巴菲特致股东的信（2010年）⑩金融衍生品

Derivatives

金融衍生品

Two years ago, in the 2008 Annual Report, I told you that Berkshire was a party to 251 derivatives contracts (other than those used for operations at our subsidiaries, such as MidAmerican, and the few left over at Gen Re). Today, the comparable number is 203, a figure reflecting both a few additions to our portfolio and the unwinding or expiration of some contracts.

两年前，在 2008 年年告中，我向你们披露伯克希尔持有 251 个金融衍生品合约(不包括用于子公司经营的合约，比如中美能源，以及通用再保险留下的少数合约)。今天可比的数字是 203 个，数字变化是由于我们组合中增加了一些新的合约，以及一些旧的合约已经到期或被解除。

Our continuing positions, all of which I am personally responsible for, fall largely into two categories. We view both categories as engaging us in insurance-like activities in which we receive premiums for assuming risks that others wish to shed. Indeed, the thought processes we employ in these derivatives transactions are identical to those we use in our insurance business. You should also understand that we get paid up-front when we enter into the contracts and therefore run no counterparty risk. That’s important.

我们继续持有的这些金融衍生品均由我本人负责，它们主要包括两种类型。这两种都属于和保险相似的投资活动，即我们承担他人极力避免的风险而收取保费。实际上，在这些衍生品交易中我们采用的决策机制也与保险业务相似。此外，我们在缔结这些合同时预先收费，因此不会面临交易对手风险。这点相当重要。

Our first category of derivatives consists of a number of contracts, written in 2004-2008, that required payments by us if there were bond defaults by companies included in certain high-yield indices. With minor exceptions, we were exposed to these risks for five years, with each contract covering 100 companies.

第一类衍生品主要是在 2004-2008 年间签订的合约，它们要求：如果某些高收益率指数的成份股企业发生了债券违约，伯克希尔将给予赔付。在极少例外的情况下，我们所面临的风险期为 5 年，每份合约涵盖 100 家公司。

In aggregate, we received premiums of $3.4 billion for these contracts. When I originally told you in our 2007 Annual Report about them, I said that I expected the contracts would deliver us an “underwriting profit,” meaning that our losses would be less than the premiums we received. In addition, I said we would benefit from the use of float.

总的来说，我们从这些合约中收取了 34 亿美元保费。在 2007 年的年报中，我说预计这些合约将带来"承保利润"，这意味着我们的赔付将低于收取的保费。另外，我说，我们将从"浮存金"的使用中获利。

Subsequently, as you know too well, we encountered both a financial panic and a severe recession. A number of the companies in the high-yield indices failed, which required us to pay losses of $2.5 billion. Today, however, our exposure is largely behind us because most of our higher-risk contracts have expired. Consequently, it appears almost certain that we will earn an underwriting profit as we originally anticipated. In addition, we have had the use of interest-free float that averaged about $2 billion over the life of the contracts. In short, we charged the right premium, and that protected us when business conditions turned terrible three years ago.

后来如你所知，我们遭遇了金融恐慌和严重的经济衰退。许多高收益率指数的成份股企业破产了，我们为此赔付了 25 亿美元。尽管如此，现在风险较高的合约基本已经到期，我们面临的风险敞口已经大大减少。因此，我们几乎肯定会获得当初预期的承保利润。此外，在这些合约有效期内，我们还使用了平均高达 20 亿美元的无息"浮存金"。简而言之，我们收取的保费金额适当，这在三年前经济环境恶化时保护了我们。

Our other large derivatives position – whose contracts go by the name of “equity puts” – involves insurance we wrote for parties wishing to protect themselves against a possible decline in equity prices in the U.S., U.K., Europe and Japan. These contracts are tied to various equity indices, such as the S&P 500 in the U.S. and the FTSE 100 in the U.K. In the 2004-2008 period, we received $4.8 billion of premiums for 47 of these contracts, most of which ran for 15 years. On these contracts, only the price of the indices on the termination date counts: No payments can be required before then.

