The LTCM fiasco is full of lessons about:

2.意外的相關性或歷史相關性的細分

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.

在這種情況下，金融槓桿本身是不被歡迎的。LTCM被迫清算以滿足追加保證金要求。1998年9月2日，Meriwether致函他的投資者，稱該基金當年損失了25億美元，佔其價值的52％，僅在8月就損失了21億美元。其資本基礎縮減至23億美元。Meriwether正在尋找一筆約15億美元的新投資來支持該基金。

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. 他找到了那些已知擁有這種可投資資本的人，包括喬治索羅斯，朱利安羅伯遜和伯克希爾哈撒韋公司董事長沃倫巴菲特，此前曾是所羅門兄弟公司的投資者[LTCM偶然擁有伯克希爾哈撒韋公司1400萬美元的股權]，以及Jon Corzine，當時 高盛（Goldman Sachs）的聯合主席兼聯席首席執行官，高盛是芝加哥大學的前任同學。高盛和摩根大通也被要求在市場上尋找資金。但新資本的提供並未即將到來。也許這些大型企業正在等待長期資本管理公司股權的價格進一步下跌。或者他們只是在與LTCM的頭寸交易時賺錢。在這種情況下，如果是真的，LTCM向潛在買家展示其投資組合的更多細節是困難和危險的。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. 根據後來的「金融時報」報道（1998年10月30日），兩位美林高管於1998年9月9日訪問了LTCM總部進行「盡職調查會議」。向他們提供了「關於基金投資組合，其戰略，迄今為止的損失以及降低風險意圖的一般信息」。但據報道，美林證券並未透露其任何形式的交易頭寸，賬簿或文件。美國聯邦儲備系統，特別是離華爾街最近的紐約聯邦儲備銀行，開始聽到其成分銀行對長期資本管理公司的擔憂。在9月的第三週，LTCM的清算代理商貝爾斯登（Bear Stearns）表示，它希望再獲得5億美元的抵押品以繼續清算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，紐約聯儲主席比爾麥克多諾「向華爾街高級官員發出一系列電話，討論整體市場狀況」，他於10月1日向眾議院銀行和金融服務委員會表示。到那一天，自願擔心長期不斷惡化的局面可能對世界市場產生嚴重影響。「 紐約聯邦儲備銀行執行副總裁彼得·費希爾決定考慮LTCM投資組合。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，他和兩位美聯儲同事，助理財政部長加里·金斯勒以及高盛和摩根大通的銀行家訪問了LTCM在康涅狄格州格林威治的辦事處。他們所看到的一切都讓他們感到驚訝。很明顯，儘管長期資本管理公司的主要交易對手密切關注其雙邊頭寸，但他們並未了解長期資本管理公司的資產負債表外槓桿率。長期資本管理公司已與36個不同的交易對手進行掉期交換。在許多情況下，它已經推出了新的掉期以扭轉頭寸而不是解除第一次掉期，這需要在一個方向或另一個方向上進行按市值計價的現金支付。長期資本管理公司的資產負債表資產總額約為1250億美元，資本基礎為40億美元，槓桿率約為30倍。但是，長期資本管理公司的資產負債表外業務的槓桿率增加了十倍，其名義本金約為1萬億美元。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.

根據雙邊Isda（國際互換與衍生產品協會）主協議，資產負債表外合約主要是凈額。他們中的大多數也是抵押。不幸的是，抵押品的價值自8月17日以來已經開始下跌。當然，長期資本管理公司（LTCM）擁有兩位原始衍生品和期權合約估價大師，其投資組合將通過壓力測試來應對近期的市場動蕩。但是，就像街上的許多其他風險價值（Var）建模者一樣，自8月17日以來市場中可怕的相關行為已經超出了他們最糟糕的情況。這種質量飛行沒有被預測到，可能 因為它顯然是非理性的。

