深度，重磅）吞噬一切的華爾街量化惡魔——LTCM（終）
LTCM，長期資本管理公司（Long-term Capital Management) 是人類歷史上管理資金規模最大，最成功的對沖基金之一。它的創始人有諾貝爾經濟學獎得主，也有傳奇交易員，所羅門兄弟的Meriwether所創立，長期資本管理公司的經歷在本公眾號有所提及，可參閱：（深度，重磅）吞噬一切的華爾街量化惡魔——復盤騎士資本以及LTCM（上）
（深度，重磅）吞噬一切的華爾街量化惡魔——復盤騎士資本以及LTCM（下）
Post mortem The LTCM fiasco naturally inspired a hunt for scapegoats:長期資本管理LTCM的「驗屍報告」，自然激發了對本起金融浩劫替罪羊的追捕：
長期資本管理LTCM崩盤的時間表：
8.17 - 俄羅斯盧布貶值，俄羅斯主權債務違約。
9.2 - LTCM對其股東發布警告9.22 - LTCM和其他銀行以及對手方於紐約聯儲銀行會面9.23 - 銀行財團聯手提供36.25億美元的資金以幫助LTCM重組9.29 - 聯儲基準率降低25基點，利率下調至5.25%10.15 -聯儲基準利率降低25基點，下調至5%11.17 -聯儲基準利率降低25基點，下調至4.75%
過去90年間發生的重大金融危機
1. First in line were Meriwether and his crew of market professors.排在第一位的是Meriwether和他的諾貝爾得主，一幫市場教授們。2. Second was the banks which conspired to give LTCM far more credit, in aggregate, than theyd give a medium-size developing country. 其次是共同給予長期資本管理公司更多信貸的銀行，而不是給予中等規模的發展中國家。Particularly distasteful was the combination of credit exposure by the institutions themselves, and personal investment exposure by the individuals who ran them. Merrill Lynch protested that a $22 million investment on behalf of its employees was not sinister. LTCM was one of four investment vehicles which employees could opt to have their deferred payments invested in. 特別令人反感的是機構本身的信貸風險和經營者的個人投資風險。美林（Merrill Lynch）抗議說，代表其員工進行的2200萬美元投資並不是險惡的。長期資本管理公司是員工可以選擇投入延期付款的四種投資工具之一。Nevertheless, that rather cozy relationship may have made it more difficult for credit officers to ask tough questions of LTCM. There were accusations of "crony capitalism" as Wall Street firms undertook to bail out, with shareholders money, a firm in which their officers had invested, or were thought to have invested, part of their personal wealth.然而，這種相當溫和的關係可能使信貸員更難以提出有關長期資本管理公司的棘手問題。有人指責「裙帶資本主義」，因為華爾街公司承諾用股東的錢來拯救他們的官員投資或被認為已投資的公司，這是他們個人財富的一部分。3. Third in line was the US Federal Reserve system.