其它的大型衍生品则是"股票看跌期权"，我们为美国、英国、欧洲和日本的希望避免股价暴跌风险的投资者提供保险。这些合约与各种股票指数挂钩，比如美国的标普 500 指数、英国的富时 100 指数等。2004-2008 年间，我们签订了 47 个此类合约，收取了 48 亿美元保费，大多数合约有效期是 15 年。在这些合约中，只有到期日的指数价格才重要，此前的任何价格都不需要赔付。

As a first step in updating you about these contracts, I can report that late in 2010, at the instigation of our counterparty, we unwound eight contracts, all of them due between 2021 and 2028. We had originally received $647 million in premiums for these contracts, and the unwinding required us to pay $425 million. Consequently, we realized a gain of $222 million and also had the interest-free and unrestricted use of that $647 million for about three years.

关于这些合约的情况，我向大家披露如下：在交易对手的要求下，我们在 2010 年下半年解除了 8 份原定于2021-2028 年到期的合约，这些合约我们最初收到 6.47 亿美元保费，因解约我们需退回 4.25 亿美元，因此我们实现了 2.22 亿美元的收益，并在在三年内无息、无限制的使用了 6.47 亿美元资金。

Those 2010 transactions left us with 39 equity put contracts remaining on our books at yearend. On these, at their initiation, we received premiums of $4.2 billion.

截至 2010 年底，我们还剩下 39 份股票看跌期权，这些合约成立之初我们总共收到 42 亿美元保费。

The future of these contracts is, of course, uncertain. But here is one perspective on them. If the prices of the relevant indices are the same at the contract expiration dates as these prices were on December 31, 2010 – and foreign exchange rates are unchanged – we would owe $3.8 billion on expirations occurring from 2018 to 2026. You can call this amount “settlement value.”

当然，这些合约的未来收益是不确定的，但我可以从下列角度说明：如果相关合约指数在上述合约到期时的价格，与 2010 年 12 月 31 日相同，而外汇汇率保持不变的话，那么在 2018-2026 年到期时，我们将赔付 38 亿美元，你们可以视其为"结算价值"。

On our yearend balance sheet, however, we carry the liability for those remaining equity puts at $6.7 billion. In other words, if the prices of the relevant indices remain unchanged from that date, we will record a $2.9 billion gain in the years to come, that being the difference between the liability figure of $6.7 billion and the settlement value of $3.8 billion. I believe that equity prices will very likely increase and that our liability will fall significantly between now and settlement date. If so, our gain from this point will be even greater. But that, of course, is far from a sure thing.

然而在我们的资产负债表上，我们将这些剩余看跌期权的负债记为 67 亿美元。换言之，如果相关指数的价格自该日起保持不变，我们将在未来这些合约到期的年份录得 29 亿美元收益，也就是 67 亿美元负债与 38 亿美元结算价值之间的差额。我相信，从现在到结算日，股票价格很可能会上涨，我们的负债将会大幅下降。如果这一预言成真，我们获得的收益将更大，当然这并非确定的事情。

What is sure is that we will have the use of our remaining “float” of $4.2 billion for an average of about 10 more years. (Neither this float nor that arising from the high-yield contracts is included in the insurance float figure of $66 billion.) Since money is fungible, think of a portion of these funds as contributing to the purchase of BNSF.

可以确定的是，在未来十年间我们可以无息使用平均 42 亿美元浮存金。我们保险业务 660 亿美元的浮存金中不包含该部分，也不包括前一类高收益合约产生的浮存金。由于资金是可替代的，想象一下这些资金被部分用于收购 BNSF 铁路。

As I have told you before, almost all of our derivatives contracts are free of any obligation to post collateral – a fact that cut the premiums we could otherwise have charged. But that fact also left us feeling comfortable during the financial crisis, allowing us in those days to commit to some advantageous purchases. Foregoing some additional derivatives premiums proved to be well worth it.

正如我们之前告诉你们的那样，我们几乎所有的衍生品合约都没提供担保品的义务，这种情况降低了我们可以收取的保费。但是在金融危机期间，也让我们倍感舒适，使得我们能够在那些日子进行一些有利的收购。事实证明，放弃一些额外的衍生品保费被证明是非常值得的。

On Reporting and Misreporting: The Numbers That Count and Those That Don’t Earlier in this letter, I pointed out some numbers that Charlie and I find useful in valuing Berkshire and measuring its progress.

