巴菲特致股东的信（2002年）⑥金融衍生品交易

Derivatives

Charlie and I are of one mind in how we feel about derivatives and the trading activities that go with them: We view them as time bombs, both for the parties that deal in them and the economic system.

金融衍生品交易

对于衍生性金融商品以及其它附带的交易，查理跟我的看法完全一致，我们认为不论是对参与交易的双方或者是整个经济体系而言，它们就像是一颗颗定时炸弹！

Having delivered that thought, which I’ll get back to, let me retreat to explaining derivatives, though the explanation must be general because the word covers an extraordinarily wide range of financial contracts. Essentially, these instruments call for money to change hands at some future date, with the amount to be determined by one or more reference items, such as interest rates, stock prices or currency values. If, for example, you are either long or short an S&P 500 futures contract, you are a party to a very simple derivatives transaction – with your gain or loss derived from movements in the index. Derivatives contracts are of varying duration (running sometimes to 20 or more years) and their value is often tied to several variables.

在丢出这个爆炸性的看法后，请容我稍后我再详加说明，现在让我先稍微解释一下衍生性金融商品，虽然这类的解释相当空泛，因为这个名词代表着相当广泛的金融交易，基本上，这类交易工具要求货币在未来的某个日期进行易手，其金额决定于某个或数个关键指标，包含利率、股价或汇率等。举例来说，假设你做多或做空标普S&P500 指数期权合约，那么你等于已经参与一项非常简单的衍生性金融商品交易，你的回报取决于未来指数的变动。衍生性金融商品合约期有长有短，有时甚至可能超过 20 年，其价值的变化则系于许多变量。

Unless derivatives contracts are collateralized or guaranteed, their ultimate value also depends on the creditworthiness of the counterparties to them. In the meantime, though, before a contract is settled, the counterparties record profits and losses – often huge in amount – in their current earnings statements without so much as a penny changing hands.

除非衍生性金融商品交易有抵押或是担保，否则其最终的价值还必须取决于交易对手的信用履约能力。虽然在交易正式结算之前，交易双方都会在各自的损益表上记录盈亏，且金额通常巨大，即便实际上无需换手一分钱。

The range of derivatives contracts is limited only by the imagination of man (or sometimes, so it seems, madmen). At Enron, for example, newsprint and broadband derivatives, due to be settled many years in the future, were put on the books. Or say you want to write a contract speculating on the number of twins to be born in Nebraska in 2020. No problem – at a price, you will easily find an obliging counterparty.

只要是人类想象力能够想到的，都可以被列为金融衍生品的交易标的。举例来说，当初在安然 Enron，就有新闻纸和宽带的金融衍生品，虽然要在许多年后才会结算，但此类交易还是可以列入到公司的帐上。或者说你想要签一个合约，预测内布拉斯加州 2020 年双胞胎出生的数目，没有问题，只要你肯出价，保证你一定找得到有人肯跟你对赌。

When we purchased Gen Re, it came with General Re Securities, a derivatives dealer that Charlie and I didn’t want, judging it to be dangerous. We failed in our attempts to sell the operation, however, and are now terminating it.

当初我们在买下通用再保险时，该公司有一家附属的通用再保险证券公司，这是一家金融衍生品经纪商，查理跟我认为它具有相当的危险性，所以并不想保留这个部门，于是我们试图将这个部门出售，但并没有成功，最后只好将它慢慢清算。

But closing down a derivatives business is easier said than done. It will be a great many years before we are totally out of this operation (though we reduce our exposure daily). In fact, the reinsurance and derivatives businesses are similar: Like Hell, both are easy to enter and almost impossible to exit. In either industry, once you write a contract – which may require a large payment decades later – you are usually stuck with it. True, there are methods by which the risk can be laid off with others. But most strategies of that kind leave you with residual liability.