3. 排在第三位的是美國聯邦儲備系統。Although no public money was spent - apart from hosting the odd breakfast - there was the implication that the Fed was standing behind the banks, ready to provide liquidity until the markets became less jittery and more rational. Wouldnt this simply encourage other hedge funds and lenders to hedge funds to be as reckless in future?雖然沒有花費公共資金 - 除了舉辦定期的奇怪的早餐（高級黑吐槽） - 但暗示美聯儲站在銀行後面，隨時準備提供流動性，直到市場變得不那麼緊張和理性。 這不會簡單地鼓勵其他對沖基金和貸款人對沖基金在未來如此魯莽嗎，並用投資人，納稅人的錢任意投資？4. The fourth culprit was poor information. 4. 第四個罪魁禍首是信息不足。Scant disclosure of its activities and exposures, by LTCM, as with many hedge funds, was a major factor in allowing it to put on such leverage. There was also no mechanism whereby counterparties could learn how far LTCM was exposed to other counterparties.長期資本管理公司（LTCM）與許多對沖基金一樣，很少披露其活動和風險敞口，這是允許其利用這種槓桿作用的一個主要因素。也沒有任何機制可以讓交易對手瞭解長期資本管理公司對其他交易對手的影響程度。5. Fifth was sloppy market practice, such as allowing a non-bank counterparty to write swaps and pledge collateral for no initial margin as if it were part of a peergroup top-tier banks.5.第五是過度寬容的市場慣例。例如允許非銀行交易對手在沒有初始保證金的情況下進行掉期和質押抵押，就好像它是同類集團頂級銀行的一部分一樣。1. LTCMs risk management. 1. LTCM的風險管理。Despite the presence of Nobel laureates closely identified with option theory it seems LTCM relied too much on theoretical market-risk models and not enough on stress-testing, gap risk and liquidity risk. There was an assumption that the portfolio was sufficiently diversified across world markets to produce low correlation. But in most markets LTCM was replicating basically the same credit spread trade.儘管存在與期權理論密切相關的諾貝爾獎獲得者，但LTCM似乎過分依賴理論市場風險模型，而對壓力測試，差距風險和流動性風險則不夠。假設投資組合在世界市場上充分多樣化以產生低相關性。但在大多數市場，長期資本管理公司正在複製基本相同的信貸利差交易。In August and September 1998 credit spreads widened in practically every market at the same time. LTCM risk managers kidded themselves that the resultant net position of LTCMs derivatives transactions bore no relations to the billions of dollars of notional underlying instruments. Each of those instruments and its derivative has a market price which can shift independently, each is subject to liquidity risk. LTCM sources apparently complain that the market started trading against its known positions. That seems like special pleading. Meriwether et al must have been in the markets long enough to know they are merciless, and to have been just as merciless themselves. "All they that take the sword shall perish with the sword." [Matthew, xxvi, 52]1998年8月和9月，幾乎每個市場的信貸利差同時擴大。 長期資本管理公司風險管理人員開玩笑說，由此產生的LTCM衍生品交易凈頭寸與數十億美元的名義基礎工具無關。 這些工具及其衍生工具中的每一種都具有可以獨立轉移的市場價格，每種都受到流動性風險的影響。 長期資本管理公司的消息來源顯然抱怨市場開始與其已知頭寸進行交易。 這似乎是特別的懇求。 Meriwether等人必須在市場上足夠長的時間才能知道他們是無情的，而且他們自己也一樣無情。 「拿劍的所有人都將用刀劍滅亡。」 [Matthew，xxvi，52]2. Risk management by LTCM counterparties Practically the whole street had a blind spot when it came to LTCM. 2. LTCM交易對手的風險管理實際上，整個街道在LTCM方面都存在盲點。They forgot the useful discipline of charging non-bank counterparties initial margin on swap and repo transactions. Collectively they were responsible for allowing LTCM to build up layer upon layer of swap and repo positions. They believed that the first-class collateral they held was sufficient to mitigate their loss if LTCM disappeared. It may have been over time, but their margin calls to top up deteriorating positions simply pushed LTCM further towards the brink. Their credit assessment of LTCM didnt include a global view of its leverage and its relationship with other counterparties. A working group on highly leveraged institutions set up by the Basle Committee on Banking Supervision reported its findings in January, 1999 drawing many lessons from the LTCM case.