报告与误报：财报中重要的数字和不重要的数字在这封信的前面部分我列示了一些数字，查理和我认为这些数字有助于评估伯克希尔的价值并衡量其进展。

Let’s focus here on a number we omitted, but which many in the media feature above all others: net income. Important though that number may be at most companies, it is almost always meaningless at Berkshire. Regardless of how our businesses might be doing, Charlie and I could – quite legally – cause net income in any given period to be almost any number we would like.

下面我们重点谈谈一个被忽略的数字：净利润。这个数字在媒体中是非常重要的。尽管这个数字对大多数公司来说很重要，但对伯克希尔来说几乎毫无意义。不管业务如何运营，查理和我可以合法的在任何特定时期内创造任何我们想要的净利润数字。

We have that flexibility because realized gains or losses on investments go into the net income figure, whereas unrealized gains (and, in most cases, losses) are excluded. For example, imagine that Berkshire had a $10 billion increase in unrealized gains in a given year and concurrently had $1 billion of realized losses. Our net income – which would count only the loss – would be reported as less than our operating income. If we had meanwhile realized gains in the previous year, headlines might proclaim that our earnings were down X% when in reality our business might be much improved.

我们具有这种灵活性是因为，已实现的投资损益被纳入净利润中，而未实现的损益(大部分情况下为亏损)则被排除在外。例如，如果伯克希尔某年未实现的投资收益为 100 亿美元，同时实现了投资损失为 10 亿美元，那么我们报告的仅计入亏损的净利润，将会低于经营收益。同时，如果我们上一年有已实现收益，新闻头条中就可能会宣称我们的收益下降了 X%，而实际上我们的业务可能已大大改善。

If we really thought net income important, we could regularly feed realized gains into it simply because we have a huge amount of unrealized gains upon which to draw. Rest assured, though, that Charlie and I have never sold a security because of the effect a sale would have on the net income we were soon to report. We both have a deep disgust for “game playing” with numbers, a practice that was rampant throughout corporate America in the 1990s and still persists, though it occurs less frequently and less blatantly than it used to.

由于我们有大量的未实现收益可以利用，因此，如果我们真的认为净利润数字很重要，我们可以定期将已实现的收益注入其中。不过，请放心，查理和我绝不会抛售，因为抛售会影响我们即将报告的净利润数字，而且我们都对"玩数字游戏"深恶痛绝。

Operating earnings, despite having some shortcomings, are in general a reasonable guide as to how our businesses are doing. Ignore our net income figure, however. Regulations require that we report it to you. But if you find reporters focusing on it, that will speak more to their performance than ours.

尽管存在某些缺点，但经营收益总体上是我们企业经营状况的一个合理的指标。我们忽略的净利润数字，然而法规要求我们向你们报告。但是，如果你发现报告方注意力在此，这将比我们所能告诉你的更多。

Both realized and unrealized gains and losses are fully reflected in the calculation of our book value. Pay attention to the changes in that metric and to the course of our operating earnings, and you will be on the right track.

我们的帐面价值的计算已经全面反映了已实现和未实现的损益。关注账面价值以及经营收益的变化过程，你将步入正轨。

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As a p.s., I can’t resist pointing out just how capricious reported net income can be. Had our equity puts had a termination date of June 30, 2010, we would have been required to pay $6.4 billion to our counterparties at that date. Security prices then generally rose in the next quarter, a move that brought the corresponding figure down to $5.8 billion on September 30th. Yet the Black-Scholes formula that we use in valuing these contracts required us to increase our balance-sheet liability during this period from $8.9 billion to $9.6 billion, a change that, after the effect of tax accruals, reduced our net income for the quarter by $455 million.

