| 作者 |
 [原问] sapientaf 大侠请进 -- 有几个问题请不吝赐教 |
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| 所跟贴 |
听说LTCM的老板JM把瑞银亏惨了，是不是真的？还听说，是个小概率问题？ -- 正月鼠 - (19 Byte) 2006-12-23 周六, 17:03 (461 reads) |
sapientaf
头衔: 海归上校
声望: 学员
性别: 
加入时间: 2006/08/20
文章: 821
来自: 弯曲，上海，班格罗尔，北京，新加坡
海归分: 83000
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作者：sapientaf 在 海归商务 发贴, 来自【海归网】 http://www.haiguinet.com
BOB, SAY IT AIN'T SO!
“The other author of the Black-Scholes model was Fischer Black, who worked with me at Goldman. I was always told how our model showed that one of our positions would be going up while another was going down. But when trouble came, all those positions went in one direction, which was down.”
Treasury Secretary Robert Rubin
New York Post, October 4, 1998
How UBS Lost $680 Million (from DerivativeStrategy magazine).
In the fall of 1997, Union Bank of Switzerland entered into a two-part structured transaction with the principals at Long-Term Capital Management that ultimately led to losses of at least 950 million Swiss francs.
The two parties had complementary goals: UBS wanted to buy a significant stake in the fund, and LTCM partners wanted to convert foreign interest income from their off-shore hedge fund into capital gains and defer it for seven years.
In the first part of the transaction, LTCM partners bought a seven-year call option, or warrant, on their own company from UBS. In the second part of the transaction, UBS purchased about $800 million worth of shares in the company to hedge the call option it sold.
The trade was approved at the highest level of management within UBS—the CEO, the head of credit and the head of the derivatives group. The trade also received board approval.
The deal solved a tax problem faced by partners at LTCM and other hedge funds: Because most funds are set up as partnerships or limited liability corporations, income from the fund flows directly to the partners in the form of short-term profits or interest and dividends, which are taxed at 39.6 percent. Long-term capital gains, by contrast, are taxed at 20 percent.
According to sources, the strike price of the option was set at 80 percent of the forward value of LTCM at the time the transaction was struck. “You look at the current net asset value of the partnership, you then forecast what the forward value of that would be, and you compound it at Libor plus a margin of 75 basis points to get the future value for the end of year seven. You then take 80 percent of that number, and that's what the strike price of the option was,” explains one source. That strike price was $575 million, and LTCM partners paid UBS between $175 million and $250 million for the trade. UBS reportedly booked an estimated $30 million to $50 million on the trade up front.
According to one source, UBS needed to purchase $525 million in shares to cover its trade. The bank purchased an additional $275 million in LTCM shares, however. According to this source, the hedge fund shares were booked into UBS's Treasury account. Treasury groups are usually responsible for funding and managing a bank's liquidity, and sources noted that it is extremely unusual for a Swiss bank to hold such a large and relatively illiquid hedge fund investment in its Treasury account.
“Meriwether would not have sold UBS shares in his company,” says one source, “if UBS did not accommodate the partners on a tax trade.” There is some disagreement as to why UBS was so eager to buy so many shares. According to some, UBS intended to repackage its position in the hedge fund to other investors. But during the merger last November, these plans were postponed.
Others, however, doubt that UBS ever intended to repackage the transaction. They argue that UBS had the perfect vehicle to sell the shares but declined to take advantage of it. Last year, the bank was offering a product that sold investors options on hedge funds, which were dubbed STAR notes. But sources say senior management believed so strongly in the fund that they insisted their investment be used in the bank's Treasury instead.
According to sources, the trade was proposed by Ron Tanenbaum, who worked in a UBS unit that specialized in fixed-income structured transactions. Tanenbaum had previously worked with a number of LTCM partners at Salomon Brothers.
作者：sapientaf 在 海归商务 发贴, 来自【海归网】 http://www.haiguinet.com
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