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. 根據LTCM管理人員的說法，他們的壓力測試涉及與前20大交易對手中的每一個進行12項最大交易。這造成了最壞情況下的損失約30億美元。但是在那個星期天的晚上，就那些240個左右的交易而言，市場上的貶值似乎可能達到50億美元。這忽略了所有其他交易，其中一些是高度投機和非流動性的工具。第二天，即1998年9月21日星期一，來自美林，高盛和摩根大通的銀行家繼續審查這個問題。仍然希望找到一個單一的投資組合買家 - 最乾淨的解決方案。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. 根據劉易斯的文章，LTCM的投資組合當天損失了第二大，為5億美元。劉易斯表示，其中一半在五年股票期權中處於空頭頭寸。劉易斯記錄經紀人的觀點，即AIG幹預了薄弱的市場，推動期權價格從LTCM的疲軟中獲利。當時，正如後來所瞭解的那樣，AIG是一個談判購買LTCM投資組合的財團的一部分。到目前為止，長期資本管理公司的資本基礎已經減少到6億美元。那天晚上，瑞銀（UBS）特別投資8億美元信貸，投資2.66億美元作為套期保值，並派團隊前往格林威治（Greenwich）研究投資組合。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. 美聯儲的彼得菲舍爾邀請這三家銀行和瑞銀在第二天在自由街的美聯儲總部喫早餐。鑒於沒有單一買家，銀行家們決定組建工作小組來研究解決問題的可能市場解決方案。建議包括購買長期資本管理公司的固定收益頭寸，以及「解除」股票頭寸（這是指數差價交易和總回報掉期以及收購投注的混合）。在白天，第三種選擇成為最有希望的：尋求債權人財團對資產組合進行資本重組。但任何行動都必須迅速採取行動。LTCM的單一違約將導致其Isda主協議中的交叉違約條款引發場外衍生品市場的大規模平倉。銀行終止其在LTCM的頭寸將不得不重新平衡他們可能在另一方面的任何對沖。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. 市場很快就會發現他們需要重新平衡並反對他們。按市值計價的價值將在惡性循環中下降。就法國股票指數而言，CAC 40，LTCM顯然賣空了整個基礎市場波動率的30％。法蘭西銀行擔心快速關閉將嚴重打擊法國股市。更廣泛的擔憂是，未知數量的市場參與者的收斂位置與LTCM的收斂位置相似或相同。在這樣的單向市場中，可能會出現恐慌。在新興市場的恐慌之上，發達市場的崩潰似乎是一種真正的可能性。長期資本管理公司的清算代理商貝爾斯登（Bear Stearns）威脅要在第二天取消抵押品贖回權，如果它沒有看到更多5億美元的抵押品。到目前為止，長期資本管理公司一直拒絕利用由大通曼哈頓銀行聯合的9億美元備用設施的誘惑，因為它知道該行動將使其交易對手感到恐慌。但現在情況已經絕望了。

