额结算制度与破产法律制度的基本原则存在冲突,特别是终止净额结算所内含的提前终止权和净额结算机制与破产法律项下破产管理人的选择履行权和限制抵销的规定有着直接的冲突,从而使得终止净额结算制度此时的法律有效性和可执行性就存在不确定性。在国际上,为了确保终止净额结算制度的法律有效性和可执行性,充分发挥其制度设计价值和功用,各国纷纷通过修订破产法律,明确承认其可不受破产法律基本制度的限制,构成破产法律制度适用的例外。可以说,终止净额结算已经成为一项重要的金融制度,在国际金融市场上被广泛采用并得到各经济金融发达国家法律的明确认可。
然而,在我国,无论是在市场实践或是理论研究中,无论是金融学界或是法律学界,对这一制度仍然缺乏了解,我国现行法律中更是不存在这样的制度。这对我国的金融市场特别是金融衍生交易市场的长远发展是不利的。
本文的目的就是研究衍生交易市场的终止净额结算制度。首先在介绍金融衍生产品及市场交易状况的基础上,分析终止净额结算机制的法律内涵,说明其是与抵销制度有着实质性区别的一项独特制度,它对金融衍生市场的风险管理具有十分巨大的意义和价值。本文着重从合同法和破产法的角度对终止净额结算的法律有效性和可执行性进行深入分析,详细阐述终止净额结算制度与破产法律制度之间所存在的冲突,说明为什么要通过立法明确承认终止净额结算制度的法律有效性和可执行性,为什么要在破产法律体系中给予衍生交易特别对待;同时运用经济分析方法和案例分析,说明为什么可以给予终止净额结算制度特别的对待,揭示和分析其作为一项法律制度的经济内涵和社会成本效益。另外,本文还通过比较分析方法,介绍了部分金融发达国家的终止净额结算立法状况。最后,本文讨论了我国目前的金融衍生市场的发展状况,指出在我国市场实践中已经借鉴国际惯例,在最近引入了终止净额结算制度,但是我国还不存在真正法律意义上的终止净额结算制度;同时着重从法律角度分析了终止净额结算制度在我国现行合同法律和破产法律制度中的有效性和可执行性,指出我国进行终止净额结算立法的必要性和现实意义,并分析探讨了我国进行终止净额结算立法的可行路径。
本文的选题是基于笔者十多年从事衍生交易法律实务的经验、体会和研究。在国内,迄今为止,尚未有学者对终止净额结算制度进行过真正系统的深入研究,因而具有一定的创新性和开创性。同时,由于金融衍生市场在我国整体金融市场中的地位日益重要,金融衍生交易对我国未来金融市场的发展将具有举足轻重的作用,因而对衍生交易市场的一项最核心的制度――终止净额结算进行研究也就具有相当的现实意义。
With the unique risk management function, since their creation in 1970s, financial derivatives have been widely used in the world with trenmendous growth of trading volume and remarkable evelopment of new products. Derivative business has already become one of the core businesses of the current financial market.
However, as derivative is traded at nominal amount and such trading is highly leveraged, while playing the role of risk management for the market, it may by itself incur great potential risk. As demonstrated in the past practice, if without proper control of such derivative trading risk, collapse could be a reality in a minute even for a hundred year old prestigious company with substantial capital scale. Again, since participants at derivative market are mainly financial institutions which normally conduct repeated trading among themselves and therefore the trading positions and the exposures will naturally concentrated on such small number of institutions. In this circumstance, if any one of such market participants becomes insolvent due to its improper risk control, it will bring negative impact to its counterparties and even worse a chain of financial risk reaction and collapse might be caused to such counterparties and the counterparties of such counterparties, and eventually lead to disruption and systemic risk at the whole financial market, the economy of a country or even the worldwide economy.