但想要关闭一个金融衍生品部门，谈何容易，想要摆脱它的纠缠可能要耗费许多个年头，虽然我们正逐日降低所暴露的风险。事实上，再保险业与衍生品交易有点类似，两者都像是地狱一样，并没有多大的进入障碍，但想要退出却难如登天。一旦签了约，你就摆脱不了它，有时甚至要等到几十年后，才突然冒出来要你支付一大笔钱，确实也有些法子可以让你将风险转嫁给别人，但大多数的做法还是无法让你免除连带的责任。

Another commonality of reinsurance and derivatives is that both generate reported earnings that are often wildly overstated. That’s true because today’s earnings are in a significant way based on estimates whose inaccuracy may not be exposed for many years.

再保险业与衍生品交易另一个共同特点就是两者的帐面收益通常都有过度高估的情况，这是由于目前的收益大多系于许多未来的变量，而其正确性却需要很多年后才能揭晓。

Errors will usually be honest, reflecting only the human tendency to take an optimistic view of one’s commitments. But the parties to derivatives also have enormous incentives to cheat in accounting for them. Those who trade derivatives are usually paid (in whole or part) on “earnings” calculated by mark-to-market accounting. But often there is no real market (think about our contract involving twins) and “mark-to-model” is utilized. This substitution can bring on large-scale mischief. As a general rule, contracts involving multiple reference items and distant settlement dates increase the opportunities for counterparties to use fanciful assumptions. In the twins scenario, for example, the two parties to the contract might well use differing models allowing both to show substantial profits for many years. In extreme cases, mark-to-model degenerates into what I would call mark-to-myth.

犯下衍生品交易错误的人通常是诚实的，但这种诚实仅反映，人类对自己的承诺持乐观态度的倾向。而衍生品交易的双方有极大的动机在会计核算上进行欺诈，因为这些负责买卖衍生品的人士，其部分或全部回报往往取决于按市价结算的帐面收益，但现实的状况是，那个所谓市场价格根本就不存在，比如前面的双胞胎对赌合约，取而代之的是"数学模型结算"，这种替代性的做法完全是恶作剧。一般来说，由于合约牵涉多个变量再加上远期的结算日期，使得交易双方不得不大量使用幻想假设。以我们刚刚提到的双胞胎案例来说，订立合约的双方可能使用截然不同的定价模型，使得交易双方多年内同时享受可观的帐面收益，在极端状况下，所谓的「按模型结算」极可能堕落为「按鬼话结算」。

Of course, both internal and outside auditors review the numbers, but that’s no easy job. For example, General Re Securities at yearend (after ten months of winding down its operation) had 14,384 contracts outstanding, involving 672 counterparties around the world. Each contract had a plus or minus value derived from one or more reference items, including some of mind-boggling complexity. Valuing a portfolio like that, expert auditors could easily and honestly have widely varying opinions.

当然，不论是内部的稽核人员或者是外部的会计师，也会审查这些数字，但要弄懂可不是一件容易的事。举例来说，通用再保险证券截至 2002 年年底(在决定彻底关闭它的 10 个月后)仍有 14384 件有效合约流落在外，交易对象遍布全世界 672 个对手，每一项合约的价值都会随着一个或好几个变量的变化而随时上下变动，其中有一些变量光是看了就令人觉得头皮发麻。想要对于这些交易组合进行估值，就算是专业的会计师，也往往会有不同的意见与看法。

The valuation problem is far from academic: In recent years, some huge-scale frauds and near-frauds have been facilitated by derivatives trades. In the energy and electric utility sectors, for example, companies used derivatives and trading activities to report great “earnings” – until the roof fell in when they actually tried to convert the derivatives-related receivables on their balance sheets into cash. “Mark-to-market” then turned out to be truly “mark-to-myth.”

评价难度本身早已超越学术性论证。近几年来，有好几件大规模的欺诈案及疑似舞弊案都是缘自于衍生品交易。以公用能源事业来说，许多公司利用衍生品交易来创造帐面巨额的获利，直到他们试图将资产负债表上与衍生品相关的应收款项转换成为现金科目时，利润大跌。至此"按市价结算"真正沦为"按鬼话结算"。

I can assure you that the marking errors in the derivatives business have not been symmetrical. Almost invariably, they have favored either the trader who was eyeing a multi-million dollar bonus or the CEO who wanted to report impressive “earnings” (or both). The bonuses were paid, and the CEO profited from his options. Only much later did shareholders learn that the reported earnings were a sham.

