I.H.RB.03.Derivatives,Options
金融衍生品（Derivatives）通常有事实作为基础，但又被设计成独立的产品，很容易脱离事实、越走越远，巴菲特说衍生品是金融大规模杀伤性武器（financial weapons of mass destruction）是非常有道理的。
WARREN BUFFETT: — five million shares, as I remember, of Coke sometime in the early fall or thereby — I don’t remember exactly — last year. And the puts, I think the premium was around 7 1/2 million dollars, and they were priced around 35. We have not done that very often, and we’re unlikely to do very much of it. For one thing, there are position limits on puts, which don’t apply to us, but they apply to the brokers for which we do them. And those position limits were not clear before that. But we could probably write puts on that same amount by doing it through a bunch of different brokers. It’s not something we’re really very likely to do. I was happy to do it, and in that particular case, we made 7 1/2 million dollars. But we’re better off, probably — if we like something well enough to write a put on it, we’re probably better off buying the security itself, and particularly since we can’t do it in the kind of quantities that really would make it meaningful to Berkshire.
WARREN BUFFETT：——如果我记得没错，去年初秋前后我们对大约 500 万股 Coke 卖出了看跌期权。我不记得确切时间了。那批期权的权利金大约是 750 万美元，执行价在 35 左右。我们并不常做这种事，未来也不太可能多做。其一是看跌期权有“持仓限额”，虽然不适用于我们，但适用于为我们执行的券商；在那之前这些限额还不甚明晰。理论上我们可以通过多个券商来分散写出相同规模的期权，但这并非我们会常用的做法。那一单我很满意，确实赚了 750 万美元；但如果我们对某标的喜欢到愿意卖出看跌期权的程度，或许直接买入标的本身更好——尤其是考虑到我们无法用“对 Berkshire 真正有意义”的规模来做这类期权。
There are securities I would not mind writing puts for 10 million shares or something, but I — that probably — it’s probably allowable for us to do it. It’s not allowed — we’d probably have to do it through multiple brokers to get the job done. And on balance, I don’t think it’s as useful a way to spend my time as just looking for securities to buy outright. Charlie, you have anything?
有些证券我并不介意对 1,000 万股规模卖出看跌期权，但——那大概对我们是允许的；却并不被券商的限额“允许”，我们可能不得不通过多家券商分拆完成。总体上，我觉得这不如直接找标的买入更值得我花时间。Charlie，你补充吗？
2、《2002-05-04 Berkshire Hathaway Annual Meeting》
56. The problem with how Black-Scholes values options
Black-Scholes估值模型的弊端
WARREN BUFFETT: Number 3?
WARREN BUFFETT：3 号麦克风？
AUDIENCE MEMBER: Hello, my name is Joseph Lepre (PH). I’m a shareholder from Minneapolis, Minnesota, and I’d like to thank you for this opportunity to ask a question. Mr. Buffett, you mentioned earlier today that you’d be willing to sell insurance in exchange for stock options. If possible, could you please describe a methodology for the valuation of stock options, particularly in cases where there is no market pricing data available for the option being valued?
AUDIENCE MEMBER：你好，我叫 Joseph Lepre（音），来自明尼苏达州 Minneapolis，是一名股东。感谢你给我这个提问的机会。Buffett 先生，你今天早些时候提到：你愿意用“收取股票期权”来替代现金，从而出售保险产品。如果可以的话，你能否描述一下：你会用什么方法去给股票期权估值？尤其是在——你要估值的那份期权根本没有市场报价数据可参考——这种情况下，你会怎么做？
WARREN BUFFETT: Yeah, I would — I could figure out what I would pay for an option on a private business. I could figure out what I could pay for an option on a public business. It might be a little easier. I could figure out what I’d pay for an option on an apartment house or a farm. I had a friend, I mean, when I was 20 years old, we developed a big plan and we were going to go out and option out — option farms, you know, outside of what were then the city limits of Omaha. And we figured that if we offered a farmer a modest amount, which would be annual income to him, to option his farm at double the price it was bringing then, that it would, you know, he would be happy to sell for double the price that year, and maybe we could do something. And it might have worked out OK. Every option has value. You know, I’ve got a house worth X. If you offer me a few dollars to give you an option at 2X for 10 years, I’m not going to take it, because there are all kinds of possibilities in terms of inflation. All options have value.
WARREN BUFFETT：是的，我会——我能算出来：对一家 private business（非上市私企）的期权，我愿意付多少钱；对一家 public business（上市公司）的期权，我也能算出来——可能会更容易一点；甚至对一栋公寓楼或者一块农场的期权，我也能算出我愿意付多少钱。我 20 岁的时候有个朋友，我们还认真制定过一个“大计划”：我们打算去把当时 Omaha 城市边界以外的那些农场都“option”下来——也就是签期权协议。我们当时的想法是：如果我们给农场主一笔不算大的钱——对他来说就是每年的额外收入——换取一个权利：以当时农场成交价的两倍，在未来某个时间买下他的农场，那么你知道，他当年就能按两倍价格卖掉，农场主应该会很乐意，而我们或许也能做点事情。这个计划也许还真能行得通。因为每一份期权都是有价值的。比如我有一套价值 X 的房子，如果你只给我几块钱，就想让我给你一个“10 年内以 2X 价格买我房子”的期权，我肯定不会答应，因为未来存在各种通胀等可能性。所有期权都有价值。
And people that get options usually understand that better than people that give options. I’m not talking about stock options now, but in other arenas. So we would be happy, you know. I mean, what I could get — let’s say — we’ll just pull one out of the air. Let’s take an untraded company like Mars, Inc. Would I be happy to have an option, a 10-year option on a piece of Mars, Inc. at some given price? Sure, I would. And there’s an amount I would take for that — I would take in lieu of getting cash if I was writing a big insurance policy with Mars, Inc. They’re not going to do this with me, but that — And I would be happy, you know, instead of if you buy homeowner’s insurance from me, if you want to give me an option on your house for 10 years, I’ll take that in lieu of the premium. I’ll make my own calculation as to value.
而且，拿到期权的人通常比“给出期权的人”更懂期权的价值。我现在说的还不一定是 stock options（股票期权），在其他领域也是如此。所以，如果能这样做，我们当然会很乐意。比如说——随便举个例子——拿一家没有公开交易的公司，比如 Mars, Inc.（玛氏）来说：如果有人愿意给我一份对 Mars, Inc. 某一部分权益的 10 年期权，而且行权价是某个给定价格，我会不会很愿意要？当然愿意。对此，我会有一个明确的“我愿意收下多少价值”的判断——如果我是在给 Mars, Inc. 承保一张很大的保险单，我可以用这份期权来替代一部分现金保费（当然他们不会这么跟我做交易，但只是打个比方）。同样，如果你从我这里买房屋保险，你要是愿意给我一份“你房子 10 年期的期权”，我也愿意用它来替代保费。我会自己去计算它的价值。
It won’t be Black-Scholes, although that might be the best arrangement under many circumstances, but I would probably crank into — in my own case. We’ve bought and sold options some. And as a matter of fact, on June 3rd, Berkshire Hathaway will receive $60 million if the S&P 500 closes at 1150-something or below. And two years ago, when the S&P was 14-something, we agreed for — on that June 3rd option, or whatever it was — $400 million nominal value, where, in effect the counter party would get the profit above 2,000 and something, 42 percent up from the current cash price. And we got the profit between 5 and 20 percent on the downside on a put. People who were calculating the values of options at that time, under traditional methods, felt that that was a cashless transaction — that the value of the call that we gave was equal to the value of the put that we received. You know, I decided differently. So, we don’t accept, blindly, option values as determined by the calculations of people who win Nobel Prizes. Instead, you know, we actually put an aspect of judgment into some.
它不会是 Black-Scholes（布莱克-斯科尔斯）那一套——尽管在很多情形下，那可能是最合适的安排——但就我个人而言，我会用自己的方式把一些东西“算进去”。我们确实买卖过一些期权。事实上，就在 6 月 3 日，如果 S&P 500 收盘在 1150 多点或更低，Berkshire Hathaway 就能收到 6,000 万美元。两年前，当 S&P 在 1400 多点时，我们就签了那份 6 月 3 日到期的期权（大概就是那份），名义本金是 4 亿美元：大意是对手方可以拿走指数涨到 2000 多点以上的那部分利润——也就是比当时现货价高出 42% 以上的涨幅；而我们则通过一份 put（看跌期权）拿到“下跌端 5% 到 20% 区间”的收益。当时用传统方法去算期权价值的人认为：这是一笔“零现金交易”（cashless transaction）——因为我们给出去的 call（看涨期权）的价值，等于我们收到的 put 的价值。但你知道，我的判断不一样。所以，我们不会盲目接受那些拿诺奖的人算出来的期权价值；相反，我们会在其中加入一定的“判断因素”。
There would be businesses that would come out with identical Black-Scholes values on options for 10 years, and we would pay a different amount for one than the other, maybe a significantly different amount. But we would pay something for just about any option. And you know, it is the nature of prices in this world to change, and economic conditions to change. And an option is a chance to participate in a change without giving up anything other than that original premium you pay. Many people just don’t seem to grasp that, but believe me, the people who are getting options on stock do grasp that. And the people who are giving them, which are the shareholders, you know, represented by a group like this, who don’t have any real voice in giving it, but they sometimes don’t fully realize what’s being given away. Imagine, you know, going up a few miles away from here and having two farms for sale. And you say to the guy, “How much do you want for them?”
有些企业的 10 年期权，用 Black-Scholes 算出来可能是完全一样的价值，但我们对其中一家愿意付的价格会跟另一家不一样，甚至差很多。但基本上，对几乎任何一份期权，我们都会愿意付点钱。你知道，这个世界的本质就是：价格会变，经济环境也会变。而期权的本质，是让你以“只付出一开始那点权利金（premium）”为代价，就获得参与未来变化的机会。很多人似乎没真正理解这一点，但我可以告诉你，拿到股票期权的人是理解的。而真正“付出期权的人”——也就是股东——你知道，就像在座这一群股东所代表的那样，他们在发放期权这件事上其实没什么真正的话语权，但他们有时也没有完全意识到：自己到底在被“让渡”出去什么价值。想象一下：你从这里往外走几英里，有两块农场要卖。你问卖家：“你要多少钱？”
and they both say a thousand dollars an acre, but the one guy says, “But every year, I want you to option, you know, I want you to give me 2 percent of the place back at a thousand. So, you know, at the end of 10 years, 20 percent of the upside belongs to me, but you’ve got all the downside.” I mean, which farm are you going to buy? The one without the options or the one with the options? It’s not very complicated. And we will — we are dead serious when we say we will take options in lieu of cash. Incidentally, the company that gives us those options in lieu of cash for an insurance premium has to record the expense in terms of the fair value of the option they’ve given us. The only item for which they don’t have to record that as expense is compensation. But if they give it to us for their light bill, or if they give it to us for their insurance premium, or they give it to us for their rent, they have to call it a cost.
两个人都说：每英亩 1,000 美元。但其中一个人补充说：“不过每一年，我都要你给我一个期权——你得把这块地的 2% 按 1,000 美元的价格‘再卖回’给我。也就是说，10 年之后，这块地 20% 的上涨收益归我，但下跌的风险全是你的。”那你说你会买哪块农场？是不带期权条件的那块，还是带这个期权条件的那块？这其实一点都不复杂。我们说“愿意用期权替代现金”是非常认真的。顺便说一句：如果某家公司用期权来替代现金支付保险保费给我们，那么他们必须按他们给我们的期权的公允价值（fair value）把这笔东西记作费用。唯一一个不需要这样计入费用的项目，是“员工薪酬（compensation）”。但如果他们把期权给我们用来支付电费、支付保险费、支付租金，他们都必须把它算作成本。
But only when it comes to the CEO’s compensation, and other people like it, do they not have to record it as a cost, and that’s because they’ve been able to get Congress to bow to their will and to their campaign contributions. Charlie?
但偏偏只有在 CEO 薪酬、以及类似那一类事情上，他们才不必把它记作成本——这之所以会这样，是因为他们能让 Congress（国会）向他们的意志、以及他们的竞选捐款低头。Charlie？
CHARLIE MUNGER: Yeah, the Black-Scholes crowd really did get a Nobel Prize for inventing this formula to value options, not executive stock options, but just options generally. And if you don’t know anything about the company, except the past price history of stock transactions —
CHARLIE MUNGER：是的，Black-Scholes 那帮人确实因为发明了这个给期权估值的公式而拿了诺贝尔奖——注意，不是专门给高管股票期权估值，而是一般意义上的期权。如果你对一家公司一无所知，除了它过去的股价交易历史——
WARREN BUFFETT: And dividends.
WARREN BUFFETT：还有股息。
CHARLIE MUNGER: — and if it’s — and the dividend being paid — and if the option is over a very short term, it’s a very good way of approximating the value of the option. But if it’s a long-term option and you think you know something, it’s an insane way to value the option. And Wall Street is full of people with IQs of 150 that are using Black-Scholes to value options that shouldn’t be tortured into the model. And all of corporate — of America is using Black-Scholes to price stock options in the footnotes of the accounting statements, and they do that because it comes up with the lowest cost number.
CHARLIE MUNGER：——再加上它支付的股息——如果期权期限非常短，用它来近似估值其实是个相当不错的方法。但如果这是一个长期期权，而且你自认为“对这家公司知道点什么”，那用它来给期权估值简直是疯狂。华尔街到处都是 IQ 150 的人，用 Black-Scholes 去给那些根本不该被硬塞进这个模型里的期权估值。美国几乎所有公司都在财报附注里用 Black-Scholes 给股票期权定价，他们这么做的原因很简单：因为它算出来的“成本数字”最低。
WARREN BUFFETT: Well, they not only do that, but they assume the term is less than the actual term of the option. And I mean, they’ll do everything they can, and I’ve been in on these discussions. They’ll do everything they can to make the number look as low as possible. It’s that simple.
WARREN BUFFETT：而且他们不止如此，他们还会假设“期权的期限”比实际期限更短。我是参与过这些讨论的。他们会想尽一切办法，把那个数字做得尽可能低。就是这么简单。
CHARLIE MUNGER: And they’re using a phony process to determine the number in the first place. So, it’s a Mad Hatter’s tea party, and the only thing that’s consisting — consistent — in it is that the whole thing is disgusting. (Laughter and applause)
CHARLIE MUNGER：而且他们一开始用来得出这个数字的过程就是“假的”。所以这整件事就像《爱丽丝梦游仙境》里 Mad Hatter（疯帽子）的茶会一样荒诞，而其中唯一“始终如一”的，就是这整套东西令人作呕。（笑声与掌声）
Derivatives
衍生品
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.
Charlie 和我在对衍生品及其相关交易活动的看法上完全一致：我们认为它们是“定时炸弹”，不仅对参与交易的各方如此，对整个经济体系亦然。
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.
把这个观点先抛出来（我后面会再展开），我先退一步解释一下什么是衍生品。不过解释只能是概念性的，因为“衍生品”这个词覆盖了极其广泛的金融合约。本质上，这类工具约定：在未来某个日期发生现金流交换，而金额由一个或多个参考变量决定，例如利率、股价或汇率。比如，如果你做多或做空一份标普 500 指数期货合约，你就参与了一笔非常简单的衍生品交易——你的盈亏来自指数的波动。衍生品合约期限长短不一（有时可达 20 年甚至更久），其价值往往还会同时绑定多个变量。
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.
除非衍生品合约有抵押品支持或有担保，否则其最终价值还取决于交易对手的信用状况。与此同时，在合约最终结算之前，交易双方就会在当期利润表中确认盈亏——金额往往巨大——而期间甚至一分钱现金都未必真正发生过交换。
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.
衍生品合约的范围，唯一的边界就是人的想象力（有时看起来更像是疯子的想象力）。比如在 Enron，连新闻纸（newsprint）和宽带（broadband）的衍生品合约都被做出来并入账，且要在很多年后才结算。又比如你想写一份合约去赌 2020 年 Nebraska 会出生多少对双胞胎？没问题——只要价格合适，你很容易找到一个愿意对赌的对手方。
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.
我们收购 Gen Re 时，也顺带带来了 General Re Securities——一家做衍生品交易的机构。Charlie 和我都不想要它，因为我们认为这东西很危险。但我们试图出售这项业务没有成功，所以现在我们正在终止它。
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.
