The LTCM fiasco is full of lessons about:

2.意外的相关性或历史相关性的细分

It was a game, in that LTCM was unregulated, free to operate in any market, without capital charges and only light reporting requirements to the US Securities & Exchange Commission (SEC). It traded on its good name with many respectable counterparties as if it was a member of the same club. That meant an ability to put on interest rate swaps at the market rate for no initial margin - an essential part of its strategy. It meant being able to borrow 100% of the value of any top-grade collateral, and with that cash to buy more securities and post them as collateral for further borrowing: in theory, it could leverage itself to infinity.

Meriwether applied a formula which brought in new investment, as well as providing him and his partners with a virtual put option on the performance of the fund. During 1997, under this formula [see separate section below, titled UBS Fiasco], UBS put in $800 million in the form of a loan and $266 million in straight equity. Credit Suisse Financial Products put in a $100 million loan and $33 million in equity. Other loans may have been secured in this way, but they havent been made public. Investors in LTCM were pledged to keep in their money for at least two years. LTCM entered 1998 with its capital reduced to $4.8 billion.

3. Many counterparties had put on the same convergence trades, some of them as disciples of LTCM.

In these circumstances, leverage is not welcome. LTCM was being forced to liquidate to meet margin calls. On September 2, 1998, Meriwether sent a letter to his investors saying that the fund had lost $2.5 billion or 52% of its value that year, $2.1 billion in August alone. Its capital base had shrunk to $2.3 billion. Meriwether was looking for a fresh investment of around $1.5 billion to carry the fund through.

在这种情况下，金融杠杆本身是不被欢迎的。LTCM被迫清算以满足追加保证金要求。1998年9月2日，Meriwether致函他的投资者，称该基金当年损失了25亿美元，占其价值的52％，仅在8月就损失了21亿美元。其资本基础缩减至23亿美元。Meriwether正在寻找一笔约15亿美元的新投资来支持该基金。