我可以向各位保证，在金融衍生品合约中的记账错误，绝对无法让交易双方的帐对得平。几乎不例外的，他们要么偏坦有机会得到百万奖金的业务员，要么青睐特别希望帐面拥有亮丽的数字的 CEO，或兼而有之。而最后往往是奖金支付给业务员，CEO 则从认股期权中获利颇丰，直到很久以后，股东们才会发现所谓亮丽的财报数字根本就是一场骗局。

Another problem about derivatives is that they can exacerbate trouble that a corporation has run into for completely unrelated reasons. This pile-on effect occurs because many derivatives contracts require that a company suffering a credit downgrade immediately supply collateral to counterparties. Imagine, then, that a company is downgraded because of general adversity and that its derivatives instantly kick in with their requirement, imposing an unexpected and enormous demand for cash collateral on the company. The need to meet this demand can then throw the company into a liquidity crisis that may, in some cases, trigger still more downgrades. It all becomes a spiral that can lead to a corporate meltdown.

金融衍生品交易的另一项问题是，它们可能加剧一家公司，因一些毫不相关的因素而遭遇困境。这种滚雪球效应之所以会发生，主要在于许多金融衍生品合约都要求对方一旦其信用评级遭到调降时，必须立刻提供质押担保给交易对方。大家可以想象一下，当一家公司面临困境而被调降信用评级的同时，衍生性金融交易却又立即登门要求提供事先完全没有设想到且金额庞大的现金抵押品时的情景，此举可能让公司进一步陷入流动性的危机，而通常这又会让公司的信用评级再度向下调降，恶性循环的结果可能导致一家原本好好的公司因此垮台。

Derivatives also create a daisy-chain risk that is akin to the risk run by insurers or reinsurers that lay off much of their business with others. In both cases, huge receivables from many counterparties tend to build up over time. (At Gen Re Securities, we still have $6.5 billion of receivables, though we’ve been in a liquidation mode for nearly a year.) A participant may see himself as prudent, believing his large credit exposures to be diversified and therefore not dangerous. Under certain circumstances, though, an exogenous event that causes the receivable from Company A to go bad will also affect those from Companies B through Z. History teaches us that a crisis often causes problems to correlate in a manner undreamed of in more tranquil times.

金融衍生品交易也有可能造成多米诺骨牌效应的风险，这是因为许多保险业及再保险业者习惯将风险分散给其它保险公司，在这类的情况下，来自许多交易对手的巨额应收账款往往会随着时间的推移而增加。以通用再保险证券公司来说，虽然已经经过将近一年的清算，目前仍有高达 65 亿美元的应收款项流通在外。交易的一方或许对于自己相当有信心，认为其巨额的信用风险已经经过适度的分散，因此不会发生任何危险。然而在某种特殊状况下，一个外部事件导致 A 公司的应收帐款发生问题，从而影响 B 公司，乃至于一路到 Z 公司的应收款。历史教训告诉我们，在太平盛世时的小问题，往往以做梦也想不到的方式相互关联，最终导致危机的爆发。

In banking, the recognition of a “linkage” problem was one of the reasons for the formation of the Federal Reserve System. Before the Fed was established, the failure of weak banks would sometimes put sudden and unanticipated liquidity demands on previously-strong banks, causing them to fail in turn. The Fed now insulates the strong from the troubles of the weak. But there is no central bank assigned to the job of preventing the dominoes toppling in insurance or derivatives. In these industries, firms that are fundamentally solid can become troubled simply because of the travails of other firms further down the chain. When a “chain reaction” threat exists within an industry, it pays to minimize links of any kind. That’s how we conduct our reinsurance business, and it’s one reason we are exiting derivatives.