In order to reduce the risk of derivative trading and avoid the occurrence of systemic risk, a unique contractual arrangement is adopted at international market, i.e. close-out netting. By close-out netting, in the case a risk event (default events and termination events) occurs to one party, the counterparty will have the right to immediately designate a date to terminate all the unperformed transactions (or all affected transactions) under the master agreement between the parties, or such transactions will be deemed terminated immediately upon the occurrence of certain default events, and then after termination, a termination amount (either negative or positive) will be calculated for each terminated transaction, and all the termination amounts will be netted and one final net amount will be obtained which constitutues a payable obligation. The function of close-out netting is that the parties to derivative transactions could by using it effectively control and substantially reduce the credit exposure they may have from each other. Close-out netting mechanism has two core components; one is the right to terminate the transaction, i.e. termination right, the other is to net the termination amounts, i.e. netting. Close-out netting being a contractual arrangement, realization of its designed function and value very much depends on whether it is always legally valid and enforceable. In normal circumstance (i.e. in situation of no insolvent proceeding), close-out netting is legally valid and enforceable. However, in the event of compulsory insolvent proceeding, there will be some uncertainty with the legal validity and enforceability of close-out netting as the termination right and netting mechanism of close-out netting are by nature in direct conflict with the cherry-picking right of administrator and limitation on insolvency set-off. In order to ensure the legal validity and enforceability of close-out netting and facilitate the realization of its designed function and value, many countries in the world have by amending their bankruptcy law explicitly recognized that close-out netting can apply without being subject to bankruptcy law restriction. Now, close-out netting as an important financial system has been widely adopted at international market and recognized by many countries of strong financial economy.
However, there is a lack of basic understanding of close-out netting in China at both market and theory research level, and among both finance circle and legal academics. There is no such legal provision in current Chinese law. Apparently, it will be detrimental to the long-term development of Chinese financial market and financial derivative market in particular.
The purpose of this paper is to study on close-out netting at derivative market. Firstly, based on the introduction of financial derivatives and derivative market situation this paper analyzes the legal implication of close-out netting, illustrates that it is such a unique system with a different nature of set-off, and demonstrates its significant value in risk management of financial derivative market. This paper focuses its analysis from the perspective of both contract law and bankruptcy law on the legal validity and enforceability of close-out netting, discussing the conflict between close-out netting and bankruptcy law principles, and then explaining why legislative efforts are necessary for recognition of the legal validity and enforceability of close-out netting, why a special treatment within bankruptcy law regime shall be given to derivatives, and meanwhile by using methodologies of economic analysis and case analysis explaining why the special treatment can be given to close-out netting, and further displaying the economic implication and cost efficiency of close-out netting. Furthermore, this paper gives comparative study on the legislation regarding close-out netting in some financially developed countries. Finally, this paper discusses on the current derivative market in China, and points out that although the Chinese market has by referring to international practice introduced the close-out netting as a contractual arrangement, there is actually no such legal concept of close-out netting under the current law in China. Then this paper focuses on analyzing the legal validity and enforceability of close-out netting under the current Contract Law and Bankruptcy Law of China, explaining the necessity and significance of close-out netting legislation and exploring the approaches of such close-out netting legislation in China.
Selection of this paper subject is based on the author’s experience, thinking and study in the past over ten years in legal practice with respect to derivatives. So far close-out netting has not been really researched in China, and therefore this is a unique and new topic for research. And meanwhile, due to the increasingly importance of financial derivative market in the whole Chinese financial market and the substantial role the financial derivatives will play in the future development of Chinese financial market, research on the close-out netting—the most important mechanism of derivative market-- will then be of significant value in practice.