然而，关闭一家衍生品业务，说起来容易做起来难。我们要在许多年之后才能彻底退出（虽然我们每天都在降低风险敞口）。事实上，再保险业务与衍生品业务很像：就像地狱一样，两者都很容易进去，却几乎不可能出来。在这两个行业里，一旦你签了合约——而合约可能要求你在几十年后支付一大笔钱——你通常就被套住了。确实，你可以用一些办法把风险转给别人，但大多数这样的策略都会让你仍然留下一些“尾部责任”。
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.
再保险与衍生品还有一个共同点：它们经常制造出“被严重高估”的报告利润。原因在于：今天的盈利在很大程度上建立在各种估计之上，而这些估计到底错得有多离谱，可能很多年后才会暴露出来。
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.
这些错误通常是“诚实的错误”，只是反映了人类对自己承诺倾向于乐观的天性。但在衍生品这里，各方在会计处理上“作假”的激励也极其强烈。做衍生品交易的人往往（全部或部分）按“盈利”拿报酬，而这些“盈利”是按盯市（mark-to-market）口径计算的。但很多时候根本不存在真实市场（想想我们那份双胞胎合约），于是就改用“模型盯市（mark-to-model）”。这种替代会引发大规模的猫腻。一般来说，参考变量越多、结算日期越远的合约，对手方越有机会用各种天马行空的假设来做文章。比如在“双胞胎”那份合约里，两边很可能使用不同模型，从而在很多年里双方都能报出可观利润。极端情况下，mark-to-model 会退化成我称之为 “mark-to-myth（盯神话计价）”。
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，内部审计和外部审计都会复核这些数字，但这绝不是一件轻松的事。举例来说：到年末时（在 General Re Securities 已经“收缩/清盘”了十个月之后），它仍有 14,384 份未到期合约，涉及全球 672 个交易对手。每一份合约都有一个正或负的价值，取决于一个或多个参考变量，其中有些复杂到令人咋舌。给这样一个组合估值，即使是专家审计师，也完全可能在诚实、专业的前提下得出差异极大的判断。
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.”
估值问题远不只是学术讨论：近些年，一些规模巨大的欺诈与“几乎构成欺诈”的事件，都被衍生品交易所助推。比如在能源与电力公用事业行业，一些公司利用衍生品与交易活动报告出惊人的“盈利”——直到它们真的试图把资产负债表上那些与衍生品相关的应收款变成现金时，屋顶才塌下来。到那时，“mark-to-market（盯市）”才暴露出其实是彻头彻尾的 “mark-to-myth（盯神话计价）”。
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.
我可以向你保证：衍生品业务里的计价错误从来不是“对称”的。几乎无一例外，它们都偏向于某一方：要么是盯着几百万美元奖金的交易员，要么是想报出漂亮“盈利”的 CEO（或者两者都得利）。奖金发出去了，CEO 也靠期权赚到了。只是很久以后，股东才发现那些被报告出来的盈利不过是一场骗局。
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.
衍生品的另一个问题是：它们会把公司因为完全无关原因而遭遇的麻烦进一步放大。之所以会出现这种“落井下石效应（pile-on effect）”，是因为很多衍生品合约规定：一旦公司信用评级被下调，就必须立刻向交易对手补充抵押品（collateral）。想象一下：一家公司因为总体逆风而被降级，与此同时它的衍生品条款被瞬间触发，要求公司立即提供大量现金抵押品——这是一笔意外且巨大的现金需求。为了满足这个需求，公司可能被推入流动性危机；而这种危机又可能进一步引发新的降级。于是形成螺旋式恶化，最终可能导致公司崩溃。
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.
衍生品还会制造一种“雏菊链（daisy-chain）”风险，类似于原保险/再保险公司把大量业务分出给他人时所面临的风险。在这两种情况下，来自许多交易对手的巨额应收款会随着时间累积起来。（在 Gen Re Securities，我们仍然有 65 亿美元的应收款，尽管我们几乎一整年都处于清算模式。）参与者可能自认为很谨慎，因为他相信自己的巨大信用敞口足够分散，因此并不危险。但在某些情形下，一个外生事件如果让 A 公司的应收款变坏，也会连带影响 B 到 Z 公司的应收款。历史告诉我们：危机常常会让风险相关性以一种在平静时期根本想象不到的方式突然上升。
独立性不够跟不能独立思考的风险是一样的。
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.
在银行业，对“联动（linkage）”问题的认识，是促成 Federal Reserve System（美联储体系）成立的原因之一。在美联储建立之前，弱银行的倒闭有时会对原本强健的银行施加突然而且出乎意料的流动性需求，导致这些强银行也相继倒下。如今，美联储把强者与弱者的麻烦隔离开来。但在保险或衍生品领域，并不存在一个“中央银行”来负责阻止多米诺骨牌连锁倒下。在这些行业里，一些基本面扎实的公司，可能仅仅因为链条更下游其他公司的困境就被拖入麻烦之中。当一个行业内部存在“链式反应”的威胁时，最明智的做法就是尽量减少各种形式的“链接”。我们在再保险业务上就是这么做的，这也是我们退出衍生品的原因之一。
保险业和银行的重要区别。
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.
很多人认为衍生品可以降低系统性问题，因为那些无法承受某些风险的参与者，可以把风险转移给更强的承担者。他们相信衍生品能稳定经济、促进贸易，并为个体参与者“削平波动”。从微观层面看，这种说法往往确实成立。事实上，在 Berkshire，我有时也会进行大规模衍生品交易，以便推动某些投资策略的实施。
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.
但 Charlie 和我认为，宏观图景是危险的，而且正在变得更危险。大量风险——尤其是信用风险——已经集中在少数衍生品交易商（dealers）的手里，而这些交易商彼此之间还进行着大量交易。一家出问题，麻烦很快就可能传染给其他家。除此之外，这些交易商还被非交易商对手方欠着巨额款项。而这些对手方中，有些如我所说，彼此间存在某种“链接”，使得它们可能因为单一事件而同时陷入困境（例如电信行业的崩塌，或商用电力项目价值的急剧下跌）。联动一旦突然浮现，就可能触发严重的系统性问题。
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，某一家对冲基金——Long-Term Capital Management（LTCM）——高杠杆且重度依赖衍生品的活动，就让美联储焦虑到不得不仓促协调一次救援行动。后来在国会作证时，美联储官员承认：如果他们没有干预，LTCM 那些尚未平仓的交易——这是一家公众几乎没听过、员工只有几百人的机构——很可能会对美国市场的稳定构成严重威胁。换句话说，美联储之所以出手，是因为其领导层担心：如果 LTCM 这张多米诺骨牌倒下，其他金融机构会发生什么。而这场事件尽管让固定收益市场的许多部分瘫痪了数周，却仍远称不上最坏情形。
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.
LTCM 使用过的一种衍生品工具是“总回报互换（total-return swaps）”。这类合约可以在多种市场实现 100% 杠杆，包括股票市场。举例来说：合约的一方 A（通常是银行）出资买入股票；而另一方 B 不需要投入任何资本，却同意在未来某个日期接收银行实现的所有收益，或支付银行发生的所有亏损。
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.
这种总回报互换把保证金（margin）要求变成了笑话。更进一步，其他类型的衍生品还会严重削弱监管者遏制杠杆的能力，使其更难整体掌握银行、保险公司以及其他金融机构的风险轮廓。同样地，即便是经验丰富的投资者和分析师，在分析那些大量参与衍生品合约的公司财务状况时，也会遇到巨大困难。Charlie 和我读完主要银行披露衍生品活动的长篇脚注后，唯一能确定的是：我们并不理解这家机构到底在承担多大的风险。
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.
衍生品这只“妖怪”如今已经完全从瓶子里跑出来了；几乎可以肯定，这类工具会在种类与数量上不断繁殖，直到某个事件让它们的毒性彻底暴露。关于它们有多危险的认识，已经在电力与天然气行业广泛传播——该行业曾爆发重大危机，导致衍生品使用量大幅减少。但在其他领域，衍生品业务仍在不受约束地扩张。到目前为止，各国央行和政府都没有找到有效方法去控制——甚至只是监测——这些合约带来的风险。
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.
Charlie 和我相信 Berkshire 应当成为一座“财务实力的堡垒（fortress of financial strength）”——为了我们的股东、债权人、保单持有人和员工。我们努力对任何形式的“超级巨灾”风险保持警觉，而这种姿态可能会让我们对不断膨胀的长期衍生品合约数量，以及随之增长的大量无抵押应收款，显得过度担忧。但在我们看来，衍生品就是“金融大规模杀伤性武器（financial weapons of mass destruction）”：它们的危险眼下还潜伏着，却具有潜在致命性。
4、《2003-05-03 Berkshire Hathaway Annual Meeting》
16. Black-Scholes option pricing model is “insane”
Black-Scholes期权定价模型是“疯狂的”
WARREN BUFFETT: Let’s go to number 3.
WARREN BUFFETT：我们来看第 3 个问题。
AUDIENCE MEMBER: Good morning, gentleman. My name is Hugh Stephenson (PH). I’m a shareholder from Atlanta. You had indicated in the past that you did not think that the volatility base to Black-Scholes models for options pricing was correct. Would you share with us how you would evaluate those options as you use them in the business or see them in the marketplace? And also if you would update us on your thoughts on the asbestos tort situation, given the recent development of national settlement trusts, et cetera?
AUDIENCE MEMBER：早上好，先生们。我叫 Hugh Stephenson（音）。我是一位来自亚特兰大的股东。你们过去曾表示，你们认为 Black-Scholes 期权定价模型里“基于波动率”的核心假设并不正确。能否和我们分享一下：当你们在实际业务中使用期权，或者在市场上看到期权时，你们会如何评估这些期权？另外，考虑到最近出现了全国性的和解信托等新进展，你们能否更新一下对石棉侵权诉讼局势的看法？
WARREN BUFFETT: Yeah, we — Charlie and I have thought about options all our life. I mean, my guess is Charlie was thinking about that in grade school. And — (laughter) — you know, and I — you have to understand— you don’t have to understand Black-Scholes at all — but you have to understand the utility and, in a general sense, the value of options. And you have to understand the cost of issuing options, which is very unpopular subject in certain quarters. Any option has value. I mean, I bought a house in 1958 for $31,500. And let’s assume the seller of that house had said to me, “I’d like an option on it, good in perpetuity, at $200,000.” Well, that wouldn’t have seemed like it’d cost me much if I’d give it to him, but an option has value. Any option has value, and that’s why some people who are, you know, kind of slick in business matters sometimes get options for very little or for nothing. I’m not talking about stock options.
WARREN BUFFETT：是的，我们——Charlie 和我一辈子都在思考期权。我猜 Charlie 在小学的时候可能就在想这些了。（笑声）你得明白——你完全不需要懂 Black-Scholes——但你必须理解期权的用途，以及从一般意义上讲，期权的价值。你还必须理解发行期权的成本，而这在某些圈子里是个非常不受欢迎的话题。任何期权都是有价值的。比如，我在 1958 年用 31,500 美元买了一套房子。假设那位卖房的人对我说：“我想要一个对这套房子的期权，永久有效，行权价 200,000 美元。”如果我把这个期权给他，当时我可能觉得这对我没什么成本，但期权是有价值的。任何期权都有价值，这也解释了为什么有些在商业上很“精明”的人，有时候能用很低的代价甚至不付代价就拿到期权。这里我说的不是股票期权。
I’m just talking about an option to purchase anything. They get options for far less than, really, a market value would be. Black-Scholes is an attempt to measure the market value of options, and it cranks in certain variables. But the most important variable it cranks in that might be subject — well, might be a case where if you had differing views you could make some money — but it’s based upon the past volatility of the asset involved. And past volatilities are not the best judge of value. I mean, if you had looked at a five-year option at — on Berkshire stock — at various times Berkshire stock’s had a fairly low beta, as they call it. Beta is a measure that — people in academia always like to give Greek names to things that are fairly simple, and so that they have sort of a priesthood. (Laughter) You know, it’s — so it’s like priests talking in Latin or something. I mean, it kind of cows the laity. But they — beta is a measure of past volatility.
我只是说，对任何东西的“购买权”都是期权。他们拿到的期权价格往往远低于其真正的市场价值。Black-Scholes 是一种试图衡量期权市场价值的方法，它会把一些变量代入公式去计算。但它代入的最关键变量——也许正是那种“如果你和别人看法不同，就可能从中赚钱”的变量——是：相关资产的历史波动率。可历史波动率并不是判断价值的最好依据。比如，如果你在不同时间去看 Berkshire 股票的五年期权，你会发现 Berkshire 的股票在很多时期所谓的 beta（贝塔）都比较低。所谓 beta，是一种——学术界的人总喜欢给一些很简单的概念取希腊名字，这样他们就像形成了一个“教士阶层”。（笑声）你知道，那感觉就像教士用拉丁文讲话一样，多少能唬住外行人。但 beta 其实就是用来衡量过去波动性的一个指标。
期权交易有一些套利的机会。
Berkshire’s had a low volatility, but that didn’t mean that the option value of it, to anybody that really understood the business, was lower than a stock with a higher beta. And I think Charlie — what Charlie said is that — last year, is that for over — that for longerterm options in particular, Black-Scholes can give some silly results. I mean, it misprices things, but it’s a mechanical system. And any mechanical system in securities markets is going to misprice things from time to time, and that’s — We made one — as I mentioned last year — we made one large commitment that basically was — had somebody on the other side of it using Black-Scholes and using market prices — took the other side of it and we made $120 million last year. And we love the idea of other people using mechanistic formulas to price things, because they may be right 99 times out of 100 but we don’t have to play those 99 times. We just play the one time when we have a differing view. Charlie, do you want to comment on —?
Berkshire 的波动率很低，但这并不意味着：对任何真正理解这门生意的人来说，它的期权价值就会比那些 beta 更高的股票更低。我想 Charlie——Charlie 去年说过的是——尤其是对长期期权来说，Black-Scholes 有时会给出一些很荒唐的结果。它会把东西定错价，但它毕竟是个机械系统。而证券市场里的任何机械系统，都会在某些时候把东西定错价。我们曾做过一笔——就像我去年提到的——一笔很大的交易承诺，交易对手基本上是用 Black-Scholes 和市场价格来做定价、站在我们对面，结果我们去年赚了 1.2 亿美元。
我们很喜欢别人用这种机械公式来给东西定价，因为他们也许 100 次里有 99 次是对的，但我们不需要参与那 99 次。我们只参与那 1 次——在那一次里，我们的看法和他们不同。Charlie，你要不要补充一下——？
大部分只会填表格的人生走向。
CHARLIE MUNGER: Yeah, Black-Scholes is a — what I would call a know-nothing value system. If you don’t know anything at all about value compared with price — in other words, if price is teaching you all that can be known — then Black-Scholes, on a very short-term basis, is a pretty good guess, you know, for what a 90-day option may be worth in some stock or another. The minute you get into longer-term options, or you don’t have the know-nothing factor so extreme, it’s crazy to use Black-Scholes. People use it just because they want some kind of a mechanical system. But at Costco, for instance, within a fairly short period, we issued stock options at 30, and we also issued stock options at 60. And Black-Scholes valued the options we issued at 60 as the strike price way higher than the options we issued at 30. Well, this is insane.
CHARLIE MUNGER：对，Black-Scholes 是一种——我称之为“什么都不懂（know-nothing）”的估值系统。如果你对“价值相对于价格”完全一无所知——换句话说，你认为价格已经把所有能知道的东西都教给你了——那么在非常短的期限里，Black-Scholes 对“某只股票的 90 天期权值多少钱”可能是个相当不错的猜测。但你一旦进入长期期权，或者你不再处在那种“无知程度极端”的状态，用 Black-Scholes 就是疯了。人们之所以用它，只是因为他们想要某种机械化的系统。比如在 Costco，我们在相对很短的时间里，既以 30 的行权价发行了股票期权，也以 60 的行权价发行了股票期权。Black-Scholes 给出的结果是：我们以 60 行权价发行的期权，被它估得比我们以 30 行权价发行的期权要“贵”得多。嗯，这简直荒唐。
WARREN BUFFETT: But we like a certain amount of insanity. (Laughter)
WARREN BUFFETT：不过，我们倒是喜欢这种“适度的疯狂”。（笑声）
CHARLIE MUNGER: Yeah, well, it’s good for Warren who picked up this extra $120 million. But —
CHARLIE MUNGER：是啊，这对 Warren 很好——他额外捡到了 1.2 亿美元。不过——
WARREN BUFFETT: I mean —
WARREN BUFFETT：我的意思是——
CHARLIE MUNGER: — so he’s fonder of this kind of insanity than I am. (Laughter)
CHARLIE MUNGER：——所以他比我更喜欢这种“疯狂”。（笑声）
WARREN BUFFETT: No, we will pay you real money if you will deliver to our offices at Kiewit Plaza somebody who wants to use the Black-Scholes model and is willing to price 100 options for three years, willing to — using the Black-Scholes model — and letting us pick and choose among those. Because, as Charlie says, it’s a know-nothing affair. And we are know-nothing guys, in respect to an awful lot of things, but every now and then we find something where we think we know something, and anybody that’s using a mechanistic formula is going to get in trouble in that situation. But options have value. I mean, we issued options, in a sense, last year when we when we sold those — the 400 million of bonds. And we know what we’re giving up when we sell those bonds. I mean, we may have gotten, what — a negative coupon of sorts, but that’s because we gave up option value. And it, you know, it wasn’t — it isn’t truly a negative cost instrument at all, because options have value.