他們忘記了對非銀行交易對手在掉期和回購交易中收取初始保證金的有用規則。他們共同負責允許LTCM建立一層又一層的交換和回購頭寸。他們認為，如果LTCM消失，他們持有的頭等抵押品足以減輕他們的損失。這可能是隨著時間的推移，但他們的利潤率要求加劇惡化的頭寸只會讓LTCM進一步走向危險邊緣。他們對LTCM的信用評估並未包括其槓桿率及其與其他交易對手的關係的全球觀點。巴塞爾銀行監管委員會設立的高槓桿機構工作組於1999年1月報告了其調查結果，從LTCM案例中吸取了許多教訓。It criticized the banks for building up such exposures to such an opaque institution. They had placed a "heavy reliance on collateralization of direct mark-to-market exposures" the report said. "This in turn made it possible for banks to compromise other critical elements of effective credit risk management, including upfront due diligence, exposure measurement methodologies, the limit setting process, and ongoing monitoring of counterparty exposure, especially concentrations and leverage."它批評銀行建立這種不透明機構的風險敞口。報告稱，他們「嚴重依賴直接按市值計算的證券抵押品」。「這反過來使銀行有可能妥協有效信貸風險管理的其他關鍵要素，包括前期盡職調查，風險衡量方法，限額設定流程，以及對交易對手風險的持續監控，尤其是集中度和槓桿率。」The working group also noted that banks "covenants with LTCM did not require the posting of, or increase in, initial margin as the risk profile of the counterparty changed, for instance as leverage increased". (For full reports, see ìSound Practices for Banksí Interactions with Highly Leveraged Institutions,? and ìBanksí Interactions with Highly Leveraged Institutions?.) Another report in June, 1999 by the Counterparty Risk Management Policy Group, a group of 12 leading investment banks, suggested many ways in which information-sharing and transparency could be improved. It noted the importance of measuring liquidity risk, and improving market conventions and market practices, such as charging initial margin.該工作組還指出，銀行與長期資本管理公司的「契約」並未要求在交易對手的風險狀況發生變化時發布或增加初始保證金，例如槓桿率增加「。（有關完整報告，請參閱「銀行與高槓桿機構的互動的聲音實踐」和「銀行與高槓桿機構的互動」。）由12家領先的投資銀行組成的交易對手風險管理政策小組於1999年6月發布的另一份報告提出了許多報告。可以改善信息共享和透明度的方式。它指出了衡量流動性風險，改善市場慣例和市場慣例的重要性，例如收取初始保證金。3. Supervision3. 市場監督Supervisors themselves showed a certain blinkered view when it came to banks and securities firms relationships with hedge funds, and a huge fund like LTCM in particular. The US Securities & Exchange Commission (SEC) appears to assess the risk run by individual broker dealers, without having enough regard for what is happening in the sector as a whole, or in the firms unregulated subsidiaries.當涉及到銀行和證券公司與對沖基金的關係，以及像LTCM這樣的巨額基金時，監管者本身就表現出一種盲目的觀點。美國證券交易委員會（SEC）似乎評估了個體經紀商的風險，沒有充分考慮整個行業或公司不受監管的子公司的情況。
In testimony to the House Committee on Banking and Financial Services on October 1, 1998, Richard Lindsey, director of the SECs market regulation division recalled the following: "When the commission learned of LTCMs financial difficulties in August, the commission staff and the New York Stock Exchange surveyed major broker-dealers known to have credit exposure to one or more large hedge funds. The results of our initial survey indicated that no individual broker-dealer had exposure to LTCM that jeopardized its required regulatory capital or its financial stability.