顺便说一句，我忍不住要指出，报告的净利润多么变幻莫测。假如我们看跌期权到期日定在 2010 年 6 月 30日，我们必须向交易对手支付 64 亿美元。证券价格在接下来的一个季度普遍上涨，使得相应数字在 9 月 30 日下降至 58 亿美元。然而，我们用于评估这些合约的 Black-Scholes 期权定价模型要求我们，在此期间将资产负债表上的负债从 89 亿美元增加到 96 亿美元，这一更改在应计税的影响下，我们本季度净利润降低了 4.55 亿美元。

Both Charlie and I believe that Black-Scholes produces wildly inappropriate values when applied to long-dated options. We set out one absurd example in these pages two years ago. More tangibly, we put our money where our mouth was by entering into our equity put contracts. By doing so, we implicitly asserted that the Black-Scholes calculations used by our counterparties or their customers were faulty.

查理和我都认为，在评估长期期权时，Black-Scholes 期权定价模型产生了非常不准确的数值。两年前，我们在这部分列举了一个荒唐的例子。更具体的说，我们通过卖出股票看跌期权含蓄的表示，我们的交易对手或其客户采用的 Black-Scholes 期权定价模型的运算是错误的。

We continue, nevertheless, to use that formula in presenting our financial statements. Black-Scholes is the accepted standard for option valuation – almost all leading business schools teach it – and we would be accused of shoddy accounting if we deviated from it. Moreover, we would present our auditors with an insurmountable problem were we to do that: They have clients who are our counterparties and who use Black-Scholes values for the same contracts we hold. It would be impossible for our auditors to attest to the accuracy of both their values and ours were the two far apart.

但是，我们继续采用这个公式编制财务报表，因为 Black-Scholes 是公认的期权估价标准，几乎所有顶级商学院都开设这个课程。我们不得不按它计算，就会被指责会计造假。此外，还会给审计师带来难以解决的问题，因为他们的客户是我们的交易对手，他们在相同的合同中也采用此公式，如果双方的评估方法相差太大，审计就无法证明他们与我们评估的精确度。

Part of the appeal of Black-Scholes to auditors and regulators is that it produces a precise number. Charlie and I can’t supply one of those. We believe the true liability of our contracts to be far lower than that calculated by Black-Scholes, but we can’t come up with an exact figure – anymore than we can come up with a precise value for GEICO, BNSF, or for Berkshire Hathaway itself. Our inability to pinpoint a number doesn’t bother us: We would rather be approximately right than precisely wrong.

Black-Scholes 对于审计和监管者的部分吸引力在于，它能提供精确的数字，而查理和我不能提供这些。我们认为，我们合同的真实负债远低于按该公式计算出的数值，但是我们无法拿出准确的数字，也无法提供 GEICO 保险、BNSF 铁路或伯克希尔准确的价值。对此我们并不困扰，因为模糊的正确远好过精确的错误。

John Kenneth Galbraith once slyly observed that economists were most economical with ideas: They made the ones learned in graduate school last a lifetime. University finance departments often behave similarly. Witness the tenacity with which almost all clung to the theory of efficient markets throughout the 1970s and 1980s, dismissively calling powerful facts that refuted it “anomalies.” (I always love explanations of that kind: The Flat Earth Society probably views a ship’s circling of the globe as an annoying, but inconsequential, anomaly.)

John Kenneth Galbraith 曾经俏皮地评论，经济学家在思想最节省：他们让在研究生院学到的东西可以用一辈子。大学金融院系的行为往往类似。上世纪七、八十年代，几乎所有人都固执地坚持有效市场理论，轻蔑地将驳倒这一理论的有力事实称之为"异常现象"。(我一直很喜欢这种解释："地平说学会"可能认为轮船环游地球令人讨厌、不合逻辑且不正常。)

Academics’ current practice of teaching Black-Scholes as revealed truth needs re-examination. For that matter, so does the academic’s inclination to dwell on the valuation of options. You can be highly successful as an investor without having the slightest ability to value an option. What students should be learning is how to value a business. That’s what investing is all about.

学术界目前教授 Black-Scholes 模型作为揭示真理的做法需要重新审视，就此而言，学术界对期权估值的过度重视也是如此。即使你没有丝毫评估期权的能力，你一样可以成为非常成功的投资者。学生们应该学习的是如何评估企业的价值，那才是投资的意义所在。