WARREN BUFFETT：不，我们愿意付你真金白银——只要你能把一个人送到我们在 Kiewit Plaza 的办公室：这个人想用 Black-Scholes 模型，并且愿意用它来给 100 个期权连续定价三年——也就是愿意用 Black-Scholes 给它们报价——然后让我们从中随便挑、随便选。因为正如 Charlie 说的，那是一套“什么都不懂”的体系。我们在很多事情上也确实是“什么都不懂”的人，但偶尔我们会碰到一些情况，我们觉得自己“懂一点”。而在这种情况下，任何依赖机械公式的人都会惹上麻烦。不过，期权是有价值的。比如我们去年在卖那——4 亿美元的债券时，某种意义上也“发行了期权”。我们很清楚，在卖那些债券时我们放弃了什么。我们可能拿到了一种“类似负票息”的东西，但那是因为我们放弃了期权价值。你知道，那并不——它根本不是真正意义上的“负成本工具”，因为期权是有价值的。
佐证了“能力圈”的重要性，但是“因为所以”已经失去联系的不可能知道“能力圈”的边界在哪里。
5、《2008-05-03 Berkshire Hathaway Annual Meeting》
7. Teaching option pricing is “totally nonsense”
教授期权定价是“完全无稽之谈”
WARREN BUFFETT: Well, let’s go to number 5. (Laughter)
WARREN BUFFETT：好，我们来看第5个问题。（笑声）
AUDIENCE MEMBER: Good morning. I’m Joe Hutchin (PH), a shareholder from Culver, Indiana. Could you please comment on how you use stock options when trying to enter or exit a position in a public company?
AUDIENCE MEMBER：早上好。我是来自 Indiana 州 Culver 的股东 Joe Hutchin（音）。您能否谈谈，在尝试进入或退出一家上市公司仓位时，您如何使用股票期权？
WARREN BUFFETT: Yeah. We’ve — I think there’s one time we sold a put on Coca-Cola with the idea that, if it got exercised, we were very happy to own more Coca-Cola. It didn’t get exercised. We would have been better off if we had just bought the stock. Usually, if you want to buy or sell a stock, you should buy or sell the stock. And using an option technique to buy a call on a stock instead of buying the stock outright with the idea that you get it a little cheaper that way means that about four times out of five you’ll be right and the fifth time the stock will have moved earlier and you’ll have missed, you know, the transaction you wanted to have. And so we virtually have never used options as a way to enter a position or exit a position, and I would doubt very much if we do. We’ve used — we’ve sold these equity — long-term equity put options that were described in the press release yesterday and were described in the annual report, but that’s a different sort of thing.
WARREN BUFFETT：是的。我们——我记得有一次我们在 Coca-Cola 上卖过一个看跌期权（put），想法是：如果被行权，我们也很乐意多持有一些 Coca-Cola。结果它并没有被行权。事后看，我们如果当时直接买股票会更好。通常来说，如果你想买或卖一只股票，你就应该直接买或直接卖。你用期权技巧，比如为了“更便宜一点”而去买 call（看涨期权）代替直接买入股票，意味着大概五次里有四次你会“看起来是对的”，但第五次股票会提前上涨，你就会错过你真正想完成的那笔交易。所以我们几乎从不把期权当作进入或退出仓位的方式，而且我非常怀疑我们将来也会这么做。我们确实用过——卖出过一些长期的股票指数/股票类看跌期权（long-term equity put options），昨天的新闻稿和年报里都有描述，但那是另一类事情。
If we want to buy something, we’ll just start buying it. And if we want to get out of it, we’ll start selling it. And we won’t get involved in any fancy techniques. Charlie?
如果我们想买什么，我们就直接开始买；如果我们想退出，我们就直接开始卖。我们不会去搞那些花哨的技巧。Charlie？
超长期的期权或许有错误定价的机会，短期（1年以内）的没什么价值。
CHARLIE MUNGER: Well, if I remember right, you wrote a letter when the public authorities were deciding whether we should have option exchanges for stocks. And Warren was all alone at that time, and he wrote a letter saying that he didn’t think it would do any good at all for the country to throw out the margin rules in this fashion. I’ve always thought that Warren was totally right. We — it’s — the idea of turning financial markets into gambling parlors so the croupiers can make more money has never been very attractive to us.
CHARLIE MUNGER：嗯，如果我没记错的话，当公共监管当局在决定是否要建立股票期权交易所的时候，你曾写过一封信。那时候 Warren 几乎是孤军一人，他在信里说：以这种方式把保证金规则掀翻，对国家一点好处都没有。我一直认为 Warren 完全正确。我们——把金融市场变成赌博厅、只为了让“荷官”（croupiers）赚更多钱——这种想法从来就对我们没有吸引力。
WARREN BUFFETT: Yeah. (Applause.)
WARREN BUFFETT：是的。（掌声）
WARREN BUFFETT: Yeah. It’s very interesting to me when I talk to these MBA students. One of them from the University of Chicago, the very first question I got a few years ago, he says, “What are we being taught that’s wrong?” I love questions like that. I have to plant them in the future. The amount of time spent at business schools — maybe it’s a little less now — but teaching things like option pricing and that sort of thing, it’s totally nonsense. I mean, you need two courses in a business school: one is how to value a business, and — from the standpoint of investments — how to value a business and how to think about stock market fluctuations. But the idea that you would spend all of this time with formulas — but the problem, of course, is that the instructors know the formulas, and you don’t when they come, and so they’ve got something to fill the time explaining to you.
WARREN BUFFETT：是的。我和这些 MBA 学生交流时，总觉得很有意思。几年前我遇到一个来自 University of Chicago 的学生，他问我的第一个问题就是：“我们现在学到的东西里，哪些是错的？” 我特别喜欢这种问题。我得把这样的人“种”到未来去（笑）。商学院花在教学上的时间——也许现在少一点了——但用来教期权定价之类的东西，完全是胡扯。我的意思是，商学院你真正需要的两门课：一门是如何给企业估值；从投资角度来说，就是如何给企业估值、以及如何看待股市波动。但你花这么多时间在各种公式上——当然问题在于：老师懂这些公式，而你入学时不懂，于是他们就有东西可以用来填满课堂时间、给你讲解。
And, you know, it is no fun if you — I mean, if you were teaching Biblical studies, you know, and you could read three or four of the most important religious tomes forward and backward in five different languages, you would hate to tell somebody that it comes down to the Ten Commandments. I mean, any damn fool can do that. So there’s a great desire of the priesthood in finance to want to teach the things that they know and you don’t know and that they spent a long time learning and that maybe requires a fair amount of mathematics. And it really has nothing to do with investment success. Investment success depends on buying into the right businesses at the right price. And you have to know how to value businesses, and you have to have an attitude that divorces you from being influenced by the market. You want the market there, not to influence you, you want it there to serve you. And that requires a mindset, which goes back to an earlier question, and it’s a mindset that’s described quite well in Chapter 8 of “The Intelligent Investor.”
你知道，如果你——我的意思是——假如你在教《圣经》研究，并且你能用五种语言把三四本最重要的宗教典籍倒背如流，那么你一定不愿意告诉别人：结论其实就归结为“十诫”。因为这太没意思了——任何傻瓜都能做到。所以金融领域的“教士阶层”（priesthood）就有一种强烈的冲动：想教那些他们懂、你不懂的东西；那些他们花了很长时间学来的东西；那些可能还需要相当多数学的东西。但这和投资成功其实没什么关系。投资成功取决于：用合适的价格买入合适的企业。你必须懂得如何给企业估值；你还必须具备一种态度，使你不受市场情绪的影响。你希望市场存在，不是为了影响你，而是为了服务你。这需要一种心态——回到刚才的那个问题——而这种心态在《The Intelligent Investor》的第8章里讲得非常好。
6、《2009-02-27 Warren Buffett's Letters to Berkshire Shareholders》
Derivatives
衍生品
Derivatives are dangerous. They have dramatically increased the leverage and risks in our financial system. They have made it almost impossible for investors to understand and analyze our largest commercial banks and investment banks. They allowed Fannie Mae and Freddie Mac to engage in massive misstatements of earnings for years. So indecipherable were Freddie and Fannie that their federal regulator, OFHEO, whose more than 100 employees had no job except the oversight of these two institutions, totally missed their cooking of the books.
衍生品是危险的。它们极大地增加了我们金融体系中的杠杆与风险；使投资者几乎不可能理解并分析最大的商业银行与投行；让 Fannie Mae 和 Freddie Mac 多年来能够大规模虚报盈利。Freddie 和 Fannie 的结构复杂到什么程度？就连它们的联邦监管机构 OFHEO 都看不懂——OFHEO 有 100 多名员工，唯一的工作就是监管这两家机构，却完全错过了它们做账造假的事实。
Indeed, recent events demonstrate that certain big-name CEOs (or former CEOs) at major financial institutions were simply incapable of managing a business with a huge, complex book of derivatives. Include Charlie and me in this hapless group: When Berkshire purchased General Re in 1998, we knew we could not get our minds around its book of 23,218 derivatives contracts, made with 884 counterparties (many of which we had never heard of). So we decided to close up shop. Though we were under no pressure and were operating in benign markets as we exited, it took us five years and more than $400 million in losses to largely complete the task. Upon leaving, our feelings about the business mirrored a line in a country song: “I liked you better before I got to know you so well.”
事实上，近期事件表明：一些在大型金融机构里名声显赫的 CEO（或前 CEO），根本无力管理一家拥有庞大、复杂衍生品账簿的公司。Charlie 和我也属于这类“倒霉蛋”：1998 年 Berkshire 收购 General Re 时，我们就知道自己不可能把它那本包含 23,218 份衍生品合约、涉及 884 个交易对手（其中很多我们听都没听过）的账簿弄明白。于是我们决定把这门生意关掉。即便我们并没有受到任何压力，而且退出时的市场环境也算温和，这个收尾过程仍然花了我们五年时间，并且造成了超过 4 亿美元的损失，才基本把事情了结。离开时，我们对这门生意的感受，正如一首乡村歌曲里唱的那句：“在我把你了解得这么透彻之前，我其实更喜欢你。”
Improved “transparency” — a favorite remedy of politicians, commentators and financial regulators for averting future train wrecks — won’t cure the problems that derivatives pose. I know of no reporting mechanism that would come close to describing and measuring the risks in a huge and complex portfolio of derivatives. Auditors can’t audit these contracts, and regulators can’t regulate them. When I read the pages of “disclosure” in 10-Ks of companies that are entangled with these instruments, all I end up knowing is that I *don’*t know what is going on in their portfolios (and then I reach for some aspirin).
所谓“提高透明度”——这是政客、评论员和金融监管者最爱开的药方，用来避免未来再次发生列车脱轨式灾难——并不能解决衍生品带来的问题。我想不出任何披露机制，能够接近于描述并衡量一个巨大且复杂的衍生品组合中蕴含的风险。审计师审不了这些合约，监管者也管不了它们。当我去读那些被这些工具缠住的公司在 10-K 里写的“披露”页面时，我最终唯一确定的是：我并不知道它们的组合里到底发生了什么（然后我就得去找点阿司匹林）。
碎片化的东西会自我强化，透明不能解决碎片化的问题，唯一的办法是不进入。
For a case study on regulatory effectiveness, let’s look harder at the Freddie and Fannie example. These giant institutions were created by Congress, which retained control over them, dictating what they could and could not do. To aid its oversight, Congress created OFHEO in 1992, admonishing it to make sure the two behemoths were behaving themselves. With that move, Fannie and Freddie became the most intensely-regulated companies of which I am aware, as measured by manpower assigned to the task.
要看监管到底有多“有效”，我们不妨更仔细地看看 Freddie 与 Fannie 这个例子。这两家巨无霸机构由 Congress 设立，而 Congress 一直保留对它们的控制权，规定它们能做什么、不能做什么。为了帮助监督，Congress 在 1992 年设立了 OFHEO，并告诫它必须确保这两头巨兽守规矩。就我所知，从投入的人力规模来看，Fannie 与 Freddie 由此成为“监管最密集”的公司。
On June 15, 2003, OFHEO (whose annual reports are available on the Internet) sent its 2002 report to Congress — specifically to its four bosses in the Senate and House, among them none other than Messrs. Sarbanes and Oxley. The report’s 127 pages included a self-congratulatory cover-line: “Celebrating 10 Years of Excellence.” The transmittal letter and report were delivered nine days after the CEO and CFO of Freddie had resigned in disgrace and the COO had been fired. No mention of their departures was made in the letter, even while the report concluded, as it always did, that “Both Enterprises were financially sound and well managed.”
2003 年 6 月 15 日，OFHEO（其年度报告可在互联网上获取）把它的 2002 年报告提交给 Congress——具体是提交给参众两院的四位“上司”，其中就包括 Sarbanes 和 Oxley 两位先生。报告共 127 页，封面上还有一句自我陶醉的标语：“Celebrating 10 Years of Excellence.” 这封转呈信和报告送达的时间，是 Freddie 的 CEO 与 CFO 因丑闻辞职、COO 被解雇后的第九天。可在信中对这些离职只字未提；与此同时，报告却一如既往地下结论说：“Both Enterprises were financially sound and well managed.”
In truth, both enterprises had engaged in massive accounting shenanigans for some time. Finally, in 2006, OFHEO issued a 340-page scathing chronicle of the sins of Fannie that, more or less, blamed the fiasco on every party but — you guessed it — Congress and OFHEO.
事实上，这两家机构早已进行过一段时间的大规模会计把戏。终于到了 2006 年，OFHEO 发布了一份 340 页的严厉报告，详细记录了 Fannie 的种种“罪行”。而这份报告的归因方式，基本上把责任怪到所有人头上——除了你猜对了——Congress 和 OFHEO 自己。
The Bear Stearns collapse highlights the counterparty problem embedded in derivatives transactions, a time bomb I first discussed in Berkshire’s 2002 report. On April 3, 2008, Tim Geithner, then the able president of the New York Fed, explained the need for a rescue: “The sudden discovery by Bear’s derivative counterparties that important financial positions they had put in place to protect themselves from financial risk were no longer operative would have triggered substantial further dislocation in markets. This would have precipitated a rush by Bear’s counterparties to liquidate the collateral they held against those positions and to attempt to replicate those positions in already very fragile markets.” This is Fedspeak for “We stepped in to avoid a financial chain reaction of unpredictable magnitude.” In my opinion, the Fed was right to do so.
Bear Stearns 的崩溃，凸显了衍生品交易中内嵌的交易对手（counterparty）问题——这颗定时炸弹，我在 Berkshire 2002 年的报告里就谈过。2008 年 4 月 3 日，当时担任 New York Fed 行长的 Tim Geithner（能力出众）解释了为何需要救助：“Bear 的衍生品交易对手突然发现：他们为了对冲金融风险而建立的一些关键金融头寸已不再有效，这将触发市场进一步的大规模错位。这会导致 Bear 的交易对手争相处置他们为这些头寸所持有的抵押品，并试图在本已极其脆弱的市场中复制这些头寸。” 这段“Fed 式英语”的意思是：“我们介入，是为了避免一场规模不可预知的金融链式反应。” 依我看，Fed 这么做是对的。
A normal stock or bond trade is completed in a few days with one party getting its cash, the other its securities. Counterparty risk therefore quickly disappears, which means credit problems can’t accumulate. This rapid settlement process is key to maintaining the integrity of markets. That, in fact, is a reason for NYSE and NASDAQ shortening the settlement period from five days to three days in 1995.