美國證券交易委員會市場監管部門主管理查德林賽在1998年10月1日向眾議院銀行和金融服務委員會作證時回憶說：「當委員會在8月份瞭解長期資本管理公司的財務困難時，委員會工作人員和紐約 證券交易所調查了已知對一家或多家大型對沖基金有信用風險的主要經紀交易商。我們的初步調查結果表明，沒有任何個別經紀交易商接觸LTCM，從而危及其所需的監管資本或其財務穩定性。"As the situation at LTCM continued to deteriorate, we learned that although significant amounts of credit were extended to LTCM by US securities firms, this lending was on a secured basis, with collateral collected and marked-to-the-market daily. Thus, broker-dealers lending to LTCM was done in a manner that was consistent with the firms normal lending activity. The collateral collected from LTCM consisted primarily of highly liquid asseets, such as US treasury securities or G-7 country sovereign debt. Any shortfalls in collateral were met by margin calls to LTCM. As of the date of the rescue plan, it appears that LTCM had met all of its margin calls by US securities firms.「隨著長期資本管理公司的情況持續惡化，我們瞭解到，儘管美國證券公司向信貸機構提供了大量信貸，但這筆貸款是在有擔保的基礎上進行的，每天都會收取抵押品並按市價計價。因此， 經紀自營商對LTCM的貸款是以與公司正常貸款活動相一致的方式進行的。從LTCM收集的抵押品主要包括高流動性的債券，如美國國債或G-7國家主權債務。任何不足之處 通過向LTCM追加保證金來抵押抵押品。截至救助計劃日期，LTCM似乎已經滿足了美國證券公司的所有追加保證金要求。Moreover, our review of the risk assessment information submitted to the commission suggests that any exposure to LTCM existed outside the US broker-dealer, either in the holding company or its unregistered affiliates." The sad truth revealed by this testimony is that the SEC and the NYSE were concerned only with the risk ratios of their registered firms and were ignorant and unconcerned, as were the firms themselves, about the markets aggregate exposure to LTCM. Bank of England experts note the absence of any covenant between LTCM and its counterparties that would have obliged LTCM to disclose its overall gearing. UK banks have long been in the habit of demanding covenants from non-bank counterparties concerning their overall gearing, the Bank of England says.此外，我們對提交給委員會的風險評估信息的審查表明，任何暴露於長期資本管理公司的風險都存在於美國經紀交易商之外，無論是在控股公司還是其未註冊的關聯公司。「這一證據揭示的令人遺憾的事實是美國證券交易委員會和 紐約證券交易所僅關注其註冊公司的風險比率，並且對公司本身以及市場對LTCM的總體風險敞口一無所知和漠不關心。英格蘭銀行專家指出LTCM與其交易對手之間缺乏任何契約 英格蘭銀行表示，英國銀行長期以來一直習慣於要求非銀行交易對手就其整體槓桿比率達成契約。4. Was there moral hazard?4.有道德風險嗎？The simple answer is yes, since the bailout of LTCM gave comfort that the Fed will come in and broker a solution, even if it doesnt commit funds.簡單的答案是肯定的，因為LTCM的救助令人感到安慰，即使美聯儲不承諾提供資金，美聯儲將進入並提供解決方案。The Feds intervention also arguably tempted Meriwether not to accept the offer from Buffett, AIG and Goldman. The offer, heavily conditional though it was, shows that the LTCM portfolio had a perceived market value. A price might have been reached in negotiations between Buffett and Meriwether. Meriwethers argument [and the Feds] is that Buffetts deadline of 1230 didnt give Meriwether time to consult with LTCMs investors: he was legally unable to accept the offer. It is possible to argue that a market solution was found.
美聯儲的幹預也可能誘使梅里韋瑟不接受巴菲特，美國國際集團和高盛的提議。該報價雖然很有條件，但表明LTCM投資組合具有市場價值。巴菲特和梅里韋瑟之間的談判可能已達成一致。Meriwether的論點[以及美聯儲]認為，巴菲特在1230年的截止日期並沒有讓Meriwether有時間諮詢LTCM的投資者：他在法律上無法接受這一提議。有可能認為找到了市場解決方案。Fourteen banks put up their own money, regarding it as a medium-term investment from which they expected to make a profit. From a value-preservation point of view it was an enlightened solution, even if it did seem to reward those whose recklessness had created the problem. Federal Reserve chairman Alan Greenspan defended the Feds action at the October 1 hearing in the House Committee on Banking and Financial Services as follows: "This agreement [by the rescuing banks] was not a government bailout, in that Federal Reserve funds were neither provided nor ever even suggested.14家銀行提出了自己的資金，將其視為中期投資，並期望從中獲利。 