He approached those known to have such investible capital, including George Soros, Julian Robertson and Warren Buffett, chairman of Berkshire Hathaway and previously an investor in Salomon Brothers [LTCM incidentally had a $14 million equity stake in Berkshire Hathaway], and Jon Corzine, then co-chairman and co-chief executive officer at Goldman Sachs, an erstwhile classmate at the University of Chicago. Goldman and JP Morgan were also asked to scour the market for capital. But offers of new capital werent forthcoming. Perhaps these big players were waiting for the price of an equity stake in LTCM to fall further. Or they were making money just trading against LTCMs positions. Under these circumstances, if true, it was difficult and dangerous for LTCM to show potential buyers more details of its portfolio. 他找到了那些已知拥有这种可投资资本的人，包括乔治索罗斯，朱利安罗伯逊和伯克希尔哈撒韦公司董事长沃伦巴菲特，此前曾是所罗门兄弟公司的投资者[LTCM偶然拥有伯克希尔哈撒韦公司1400万美元的股权]，以及Jon Corzine，当时 高盛（Goldman Sachs）的联合主席兼联席首席执行官，高盛是芝加哥大学的前任同学。高盛和摩根大通也被要求在市场上寻找资金。但新资本的提供并未即将到来。也许这些大型企业正在等待长期资本管理公司股权的价格进一步下跌。或者他们只是在与LTCM的头寸交易时赚钱。在这种情况下，如果是真的，LTCM向潜在买家展示其投资组合的更多细节是困难和危险的。Two Merrill executives visited LTCM headquarters on September 9, 1998for a "due diligence meeting", according to a later Financial Times report (on October 30, 1998). They were provided with "general information about the funds portfolio, its strategies, the losses to date and the intention to reduce risk". But LTCM didnt disclose its trading positions, books or documents of any kind, Merrill is quoted as saying. The US Federal Reserve system, particularly the New York Fed which is closest to Wall Street, began to hear concerns about LTCM from its constituent banks. In the third week of September, Bear Stearns, which was LTCMs clearing agent, said it wanted another $500 million in collateral to continue clearing LTCMs trades. 根据后来的「金融时报」报道（1998年10月30日），两位美林高管于1998年9月9日访问了LTCM总部进行「尽职调查会议」。向他们提供了「关于基金投资组合，其战略，迄今为止的损失以及降低风险意图的一般信息」。但据报道，美林证券并未透露其任何形式的交易头寸，账簿或文件。美国联邦储备系统，特别是离华尔街最近的纽约联邦储备银行，开始听到其成分银行对长期资本管理公司的担忧。在9月的第三周，LTCM的清算代理商贝尔斯登（Bear Stearns）表示，它希望再获得5亿美元的抵押品以继续清算LTCM的交易。On Friday, September 18, 1998, New York Fed chairman Bill McDonough made "a series of calls to senior Wall Street officials to discuss overall market conditions", he told the House Committee on Banking and Financial Services on October 1. "Everyone I spoke to that day volunteered concern about the serious effect the deteriorating situation of Long-Term could have on world markets." Peter Fisher, executive vice president at the NY Fed, decided to take a look at the LTCM portfolio. 1998年9月18日星期五，纽约联储主席比尔麦克多诺「向华尔街高级官员发出一系列电话，讨论整体市场状况」，他于10月1日向众议院银行和金融服务委员会表示。到那一天，自愿担心长期不断恶化的局面可能对世界市场产生严重影响。「 纽约联邦储备银行执行副总裁彼得·费希尔决定考虑LTCM投资组合。On Sunday, September 20, 1998, he and two Fed colleagues, assistant treasury secretary Gary Gensler, and bankers from Goldman and JP Morgan, visited LTCMs offices at Greenwich, Connecticut. They were all surprised by what they saw. It was clear that, although LTCMs major counterparties had closely monitored their bilateral positions, they had no inkling of LTCMs total off-balance sheet leverage. LTCM had done swap upon swap with 36 different counterparties. In many cases, it had put on a new swap to reverse a position rather than unwind the first swap, which would have required a mark-to-market cash payment in one direction or the other. LTCMs on balance sheet assets totaled around $125 billion, on a capital base of $4 billion, leverage of about 30 times. But that leverage was increased tenfold by LTCMs off-balance sheet business whose notional principal ran to around $1 trillion. 1998年9月20日星期日，他和两位美联储同事，助理财政部长加里·金斯勒以及高盛和摩根大通的银行家访问了LTCM在康涅狄格州格林威治的办事处。他们所看到的一切都让他们感到惊讶。很明显，尽管长期资本管理公司的主要交易对手密切关注其双边头寸，但他们并未了解长期资本管理公司的资产负债表外杠杆率。长期资本管理公司已与36个不同的交易对手进行掉期交换。在许多情况下，它已经推出了新的掉期以扭转头寸而不是解除第一次掉期，这需要在一个方向或另一个方向上进行按市值计价的现金支付。长期资本管理公司的资产负债表资产总额约为1250亿美元，资本基础为40亿美元，杠杆率约为30倍。但是，长期资本管理公司的资产负债表外业务的杠杆率增加了十倍，其名义本金约为1万亿美元。The off-balance sheet contracts were mostly nettable under bilateral Isda (International Swaps & Derivatives Association) master agreements. Most of them were also collateralized. Unfortunately, the value of the collateral had taken a dive since August 17. Surely LTCM, with two of the original masters of derivatives and option valuation among its partners, would have put its portfolio through stress tests to match recent market turmoil. But, like many other value-at-risk (Var) modelers on the street, their worst-case scenarios had been outplayed by the horribly correlated behavior of the market since August 17. Such a flight to quality hadnt been predicted, probably because it was so clearly irrational.

根据双边Isda（国际互换与衍生产品协会）主协议，资产负债表外合约主要是净额。他们中的大多数也是抵押。不幸的是，抵押品的价值自8月17日以来已经开始下跌。当然，长期资本管理公司（LTCM）拥有两位原始衍生品和期权合约估价大师，其投资组合将通过压力测试来应对近期的市场动荡。但是，就像街上的许多其他风险价值（Var）建模者一样，自8月17日以来市场中可怕的相关行为已经超出了他们最糟糕的情况。这种质量飞行没有被预测到，可能 因为它显然是非理性的。