在银行体系中，早期问题演变为连锁反应的严重性是美联储成立的主要原因之一，在美联储成立以前，弱势银行倒闭有时可能会对一些原本体质还不错的银行造成突然没有预期到的流动性压力，导致它们跟着出现问题，美联储于是建立一道防火墙将有问题的金融机构隔绝开。但是在保险业或是衍生性金融商品交易，却没有类似中央银行的控管机制来防止骨牌效应的发生，在这些产业，一家原本体质不错的公司很有可能因为其它公司发生问题而受到拖累，当一个行业中存在这种连锁反应的威胁时，就绝对有必要尽量降低彼此间的牵连，这正是我们目前在再保业采取的做法，同样也是我们选择退出金融衍生品交易的原因之一。

Many people argue that derivatives reduce systemic problems, in that participants who can’t bear certain risks are able to transfer them to stronger hands. These people believe that derivatives act to stabilize the economy, facilitate trade, and eliminate bumps for individual participants. And, on a micro level, what they say is often true. Indeed, at Berkshire, I sometimes engage in large-scale derivatives transactions in order to facilitate certain investment strategies.

许多人声称衍生品交易可以有效降低系统风险，通过这类交易让原本无法承担特定风险的人可以将风险移转到他人身上，这些人认为衍生品可以稳定经济、促进贸易、消除个人参与者的障碍。就微观层面而言，他们的说法或许确是事实，在伯克希尔，我有时也会参与一些大规模的衍生品交易以促进某些投资策略进行。

Charlie and I believe, however, that the macro picture is dangerous and getting more so. Large amounts of risk, particularly credit risk, have become concentrated in the hands of relatively few derivatives dealers, who in addition trade extensively with one other. The troubles of one could quickly infect the others. On top of that, these dealers are owed huge amounts by non-dealer counterparties. Some of these counterparties, as I’ve mentioned, are linked in ways that could cause them to contemporaneously run into a problem because of a single event (such as the implosion of the telecom industry or the precipitous decline in the value of merchant power projects). Linkage, when it suddenly surfaces, can trigger serious systemic problems.

然而查理跟我本人认为，从宏观经济的角度来看，这却是相当危险，而且风险更有日益加重的趋势，大量的风险，尤其是信用风险，目前已逐渐累积在少数几家衍生品交易商身上，而且彼此的交易更是相当频繁，这使得一家公司在发生问题后，将很快地传染给其它公司，到最后这些交易商将积欠非交易商的交易对手巨额欠款，而这些交易对方，如我刚刚提到的，由于彼此关系过于紧密，将导致一个单一事件让他们同时出现问题，(比如说电信产业的崩溃或者商业电力项目的价值大幅减损等)，当问题浮现时，关联度过高可能引发严重的系统性风险。

Indeed, in 1998, the leveraged and derivatives-heavy activities of a single hedge fund, Long-Term Capital Management, caused the Federal Reserve anxieties so severe that it hastily orchestrated a rescue effort. In later Congressional testimony, Fed officials acknowledged that, had they not intervened, the outstanding trades of LTCM – a firm unknown to the general public and employing only a few hundred people – could well have posed a serious threat to the stability of American markets. In other words, the Fed acted because its leaders were fearful of what might have happened to other financial institutions had the LTCM domino toppled. And this affair, though it paralyzed many parts of the fixed-income market for weeks, was far from a worst-case scenario.

事实上，在 1998 年大量从事杠杆化和衍生品交易的对冲基金长期资本管理公司 LTCM 就搞得美联储焦头烂额，最后不得不火速组织紧急援助，在随后的国会听证会中，美联储官员坦承当初若非他们介入，LTCM 未完成的交易，很有可能对于美国资本市场的稳定造成极严重的威胁，换句话说，美联储之所以甘冒大不讳打破惯例介入干预，完全是因为领导层害怕类似的事件会传导到其它金融机构的身上进而引发骨牌效应，而这次的事件虽然导致大部分固定收益市场一度瘫痪达数个周之久，但个人认为，这远远不是最坏的状况。

One of the derivatives instruments that LTCM used was total-return swaps, contracts that facilitate 100% leverage in various markets, including stocks. For example, Party A to a contract, usually a bank, puts up all of the money for the purchase of a stock while Party B, without putting up any capital, agrees that at a future date it will receive any gain or pay any loss that the bank realizes.