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詢問了5億美元。由於兩個集團成員拒絕進入市場，它只獲得了4.7億美元。為了進一步採取財團計劃，最大的銀行，無論是長期資本管理公司的大債權人，還是場外交易市場的大型銀行，都被要求參加會議。美聯儲當晚。該計劃是讓他們中的16人每人籌集2.5億美元，以40億美元的價格對LTCM進行資本重組。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 四家核心銀行於晚上7點開會，並審查了由美林公司起草的條款清單。 然後在8點30分，來自另外9家機構的銀行家表示。 他們代表：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全球信貸風險負責人David Pflug警告稱，不會有任何收穫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）通過嘲笑在這個房間裏得到的錯誤，並且b）通過爭論誰擁有最大的風險曝光：他們此時已然是同一條船上的了。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. 微妙的問題是如何保持長期資本管理公司投資組合的價值，因為會議室周圍的銀行將是股權投資者，但與此同時，他們將尋求通過LTCM清算自己的頭寸以獲得最大利益。 顯然，John Meriwether和他的合作夥伴必須參與保持如此複雜的投資組合的持續經營。But what incentive would they have if they no longer had an interest in the profits? 但如果他們不再對利潤感興趣，他們會有什麼樣的激勵？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. 大通堅持認為，任何救助都必須首先歸還在銀團備用設施上提取的4.7億美元。 但那天晚上沒有什麼可以最終確定的，因為在場的代表很少能夠承諾2.5億美元或更多的公司資金。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. 會議於次日早上9點30分恢復。高盛出人意料：其客戶沃倫·巴菲特（Warren Buffett）提出以2.5億美元的價格收購長期資本管理公司的投資組合，並從其伯克希爾哈撒韋集團（Berkshire Hathaway）的30億美元，AIG的7億美元和高盛的3億美元進行資本重組。Meriwether和他的團隊不會有管理角色。長期資本管理公司的現有負債都不會被收回，但所有現有融資都必須保持不變。Meriwether一直到12.30才決定。下午1點很明顯，Meriwether拒絕了這一提議，要麼是因為他不喜歡，要麼是根據他的律師說，因為他不能在沒有諮詢他的投資者的情況下這樣做，這將使他超過延期兌付。 銀行家們對高盛的雙重角色感到有些驚訝。 儘管經常要求提供有關其他可能的競標者的信息，但高盛並未暗示以前的會議有些事情正在籌備中。 現在銀行又回到了財團解決方案。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. 由於只有13家銀行，而不是16家銀行，因此每家銀行必須投入超過2.5億美元。 貝爾斯登沒有提供任何信息，認為它有足夠的風險作為LTCM的清算代理人。 [他們的特殊關係可能是一些爭吵的來源：長期資本管理公司持有貝爾斯登的1800萬美元股權，與貝爾斯登公司負責人詹姆斯凱恩和沃倫斯佩爾特的每股1000萬美元的LTCM投資相匹配]。 雷曼兄弟也拒絕參加。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. 最終，11家銀行各投資3億美元，法國興業銀行投資1.25億美元，法國農業信貸銀行和法國巴黎銀行各投資1億美元，新增股權總額達36.25億美元。 Meriwether和他的團隊將保留該公司10％的股份。 他們將在代表新股份財團的監督委員會的監督下管理投資組合。 向市場傳達的信息是，不會出售資產。LTCM投資組合將作為持續經營進行管理。 在紓困後的頭兩個星期，長期資本管理公司繼續失去價值，尤其是美元/日元交易，據新聞報道稱，虧損額為2億至3億美元。 有更多嘗試將投資組合出售給單個買家。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. 據媒體報道，新的長期資本管理公司股東與巴菲特和沙烏地阿拉伯王子Alwaleed bin Talal bin Abdelaziz進行了進一步會談。 但沒有銷售。 截至1998年12月中旬，該基金報告的利潤為4億美元，扣除了LTCM合作夥伴和員工的費用。 1999年2月初，有新聞報道稱，救助財團中的銀行之間存在分歧，有些人希望在年底之前將資金拿出來，其他人則樂於「至少停留三年」。 關於大通向LTCM提供融資機制收費的問題，也存在爭議。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. 在六個月內，有報道稱Meriwether和他的一些團隊希望在他們的朋友Jon Corzine的幫助下收購銀行，他們將於1999年5月上市後離開高盛。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，該基金比去年9月增加了14.1％，扣除了費用。 Meriwether的財團批准的計劃顯然是為了贖回該基金，目前估值約為47億美元，並啟動另一項專註於收購和抵押的基金。 1999年7月6日，長期資本管理公司向其原始投資者償還了3億美元，這些投資者持有該基金的剩餘股權約9％。 它還向14個財團成員支付了10億美元。 似乎Meriwether所管理的基金正在強勢反彈。（未完，下期待續...）深度參與D君的系列課程：（已上線華爾街見聞以及對沖投研等多家知名平臺，請掃以下二維碼）：

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