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主题:【原创】私募基金是如何赚钱的 -- evilpanda

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家园 先花一个,到底什么压垮了LTCM?

手头找不到那本书了,放狗搜了一下,在wiki发现这么一段话 外链出处

In the first 3 weeks of September LTCM's equity tumbled from $2.3 billion to $600 million without shrinking the portfolio, leading to a significant elevation of the already high leverage. 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 ...

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

不是圈内人士,所得的知识也只是来自于媒体,感觉LTCM所管理的资产大幅度下降,然后应该是需要不断补充保证金或者抵押物,haircut cost 和 margin call不断的要求使得杠杆越来越显著,到了最后。。。

输了

swap的对方,也就是其他的大银行,知道LTCM死的太惨对自己也没好处,本来是无风险的swap,现在变的一分都赚不到,如果还在别处对冲的话,那就是要亏了,而且是亏大了。

所以

the Federal Reserve Bank of New York organized a bail-out of $3.625 billion by the major creditors in order to avoid a wider collapse in the financial markets. The contributions from the various institutions were as follows:

* $300 million: Bankers Trust, Barclays, Chase, Deutsche Bank, UBS, Salomon Brothers,Smith Barney, J.P.Morgan, Goldman Sachs, Merrill Lynch, Credit Suisse First Boston, Morgan Stanley

* $125 million: Société Générale

* $100 million: Crédit Agricole, Paribas

被拯救了

关键词(Tags): #LTCM#LTCF#John Meriwether
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