According to LTCM managers, their stress tests had involved looking at the 12 biggest deals with each of their top 20 counterparties. That produced a worst-case loss of around $3 billion. But on that Sunday evening, it seemed the mark-to-market loss, just on those 240-or-so deals, might reach $5 billion. And that was ignoring all the other trades, some of them in highly speculative and illiquid instruments. The next day, Monday, September 21, 1998, bankers from Merrill, Goldman and JP Morgan continued to review the problem. It was still hoped that a single buyer for the portfolio could be found - the cleanest solution. 根据LTCM管理人员的说法，他们的压力测试涉及与前20大交易对手中的每一个进行12项最大交易。这造成了最坏情况下的损失约30亿美元。但是在那个星期天的晚上，就那些240个左右的交易而言，市场上的贬值似乎可能达到50亿美元。这忽略了所有其他交易，其中一些是高度投机和非流动性的工具。第二天，即1998年9月21日星期一，来自美林，高盛和摩根大通的银行家继续审查这个问题。仍然希望找到一个单一的投资组合买家 - 最干净的解决方案。According to Lewiss article, LTCMs portfolio had its second biggest loss that day, of $500 million. Half of that, says Lewis, was lost on a short position in five-year equity options. Lewis records brokers opinion that AIG had intervened in thin markets to drive up the option price to profit from LTCMs weakness. At that time, as was learned later, AIG was part of a consortium negotiating to buy LTCMs portfolio. By this time LTCMs capital base had dwindled to a mere $600 million. That evening, UBS, with its particular exposure on an $800 million credit, with $266 million invested as a hedge, sent a team to Greenwich to study the portfolio. 根据刘易斯的文章，LTCM的投资组合当天损失了第二大，为5亿美元。刘易斯表示，其中一半在五年股票期权中处于空头头寸。刘易斯记录经纪人的观点，即AIG干预了薄弱的市场，推动期权价格从LTCM的疲软中获利。当时，正如后来所了解的那样，AIG是一个谈判购买LTCM投资组合的财团的一部分。到目前为止，长期资本管理公司的资本基础已经减少到6亿美元。那天晚上，瑞银（UBS）特别投资8亿美元信贷，投资2.66亿美元作为套期保值，并派团队前往格林威治（Greenwich）研究投资组合。The Fedís Peter Fischer invited those three banks and UBS to breakfast at the Fed headquarters in Liberty Street the following day. The bankers decided to form working groups to study possible market solutions to the problem, given the absence of a single buyer. Proposals included buying LTCMs fixed income positions, and "lifting" the equity positions (which were a mixture of index spread trades and total return swaps, and the takeover bets). During the day a third option emerged as the most promising: seeking recapitalization of the portfolio by a consortium of creditors. But any action had to be taken swiftly. The danger was a single default by LTCM would trigger cross-default clauses in its Isda master agreements precipitating a mass close-out in the over-the-counter derivatives markets. Banks terminating their positions with LTCM would have to rebalance any hedge they might have on the other side. 美联储的彼得菲舍尔邀请这三家银行和瑞银在第二天在自由街的美联储总部吃早餐。鉴于没有单一买家，银行家们决定组建工作小组来研究解决问题的可能市场解决方案。建议包括购买长期资本管理公司的固定收益头寸，以及「解除」股票头寸（这是指数差价交易和总回报掉期以及收购投注的混合）。在白天，第三种选择成为最有希望的：寻求债权人财团对资产组合进行资本重组。但任何行动都必须迅速采取行动。LTCM的单一违约将导致其Isda主协议中的交叉违约条款引发场外衍生品市场的大规模平仓。银行终止其在LTCM的头寸将不得不重新平衡他们可能在另一方面的任何对冲。The market would quickly get wind of their need to rebalance and move against them. Mark-to-market values would descend in a vicious spiral. In the case of the French equity index, the CAC 40, LTCM had apparently sold short up to 30% of the volatility of the entire underlying market. The Banque de France was worried that a rapid close-out would severely hit French equities. There was a wider concern that an unknown number of market players had convergence positions similar or identical to those of LTCM. In such a one-way market there could be a panic rush for the door. A meltdown of developed markets on top of the panic in emerging markets seemed a real possibility. LTCMs clearing agent Bear Stearns was threatening to foreclose the next day if it didnt see $500 million more collateral. Until now, LTCM had resisted the temptation to draw on a $900 million standby facility that had been syndicated by Chase Manhattan Bank, because it knew that the action would panic its counterparties. But the situation was now desperate. 市场很快就会发现他们需要重新平衡并反对他们。按市值计价的价值将在恶性循环中下降。就法国股票指数而言，CAC 40，LTCM显然卖空了整个基础市场波动率的30％。法兰西银行担心快速关闭将严重打击法国股市。更广泛的担忧是，未知数量的市场参与者的收敛位置与LTCM的收敛位置相似或相同。在这样的单向市场中，可能会出现恐慌。在新兴市场的恐慌之上，发达市场的崩溃似乎是一种真正的可能性。长期资本管理公司的清算代理商贝尔斯登（Bear Stearns）威胁要在第二天取消抵押品赎回权，如果它没有看到更多5亿美元的抵押品。到目前为止，长期资本管理公司一直拒绝利用由大通曼哈顿银行联合的9亿美元备用设施的诱惑，因为它知道该行动将使其交易对手感到恐慌。但现在情况已经绝望了。

LTCM asked Chase for $500 million. It received only $470 million since two syndicate members refused to chip in. To take the consortium plan further, the biggest banks, either big creditors to LTCM, or big players in the over-the-counter markets, were asked to a meeting at the Fed that evening. The plan was to get 16 of them to chip in $250 million each to recapitalize LTCM at $4 billion.