一笔普通的股票或债券交易，几天内就会完成：一方拿到现金，另一方拿到证券。交易对手风险因此很快消失，也就意味着信用问题难以累积。正是这种快速结算过程，维持了市场的完整性。实际上，这也是 NYSE 和 NASDAQ 在 1995 年把结算周期从 5 天缩短到 3 天的原因之一。
Derivatives contracts, in contrast, often go unsettled for years, or even decades, with counterparties building up huge claims against each other. “Paper” assets and liabilities — often hard to quantify — become important parts of financial statements though these items will not be validated for many years. Additionally, a frightening web of mutual dependence develops among huge financial institutions. Receivables and payables by the billions become concentrated in the hands of a few large dealers who are apt to be highly-leveraged in other ways as well. Participants seeking to dodge troubles face the same problem as someone seeking to avoid venereal disease: It’s not just whom you sleep with, but also whom they are sleeping with.
相比之下，衍生品合约往往多年甚至几十年都不结清，交易对手之间的巨额债权债务不断累积。“纸面”资产与负债——常常难以量化——会成为财务报表的重要组成部分，但这些项目要很多年后才会被验证。此外，巨型金融机构之间还会形成一张令人不寒而栗的相互依赖之网。数十亿规模的应收应付，集中在少数大型做市商/交易商手里，而这些机构往往在其他方面也高度加杠杆。试图躲避麻烦的参与者，会遇到和躲避性病一样的问题：关键不仅在于你跟谁睡，还在于他们又在跟谁睡。
Sleeping around, to continue our metaphor, can actually be useful for large derivatives dealers because it assures them government aid if trouble hits. In other words, only companies having problems that can infect the entire neighborhood — I won’t mention names — are certain to become a concern of the state (an outcome, I’m sad to say, that is proper). From this irritating reality comes The First Law of Corporate Survival for ambitious CEOs who pile on leverage and run large and unfathomable derivatives books: Modest incompetence simply won’t do; it’s mindboggling screw-ups that are required.
继续沿用这个隐喻：“到处睡”对大型衍生品交易商反而可能有用，因为这能确保一旦出事，他们就会得到政府援助。换句话说，只有那些麻烦足以“传染整个街区”的公司——我就不点名了——才必然会成为国家关注的对象（遗憾的是，我得承认，这种结果在现实里是合理的）。从这个令人恼火的现实里，就诞生了那条“企业生存第一定律”，专门送给那些堆高杠杆、经营庞大且难以理解衍生品账簿的野心 CEO：小打小闹的无能是不够的；必须是惊世骇俗的巨大失误，才行。
Considering the ruin I’ve pictured, you may wonder why Berkshire is a party to 251 derivatives contracts (other than those used for operational purposes at MidAmerican and the few left over at Gen Re). The answer is simple: I believe each contract we own was mispriced at inception, sometimes dramatically so. I both initiated these positions and monitor them, a set of responsibilities consistent with my belief that the CEO of any large financial organization must be the Chief Risk Officer as well. If we lose money on our derivatives, it will be my fault.
鉴于我刚刚描绘的那幅“毁灭图景”，你们可能会问：为什么 Berkshire 还会参与 251 份衍生品合约（不包括 MidAmerican 为经营目的使用的那些，以及 Gen Re 仍残留的少量合约）？答案很简单：我相信我们持有的每一份合约，在签订之初都存在错误定价——有些甚至错得非常离谱。这些头寸由我亲自发起、并由我持续监控。这与我一贯的观点一致：任何大型金融机构的 CEO，都必须同时担任首席风险官（Chief Risk Officer）。如果我们在衍生品上亏了钱，那就是我的错。
Our derivatives dealings require our counterparties to make payments to us when contracts are initiated. Berkshire therefore always holds the money, which leaves us assuming no meaningful counterparty risk. As of yearend, the payments made to us less losses we have paid — our derivatives “float,” so to speak — totaled $8.1 billion. This float is similar to insurance float: If we break even on an underlying transaction, we will have enjoyed the use of free money for a long time. Our expectation, though it is far from a sure thing, is that we will do better than break even and that the substantial investment income we earn on the funds will be frosting on the cake.
我们的衍生品交易安排，要求交易对手在合约成立时向我们付款。因此，钱始终在 Berkshire 手里，这使得我们几乎不承担有意义的交易对手风险。截至年末，对手方支付给我们的款项减去我们已支付的损失——可以把它称作我们的衍生品“float”——合计为 81 亿美元。这个 float 与保险 float 很像：如果底层交易我们最终打平，那么我们就等于长期无成本使用了一大笔资金。我们的预期是（虽然绝非板上钉钉）我们会好于打平，而我们对这笔资金赚到的可观投资收益，则是锦上添花。
我们也曾经考虑过高盛作为交易对手的风险。
Only a small percentage of our contracts call for any posting of collateral when the market moves against us. Even under the chaotic conditions existing in last year’s fourth quarter, we had to post less than 1% of our securities portfolio. (When we post collateral, we deposit it with third parties, meanwhile retaining the investment earnings on the deposited securities.) In our 2002 annual report, we warned of the lethal threat that posting requirements create, real-life illustrations of which we witnessed last year at a variety of financial institutions (and, for that matter, at Constellation Energy, which was within hours of bankruptcy when MidAmerican arrived to effect a rescue).
我们合约里只有很小一部分，在市场朝不利方向波动时需要我们追加抵押品（posting of collateral）。即便在去年第四季度那样混乱的市场环境下，我们需要追加的抵押品也不到我们证券投资组合的 1%。（当我们追加抵押品时，会把证券存放在第三方处，但我们仍保留这些证券所产生的投资收益。）在 2002 年年报中，我们就警告过：追加抵押品要求可能带来致命威胁。去年我们在多家金融机构身上看到了真实案例（甚至 Constellation Energy 也是——MidAmerican 赶去救援时，它距离破产只剩几个小时）。
Our contracts fall into four major categories. With apologies to those who are not fascinated by financial instruments, I will explain them in excruciating detail.
我们的合约大致分为四大类。先向那些对金融工具并不着迷的读者道歉：我接下来会把它们解释得“极其细致”。
We have added modestly to the “equity put” portfolio I described in last year’s report. Some of our contracts come due in 15 years, others in 20. We must make a payment to our counterparty at maturity if the reference index to which the put is tied is then below what it was at the inception of the contract. Neither party can elect to settle early; it’s only the price on the final day that counts.
我们对去年报告里提到的“股票指数看跌期权（equity put）”组合做了小幅增持。有些合约 15 年到期，有些 20 年到期。如果到期时，这些看跌期权所挂钩的参考指数低于合约签订时的水平，我们就必须向交易对手支付一笔款项。双方都不能选择提前结算；唯一算数的是到期最后一天的价格。
To illustrate, we might sell a $1 billion 15-year put contract on the S&P 500 when that index is at, say, 1300. If the index is at 1170 — down 10% — on the day of maturity, we would pay $100 million. If it is above 1300, we owe nothing. For us to lose $1 billion, the index would have to go to zero. In the meantime, the sale of the put would have delivered us a premium — perhaps $100 million to $150 million — that we would be free to invest as we wish.
举个例子：当 S&P 500 指数处在比如 1300 点时，我们可能会卖出一份 15 年期、名义本金 10 亿美元的看跌期权（put）。如果到期那天指数在 1170 点——下跌 10%——我们就要支付 1 亿美元。如果指数高于 1300 点，我们一分钱都不用付。要让我们亏掉 10 亿美元，指数必须跌到零。与此同时，卖出这份 put 会让我们收到一笔权利金——可能是 1 亿到 1.5 亿美元——这笔钱我们可以按自己的意愿自由投资。
作为普通的投资者，可以用T-bill质押了做Sell PUT的交易，相比于BRK要差一些。
Our put contracts total $37.1 billion (at current exchange rates) and are spread among four major indices: the S&P 500 in the U.S., the FTSE 100 in the U.K., the Euro Stoxx 50 in Europe, and the Nikkei 225 in Japan. Our first contract comes due on September 9, 2019 and our last on January 24, 2028. We have received premiums of $4.9 billion, money we have invested. We, meanwhile, have paid nothing, since all expiration dates are far in the future. Nonetheless, we have used Black-Scholes valuation methods to record a yearend liability of $10 billion, an amount that will change on every reporting date. The two financial items — this estimated loss of $10 billion minus the $4.9 billion in premiums we have received — means that we have so far reported a mark-to-market loss of $5.1 billion from these contracts.
我们的 put 合约总名义金额为 371 亿美元（按当前汇率），分散在四个主要指数上：美国的 S&P 500、英国的 FTSE 100、欧洲的 Euro Stoxx 50，以及日本的 Nikkei 225。第一份合约到期日是 2019 年 9 月 9 日，最后一份到期日是 2028 年 1 月 24 日。我们已收到 49 亿美元的权利金，并已将其投入投资。与此同时，因为所有到期日都还很遥远，我们至今没有支付任何赔付。尽管如此，我们仍使用 Black-Scholes 估值方法，在年末记录了 100 亿美元的负债，这个数额会在每个报告日随着市场变化而变化。两项财务数字——我们估计的 100 亿美元损失减去已收到的 49 亿美元权利金——意味着截至目前，我们在这些合约上报告了 51 亿美元的按市价计量（mark-to-market）损失。
We endorse mark-to-market accounting. I will explain later, however, why I believe the Black-Scholes formula, even though it is the standard for establishing the dollar liability for options, produces strange results when the long-term variety are being valued.
我们支持按市价计量（mark-to-market）会计。不过我稍后会解释：为什么我认为 Black-Scholes 公式虽然是期权负债定价的行业标准，但在给长期期权估值时会产生一些“怪异”的结果。
One point about our contracts that is sometimes not understood: For us to lose the full $37.1 billion we have at risk, all stocks in all four indices would have to go to zero on their various termination dates. If, however — as an example — all indices fell 25% from their value at the inception of each contract, and foreign-exchange rates remained as they are today, we would owe about $9 billion, payable between 2019 and 2028. Between the inception of the contract and those dates, we would have held the $4.9 billion premium and earned investment income on it.
关于我们的合约，有一点常被误解：要让我们把所承担的全部 371 亿美元风险都亏光，四个指数中的所有成分股必须在各自的终止日全部归零。但如果——举例说——所有指数相对各自合约签订时的水平下跌 25%，并且外汇汇率保持今天的水平，我们大约需要支付 90 亿美元，支付时间分布在 2019 至 2028 年之间。而从合约签订到这些支付日期之间，我们一直持有那 49 亿美元权利金，并在其上赚取投资收益。
The second category we described in last year’s report concerns derivatives requiring us to pay when credit losses occur at companies that are included in various high-yield indices. Our standard contract covers a five-year period and involves 100 companies. We modestly expanded our position last year in this category. But, of course, the contracts on the books at the end of 2007 moved one year closer to their maturity. Overall, our contracts now have an average life of 21⁄3 years, with the first expiration due to occur on September 20, 2009 and the last on December 20, 2013.
我们在去年报告中描述的第二类合约，是那些在若干高收益指数（high-yield indices）所包含的公司发生信用损失时，需要我们赔付的衍生品。我们的标准合约覆盖 5 年期限，涉及 100 家公司。我们在去年对这一类头寸做了小幅扩张。当然，截至 2007 年末账上的合约也都向到期日又近了一年。总体而言，这些合约目前的平均剩余期限为 2 又 1/3 年，最早一批到期在 2009 年 9 月 20 日，最晚一批到期在 2013 年 12 月 20 日。
By yearend we had received premiums of $3.4 billion on these contracts and paid losses of $542 million. Using mark-to-market principles, we also set up a liability for future losses that at yearend totaled $3.0 billion. Thus we had to that point recorded a loss of about $100 million, derived from our $3.5 billion total in paid and estimated future losses minus the $3.4 billion of premiums we received. In our quarterly reports, however, the amount of gain or loss has swung wildly from a profit of $327 million in the second quarter of 2008 to a loss of $693 million in the fourth quarter of 2008.
截至年末，我们在这些合约上累计收到权利金 34 亿美元，已支付损失 5.42 亿美元。按按市价计量原则，我们还为未来损失计提了负债，年末合计 30 亿美元。因此，到那时我们在这一类合约上累计确认的亏损约为 1 亿美元——这是我们已支付与预计未来损失合计 35 亿美元，减去我们收到的 34 亿美元权利金得出的结果。不过在我们的季度报告中，盈亏幅度曾剧烈摆动：2008 年第二季度还是 3.27 亿美元利润，到了 2008 年第四季度却变成了 6.93 亿美元亏损。
Surprisingly, we made payments on these contracts of only $97 million last year, far below the estimate I used when I decided to enter into them. This year, however, losses have accelerated sharply with the mushrooming of large bankruptcies. In last year’s letter, I told you I expected these contracts to show a profit at expiration. Now, with the recession deepening at a rapid rate, the possibility of an eventual loss has increased. Whatever the result, I will keep you posted.
令人意外的是，去年我们在这些合约上的实际赔付只有 9,700 万美元，远低于我当初决定做这类交易时所估计的数额。但今年，随着大型破产案件“蘑菇般涌现”，损失已经明显加速。在去年的信中，我告诉过你们，我预计这些合约到期时会有盈利。现在，随着经济衰退以很快的速度加深，最终出现亏损的可能性上升了。不管结果如何，我都会持续向你们汇报。
In 2008 we began to write “credit default swaps” on individual companies. This is simply credit insurance, similar to what we write in BHAC, except that here we bear the credit risk of corporations rather than of tax-exempt issuers.
2008 年，我们开始对单一公司承做“credit default swaps”（信用违约掉期，CDS）。这本质上就是信用保险，和我们在 BHAC 承做的保险类似，只不过在这里我们承担的是公司债的信用风险，而不是免税发行人的信用风险。
If, say, the XYZ company goes bankrupt, and we have written a $100 million contract, we are obligated to pay an amount that reflects the shrinkage in value of a comparable amount of XYZ’s debt. (If, for example, the company’s bonds are selling for 30 after default, we would owe $70 million.) For the typical contract, we receive quarterly payments for five years, after which our insurance expires.
比如说 XYZ 公司破产了，而我们写了一份名义金额 1 亿美元的合约，我们就有义务支付一笔金额，反映出相当额度的 XYZ 债务在破产后的价值缩水。（例如，若公司债在违约后以 30 的价格交易，我们就需要支付 7,000 万美元。）典型合约中，我们会按季度收取保费，持续五年，五年后保险到期终止。
At yearend we had written $4 billion of contracts covering 42 corporations, for which we receive annual premiums of $93 million. This is the only derivatives business we write that has any counterparty risk; the party that buys the contract from us must be good for the quarterly premiums it will owe us over the five years. We are unlikely to expand this business to any extent because most buyers of this protection now insist that the seller post collateral, and we will not enter into such an arrangement.
截至年末，我们承做了总计 40 亿美元的合约，覆盖 42 家公司，我们每年收取的保费合计 9,300 万美元。这是我们唯一一类存在交易对手风险的衍生品业务：从我们这里买保护的一方，必须在未来五年里按时支付每季度应付的保费。我们不太可能在这一业务上做任何程度的扩张，因为如今大多数买方都要求卖方追加抵押品，而我们不会接受这种安排。
At the request of our customers, we write a few tax-exempt bond insurance contracts that are similar to those written at BHAC, but that are structured as derivatives. The only meaningful difference between the two contracts is that mark-to-market accounting is required for derivatives whereas standard accrual accounting is required at BHAC.
应客户要求，我们还承做少量“免税债券保险”合约，它们与 BHAC 的业务类似，但结构上被设计成衍生品。这两类合约之间唯一实质性的差别在于：衍生品需要按市价计量（mark-to-market）会计，而 BHAC 的保险业务必须使用标准的权责发生制（accrual）会计。
But this difference can produce some strange results. The bonds covered — in effect, insured — by these derivatives are largely general obligations of states, and we feel good about them. At yearend, however, mark-to-market accounting required us to record a loss of $631 million on these derivatives contracts. Had we instead insured the same bonds at the same price in BHAC, and used the accrual accounting required at insurance companies, we would have recorded a small profit for the year. The two methods by which we insure the bonds will eventually produce the same accounting result. In the short term, however, the variance in reported profits can be substantial.
