賤賣資產

當前金融市場的困局是什麼？第一當然是信貸緊縮，整個信貸市場忽然消失，平時發債的人找不到買家，無錢引伸的問題就是要變賣資產，但剛才不是說信貨市場消失了嗎？無人接貨只有賤賣債券，無論是次按的還是非次按的，溢價一律提高，mark-to-market引致更多資產貶值，由於margin call 或是Asset Value Triggered(SIV的問題)，更多人要賣，更少人接，這現象如雪球效應，所有金融機構都被捲入這循環內。這是新的問題嗎？不是，當年LTCM有此情況，在LTCM宣告破產時，如果任由其資產在市場賤賣，今天的情況在1998年便會發生，但當年不知是好運還是其他，由FEB牽頭，幾家大銀行組成聯盟接貨，不在市場拋售，免去了一次市場危機，數年後，幫忙接貨的銀行(如JP Morgan)都賺錢，時間是金錢，捱得過便會無事，只因金融市場全基建於信心，沒信心神仙難救。

現在又有一問題，什麼是信心？為什麼我會信你？你信用好因你以前表現好，有借有還上等人，但信用這東西來之不易却消失有如露水，一夕之間就是你親生父親你也不會相信(古龍小說？)，全球以Trillion計的交易就建立在所謂信心上，是不是很危險？

附Feb救LTCM的安排(摘自維基百科)：

1998 Bailout

Goldman Sachs, AIG and Berkshire Hathaway offered then to buy out the fund's partners for $250 million, to inject $4 billion and to operate LTCM within Goldman Sachs's own trading. The offer was rejected and the same day the Federal Reserve Bank of New York organized a bail out of $3.625 billion by the major creditors to avoid a wider collapse in the financial markets. The contributions from the various institutions were as follows: ^{[2] [3]}

• $300 million: Bankers Trust, Barclays, Chase, Credit Suisse First Boston, Deutsche Bank, Goldman Sachs, Merrill Lynch, J.P.Morgan, Morgan Stanley, Salomon Smith Barney, UBS
• $125 million: Société Générale
• $100 million: Lehman Brothers, Paribas
• Bear Stearns declined to participate.

In return, the participating banks got a 90% share in the fund and a promise that a supervisory board would be established.

The fear was that there would be a chain reaction as the company liquidated its securities to cover its debt, leading to a drop in prices, which would force other companies to liquidate their own debt creating a vicious cycle.

The total losses were found to be $4.6 billion. The losses in the major investment categories were (ordered by magnitude):

• $1.6 bn in swaps
• $1.3 bn in equity volatility
• $430 mn in Russian and other emerging markets
• $371 mn in directional trades in developed countries
• $215 mn in yield curve arbitrage
• $203 mn in S&P 500 stocks
• $100 mn in junk bond arbitrage
• no substantial losses in merger arbitrage

See also: East Asian financial crisis

Long Term Capital was audited by Price Waterhouse LLP.

Ironically, after the bail-out by the other investors, the panic abated, and the positions formerly held by LTCM were eventually liquidated at a small profit to the bailers.

Some industry officials said that Federal Reserve Bank of New York involvement in the rescue, however benign, would encourage large financial institutions to assume more risk, in the belief that the Federal Reserve would intervene on their behalf in the event of trouble. Federal Reserve Bank of New York actions raised concerns among some market observers that it could create Moral hazard.

再附一節美國政府救LTCM的原因：

美國政府為何拯救LTCM

為了避免LTCM的倒閉造成美國甚至全球金融市場的崩潰，美國政府因而積極地介入LTCM的拯救活動。如果美國政府沒有介入LTCM的拯救，LTCM的虧損會如何整個金融體系的安定呢？作者提出三個管道：

首先，如果LTCM被迫變賣其資產以償還虧損，所有與LTCM從事交易的對象將同時變賣LTCM的資產。由於LTCM佔了某些資產很大的市場份額，這些資產的價格將會劇跌，使得動作越慢的人虧損越大。

其次，LTCM所持有的資產價值一旦劇跌，其他與LTCM持有相同資產組合的銀行、金融機構與避險基金，也會同樣因為資產的縮水而蒙受損失。

第三，這些借錢給LTCM的銀行與證券公司，以及LTCM在金融市場的交易對象，也會因為LTCM的倒閉而同樣面臨破產威脅。

Edwards, Franklin.R."Hedge Funds and the Collapse of Long-Term Capital Management", Journal of Economic Perspective 1999

上述原因，不正是現在市場發生的情況嗎？