LTCM向Chase询问了5亿美元。由于两个集团成员拒绝进入市场，它只获得了4.7亿美元。为了进一步采取财团计划，最大的银行，无论是长期资本管理公司的大债权人，还是场外交易市场的大型银行，都被要求参加会议。美联储当晚。该计划是让他们中的16人每人筹集2.5亿美元，以40亿美元的价格对LTCM进行资本重组。The four core banks met at 7 pm and reviewed a term sheet which had been drafted by Merrill Lynch. Then at 8.30 bankers from nine more institutions showed. They represented: Bankers Trust, Barclays, Bear Stearns, Chase, Credit Suisse First Boston, Deutsche Bank, Lehman Brothers, Morgan Stanley, Credit Agricole, Banque Paribas, Salomon Smith Barney, Societe Generale. David Pflug, head of global credit risk at Chase warned that nothing would be gained 四家核心银行于晚上7点开会，并审查了由美林公司起草的条款清单。 然后在8点30分，来自另外9家机构的银行家表示。 他们代表：Bankers Trust，Barclays，Bear Stearns，Chase，Credit Suisse First Boston，Deutsche Bank，Lehman Brothers，Morgan Stanley，Credit Agricole，Banque Paribas，Salomon Smith Barney，Societe Generale。 Chase全球信贷风险负责人David Pflug警告称，不会有任何收获a) by raking over the mistakes that had got them in this room, and b) by arguing about who had the biggest exposure: they were all in this equally and together. a）通过嘲笑在这个房间里得到的错误，并且b）通过争论谁拥有最大的风险曝光：他们此时已然是同一条船上的了。The delicate question was how to preserve value in the LTCM portfolio, given that banks around the room would be equity investors, and yet, at the same time, they would be seeking to liquidate their own positions with LTCM to maximum advantage. It was clear that John Meriwether and his partners would have to be involved in keeping such a complex portfolio a going concern. 微妙的问题是如何保持长期资本管理公司投资组合的价值，因为会议室周围的银行将是股权投资者，但与此同时，他们将寻求通过LTCM清算自己的头寸以获得最大利益。 显然，John Meriwether和他的合作伙伴必须参与保持如此复杂的投资组合的持续经营。But what incentive would they have if they no longer had an interest in the profits? 但如果他们不再对利润感兴趣，他们会有什么样的激励？Chase insisted that any bailout would first have to return the $470 million drawn down on the syndicated standby facility. But nothing could be finalized that night since few of the representatives present could pledge $250 million or more of their firms money. 大通坚持认为，任何救助都必须首先归还在银团备用设施上提取的4.7亿美元。 但那天晚上没有什么可以最终确定的，因为在场的代表很少能够承诺2.5亿美元或更多的公司资金。The meeting resumed at 9.30 the next morning. Goldman Sachs had a surprise: its client, Warren Buffett, was offering to buy the LTCM portfolio for $250 million, and recapitalize it with $3 billion from his Berkshire Hathaway group, $700 million from AIG and $300 million from Goldman. There would be no management role for Meriwether and his team. None of LTCMs existing liabilities would be picked up, yet all current financing had to stay in place. Meriwether had until 12.30 to decide. By 1 pm it was clear that Meriwether had rejected the offer, either because he didnt like it, or, according to his lawyers, because he couldnt do so without consulting his investors, which would have taken him over the deadline. The bankers were somewhat flabbergasted by Goldmans dual role. Despite frequent requests for information about other possible bidders, Goldman had dropped no hint at previous meetings that there was something in the pipeline. Now the banks were back to the consortium solution. 会议于次日早上9点30分恢复。高盛出人意料：其客户沃伦·巴菲特（Warren Buffett）提出以2.5亿美元的价格收购长期资本管理公司的投资组合，并从其伯克希尔哈撒韦集团（Berkshire Hathaway）的30亿美元，AIG的7亿美元和高盛的3亿美元进行资本重组。Meriwether和他的团队不会有管理角色。长期资本管理公司的现有负债都不会被收回，但所有现有融资都必须保持不变。Meriwether一直到12.30才决定。下午1点很明显，Meriwether拒绝了这一提议，要么是因为他不喜欢，要么是根据他的律师说，因为他不能在没有咨询他的投资者的情况下这样做，这将使他超过延期兑付。 银行家们对高盛的双重角色感到有些惊讶。 尽管经常要求提供有关其他可能的竞标者的信息，但高盛并未暗示以前的会议有些事情正在筹备中。 现在银行又回到了财团解决方案。