但这种差别会造成一些看起来很“怪”的结果。这些衍生品所覆盖（实质上被保险）的债券，多数是各州的一般责任债（general obligations），我们对其信用质量感觉很好。然而在年末，按市价计量会计要求我们在这些衍生品合约上确认 6.31 亿美元的亏损。假如我们用 BHAC 以同样的价格承保同样的债券，并采用保险公司要求的权责发生制会计，我们反而会在当年确认一笔小额盈利。用这两种方式去承保这些债券，最终都会产生相同的会计结果；但在短期内，报告利润的差异可能非常大。
We have told you before that our derivative contracts, subject as they are to mark-to-market accounting, will produce wild swings in the earnings we report. The ups and downs neither cheer nor bother Charlie and me. Indeed, the “downs” can be helpful in that they give us an opportunity to expand a position on favorable terms. I hope this explanation of our dealings will lead you to think similarly.
我们之前就告诉过你们：由于衍生品合约需要按市价计量，我们报告的盈利会出现剧烈波动。这样的起伏既不会让 Charlie 和我兴奋，也不会让我们烦恼。事实上，“下跌”有时还会有帮助——它给了我们一个机会，以更有利的条款扩大头寸。我希望这番解释能让你们也用类似的心态看待我们的操作。
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The Black-Scholes formula has approached the status of holy writ in finance, and we use it when valuing our equity put options for financial statement purposes. Key inputs to the calculation include a contract’s maturity and strike price, as well as the analyst’s expectations for volatility, interest rates and dividends.
Black-Scholes 公式在金融领域几乎被奉为“圣典”，而我们在财务报表中给股票指数看跌期权估值时也使用它。该计算的关键输入包括：合约到期时间与行权价，以及分析师对波动率、利率与股息的预期。
If the formula is applied to extended time periods, however, it can produce absurd results. In fairness, Black and Scholes almost certainly understood this point well. But their devoted followers may be ignoring whatever caveats the two men attached when they first unveiled the formula.
但如果把这个公式应用到极长的时间跨度上，它可能会给出荒谬的结果。公平地说，Black 和 Scholes 很可能对此心知肚明；但他们那些虔诚的追随者，也许忽略了两人在首次提出公式时附带的各种限制条件。
大部分投资者没有机会接触10年以上的期权交易。
It’s often useful in testing a theory to push it to extremes. So let’s postulate that we sell a 100-year $1 billion put option on the S&P 500 at a strike price of 903 (the index’s level on 12/31/08). Using the implied volatility assumption for long-dated contracts that we do, and combining that with appropriate interest and dividend assumptions, we would find the “proper” Black-Scholes premium for this contract to be $2.5 million.
检验一个理论时，把它“推到极端”往往很有用。那我们假设：我们以 903 的行权价（S&P 在 2008 年 12 月 31 日的点位），卖出一份 100 年期、名义金额 10 亿美元的 S&P 500 看跌期权。使用我们对超长期合约所采用的隐含波动率假设，并结合适当的利率与股息假设，我们会算出这个合约“正确的” Black-Scholes 权利金是 250 万美元。
To judge the rationality of that premium, we need to assess whether the S&P will be valued a century from now at less than today. Certainly the dollar will then be worth a small fraction of its present value (at only 2% inflation it will be worth roughly 14¢). So that will be a factor pushing the stated value of the index higher. Far more important, however, is that one hundred years of retained earnings will hugely increase the value of most of the companies in the index. In the 20th Century, the Dow-Jones Industrial Average increased by about 175-fold, mainly because of this retained-earnings factor.
要判断这份权利金是否合理，我们得评估：一百年后 S&P 的价值是否可能低于今天。当然，到那时美元的购买力必然只剩现在的一小部分（即便通胀只有 2%，美元的购买力也会下降到大约 14 美分）。这一点会推动指数的名义数值更高。但更重要的是：一百年的留存收益会极大提升指数中大多数公司的价值。20 世纪中，道琼斯工业指数大约上涨了 175 倍，主要就是这股“留存收益”因素驱动的。
Considering everything, I believe the probability of a decline in the index over a one-hundred-year period to be far less than 1%. But let’s use that figure and also assume that the most likely decline — should one occur — is 50%. Under these assumptions, the mathematical expectation of loss on our contract would be $5 million ($1 billion X 1% X 50%).
综合来看，我认为在一百年跨度里指数出现下跌的概率远低于 1%。但我们就用 1% 这个数字，并假设：一旦真的下跌，最可能的跌幅是 50%。在这些假设下，我们这份合约的数学期望损失将是 500 万美元（10 亿美元 × 1% × 50%）。
But if we had received our theoretical premium of $2.5 million up front, we would have only had to invest it at 0.7% compounded annually to cover this loss expectancy. Everything earned above that would have been profit. Would you like to borrow money for 100 years at a 0.7% rate?
但如果我们一开始按理论值收到了 250 万美元的权利金，只需要把它以年化 0.7% 的复利去投资，就足以覆盖这 500 万美元的损失期望；超出 0.7% 的部分就全是利润。你愿意用 0.7% 的利率借钱借 100 年吗？
Let’s look at my example from a worst-case standpoint. Remember that 99% of the time we would pay nothing if my assumptions are correct. But even in the worst case among the remaining 1% of possibilities — that is, one assuming a total loss of $1 billion — our borrowing cost would come to only 6.2%. Clearly, either my assumptions are crazy or the formula is inappropriate.
我们从最坏情形来审视我刚才的例子。记住：如果我的假设成立，那么有 99% 的概率我们一分钱都不用付。但即便是在剩下那 1% 的可能性里最糟糕的情况——也就是假设我们会全损 10 亿美元——我们的“借款成本”也只有 6.2%。很显然：要么我的假设荒唐，要么这个公式不适用。
The ridiculous premium that Black-Scholes dictates in my extreme example is caused by the inclusion of volatility in the formula and by the fact that volatility is determined by how much stocks have moved around in some past period of days, months or years. This metric is simply irrelevant in estimating the probability-weighted range of values of American business 100 years from now. (Imagine, if you will, getting a quote every day on a farm from a manic-depressive neighbor and then using the volatility calculated from these changing quotes as an important ingredient in an equation that predicts a probability-weighted range of values for the farm a century from now.)
在我这个极端例子中，Black-Scholes 给出的荒谬权利金，源于公式里引入了“波动率”，而波动率又取决于股票在过去若干天、若干月或若干年里价格如何上下波动。对于估计“一百年后美国企业价值的概率加权区间”来说，这个指标完全不相干。（你可以想象一下：你每天都从一个躁郁症邻居那里给你的农场报一个价，然后用这些日复一日变化的报价算出来的波动率，作为一个公式里的重要输入，去预测一百年后这座农场的概率加权价值区间。）
在巴菲特看来，期权只是不同形式的保险。
Though historical volatility is a useful — but far from foolproof — concept in valuing short-term options, its utility diminishes rapidly as the duration of the option lengthens. In my opinion, the valuations that the Black-Scholes formula now place on our long-term put options overstate our liability, though the overstatement will diminish as the contracts approach maturity.
尽管历史波动率在给短期期权估值时是一个有用——但远非万无一失——的概念，但随着期权期限拉长，它的用处会迅速下降。在我看来，Black-Scholes 目前对我们长期 put 期权给出的估值夸大了我们的负债，尽管这种夸大会随着合约接近到期而逐步减弱。
Even so, we will continue to use Black-Scholes when we are estimating our financial-statement liability for long-term equity puts. The formula represents conventional wisdom and any substitute that I might offer would engender extreme skepticism. That would be perfectly understandable: CEOs who have concocted their own valuations for esoteric financial instruments have seldom erred on the side of conservatism. That club of optimists is one that Charlie and I have no desire to join.
即便如此，当我们估计长期股票指数 put 在财务报表中的负债时，仍会继续使用 Black-Scholes。这个公式代表了“传统共识”，而任何我自己提出的替代方法，都会引发极大的怀疑——这完全可以理解：那些为晦涩金融工具自创估值方法的 CEO，几乎从来都不是“偏保守”地犯错。那个乐观主义者俱乐部，Charlie 和我一点也不想加入。
7、《2010-05-01 Berkshire Hathaway Annual Meeting》
30. “Gambling” with derivatives
“衍生品”赌博
WARREN BUFFETT: Carol.
WARREN BUFFETT：Carol。
CAROL LOOMIS: This question is about derivatives. “What useful function do derivatives serve in our economy? We got along quite well without them for many years. If they serve no useful purpose, and in fact, have demonstrated that they can do considerable damage to the economy, why are they not made illegal, especially the naked ones? There is precedent for that. “I believe that short selling of stocks that one does not own or has managed to borrow is illegal.”
CAROL LOOMIS：这个问题是关于衍生品的。“衍生品在我们的经济中到底起到什么有用的功能？很多年里没有它们，我们也过得很好。如果它们并没有什么有用目的，反而已经证明会对经济造成相当大的破坏，那为什么不把它们定为非法，尤其是裸衍生品？这方面是有先例的。‘我相信，卖空自己并不持有、或者无法借到的股票，是非法的。’”
WARREN BUFFETT: Charlie has — he can get worked up more on this than I can, so I’m going to let him answer that. (Laughs)
WARREN BUFFETT：Charlie 在这个问题上——他比我更容易“上头”，所以我让他来回答。（笑）
CHARLIE MUNGER: Well, I think the usefulness of derivatives has always been overrated. If we didn’t have any derivatives at all, including contracts to buy and sell grain that were traded on exchanges, we’d still have plenty of oats and wheat. I mean, I think it is slightly more convenient for people to be able to hedge their risks of farming by using derivative markets and commodities. And the test is not, “Is there any benefit in derivatives?” The question is, is the net benefit versus disadvantage from derivatives useful? Or would we be better off without it? My own view is that, if we went back to having nothing but derivative trading in commodities, metals, currencies, safely conducted under responsible rules, and all other derivatives contracts vanished from the earth, it would be a better place. (Applause)
CHARLIE MUNGER：嗯，我认为衍生品的“有用性”一直被高估了。就算我们完全没有任何衍生品——包括那些在交易所交易的粮食买卖合约——我们照样会有足够的燕麦和小麦。我的意思是，我承认，让农户通过衍生品市场、通过大宗商品来对冲农业风险，确实会“稍微方便一点”。但检验标准不是“衍生品有没有一点好处？”真正的问题是：衍生品带来的净好处，扣掉它带来的坏处之后，究竟是不是值得？还是说，我们没有它反而会更好？我个人的看法是：如果我们回到这样一种状态——只保留在大宗商品、金属、货币这些领域的衍生品交易，并且在负责任的规则下安全地进行；而地球上其他所有衍生品合约都消失不见——那这个世界会更好。（掌声）
WARREN BUFFETT: We’ll take a current example. Burlington Northern has hedged diesel fuel, which they use a lot of, over the years. And then they also have fuel adjustment clauses in a lot of their contracts for transportation. With Matt Rose, who does a wonderful job of running Burlington, I basically say, “Look at. If I were running the place, I wouldn’t bother to hedge them,” because if you hedge it — if you hedge it for a million years, you know, you’re going to be out the frictional costs, probably, of doing it, unless you’re smarter than the market generally on diesel fuel. And if you’re smarter than the market on diesel fuel generally, we’ll go into the business of speculating on diesel fuel. I mean, if we’ve really got an edge, you know, why bother to run the trains? Let’s just speculate diesel fuel. But I also say, you know, they’ve got — and if you have an organization where you have somebody in charge of that activity, it’s going to take place.
WARREN BUFFETT：我们拿一个当下的例子来说。Burlington Northern 多年来一直对冲柴油燃料——他们用量很大——而且他们在很多运输合同里也设有燃油调整条款。对于 Matt Rose（他把 Burlington 经营得非常出色），我基本上会对他说：“你看，如果换我来管，我可能根本不会去对冲燃油。”因为你要是对冲——哪怕你对冲一百万年——你大概率也会在这件事上付出摩擦成本，除非你在柴油价格判断上普遍比市场更聪明。可如果你真能在柴油上普遍比市场更聪明，那我们干脆就去做柴油投机生意好了。我的意思是，如果我们真的有优势，那还何必费劲开火车？直接去投机柴油得了。话虽如此，我也会说：他们那边——而且你要是有一个组织架构，专门安排了一个人负责这项活动，那这件事就一定会发生。
On the other hand, Matt Rose has done a fabulous job, as well as his management team, in running Burlington Northern. If they are more comfortable, or they find it useful in any way, in terms of pricing contracts, or anything, to hedge it, that’s fine with me, too. I mean, it’s his company, he can figure out the best way of running it. I’ll hold him responsible for how it does over time. And, you know, I would do it one way and somebody else would do it another way. I don’t think that’s — I would not condemn anybody that’s running a railroad for hedging diesel fuel, nor would I condemn anybody that runs an energy company, like we do at MidAmerican, for hedging energy costs in certain ways. But I do think, if we could put up a presentation, number 4 on the screen, please. I think it was said very well in 1935.
另一方面，Matt Rose 和他的管理团队把 Burlington Northern 经营得非常出色。如果他们在对冲燃油这件事上更觉得踏实，或者在合同定价等方面觉得对冲对他们有任何帮助，那我也完全没意见。毕竟这是他的公司，他可以自己找出最合适的经营方式。我会对他长期的经营结果负责（也就是用结果来考核他）。你知道，我可能会用一种方式做，而别人可能会用另一种方式做。我并不认为——我不会去谴责任何一家铁路公司因为对冲柴油而做错了什么；同样，我也不会谴责任何一家能源公司（比如我们在 MidAmerican 的业务）以某些方式对冲能源成本。但我确实认为——我们能不能把第 4 号材料放到屏幕上？我觉得早在 1935 年，就有人把这件事说得非常到位了。
巴菲特的这一段评论需要进一步的探讨。
1、裸视现实
摘除幻觉、裸视现实需要非常强大的自信心和勇气，如果做不到，适当参与让自己觉得踏实也是可以的。
2、随之而来的剧烈波动
裸视现实就要面临剧烈的波动，要有足够的现金应付波动，这是有成本的，用期货锁定价格、将波动转给别人也有成本，哪种方式更经济？巴菲特认为前者更经济是因为BRK本身就是卖保险的，现在旗下子公司去买别人的保险（期货衍生品），要付保费给别的公司，如果自保就能省下这笔钱。
3、有没有条件承受剧烈波动？
更本质的问题是重资产更需要经营上的平稳，重资产公司通常伴随着高负债，如果现金流剧烈波动，不仅影响运营，更可能导致无法偿还债务利息，甚至破产。所以对于一家独立的、背负债务的航空公司或铁路公司，购买燃油对冲是绝对正确的——那是为了生存。
In fact, chapter 8 of Keynes’s General — chapter 12, I’m sorry — chapter 12 of Keynes’s “General Theory” is, by far, in my view, probably Charlie’s too, the best description of the way capital markets function, the real way people operate. It’s prescriptive, it’s descriptive. Everybody should read chapter 12. It’s a little — it starts a little slow in the first few pages. But Keynes — I’m going to read this because I don’t think Charlie has it in front of him. The first part of it is very familiar to people. I mean, this quote has been used a lot. But every word in this, to me, is right on the money. “Speculators may do no harm as bubbles on a steady stream of enterprise. But the position is serious when enterprise becomes the bubble on a whirlpool of speculation.” You can change that to “gambling” if you want to. “When the capital development of a country becomes a by-product of the activities of a casino, the job is likely to be ill-done.”