從價值保護的角度來看，這是一個開明的解決方案，即使它確實似乎獎勵那些魯莽造成問題的人。 美聯儲主席艾倫格林斯潘在10月1日的眾議院銀行和金融服務委員會聽證會上為美聯儲的行動辯護如下：「這項協議[由救助銀行]不是政府救助，因為聯邦儲備基金既沒有提供，也沒有 甚至建議過。Agreements were not forced upon unwilling market participants. Credits and counterparties calculated that LTCM and, accordingly, their claims, would be worth more over time if the liquidation of LTCMs portfolio was orderly as opposed to being subject to a fire sale. And with markets currently volatile and investors skittish, putting a special premium on the timely resoluton of LTCMs problems seemed entirely appropriate as a matter of public policy." The true test of moral hazard is whether the Fed would be expected to intervene in the same way next time. Greenspan pointed to a unique set of circumstances which made an LTCM solution particularly pressing. It seems questionable whether the Fed would act as broker for another fund bailout unless there were also such wide systemic uncertainties.不願意與市場參與者達成協議。如果長期資本管理公司的投資組合清算有序而不是受到甩賣，信貸和交易對手計算出長期資本管理公司及其索賠的價值會隨著時間的推移而增加。由於市場目前波動不定，投資者感到不安，因此在公共政策問題上對LTCM問題的及時解決方案給予特別重視似乎是完全合適的。「道德風險的真正考驗是美聯儲是否會以同樣的方式進行幹預 下一次格林斯潘指出了一套獨特的情況，這使得長期資本管理公司的解決方案尤為緊迫。除非存在如此廣泛的系統性不確定性，否則美聯儲是否會作為另一項基金救助的經紀人似乎值得懷疑。5. Was there truly a systemic risk?5.真的存在系統性風險嗎？Since there was no global meltdown it is difficult to prove that there was a real danger of such a thing last September. But if the officers at the US Federal Reserve had waited to see what happened no-one would have thanked them after the event. In the judgment of this writer, the world financial system owes a lot to the prompt action of Greenspan, McDonough, Fisher and others at the Fed for their willingness to meet the problem fair and square. One shudders to think what the Bank of England (FSA) might have done, given its "constructive ambiguity" during the Barings crisis. But the counter-argument is also valid. Those Wall Street firms, once they knew the size of the problem, had only one sensible course of action, to bankroll a coordinated rescue.由於沒有全球性的崩潰，很難證明去年9月存在這種事情的真正危險。但如果美聯儲的官員等著看發生的事情，那麼在事件結束後沒有人會感謝他們。在本文作者的判斷中，世界金融體系在很大程度上歸功于格林斯潘，麥克多諾，費舍爾和其他人在美聯儲的迅速行動，因為他們願意公平地解決問題。考慮到巴林銀行危機期間的「建設性模糊性」，有人不禁想到英格蘭銀行（FSA）可能會做些什麼。但反駁論證也是有效的。一旦他們知道問題的嚴重程度，那些華爾街公司只有一個明智的行動方案，可以為協調救援提供資金。
They had the resources to prevent a meltdown and it took only a night and a day to pool them. Mutual self-interest concentrates the mind wonderfully. It seems that in the developed world, since the early 1990s, financial firms have built up enough capital to meet most disasters the world can throw at them.他們有足夠的資源來防止崩潰，只花了一晚又一天的時間來集中他們。相互的自我利益集中了思想。似乎在發達國家，自20世紀90年代初以來，金融公司已經積累了足夠的資金來應對世界上可能遭受的大多數災難。Their mistakes in emerging markets were costly both for them and for the countries concerned, but they havent threatened the life of the world financial system. It seems the mechanisms for restructuring and acquisition are so swift that the demise of a financial firm simply means it will be stripped of the trash and carved up. In a downcycle, however, the outcome could be very different. Moreover, the social costs of this financial overreach, followed by cannibalism, could be considerable. Systemic, no; ripe for concerted private and public intervention, yes.他們在新興市場的錯誤對他們和有關國家都是昂貴的，但他們並沒有威脅到世界金融體系的生命。