引文
6 Claude Brown, How to Recognize a Derivative, International Financial Law Review,May 1995。转引自徐明棋:《美国金融衍生品市场近期的发展与监管趋势》,《世界经济政治》,1997 年第 1 期,第 51 页。
7 See Product Descriptions and Frequently Asked Questions: What is a derivative? http://www.isda.org/educat/faqs.html
8 Bank for International Settlements, Report on Netting Schemes, prepared by the Group of Experts on Payment Systems of the central banks of the Group of Ten countries, February 1989, http://www.bis.org/publ/cpss02.htm
9 参见季爱东主编:银行新中间业务与法律问题,中国金融出版社 2004 年版,第 151 页。
37 美国《统一商法典》第 2-106 条。
46 11 U.S.C.§101 et seq.
47 12 U.S.C.§1811 et seq.
48 Pub. L. No. 102-242,105 Stat. 2236 (1991)
49 该法案于 2005 年 10 月 17 日生效,它在某些方面对前述 Code、FDIA、FDICIA 作了修改。
50 在美国破产法律中,互换协议是广义的,泛指衍生交易。
51 见 11 U.S.C.§362 (b) (17).
52 11 U.S.C.§560.
53 11 U.S.C. §§ 546 (g), 548 (c), 548 (d) (2).
121 Frank Partnoy, Enron and the Derivative World, in ENRON: CORPORATE FIASCOS AND THEIR IMPLICATIONS
169 (Nancy B. Rapoport and Bala G. Dharan, eds.,2004)
122 See CFTC Oversight of Derivatives markets: Hearing before Senate Comm. On Agriculture, Nutrition and Forestry,
107th Cong. (2002) (statement of Ernest T. Patrickis on behalf of the International Swaps and Derivatives Association); INTERNATIONAL SWAPS AND DERIVATIVES ASSOCIATION (ISDA), ENRON: CORPORATE FAILURE, MARKET SUCCESS (April 2002).
123 George G. Kaufman, A Proposal for Efficiently Resolving Out-of-the-Money Swap Positions at Large Insolvent Banks 6 n. 6 (Nov. 10, 2003) (working paper).
124 同注 118,第 13-16 页。
125 同注 117,第 16-28 页。
127 同注 113,第 26-28 页。
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7 See Product Descriptions and Frequently Asked Questions: What is a derivative? http://www.isda.org/educat/faqs.html
8 Bank for International Settlements, Report on Netting Schemes, prepared by the Group of Experts on Payment Systems of the central banks of the Group of Ten countries, February 1989, http://www.bis.org/publ/cpss02.htm
9 参见季爱东主编:银行新中间业务与法律问题,中国金融出版社 2004 年版,第 151 页。
37 美国《统一商法典》第 2-106 条。
46 11 U.S.C.§101 et seq.
47 12 U.S.C.§1811 et seq.
48 Pub. L. No. 102-242,105 Stat. 2236 (1991)
49 该法案于 2005 年 10 月 17 日生效,它在某些方面对前述 Code、FDIA、FDICIA 作了修改。
50 在美国破产法律中,互换协议是广义的,泛指衍生交易。
51 见 11 U.S.C.§362 (b) (17).
52 11 U.S.C.§560.
53 11 U.S.C. §§ 546 (g), 548 (c), 548 (d) (2).
121 Frank Partnoy, Enron and the Derivative World, in ENRON: CORPORATE FIASCOS AND THEIR IMPLICATIONS
169 (Nancy B. Rapoport and Bala G. Dharan, eds.,2004)
122 See CFTC Oversight of Derivatives markets: Hearing before Senate Comm. On Agriculture, Nutrition and Forestry,
107th Cong. (2002) (statement of Ernest T. Patrickis on behalf of the International Swaps and Derivatives Association); INTERNATIONAL SWAPS AND DERIVATIVES ASSOCIATION (ISDA), ENRON: CORPORATE FAILURE, MARKET SUCCESS (April 2002).
123 George G. Kaufman, A Proposal for Efficiently Resolving Out-of-the-Money Swap Positions at Large Insolvent Banks 6 n. 6 (Nov. 10, 2003) (working paper).
124 同注 118,第 13-16 页。
125 同注 117,第 16-28 页。
127 同注 113,第 26-28 页。
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