事实上，Keynes 的《General Theory》里第 8 章——抱歉，是第 12 章——Keynes 的《General Theory》第 12 章，在我看来毫无疑问（我想 Charlie 也会同意），是对资本市场如何运转、以及人们真实行为方式的最佳描述。它既是在“描述现实”，也在某种意义上带有“规范性”。每个人都应该读第 12 章。它在开头的几页会稍微有点慢热。但 Keynes——我现在要把这段读出来，因为我想 Charlie 手边可能没有这段原文。前半部分大家应该很熟悉——这句话被引用过很多次。但在我看来，这段里的每一个词都说到了点子上：“投机者可能并不会造成伤害，就像它们只是企业稳健洪流中的一些泡沫。但当企业本身变成投机漩涡中的泡沫时，局面就会变得严重。”如果你愿意，你也可以把这里的“投机”换成“赌博”。“当一个国家的资本形成，变成赌场活动的副产品时，这项工作很可能就会做得一塌糊涂。”
That’s the famous part of the quote. Keynes went on to say, “The measure of success attained by Wall Street, regarded as an institution of which the proper social purpose is to direct new investment into the most profitable channels in terms of future yield, cannot be claimed as one of the outstanding triumphs of laissez-faire capitalism - which is not surprising, if I am right in thinking that the best brains of Wall Street have been in fact directed towards a different object.” That was written in 1935. I don’t think there’s been anything better written about how government, how citizens, should look at Wall Street and what it does and it doesn’t. It’s always had this mixture of a casino operation and a very socially important operation. And when derivatives became popular, and academia was behind them 100 percent. They were teaching more about how to value an option than they were about how to value a business. And I witnessed that and it drove me crazy. But in 1982, Congress was considering, really, the expansion of a derivative contract to the general public in a huge, publicized way. It was the S&P 500 contract. That changed the whole derivatives game.
这是这段引文中广为人知的部分。Keynes 接着说道：“如果我们把 Wall Street 视为一个社会目的在于将新投资导向未来收益最丰厚渠道的机构，那么它所取得的成功衡量标准，很难被称作是自由放任资本主义的杰出胜利——如果我没猜错的话，这并不奇怪，因为 Wall Street 最优秀的头脑实际上被引导向了一个不同的目标。”这段话写于 1935 年。我认为，关于政府和公民应该如何看待 Wall Street 及其所作所为，没有比这写得更好的了。它一直兼具赌场运作和极具社会重要性运作的双重性质。当衍生品开始流行时，学术界百分之百地支持它们。他们教授的更多是如何为期权定价，而不是如何为企业估值。我亲眼目睹了这一切，这让我近乎疯狂。但在 1982 年，国会正在考虑以一种大规模且公开的方式，向公众推广一种衍生品合约。那就是 S&P 500 合约。那改变了整个衍生品游戏的规则。
At that point, basically, Wall Street just said, “Come on in, and everybody can speculate in an index. Not any real company, just an index. And you can buy it at 10 o’clock in the morning and sell it at 10:01, and you’re contributing to this wonderful society by doing it.” And I wrote a letter to Congressman Dingle, and we’ll put up exhibit 5. I just excerpted a few of the statements I made there. This was one month before they put in trading in the S&P 500, April. They put it in April, 1982, in Chicago; did a little in Kansas City first. And I went through four pages of things and I just pulled out a few things. But I think that, to some extent, what I forecasted then has turned out to be the case. And then it got squared and all of that, as both the people in Wall Street kept dreaming up new and new ways for people to gamble. And as I say, academia was applauding all along the way and getting hired as consultants to various exchanges to tell them how wonderful they were, in terms of their social purpose.
在那时，基本上 Wall Street 只是在说：“快来吧，每个人都可以对指数进行投机。不是任何真实的公司，仅仅是一个指数。你可以在早上 10 点买入，10 点 01 分卖出，并且通过这样做，你正在为这个美好的社会做出贡献。”我给 Congressman Dingle 写了一封信，我们会展示证据 5。我只是摘录了我在信中发表的一些言论。这是在他们于 4 月份推出 S&P 500 交易的一个月前。他们在 1982 年 4 月于芝加哥推出了这项交易；先是在堪萨斯城尝试了一下。我翻阅了四页的内容，只摘录了几点。但我认为，在某种程度上，我当时的预测已经成为了现实。接着情况变本加厉，因为 Wall Street 的人们不断想出各种新花样让人们去赌博。正如我所说的，学术界一路都在喝彩，并被聘为各家交易所的顾问，告诉他们就社会目的而言，他们是多么了不起。
I think that — well, it’s up there for you to read. I’d be glad — the whole letter was reprinted, I believe, in Fortune at one time, Carol. Was it—?
我认为——好吧，它就在上面供你们阅读。我很乐意——我相信这整封信曾一度在 Fortune 上全文转载，Carol。是吗——？
CHARLIE MUNGER: By the way, if I remember right, this was like the only letter in opposition to this uniformly acclaimed new world of better gambling in things related to securities. Warren wrote the letter —
CHARLIE MUNGER：顺便提一下，如果我没记错的话，这似乎是唯一一封反对这个被一致称赞的、与证券相关的博弈新世界的信。Warren 写了这封信——
WARREN BUFFETT: And it’s a —
WARREN BUFFETT：这是一个——
CHARLIE MUNGER: — all those years ago, and it was the only letter —
CHARLIE MUNGER：——就在多年前，那是唯一的一封信——
WARREN BUFFETT: Incidentally —
WARREN BUFFETT：顺便提一下——
CHARLIE MUNGER: He basically said the idea’s insane. It will do more harm than good. Then, as now, people didn’t pay that much attention to him.
CHARLIE MUNGER：他基本上是在说这个想法太疯狂了。它弊大于利。当时和现在一样，人们并没有对他给予太多的关注。
WARREN BUFFETT: And I’ll venture that very few people in this room know — you all know that if you buy a stock, you have to hold it for a very long period of time to get a special capital gains treatment on it. If you buy an S&P 500 contract at 11 o’clock and sell it at 11:01 and have a profit, it’s taxed 60 percent as a long-term capital gain, and 40 percent as short-term capital gain. So you really get better tax treatment if you’re gambling on an S&P 500 derivative, which is what it is, in Chicago, than you do if you invest for four or five months in some security and then have to sell it for some reason. It’s a tribute to the lobbying power of a rather small group that has done very well off this particular activity. Charlie, can you think of any reason why it’s 60 percent long-term gain if you hold something for 30 seconds? (Laughs)
WARREN BUFFETT：我敢说在座的很少有人知道——你们都知道，如果你买入一只股票，你必须持有很长一段时间才能获得特殊的资本利得税待遇。但如果你在 11 点买入一份 S&P 500 合约，在 11 点 01 分卖出并获利，其中 60% 按长期资本利得征税，40% 按短期资本利得征税。所以，如果你在 Chicago 赌 S&P 500 衍生品（事实就是如此），你实际上能获得比投资某项证券四五个月后因故卖出更好的税务待遇。这充分说明了一小群从这项特定活动中获利丰厚的人所拥有的游说力量。Charlie，你能想到任何理由，解释为什么持有 30 秒的东西就能被视为 60% 的长期收益吗？（笑声）
CHARLIE MUNGER: Well, of course it’s crazy. It’s neither fair nor sensible. But if a small group with a lot of money and influence cares a great deal about something and the rest of us are indifferent, why, they tend to win before our legislative bodies. That’s just the way it is. I always liked Bismarck’s remark that you shouldn’t watch two things: sausage making and legislation making. (Laughter)
CHARLIE MUNGER：嗯，这当然很疯狂。它既不公平也不合理。但如果一个拥有大量金钱和影响力的小群体非常在意某件事，而我们其他人却漠不关心，那么，他们往往会在我们的立法机构面前获胜。事实就是这样。我一直很喜欢 Bismarck 的名言，即你不应该观察两件事：制作香肠的过程和制定法律的过程。（笑声）
If you think about it carefully you realize how costly the equity index puts were in the financial crisis. Berkshire got the float from them to invest, but its negotiations with the rating agencies meant that, at a time when markets were in turmoil, during the very crisis that Warren had been waiting for all those years to put the tens of billions of dollars to cash to work, he couldn’t do it. He was able to participate in the market crash only in a tepid way. That opportunity cost has to be offset against the expected profit from those equity index puts. They weren’t worth it.
如果仔细想想，你会意识到在金融危机中，股指期权的成本是多么高。伯克希尔从中获得了资金进行投资，但与评级机构的谈判意味着，在市场动荡的时期，也就是沃伦多年来一直等待的危机中，他无法将数百亿美元的现金投入市场。他只能以一种温和的方式参与市场崩溃。这个机会成本必须与那些股指期权的预期利润进行抵消。它们并不值得。
虽然通过卖出股指看跌期权（Equity Index Puts）拿到了几十亿美元的期权费（即“浮存金”）用于投资，但爱丽丝·施罗德（Alice Schroeder）认为这笔交易从战略上限制了巴菲特，导致他在最关键的时刻无法施展拳脚。
具体原因如下：
1、评级机构的束缚 (Negotiations with Rating Agencies)
卖出这些期权衍生品后，为了维持伯克希尔哈撒韦的高信用评级（这对保险业务至关重要），巴菲特不得不应对评级机构的压力。评级机构要求他在市场动荡时保持极高的资本储备，以确保有能力赔付这些期权合约。
2、错失了“抄底”的黄金窗口 (Inability to Deploy Cash)
金融危机正是巴菲特等待多年的时刻——市场极度恐慌、资产价格极低。他手握数百亿美元的现金，本该像过去一样“别人恐惧时我贪婪”，大举进场扫货。
但因为上述评级机构的限制，他被捆住了手脚。他不敢或不能随意动用这些现金去大规模收购，只能以一种**“不温不火” (tepid way)** 的方式参与市场。
3、得不偿失 (The Math of Opportunity Cost)
损失的潜在利润 > 赚到的期权费。
如果他当时没有卖出这些期权，就没有评级机构的掣肘，他就能在市场底部将那数百亿美元投入到回报率极高的低估资产中。这种大规模抄底带来的长期回报，远远超过了卖出期权所获得的那点“浮存金”收益。
简而言之，为了捡那几十亿的“芝麻”（期权费），他丢掉了在危机底部买入优质资产的“西瓜”（巨大的投资机会），所以这里说“They weren’t worth it”（它们不值得）。
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.
两年前的 2008 年年度报告里，我告诉过你们，Berkshire 参与了 251 份衍生品合约（不包括子公司正常经营中使用的那部分，例如 MidAmerican，以及 Gen Re 里残留的那少数几份）。到了今天，对应的数量是 203 份，这一数字既反映了我们在组合中新增了少量合约，也反映了一些原有合约已经到期或提前平仓。
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.
我们目前持有的衍生品头寸——全部由我个人负责——大体可以分成两大类。在我们看来，这两类交易本质上都是类似保险的业务：我们收取“保费”，去承担别人不愿意继续持有的风险。事实上，我们在这些衍生品交易上的思考方式，与在保险业务中的思路完全一致。还有一点也很重要：进入这些合约时，我们是预先一次性收款的，因此不存在对手方信用风险。这一点非常关键。
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，是在 2004–2008 年间签下的一批合约：如果某些高收益债券指数中的公司发生债务违约，我们就需要按约定支付赔款。除去个别例外，每份合约的风险敞口期限约为五年，每份合约名义上覆盖 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.
总体来看，我们从这些合约中一共收取了 34 亿美元的“保费”。我在 2007 年年度报告里第一次向你们介绍这类合约时曾经说过，我预计这些合约会为我们带来“承保利润”——也就是说，最终发生的赔付总额会小于我们收取的保费。另外，我当时还提到，我们还会从这批交易中获得一笔可供运用的“浮存金”。
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.
之后的事你们都太清楚了：我们先是经历了一场金融恐慌，随后又遭遇了一次严重的经济衰退。高收益债券指数中的相当一部分公司破产倒闭，迫使我们累计支付了 25 亿美元的赔付。不过，到现在为止，我们在这类风险上的敞口基本已成“过去时”，因为大部分风险最高的那批合约已经到期。因此，目前几乎可以肯定，我们最终会像当初预计的那样，在这批交易中获得承保利润。此外，在这些合约存续期内，我们平均持有了约 20 亿美元的无息浮存金。简单说，我们当初定价定得很合理，这在三年前商业环境急转直下时，给了我们很好的保护。
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.
我们的另一大类衍生品头寸——这批合约通常被称为“equity puts”（股权看跌期权）——本质上是我们为一些机构提供的“股市保险”：它们希望对冲未来在美国、英国、欧洲和日本股市可能出现的大幅下跌风险。这些合约与一篮子股权指数挂钩，比如美国的 S&P 500、英国的 FTSE 100 等。在 2004–2008 年间，我们为这类合约一共签了 47 份，合计收取 48 亿美元保费，大多数合约期限为 15 年。在这些合约中，只有到期日的指数点位才会被用来结算：在此之前，我们无须也不可能支付任何款项。
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.
作为关于这批合约的最新进展，先汇报一件事：在 2010 年年底，应对手方的要求，我们提前对八份合约进行了平仓，这些合约原本的到期时间在 2021 至 2028 年之间。我们当初从这八份合约里收取了 6.47 亿美元保费，而此次平仓则需要支付 4.25 亿美元，因此我们实现了 2.22 亿美元的收益，而且在这三年里，我们一直无息、无任何限制地使用着这 6.47 亿美元。
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.
这些 2010 年的交易之后，我们账面上还剩下 39 份 equity put 合约。在这些剩余合约刚签订时，我们一共从中收取了 42 亿美元的保费。
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.”
这些合约未来会怎么走，当然是存在很大不确定性的。不过我们可以从一个角度来理解它们：如果在各份合约到期日时，相关指数的点位与 2010 年 12 月 31 日时完全相同，且各主要货币汇率也保持不变，那么在 2018 至 2026 年这段时间里，合约到期时我们总共需要支付 38 亿美元。你可以把这个数字称为这批合约的“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.
不过，在我们年末资产负债表上，对这 39 份剩余 equity put 合约所计提的负债却是 67 亿美元。换句话说，如果未来相关指数的点位一直停留在 2010 年 12 月 31 日的水平不变，我们将在未来若干年内确认一笔高达 29 亿美元的收益——这正是目前账面负债 67 亿与结算价值 38 亿之间的差额。我个人认为，股价从现在到合约到期之间很大概率会有所上涨，相应的，我们就有机会在此期间看到这项负债显著减少。如果真是那样，从现在这一刻算起，我们最终获得的收益将会比 29 亿更大。当然，这一切都远谈不上“板上钉钉”。
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.
可以确定的一点是，我们还能在平均大约未来 10 年里，继续使用这 42 亿美元的剩余“浮存金”。（无论这部分浮存金，还是前面高收益债合约所形成的浮存金，都没有计入 660 亿美元保险浮存金的统计口径中。）既然资金本身是可以互换的，你不妨把其中一部分视作当初我们用于收购 BNSF 的资金来源。
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.
正如我之前跟你们说过的，我们几乎所有衍生品合约都不要求我们提供任何形式的抵押品——这一事实，客观上压低了我们本可以多收的一部分保费。但这一安排也让我们在金融危机期间感到非常从容，使我们能够在那段日子里出手做成几笔很划算的收购或投资。事实证明，少赚一点衍生品保费，换来那种安全感和灵活性，是非常值得的。
15. Derivatives still a “danger to the system”
衍生品仍是“系统的危险”
WARREN BUFFETT: OK, shareholders section 3.
WARREN BUFFETT：好的，股东部分第 3 节。
AUDIENCE MEMBER: Good morning Mr. Buffett and Mr. Munger. My name’s Adam Bergman. I’m with Sterling Capital in Virginia Beach. In your 2008 shareholder letter, you said, “Derivatives are dangerous… They have made it almost impossible for investors to understand and analyze our largest commercial banks and investment banks.” So my question for you is: how do you analyze and value companies like Bank of America Merrill Lynch and other commercial banks that Berkshire has investments in, relative to their significant derivative exposures? Thanks.
观众：早上好，Mr. Buffett 和 Mr. Munger。我叫 Adam Bergman。我来自 Virginia Beach 的 Sterling Capital。在你们 2008 年的股东信中，你说过：“衍生品是危险的……它们使得投资者几乎不可能理解和分析我们最大的商业银行和投资银行。”所以我的问题是：考虑到 Bank of America Merrill Lynch 以及 Berkshire 投资的其他商业银行拥有大量的衍生品风险敞口，你如何对这些公司进行分析和估值？谢谢。
WARREN BUFFETT: Yeah, derivatives do complicate the problem very dramatically. Now, they are moving away to being collateralized, which helps. But there’s no question that if you asked me to describe the derivative position of the B of A, for example, I would know that they have done a conscientious job and worked hard at properly evaluating. But the great danger in derivatives is if there’s a discontinuity. If there’s not discontinuities, you probably don’t have much of a problem, assuming they get marked to market, and collateralized, and so on. But if the system stopped for a while — the system stopped after 9/11 for three or four days. It stopped at the time of World War One. They closed the New York Stock Exchange for many months. They debated closing the stock exchange, very seriously, the day after October 19, 1987. And it was — there were a lot of people that wanted to close it. And on that Tuesday morning, it looked like it was about to stop, but it continued.