Since there were only 13 banks, not 16, theyd have to put in more than $250 million each. Bear Stearns offered nothing, feeling that it had enough risk as LTCMs clearing agent. [Their special relationship may have been the source of some acrimony: LTCM had an $18 million equity stake in Bear Stearns, matched by investments in LTCM of $10 million each by Bear Stearns principals James Cayne and Warren Spector]. Lehman Brothers also declined to participate. 由于只有13家银行，而不是16家银行，因此每家银行必须投入超过2.5亿美元。 贝尔斯登没有提供任何信息，认为它有足够的风险作为LTCM的清算代理人。 [他们的特殊关系可能是一些争吵的来源：长期资本管理公司持有贝尔斯登的1800万美元股权，与贝尔斯登公司负责人詹姆斯凯恩和沃伦斯佩尔特的每股1000万美元的LTCM投资相匹配]。 雷曼兄弟也拒绝参加。In the end 11 banks put in $300 million each, Societe Generale $125 million, and Credit Agricole and Paribas $100 million each, reaching total fresh equity of $3.625 billion. Meriwether and his team would retain a stake of 10% in the company. They would run the portfolio under the scrutiny of an oversight committee representing the new shareholding consortium. The message to the market was that there would be no fire-sale of assets. The LTCM portfolio would be managed as a going concern. In the first two weeks after the bail-out, LTCM continued to lose value, particularly on its dollar/yen trades, according to press reports which put the loss at $200 million to $300 million. There were more attempts to sell the portfolio to a single buyer. 最终，11家银行各投资3亿美元，法国兴业银行投资1.25亿美元，法国农业信贷银行和法国巴黎银行各投资1亿美元，新增股权总额达36.25亿美元。 Meriwether和他的团队将保留该公司10％的股份。 他们将在代表新股份财团的监督委员会的监督下管理投资组合。 向市场传达的信息是，不会出售资产。LTCM投资组合将作为持续经营进行管理。 在纾困后的头两个星期，长期资本管理公司继续失去价值，尤其是美元/日元交易，据新闻报道称，亏损额为2亿至3亿美元。 有更多尝试将投资组合出售给单个买家。According to press reports the new LTCM shareholders had further talks with Buffett and with Saudi Prince Alwaleed bin Talal bin Abdelaziz. But there was no sale. By mid-December, 1998 the fund was reporting a profit of $400 million, net of fees to LTCM partners and staff. In early February 1999, there were press reports of divisions between banks in the bailout consortium, some wishing to get their money out by the end of the year, others happy to "stay for the ride" of at least three years. There was also a dispute about how much Chase was charging for a funding facility to LTCM. 据媒体报道，新的长期资本管理公司股东与巴菲特和沙乌地阿拉伯王子Alwaleed bin Talal bin Abdelaziz进行了进一步会谈。 但没有销售。 截至1998年12月中旬，该基金报告的利润为4亿美元，扣除了LTCM合作伙伴和员工的费用。 1999年2月初，有新闻报道称，救助财团中的银行之间存在分歧，有些人希望在年底之前将资金拿出来，其他人则乐于「至少停留三年」。 关于大通向LTCM提供融资机制收费的问题，也存在争议。Within six months there were reports that Meriwether and some of his team wanted to buy out the banks, with a little help from their friend Jon Corzine, who was due to leave Goldman Sachs after its flotation in May 1999. 在六个月内，有报道称Meriwether和他的一些团队希望在他们的朋友Jon Corzine的帮助下收购银行，他们将于1999年5月上市后离开高盛。By June 30, 1999, the fund was up 14.1%, net of fees, from last September. Meriwethers plan approved by the consortium was apparently to redeem the fund, now valued at around $4.7 billion, and to start another fund concentrating on buyouts and mortgages. On July 6, 1999, LTCM repaid $300 million to its original investors who had a residual stake in the fund of around 9%. It also paid out $1 billion to the 14 consortium members. It seemed Meriwether was bouncing back.截至1999年6月30日，该基金比去年9月增加了14.1％，扣除了费用。 Meriwether的财团批准的计划显然是为了赎回该基金，目前估值约为47亿美元，并启动另一项专注于收购和抵押的基金。 1999年7月6日，长期资本管理公司向其原始投资者偿还了3亿美元，这些投资者持有该基金的剩余股权约9％。 它还向14个财团成员支付了10亿美元。 似乎Meriwether所管理的基金正在强势反弹。（未完，下期待续...）深度参与D君的系列课程：（已上线华尔街见闻以及对冲投研等多家知名平台，请扫以下二维码）：

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