重組和收購的機制似乎如此迅速，以至於金融公司的消亡只是意味著它將被剝奪垃圾並被分割。然而，在一個下行週期中，結果可能會非常不同。此外，這種金融過度擴張的社會代價，其次是同類相食，可能是相當大的。系統的，沒有; 對於協調一致的私人和公共幹預是成熟的，是的。On September 29, 1999, six days after the LTCM bailout, US Federal Reserve chairman Alan Greenspan cut Fed fund rates by 25 basis points to 5.25%. On October 15, 1999 he cut them by another quarter. His critics associate these cuts directly with the bail-out of LTCM: it was an extra dose of medicine to make sure the recovery worked. Some sources attribute the cut to rumours that another hedge fund was in trouble.1999年9月29日，即長期資本管理公司救助計劃實施六天後，美聯儲主席格林斯潘將聯邦基金利率下調25個基點至5.25％。1999年10月15日，他又減少了一個季度。他的批評者直接將這些削減與LTCM的紓困聯繫在一起：這是一種額外劑量的藥物，以確保恢復有效。一些消息人士稱此消息歸咎於另一家對沖基金遇到麻煩。The more generous view is that, if the financial markets were in disarray, we aint seen nothing yet. Bruce Jacobs, who has followed the systemic implications of the 1929, 1987 and subsequent mini-crashes, fearful of the dangers of globally traded derivatives, writes in a new book: "Had LTC not been bailed out, the immediate liquidation of its highly leveraged bond, equity, and derivatives positions may have had effects, particularly on the bond market, rivaling the effects on the equity market of the forced liquidations of insured stocks in 1987 and margined stocks in 1929.更慷慨的觀點是，如果金融市場陷入混亂，我們還沒有看到任何東西。布魯斯·雅各布斯（Bruce Jacobs）追隨1929年，1987年以及隨後發生的小型碰撞的系統性影響，擔心全球交易衍生品的危險性，他在一本新書中寫道：「如果LTC沒有獲得紓困，其高槓桿率立即清算 債券，股票和衍生品頭寸可能產生影響，特別是在債券市場上，可與1987年被保險股票強制清算和1929年保證金股票對股票市場的影響相媲美。Given the links between LTC and investment and commercial banks, and between its positions in different asset markets and different countries markets, the systemic risk much talked about in connection with the growth of derivatives markets may have become a reality." [Capital ideas and market realities, Blackwell, 1999, page 293]鑒於LTC與投資和商業銀行之間的聯繫，以及它在不同資產市場和不同國家市場中的地位之間的聯繫，與衍生品市場增長有關的系統性風險可能已經成為現實。「[資本理念和 市場現實，布萊克威爾，1999年，第293頁]Corrective response The Basle Committee on Banking Supervisions report on highly leveraged institutions (HLIs) in January 1999 suggests that supervisors demand higher capital charges for exposure to highly leveraged institutions where there is no limit to overall leverage: "Possibly all exposures to all counterparties not covered by covenants on leverage should carry a higher weight." It further considers the possibility of extending a credit register for bank loans in the context of HLIs. "The register would entail collecting, in a centralized place, information on the exposures of international financial intermediaries to single counterparties that have the potential to create systemic risk (ie major HLIs).糾正措施巴塞爾銀行監管委員會1999年1月關於高槓桿機構（HLIs）的報告表明，監管機構要求高槓桿機構接受更高的資本費用，而整體槓桿率沒有限制：「可能所有交易對手的風險敞口都未涵蓋 通過槓桿契約應該承擔更高的權重。「 它進一步考慮了在HLI背景下擴大銀行貸款信用登記的可能性。「登記冊需要在集中的地方收集有關國際金融中介機構風險敞口的信息，以便有可能產生系統性風險的單一交易對手（即主要的HLI）。Exposures would cover both on and off-balance-sheet positions. Counterparties, supervisors and central banks could then obtain information about the overall indebtedness of the single counterparty."風險敞口將涵蓋資產負債表內外。然後，交易對手，監管機構和中央銀行可以獲得有關單一交易對手整體債務的信息。