WARREN BUFFETT：是的，衍生品确实极大地增加了问题的复杂性。现在，它们正转向抵押化，这有所帮助。但毫无疑问，如果你让我描述比如 B of A 的衍生品头寸，我会知道他们已经尽职尽责地工作，并努力进行了适当的评估。但衍生品最大的危险在于是否存在“不连续性”。如果没有这种不连续性，假设它们按市值计价、有抵押等等，你可能不会遇到太大的问题。但如果系统停止运行一段时间——9/11 之后系统停止了三四天。第一次世界大战期间它也停止过。New York Stock Exchange 关闭了许多个月。在 1987 年 10 月 19 日之后的一天，他们曾非常严肃地讨论过关闭证券交易所。而且当时有很多的人想关闭它。在那个周二的早上，情况看起来像是要停止了，但它还是继续运行了。
But if you had a — if you have a major cyber, nuclear, chemical, biological, attack on the country — which will certainly happen at some point — if you have a major discontinuity, then you’ll have a lot of problems, a lot of problems. But you will also — when things reopen — you will find there can be enormous gaps in things that you thought were fully protected by collateral, and that sort of thing, or netting arrangements, and that type of thing. So I regard very large derivative positions as dangerous. We inherited a modest- sized position at Gen Re and, in a benign market, we lost about $400 million, just in trying to unwind it, with no pressure on us whatsoever. So I do think it continues to be a danger to the system.
但如果你遇到——如果你国家遭遇了重大的网络、核、化学、生物攻击——这在某个时刻肯定会发生——如果你遇到重大的不连续性，那么你就会有很多麻烦，很多麻烦。但是你也会——当事情重新开放时——你会发现，在你认为完全受到抵押品之类保护的东西，或者净额结算安排之类的事情中，可能会出现巨大的缺口。因此，我认为非常庞大的衍生品头寸是危险的。我们在 Gen Re 继承了一个规模适中的头寸，在良性的市场环境下，仅仅为了平仓我们就损失了大约 4 亿美元，而当时我们没有任何压力。所以我确实认为这继续是系统的一个危险。
CHARLIE MUNGER: By the way, the accountants blessed that big derivative position as being worth a lot of money. They were only off, what, many hundreds of millions.
CHARLIE MUNGER：顺便说一句，会计师们曾批准那个庞大的衍生品头寸，认为它价值不菲。他们只差了多少，好几亿美元。
WARREN BUFFETT: Yeah, well. Charlie found one position when he was on the audit committee at Salomon. I think it was mismarked by $20 million. I actually, by happenstance, happen — I do know of one incredibly mismarked position — doesn’t affect any of our operations — but it almost staggers the mind to know the way that position is marked. And you can only come to the conclusion that some trader got somehow — influenced whoever did mark it, or marked it himself, heaven forbid, and probably just influenced someone. Or they didn’t know enough. Some of these things get so complicated, they are very hard to evaluate. That’s the kind that have the most profit in them, usually, so they were quite enthusiastic about those when we were at Salomon. They can be extraordinary hard to mark. And, like I say, I know one that’s so mismarked it would blow your mind. And, you know, the auditors, I don’t think, are necessarily capable of holding that behavior in check.
WARREN BUFFETT：是的，好吧。Charlie 在 Salomon 担任审计委员会成员时发现了一个头寸。我记得当时标错了 2000 万美元。实际上，由于机缘巧合，我确实知道一个标错得令人难以置信的头寸——这不影响我们的任何业务——但知道那个头寸标价的方式简直令人瞠目结舌。你只能得出一个结论，就是某个交易员以某种方式——影响了负责标价的人，或者是他自己标的价，上帝保佑千万别是这样，很可能只是影响了某人。或者是他们了解得不够。其中一些东西变得如此复杂，以至于很难评估。这类东西通常利润最高，所以当我们在 Salomon 的时候，他们对这些东西非常热衷。它们可能极其难以标价。而且，正如我所说，我知道有一个标错得如此离谱，会让你大吃一惊。而且，你知道，我认为审计师们未必有能力抑制这种行为。
It’s very interesting, because now there’s really four big auditing firms, and obviously, they’re auditing companies where there’s a derivative position, and they’re auditing company A that’s on one side of the transaction, and they’re auditing company B that’s on the other side of the transaction. In some cases, it’s the same auditor. And I will guarantee you that there’s plenty of times when the marks on what they’re attesting to are significantly different, which would be an interesting exercise to pursue, in terms of checking those numbers out. Derivatives are still dangerous, in large quantities, and we have — we would not do them, on a collateralized basis, because if there was a discontinuity, I don’t know exactly where we would end up, and I’m never going to get us in a position where we could have money demanded of us and not be able to fulfill it with ease, and with me sleeping well. So we won’t engage in it.
这非常有趣，因为现在实际上只有四大审计师事务所，显然，他们审计的公司都拥有衍生品头寸，他们既审计处于交易一方的 company A，也审计处于交易另一方的 company B。在某些情况下，甚至是同一个审计师在审计。我可以向你保证，很多时候他们所证明的计价（marks）存在显著差异，如果去核对这些数字，那将是一个有趣的练习。大额衍生品仍然是危险的，我们——我们不会在有抵押的基础上进行衍生品交易，因为如果出现不连续性，我不知道我们最终会处于什么境地，我永远不会让我们陷入一种可能被要求出资却无法轻松履行、让我无法安稳入睡的境地。所以我们不会参与其中。
We’ve got some in runoff, but so far we’ve made money and had the use of money for a decade or more, and it’s been very attractive for us. But that does not entice me, at all, into doing any derivative transactions that would involve collateral, when collateral is not required. It’s still a potential time bomb in the system. Anything where discontinuities — and basically that means closing up and stopping trading markets from functioning — anything where discontinuities can exist, can be real poison in markets. Kuwait, some years ago, went to a very delayed system on settlement of stock purchases, so they didn’t have to settle up for six months or thereabouts. And it caused all kinds of problems, because, you know, you’ve got an IOU from somebody for six months and if you got zillions of those, a lot of trouble can ensue. So I agree with your general caution.
我们有一些正在到期结算（runoff）的头寸，但到目前为止我们已经赚到了钱，并且使用了这些资金十年或更久，这对我们非常有吸引力。但这完全不会诱使我在不需要抵押的情况下，去进行任何涉及抵押的衍生品交易。它仍然是系统中的一个潜在时间炸弹。任何可能出现不连续性的情况——基本上这意味着关闭并停止交易市场的运作——任何可能存在不连续性的情况，都可能成为市场中的真正毒药。多年前，Kuwait 在股票购买结算上采用了一个非常延迟的系统，所以他们在大约六个月内都不必结算。这引发了各种各样的问题，因为，你知道，你手里拿着某人六个月的欠条，如果你有无数张这样的欠条，就会产生很多麻烦。所以我同意你普遍的谨慎态度。
I’m not in the least troubled by our Bank of America investment, nor our Wells Fargo — we added to Wells Fargo — and our Bank of America position, right now, is a preferred stock, but we’re very likely to exercise the warrants on that. On the other hand, there are a great number of banks in the world. If you take the 50 largest banks in the world, we wouldn’t even think about probably 45 of them. Wouldn’t you say that, Charlie?
我对我们对 Bank of America 的投资一点也不担心，对 Wells Fargo 也是如此——我们增持了 Wells Fargo——而我们目前持有的 Bank of America 头寸是优先股，但我们很有可能行使其中的认股权证（warrants）。另一方面，世界上有大量的银行。如果你看全球最大的 50 家银行，我们可能连其中的 45 家想都不会去想。你说呢，Charlie？
CHARLIE MUNGER: Well, we’re in the awkward position where I think we’ll probably make about $20 billion out of derivatives, and just those few contracts that you and Ajit [Jain] did years ago. All that said, we’re different from the banks. We would really prefer it if those derivatives had been illegal for us to buy. It would have been better for our country.
CHARLIE MUNGER：好吧，我们处于一个尴尬的境地，我想我们可能会从衍生品中赚到大约 200 亿美元，而这仅仅是你和 Ajit [Jain] 多年前签订的那几份合同。尽管如此，我们与银行不同。我们真的更希望当初我们购买这些衍生品是非法的。那样对我们的国家会更好。
11、《2020-05-02 Berkshire Hathaway Annual Meeting》
50. No “surprise” liabilities in Berkshire’s stock derivatives contracts
伯克希尔的股票衍生品合同中没有“意外”负债
BECKY QUICK: All right, this question comes from Bob (Coleman). He says, “Warren, could you bring us up to date with the status of your equity put contracts? Sourcing the 2019 — ”
贝基·奎克：好的，这个问题来自鲍勃（科尔曼）。他说：“沃伦，你能告诉我们你股票认沽合约的最新情况吗？关于 2019 年的——”
WARREN BUFFETT: Yeah.
沃伦·巴菲特：是的。
BECKY QUICK: ” — annual report, found on page 60, it appears at 2019 year-end, the fair value liability was just under a billion dollars. And if the indexes decline 30 percent, the liability obligations balloon to $2.7 billion. “So, if the indexes are down 60 percent, would Berkshire’s obligation be close to 5 1/2 billion dollars? Does that math seem reasonable? And are there any loose ends or open exposures associated with — ”
贝基·奎克：“——年报，在第 60 页上可以找到，2019 年年末，公允价值负债刚好不到十亿美元。如果指数下降 30%，负债义务将膨胀到 27 亿美元。”“所以，如果指数下跌了 60%，那么伯克希尔的义务会接近 55 亿美元吗？这个计算看起来合理吗？是否还有与此相关的任何未解决的问题或开放的风险——”
WARREN BUFFETT: No, they — we — between 2004, I think, and 2006, I think we wrote 48 — maybe 50 contracts — something like that. The shortest was 15 years. The longest was 20 years. And we received, as I remember, roughly $4.8 billion, which we were free to do with what we wanted. And we agreed to pay based on where one or more of four indices were selling for, at the time of expiration. They were so-called European style puts, where they’re only payable based on one date. And we did not have — with a small exception — we did not have to put up collateral, which was part of the deal.
沃伦·巴菲特：不，我们——在 2004 年到 2006 年之间，我想我们签了 48 份——也许是 50 份合同——大概是这样的。最短期限是15年，最长是20年。记得当时我们收到了大约48亿美元的资金，可以自由支配。我们同意在到期时，按照四个指数中的一个或多个的表现支付。他们是所谓的欧洲式看跌期权，只需在到期日根据一个日期支付。而且，除了一个小例外，我们不需要提供担保，这是协议的一部分。
And we’ve had that $4.8 billion — we probably had an original nominal value of something over 30 billion, maybe 35 billion — that’s if everything went to zero. I mean, if the Dow Jones went to zero, the FTSE went to zero, and the Nikkei and so on. A number of those have run off. So, we now have about 14 billion, nominal. We have something less than half left. We haven’t paid out anything significant. We bought back a few of them.
我们有那 48 亿美元——我们最初的名义价值可能超过 300 亿美元，也许是 350 亿美元——那是如果一切都归零的情况下。我是说，如果道琼斯归零，富时 100 归零，日经指数等等。其中一些已经到期了。所以，现在我们还有大约140亿美元的名义金额，剩下的不到一半。我们还没有支付任何显著的费用，只是回购了其中的一部分。
If everything went to zero, we would owe 14 billion. If everything were to sell at the same price it was selling for on March 31st, I think the number is some — I think it’s somewhat less than we carry as a liability on the balance sheet, which is two-and-a-fraction billion. So far, so good. I mean, we’ve, had the use of a lot of money, and the outstanding potential of them is, if the market went up a lot, we wouldn’t have to pay anything, and if it goes down some more, we have to pay more than a couple of billion, but we’ve had the liability set up for that.
如果一切都归零，我们将欠下140亿美元。如果所有资产都按3月31日的价格出售，我认为金额会比我们在资产负债表上列为负债的数额稍微少一些，大约是20多亿美元。到目前为止，一切还不错。我的意思是，我们使用了大量资金，而这些期权的潜在风险是，如果市场大幅上涨，我们不需要支付任何费用；如果市场继续下跌，我们可能需要支付超过几亿美元，但我们已经为此预留了负债。
But so far, so good, on that. And it is not anything that causes us any problem. They come due — the final one — I think comes due sometime in 2023. I think there’s — I think maybe 20 or 25 percent of them come due late this year. And so, it’s — there’s nothing — the questioner doesn’t really understand about them, I can tell by the question — and there’s no surprises there. There’s — there’s no way that some liability could double up on us, except based on — except relating to where those indices close at the expiration of a group of different puts, which, like I said, have been more than cut in half. And we’ve done very well on it.
到目前为止，这方面一切顺利，这并没有给我们带来任何问题。最后一笔期权，我记得应该在2023年到期。我想大约有20%或25%的期权会在今年晚些时候到期。所以，没什么可担心的——从提问来看，提问者并没有真正理解这些期权的运作——并且这里也没有任何意外。唯一可能增加我们负债的方式是，这些指数在一组不同的看跌期权到期时的收盘价表现。不过，正如我所说，相关负债已经减少了一半以上，我们在这方面表现得非常好。
Key to that — 关键在于——
BECKY QUICK: Warren, you mentioned a few minutes ago that you —
贝基·奎克：沃伦，你几分钟前提到你——
WARREN BUFFETT: Well, I was just going to say, key to that was — with just a couple of tiny exceptions — we did not — we did not agree to put up collateral. We never would have gotten ourselves in that position, and — That was — when we made the deals, we would just would not get ourselves in that position. And we never, never, will, where on a given date, we could have some tremendous obligation that would come due that we weren’t counting on getting — having come due.
沃伦·巴菲特：我正要说，关键在于——除了极少数的例外——我们没有同意提供担保。我们绝不会让自己陷入那种境地。当我们达成这些交易时，我们明确不愿意让自己处于那种境地。而且我们永远都不会这样做，绝不会让自己在某个特定日期面临巨额到期义务，而这种义务是我们没有预料到的。
I’m done, then, Becky, yeah.
我完成了，那么，贝基，是的。
12、《2023-05-03 Todd Combs.Meeting Munger, Buffett and Joining Berkshire》
Conversely, understanding where the risks are that people don’t appreciate. One of things I remember both Warren and Charlie and I discussed in our first meetings was… In fact, the first book I gave both of them is this book called Ubiquity by Mark Buchanan. It’s about power laws and fractal laws and how low-frequency, high-severity… And the higher up you go on severity, it’s not linear. We all tend to think linearly about life and about risk, but in fact it’s much more about a power law which is a logarithmic-type function.
相反，了解人们未能意识到的风险所在。我记得沃伦和查理以及我在第一次会议上讨论的事情之一是……实际上，我送给他们的第一本书是这本名为《Ubiquity》的书，作者是马克·布坎南。它讲述了幂律和分形法则，以及低频率、高严重性……而且在严重性上升时，它不是线性的。我们都倾向于线性思考生活和风险，但实际上，这更多的是关于幂律，这是一种对数型函数。
When you double a severity, generally the frequency goes down by a larger factor. Almost with anything. Whether it’s catastrophes like hurricanes or war or anything. It could be good things, too, by the way. But looking for that and thinking about that in a business, in terms of where they’re taking risks.
当你将严重性加倍时，通常频率会以更大的因素下降。几乎适用于任何事物。无论是飓风或战争等灾难，还是其他任何事情。顺便说一下，这也可以是好事。但在商业中考虑这一点，思考他们在承担风险的地方。
The words that I remember stuck with both Warren and Charlie were having way-out-of-the-money puts. A lot of people have…
我记得沃伦和查理都提到过的词是“深度虚值的puts”。很多人都有……
NFM: Can you say that again?
NFM：你能再说一遍吗？
TC: Sorry, selling way-out-of-the-money puts. You can do this in life — it’s essentially like borrowing from the future or ignoring a risk. Selling a way-out-of-the-money put, you’ll win nine out of ten times — but that tenth time, you get tattooed. You lose everything. I think the closest analogy is how Warren and Charlie talk about the insurance business. And, more specifically, last year Charlie was the one who commented that the brilliance of Ajit [Jain] is not the premiums that he’s grown and the money that he’s made, it’s avoiding selling cheap out-of-the-money puts. That’s where the rubber [really] meets the road because anyone can do that (selling those puts).