在所有衍生品中，全收益掉期互换是 LTCM 经常使用的工具之一，这类的合约使得该公司可以运用 100%的杠杆在各种市场进行套利，也包含股票市场。举例来说，合约的一方 A，通常是一家银行，必须投入百分之百的资金买进股票，而在此同时，合约的另一方 B，在不投入任何资金的情况下，约定在未来的某个日子时，将收到银行 A 实现的任何收益或支付银行 A 的任何损失。

Total-return swaps of this type make a joke of margin requirements. Beyond that, other types of derivatives severely curtail the ability of regulators to curb leverage and generally get their arms around the risk profiles of banks, insurers and other financial institutions. Similarly, even experienced investors and analysts encounter major problems in analyzing the financial condition of firms that are heavily involved with derivatives contracts. When Charlie and I finish reading the long footnotes detailing the derivatives activities of major banks, the only thing we understand is that we don’t understand how much risk the institution is running.

这类全收益交换合约竟然连保证金都可以不需要。除此之外，其它种类的衍生品也严重削弱了监管机构抑制杠杆的能力，以及对银行保险及其它金融单位风险的控管。同时，即便是经验老道的投资者及分析师在看到这类布满衍生品交易公司的财务状况时，也束手无策，记得当查理跟我自己在看完几家大型银行有关衍生品交易冗长的财务报表附注时，我们唯一可以确定的是我们根本就不晓得这些金融机构到底承担了多少的风险。

The derivatives genie is now well out of the bottle, and these instruments will almost certainly multiply in variety and number until some event makes their toxicity clear. Knowledge of how dangerous they are has already permeated the electricity and gas businesses, in which the eruption of major troubles caused the use of derivatives to diminish dramatically. Elsewhere, however, the derivatives business continues to expand unchecked. Central banks and governments have so far found no effective way to control, or even monitor, the risks posed by these contracts.

衍生品交易魔鬼现在已从潘多拉瓶子中窜出，而这类交易的种类和数量还会继续以各种不同形式倍增，直至这个祸害所造成的危害为众人所知时为止，对衍生品危险性的认识已经渗透到电力和天然气行业，在几个重大事件爆发导致衍生品交易急速减少。然而在其它产业，衍生品交易却照样毫无节制的急速扩张中。到目前为止，各国央行及政府依然没用找到有效的方法来控制甚至监控这些合约所带来的风险。

Charlie and I believe Berkshire should be a fortress of financial strength – for the sake of our owners, creditors, policyholders and employees. We try to be alert to any sort of megacatastrophe risk, and that posture may make us unduly apprehensive about the burgeoning quantities of long-term derivatives contracts and the massive amount of uncollateralized receivables that are growing alongside. In our view, however, derivatives are financial weapons of mass destruction, carrying dangers that, while now latent, are potentially lethal.

查理跟我相信伯克希尔依然是所有股东、债权人、保户及员工最坚强的财务堡垒，我们对于任何可能的潜在重大风险都保持警惕，或许对于长期性衍生品的大量交易，以及巨额膨胀的无担保应收款项的保留态度，让我们看起有点过虑了，但我们还是认为，衍生品是大规模毁灭性金融武器，具有潜在的致命危险。

Derivatives Charlie and I are of one mind in how we feel about derivatives and the trading activities that go with them: We view them as time bombs, both for the parties that deal in them and the economic system.

When we purchased Gen Re, it came with General Re Securities, a derivatives dealer that Charlie and I didn’t want, judging it to be dangerous. We failed in our attempts to sell the operation, however, and are now terminating it.

Another commonality of reinsurance and derivatives is that both generate reported earnings that are often wildly overstated. That’s true because today’s earnings are in a significant way based on estimates whose inaccuracy may not be exposed for many years.

Derivatives

Charlie and I are of one mind in how we feel about derivatives and the trading activities that go with them: We view them as time bombs, both for the parties that deal in them and the economic system.