「The losers Among the investors who lost their capital in LTCM (according to press reports) were:失敗者在LTCM中失去資金的投資者（根據新聞報道）是：? LTCM partners - $1.1 billion ($1.5 billion at the beginning of 1998, offset by their $400 million stake in the rescued fund)? Liechtenstein Global Trust - $30 million ? Bank of Italy - $100 million? Credit Suisse - $55 million? UBS - $690 million? Merrill Lynch (employees deferred payment) - $22 million? Donald Marron, chairman, PaineWebber - $10 million? Sandy Weill, co-ceo, Citigroup - $10 million? McKinsey executives - $10 million? Bear Stearns executives - $20 million? Dresdner Bank - $145 million? Sumitomo Bank - $100 million? Prudential Life Corp - $5.43 million?長期資本管理公司的合作夥伴 - 11億美元（1998年初為15億美元，被救助基金的4億美元股權抵消）?列支敦斯登全球信託基金 - 3,000萬美元?義大利銀行 - 1億美元?瑞士信貸 - 5500萬美元?瑞銀 - 6.9億美元?Merrill Lynch（員工延期付款） - 2200萬美元?PaneWebber董事長唐納德·馬龍（Donald Marron） - 1000萬美元?花旗集團首席執行官桑迪威爾（Sandy Weill） - 1000萬美元?麥肯錫高管 - 1000萬美元?貝爾斯登高管 - 2000萬美元?德累斯頓銀行 - 1.45億美元?住友銀行 - 1億美元?Prudential Life Corp - 543萬美元There were no reported numbers for the following organizations:以下組織沒有報告的數字：- Bank Julius Baer (for clients)- Republic National Bank- St Johns University endowment fund- University of Pittsburgh UBS fiasco以下組織沒有報告的數字： - Bank Julius Baer（客戶） - 共和國國家銀行 - 聖約翰大學捐贈基金 - 匹茲堡大學瑞銀慘敗The biggest single loser in the LTCM debacle was UBS, which was forced to write off Sfr950 million ($682 million) of its exposure. The UBS involvement with LTCM pre-dated the merger of Union Bank of Switzerland and Swiss Bank Corporation in December 1998. Various heads rolled, including that of chairman Mathis Cabiallavetta (formerly chief executive of Union Bank of Switzerland), Werner Bonadurer, chief operating officer, Felix Fischer, chief risk officer, and Andy Siciliano, head of fixed income (who had been with SBC).長期資本管理公司崩潰的最大單一輸家是瑞銀，該公司被迫取消其9.5億瑞士法郎（6.82億美元）的風險敞口。瑞銀與LTCM的合作早於1998年12月瑞士聯合銀行與瑞士銀行公司的合併。各種負責人，包括董事長Mathis Cabiallavetta（瑞士聯合銀行前首席執行官），Werner Bonadurer，首席運營官 首席風險官Felix Fischer和固定收入負責人Andy Siciliano（曾在SBC工作過）。UBSs deal with LTCM was a variation on other attempts to turn hedge funds into a securitized asset class with a protected downside. However in this case UBS was protecting the downside and LTCM was taking a good deal of the upside. The sweetener for UBS was a structure that looked more like an option than a loan, turning any income into a capital gain, and an opportunity to invest directly in LTCM. For a premium of $300 million UBS sold LTCM a seven-year European call option on 1 million of LTCMs own shares, valued then at $800 million.瑞銀（UBS）與長期資本管理公司（LTCM）達成的交易是其他將對沖基金轉變為具有受保護下行風險的證券化資產類別的嘗試的變種。然而，在這種情況下，UBS正在保護下行空間，LTCM正在取得很大的上漲空間。瑞銀的甜味劑結構看起來更像是一種選擇而非貸款，將任何收入轉化為資本收益，並有機會直接投資於長期資本管理公司。對於3億美元的溢價，瑞銀向LTCM出售了長達7年的歐洲看漲期權，其中包括100萬股長期資產管理公司的股票，價值8億美元。To hedge the position - the only way it could be done - UBS bought $800 million worth of LTCM shares. UBS also invested $300 million (most of the $266 million premium income) directly in LTCM. Such an investment had to be held for a minimum of three years. This transaction was completed in three tranches in June, August and October 1997. The deal was calculated so that the $300 million premium was equivalent to a coupon of Libor plus 50 basis points over the seven years.為了對沖頭寸 - 唯一可行的方法 - 瑞銀購買了價值8億美元的長期股票。瑞銀還直接向長期資本管理公司投資3億美元（大部分為2.66億美元的保費收入）。這種投資必須至少持有三年。該交易於1997年6月，8月和10月分三批完成。這筆交易的計算是為了使3億美元的保費相當於Libor的優惠券加上七年內的50個基點。