抱歉，卖出远离实值的看跌期权。你可以在生活中这样做——这本质上就像是从未来借钱或忽视风险。卖出远离实值的看跌期权，你十次中有九次会赢——但第十次，你就会遭受重创。你会失去一切。我认为最接近的类比是沃伦和查理谈论保险业务的方式。更具体地说，去年查理评论说，阿吉特[贾因]的聪明之处不在于他所增长的保费和赚到的钱，而在于避免出售便宜的虚值看跌期权。这才是真正的关键，因为任何人都可以做到这一点（出售这些看跌期权）。
这一段评论可能跟买入Capital One有些关系，BRK在2023年一季度（即该访谈发布前后）建仓了Capital One。
- 传统印象 vs. 实际策略： Capital One传统上被认为是一家依赖次级贷款（Subprime）的银行。在金融危机中，次级贷款往往具有“卖出看跌期权”的特征——平时赚取高利息，一旦经济崩盘（极端情况发生），损失可能吞噬所有利润。
- Todd Combs的潜台词： 他强调Ajit Jain的智慧在于“避免”这种行为。这暗示伯克希尔买入Capital One的逻辑，可能正是因为管理层（如CEO Richard Fairbank）并没有像外界担忧的那样去“卖出廉价的看跌期权”，即没有在风险定价不足的情况下盲目通过高风险贷款扩张。
问题是次贷客户能不能建立有效的护城河？品牌显然不适合次贷客户，剩下的办法是低成本的竞争优势，Capital One的策略是软件技术，通过软件和数据做出差异化，也通过软件和数据实现轻量化。
对比BRK旗下的NICO，从事商品化的业务并且也没有低成本的竞争优势，但是通过难以复制的管理者心态：不赚钱的时候果断收缩业务，因为没几个竞争对手能做到这一点，照样做的不错。
You see it in banking all the time. You see it in finance all the time. You see it when hedge funds blow up, when banks blow up, etc. They are, essentially, selling way-out-of-the-money puts. They’re betting that something extreme doesn’t happen. And, look, we all make mistakes — but, oftentimes, the risk is right there. It’s very obvious. It’s just that they’ve completely mis-priced it or they’ve not even thought about it or taken it into account. Sometimes it’s greed [or] time horizons get arbitraged. Charlie talks about bankers getting paid annual bonuses versus taking five-plus year risks.
你在银行业中经常看到这种情况。在金融领域中你也经常看到。当对冲基金崩溃、银行崩溃时等等。他们本质上是在卖出深度虚值的看跌期权。他们在押注极端事件不会发生。而且，看看，我们都会犯错误——但很多时候，风险就在眼前。非常明显。只是他们完全错误定价，或者根本没有考虑到这一点。有时是贪婪[或]时间范围被套利。查理谈到银行家获得年度奖金与承担五年以上的风险。
I’ve always been really, really fascinated with that and my mind has always worked very much that way — so that, when I look at businesses and look at companies, I look for those. I start at the edges and look for those. Where are they taking those risks that are laying below the surface? GE Capital is a very poignant example that everybody is aware of. You look for asymmetries, basically. You’re looking for asymmetric risk and you’re looking for asymmetric upside that is also unaccounted for.
我一直对这种情况非常着迷，我的思维方式也一直是这样的——所以，当我审视业务和公司时，我会寻找那些隐藏在表面之下的风险。我从边缘开始，寻找这些风险。GE Capital是一个非常鲜明的例子，大家对此都很清楚。你基本上是在寻找不对称性。你在寻找不对称风险，以及未被考虑的不对称上行潜力。
13、《2023-08-08 ZWW.高盛的结构化方案和我们的回复》
我们跟高盛有做一点Binary Option，这一类的结构可以有很多的变种。
一、有保底的方案
对标S&P500，拿掉部分上行收益保下行风险，如下：
Issuer: GSI (Moody’s: A1 / S&P: A+ / Fitch: A+ as of Mar22)
| Tenor (mth) | Currency | Underlying Index | Floor | Cap | PR |
| 12 | USD | SPX | 100% | Uncapped | 53.58% |
| 12 | USD | SPX | 95% | Uncapped | 66.17% |
| 12 | USD | SPX | 100% | 8.37% | 100% |
| 12 | USD | SPX | 95% | 10.97% | 100% |
At maturity:
If Final >= Initial , Client receives 100% + PR * Min(Cap, Underlying Final/Initial -1)
Else if Final < Initial, Client receives Max (Floor, Underlying Final/Initial)
我觉得这样的案例是一种参考，说明一个问题：大部分的复杂结构是没事找事，我们买入Binary Option是因为对冲风险，而风险的源头是根本上不存在的风险（这里不展开），以下是我的回复。
很感谢你提供的方案。
我们目前只有一些朴素的想法，比如：
1、手上有现金等着买入股票，我们会想着sell put，如果行权相当于折价买入，因为本来就想买；
2、手上已经持有股票，我们有可能会想着sell call，卖个高位，比如，30倍市盈率、2倍市净率以上的BRK，我们觉得有点高了，如果真卖了拿到现金后接着sell put，如果没有卖掉收到期权费相当于免费买了BRK。
你的方案通过让渡收益的方式保底，担心会跌，但凡我们买入或者准备买入的都没有这种担心，如果有就不干了，不操这份心，我们想着卖点期权单纯冲着时间价值去的。
二、没有保底的方案
对标S&P500，上一个方案里我们回复不担心下行风险，这个方案不保底，符合条件的上行有收益增强的效果。
The structure is designed for client who is bullish S&P500.
- If S&P rallies at one year mark (1 single tick rally would be enough), client will enjoy a decent income (double digit coupon) and structure would terminate.
- If it is not the case, then at the maturity, client would benefit from an enhanced exposure compared to owing SPX outright: 2x exposure on the upside with 1 to 1 exposure on the downside.
Enhanced Autocall
Issuer: GSI (Moody’s: A1 / S&P: A+ / Fitch: A+ as of Mar22)
Tenor (mth) | Currency | Underlying Index | Coupon | Strike | KO Barrier | PR |
24 | USD | .SPX | 12.80% | 100% | 100% | 200% |
36 | USD | .SPX | 11.10% | 100% | 100% | 200% |
KO Event: If the Underlying closes above the KO barrier on KO observation date (observed at end of Y1)
KO Payoff: If KO Event occurs, 100% + Coupon
At maturity: if KO Event has not occurred, Client receives
If Final >= Initial : 100% + PR*(Final / Initial – 1)
Else if Final < Initial : Final / Initial
以下是我的回复：
1、交易结构本身不创造价值，交易双方是负和游戏，总是有成本的；
2、只是在收益曲线上腾挪，有点类似于医美，喜欢胸大的，不注意的地方割一块补胸；喜欢屁股的，不注意的地方割一块补屁股；喜欢大长腿的。。。
3、价值和对赌是两种不一样的思维方式，价值从长期考虑问题，对赌考虑短期的可能性。
三、现金管理的方案
对标Federal Funds Rate (Ticker: FEDL01 Index) ，并且增添了复利的算法，具体方案如下：
Cash Note Details
•GS Cash Note could provide client with daily liquidity & policy rate access net certain spread across multiple currencies.
Product Sample – USD Cash Note
•Key Features
1.Product is a Goldman Sachs International [A1 (Moody's) / A+ (Standard & Poor's) / A+ (Fitch), as of Aug23] issued note denominated in USD.
2.It accrues Federal Funds Rate (Ticker: FEDL01 Index) – 0.3% p.a. daily.
3.Both note issuer and investor can terminate the note on any valuation day (no extra cost).
4.Current Federal Funds Rate is 5.33% so the current 1 year yield of the Note would be 5.22% factoring compounding benefits (interest on interest).
•Key Risks
1.If Federal Funds Rate goes below 0.3%, note can have a negative return. Both issuer andinvestors have the option to terminate the note on any valuation day.
2.The note will be subject to issuer’s credit risk although the credit spread does not affect the note valuation.
Cash Note Available Across Currencies
Happy to look into other currencies although we appreciate that USD is your primary focus.
Product Sample – USD Cash Note
•Key Features
1.Product is a Goldman Sachs International [A1 (Moody's) / A+ (Standard & Poor's) / A+ (Fitch), as of Aug23] issued note denominated in USD.
2.It accrues Federal Funds Rate (Ticker: FEDL01 Index) – 0.3% p.a. daily.
3.Both note issuer and investor can terminate the note on any valuation day (no extra cost).
4.Current Federal Funds Rate is 5.33% so the current 1 year yield of the Note would be 5.22% factoring compounding benefits (interest on interest).
•Key Risks
1.If Federal Funds Rate goes below 0.3%, note can have a negative return. Both issuer andinvestors have the option to terminate the note on any valuation day.
2.The note will be subject to issuer’s credit risk although the credit spread does not affect the note valuation.
Cash Note Available Across Currencies
Happy to look into other currencies although we appreciate that USD is your primary focus.
Pricing as of 07-Aug-2023. Source: Goldman Sachs FICC and Equities, as of Aug 2023. Goldman Sachs does not provide tax, accounting, investment or legal advice to our clients, and all our clients are advised to consult with their own advisers regarding any potential investment/transaction. This material is for discussion purposes only, and does not purport to contain a comprehensive analysis of the risk/rewards of any idea or strategy herein. Subject to GS internal approvals. In the event of a GS default, maximum loss is full capital invested, and recovery on notes will be determined based on claim seniority, potential note payoff and the prevailing market conditions
Indicative Note Terms
以下是我跟机构之间的讨论：
我：产品看着没什么问题，但我们真心不喜欢带上结构的东西，对喜欢搞点结构的机构总有些不放心，如果搞结构是有能力的表现，那么搞了这么多年资本充足率不怎么样？
机构：资本充足率我们都是符合银行监管要求的。
我：是的，搞结构的时候追求高标准，为什么不是同样的标准追求资本充足率，仅仅是符合最低的标准？
机构：我们的交易建议都是highly confidential，请不要外传哈。
我：不会的，我们自己不准备做的也不会向别人推荐。
不会下跌的 Bitcoin ETF
I have written before about a derivatives structuring party trick. The trick is that I can take an asset — some stock or index or commodity or whatever — and offer you the following trade: You give me $100. I invest $96 in a Treasury bill that will pay me $100 in a year. I invest another $4 in one-year at-the-money call options on the asset. If the asset goes up over the next year, the call options pay off the return on the asset. If it goes down, the call options pay off $0. In any case, the Treasury bill pays off $100. I put this together in a shiny package for you. The package is: “You get the returns on the asset with no risk. If the asset goes up, I pay you the return. If it goes down, I give you your $100 back. Don’t you want that?”
我之前写过一个关于衍生品结构设计的派对技巧。这个技巧是，我可以拿一个资产——某只股票、指数、大宗商品或其他任何东西——并向你提供以下交易：你给我 100 美元。我将 96 美元投资于一年后支付我 100 美元的国库券。我再用 4 美元购买该资产的一年期平值看涨期权。如果资产在接下来的一年里上涨，看涨期权将支付该资产的回报。如果下跌，看涨期权的支付为 0。无论如何，国库券都会支付 100 美元。我把这一切包装成一个光鲜的产品给你。这个产品是：“你可以获得该资产的回报，而没有风险。如果资产上涨，我支付你回报。如果下跌，我把你的 100 美元还给你。你不想要吗？”
It’s a good trick. The annoying problem is that, on reasonable assumptions, for most assets, I can’t really buy the right amount of call options for $4. Maybe I can buy call options on half of the notional amount: “I give you 50% of the return on the asset if it goes up, but I give you your money back if it goes down.” Or I can buy a call spread on the full amount: “I give you the return on the asset if it goes up, but only up to some cap; if it’s up more than 10%, you only get the 10%. (And you get your money back if it goes down.)”
这是一个不错的技巧。令人烦恼的问题是，在合理的假设下，对于大多数资产，我无法真正用 4 美元买到合适数量的看涨期权。也许我可以购买名义金额一半的看涨期权：“如果资产上涨，我给你 50% 的回报，但如果下跌，我退还你的资金。”或者我可以购买完整金额的看涨价差期权：“如果资产上涨，我给你回报，但最多只能上涨到某个上限；如果涨幅超过 10%，你只能获得 10% 的回报。（如果下跌，我退还你的资金。）”
Is that appealing? Eh, I don’t know, maybe. Depends on how much upside you get. If your upside is capped at 5%, then you’d probably be better off investing in Treasury bills and getting a guaranteed 4+%. If your upside is capped at 50% then that seems good. Also depends on how much upside you were expecting. A product that caps your Trumpcoin upside at 10% feels pointless; the whole point of Trumpcoin is that it’s a lottery ticket and you are hoping for huge returns. A product that caps your return on utility stocks at 10%, with no downside, seems nice.3
这有吸引力吗？呃，我不知道，也许吧。取决于你的上行空间有多大。如果你的上行空间被限制在 5%，那么你可能还不如投资国债，获得 4%以上的保证收益。如果你的上行空间被限制在 50%，那看起来不错。也取决于你原本的预期收益。如果一个产品将你的 Trumpcoin 上行空间限制在 10%，那就显得毫无意义；Trumpcoin 的整个意义就在于它像一张彩票，你希望获得巨额回报。而如果一个产品将你的公用事业股票回报限制在 10%，且没有下行风险，那看起来不错。
Anyway: 无论如何：
John Koudounis, President and CEO of Calamos, announced the expansion of the Calamos Protected Bitcoin ETF Suite through two new ETFs offering upside growth potential of bitcoin with 90% (CBXJ) and 80% (CBTJ) protection levels over a one year outcome period. He stated, "This enhancement builds upon the announcement of CBOJ, the world's first 100% Protected Bitcoin ETF, and continues our tradition of bringing innovative options-based and risk managed investment solutions to the marketplace."
Calamos 总裁兼首席执行官 John Koudounis 宣布，通过两只新的 ETF 扩展 Calamos Protected Bitcoin ETF Suite，这两只 ETF 在一年期结果期间分别提供 90%（CBXJ）和 80%（CBTJ）的比特币保护水平，同时具有上涨增长潜力。他表示：“这一增强基于 CBOJ 的发布——全球首只 100% Protected Bitcoin ETF，并延续了我们为市场带来创新的基于期权和风险管理的投资解决方案的传统。”
CBOJ will launch on January 22, 2025, offering upside potential to bitcoin to a cap with 100% downside protection over a one-year outcome period. On February 4, 2025, Calamos will list CBXJ and CBTJ, providing 90% and 80% downside protection levels respectively, with correspondingly higher upside cap rates:
CBOJ 将于 2025 年 1 月 22 日推出，在一年期结果期间提供比特币的上涨潜力至上限，并具有 100% 的下行保护。2025 年 2 月 4 日，Calamos 将上市 CBXJ 和 CBTJ，分别提供 90% 和 80% 的下行保护水平，并具有相应更高的上涨上限率。
CBOJ with 100% downside protection and an estimated cap range of 10%-11.5%
CBOJ 具有 100% 下行保护，预计上限范围为 10%-11.5%。
CBXJ with 90% downside protection and an estimated cap range of 28%-31%
CBXJ 具有 90% 的下行保护，预计上限范围为 28%-31%
CBTJ with 80% downside protection and an estimated cap range of 50%-55%
CBTJ 具有 80% 的下行保护，预计上限范围为 50%-55%
Would you want to buy (1) Bitcoin but (2) it can’t go down but (3) it can’t go up more than 11.5%? Maybe! I guess the bet is yes. I suppose this is a bet on the maturity of the Bitcoin market, something like: “Serious investors want to buy Bitcoin, but they are not looking for big returns from Bitcoin; they just don’t want to lose money. So we’ll give them safe Bitcoin capped at an 11.5% return.” Seems weird to me, but perhaps in a few years it won’t. Obviously the 80 x 155 collar is more intuitive.
你想要购买 (1) Bitcoin，但 (2) 它不会下跌，而 (3) 它的涨幅不会超过 11.5% 吗？也许吧！我猜这个赌注的答案是“是”。我认为这是一种对 Bitcoin 市场成熟度的押注，大致意思是：“严肃的投资者想要购买 Bitcoin，但他们并不指望从 Bitcoin 获得巨额回报；他们只是不想亏钱。所以我们给他们提供了一种安全的 Bitcoin，收益上限为 11.5%。” 这对我来说有点奇怪，但也许再过几年就不会了。显然，80 x 155 领口策略更直观。
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