Assuming that LTCM performed well the deal provided UBS with steady, taxefficient, return plus a share in the upside, through its $266 million stake. But if ever its hedge looked like falling below the $800 million strike price it was looking at a loss. The only way to hedge it would have been to sell LTCM shares. But there were various impediments to this. UBS could not just dump the shares. It was obliged to convert any shares it sold into a loan at par value, maturing in 2004. Shares in hedge funds arent liquid, and LTCMs were no exception.假設長期資本管理公司表現良好，該交易通過其2.66億美元的股權為瑞銀提供穩定的，稅收效率，回報加上股票的上行空間。但如果其對沖看起來像是低於8億美元的執行價格那麼它正在考慮虧損。對沖它的唯一方法就是出售LTCM股票。但是這有各種各樣的障礙。瑞銀不能只是拋售股票。它有義務將其出售的任何股份轉換為票麵價值的貸款，於2004年到期。對沖基金的股票不是流動性的，LTCM也不例外。It was impossible to mark them regularly to market. LTCM reported to shareholders only monthly. If UBS did sell LTCM shares in a falling market, and then LTCMs performance picked up again, there was no guarantee it could rehedge its position. No one was making a market in LTCM shares.不可能經常將它們標記到市場上。長期資本管理公司每月向股東報告。如果瑞銀確實在下跌的市場中出售長期資本管理公司股票，然後長期資本管理公司的業績再次回升，則無法保證它能夠重新定位其頭寸。沒有人在LTCM股票上市。Theoretically there was a volatility cap on the arrangement: if the funds volatility exceeded a certain level a cash sum would be reckoned in UBSs favour, payable at the end of year seven. But it is not clear how that would have left UBS market-neutral.從理論上講，該安排有一個波動性上限：如果基金的波動性超過一定水平，則現金數將按照瑞銀的優惠計算，在第七年末支付。但目前尚不清楚這將如何讓瑞銀市場保持中立。In the climate of mid-1997 it is understandable how UBS risk managers might have overlooked the horrible implications of a worst-case LTCM scenario. LTCM had a fantastic reputation for big-number but low-risk arbitrage. (There is a parallel in the reputation that Nick Leeson enjoyed at Barings before March 1995). But it is clear now that UBS risk managers never faced the possibility of a collapse of LTCM which would have left them with $766 million exposure ($800 million hedge, $266 million investment, less $300 million option premium).在1997年中期的氣候下，瑞銀風險管理人員如何忽視最壞情況下長期資本管理情景的可怕影響是可以理解的。LTCM在大數量但低風險的套利方面享有盛譽。（Nick Leeson在1995年3月之前在Barings享有的聲譽與此類似）。但現在很明顯，瑞銀風險管理人員從未面臨過LTCM崩潰的可能性，這將使他們獲得7.66億美元的風險敞口（8億美元對沖，2.66億美元投資，3億美元期權溢價）。That is, they didnt wake up to it, apparently, until around April 1998, in a post-merger review, when it was too late to do much about it. Credit Suisse Financial Products, which did a similar deal for $100 million, set that as the maximum it was prepared to lose. An interesting aspect of the UBS deal is to consider it from LTCMs point of view. LTCM secured $800 million new investment capital at Libor plus 50 basis points. It had a call on all returns above that level. UBSs obligation, to convert any shares it wanted to sell into a loan, provided LTCM with a synthetic seven-year put on its own performance. Was this an added incentive to roll the dice? It was a cheap gambling stake.也就是說，他們並沒有醒來，顯然，直到1998年4月左右，在合併後的審查中，為時尚做太多事情。 瑞士信貸金融產品公司（Credit Suisse Financial Products）以1億美元的價格完成了類似的交易，並將其作為準備虧損的最大值。 瑞銀交易的一個有趣方面是從LTCM的角度考慮它。 長期資本管理公司在Libor獲得了8億美元的新投資資金以及50個基點。 它調用了該級別以上的所有回報。 瑞銀有義務將其想要出售的任何股份轉換為貸款，為長期資本管理公司提供合成七年的自身表現。 這是擲骰子的額外動力嗎？ 這是一個廉價的賭博賭注。加入超值乾貨付費見識圈，獲得每日發送的超多乾貨：
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