巴菲特：衍生品（2002年伯克希尔哈撒韦年报）

时间：2002年12月31日

来源：[伯克希尔哈撒韦公司网站](https://www.berkshirehathaway.com/2002ar/2002ar.pdf)

原文标题：Derivatives

查理和我对衍生品及其相关的交易活动的看法是一致的：我们认为它们是定时炸弹，不仅对参与其中的各方，也对整个经济体系。

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.

在回到这个想法之前，让我先来解释一下衍生品，虽然这个解释必须是很笼统的，因为这个词涵盖了非常广泛的金融合约。基本上，这些工具要求在未来某个日期交换金钱，交换的金额由一个或多个参考项目决定，比如利率、股票价格或货币价值。例如，如果你是标准普尔500期货合约的多头或空头，你就是一个非常简单的衍生品交易的一方——你的盈亏取决于指数的变动。衍生品合约的期限不同（有时长达20年或更长），它们的价值通常与多个变量相关。

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.

除非衍生品合约有抵押或担保，否则它们的最终价值也取决于交易对手的信用状况。与此同时，在合约结算之前，交易对手会在他们的当前收益报表中记录利润和损失——通常是巨额的——而没有一分钱的现金流动。

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.

衍生品合约的种类只受制于人类（或有时，看起来是疯子）的想象力。例如，在安然公司，一些要在未来多年结算的新闻纸和宽带衍生品被记入账簿。或者说你想写一份合约，来投机2020年在内布拉斯加州出生的双胞胎的数量。没问题——只要出个价，你就会很容易地找到一个愿意合作的对手。

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.

当我们购买了通用再保险公司时，它附带了一个我们不想要的衍生品交易商，通用再保险证券公司。我和查理认为这是危险的。然而，我们在出售这个业务的尝试中失败了，现在正在终止它。

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.

但是关闭一个衍生品业务并不是说说而已。在我们完全退出这个业务之前（尽管我们每天都在减少我们的风险敞口），还需要很多年的时间。事实上，再保险和衍生品业务是相似的：像地狱一样，两者都很容易进入，几乎无法退出。在这两个行业中，一旦你写了一个合同——可能在几十年后需要支付一笔巨额款项——你通常就被卡住了。当然，有一些方法可以把风险转嫁给其他人。但是大多数这样的策略都会给你留下残余的责任。

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.

再保险和衍生品的另一个共同点是，它们都会产生经常被大大夸大的报告收益。这是因为今天的收益在很大程度上是基于估计，而这些估计的不准确性可能要等到多年后才能暴露出来。

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.

错误通常是诚实的，只反映了人类倾向于对自己的承诺持乐观态度的特点。但是，衍生品的交易方也有巨大的动机在会计上作弊。交易衍生品的人通常是根据按市场价计算的“收益”来支付（全部或部分）的。但是，往往没有真正的市场（想想我们涉及双胞胎的合同），而是使用“按模型计算”。这种替代可能会引发大规模的恶作剧。一般来说，涉及多个参考项目和遥远结算日期的合同增加了交易对手使用荒诞假设的机会。例如，在双胞胎的情景中，合同的双方可能会使用不同的模型，使他们都能显示出多年来的可观利润。在极端情况下，按模型计算退化为我所称的按神话计算。

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.

当然，内部和外部的审计师都会审查这些数字，但这并不是一件容易的工作。例如，年底时（在停止运营十个月后），General Re Securities有14,384份合同未结清，涉及世界各地的672个交易对手。每份合同都有一个正负值，由一个或多个参考项目决定，其中一些非常复杂。对于这样的投资组合，即使是专业的审计师，也可能会诚实地有很大的意见分歧。

Of course, both internal and outside auditors review the numbers, but that’s no easy job. For example, General Re Securities at year-end (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.

估值问题远非学术性的：近年来，一些巨大规模的欺诈和近乎欺诈的行为都是通过衍生品交易促成的。例如，在能源和电力行业，一些公司利用衍生品和交易活动来报告巨大的“收益”——直到他们试图把资产负债表上与衍生品相关的应收账款兑换成现金时，屋顶塌了。“按市场价值计算”结果变成了真正的“按幻想计算”。

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.”

我可以向你保证，衍生品业务中的标记错误并不对称。几乎总是有利于那些想要获得数百万美元奖金的交易员或者想要报告令人印象深刻的“收益”的首席执行官（或者两者兼而有之）。奖金已经发放，首席执行官也从他的期权中获利。只有在很久以后，股东们才知道所谓的收益是虚假的。

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 multimillion-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.

另一个关于衍生品的问题是，它们可能会加剧一个公司因为完全无关的原因陷入的麻烦。这种叠加效应是因为许多衍生品合约要求一个公司在信用评级下降时立即向对手方提供担保。想象一下，一个公司因为普遍的逆境而被降级，而它的衍生品立即发挥作用，对公司提出了意想不到的巨大的现金担保需求。满足这种需求可能会使公司陷入流动性危机，而在某些情况下，可能会引发更多的降级。这就变成了一个螺旋，可能导致公司崩溃。

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.

衍生品也会产生一种像保险公司或再保险公司那样的风险，他们把自己的业务大部分转给别人。在这两种情况下，随着时间的推移，都会积累起来自许多交易对手的巨额应收账款。（在Gen Re Securities，我们仍然有65亿美元的应收账款，尽管我们已经处于清算模式将近一年了。）一个参与者可能认为自己是谨慎的，认为他的大额信用风险是分散的，因此不危险。然而，在某些情况下，一个外部事件导致来自公司A的应收账款变坏，也会影响来自公司B到Z的应收账款。历史教导我们，危机往往会导致问题以一种在更平静的时期无法想象的方式相关联。

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.

在银行业，认识到“联系”问题是建立美联储系统的原因之一。在美联储成立之前，弱势银行的倒闭有时会对之前强势的银行造成突然和意外的流动性需求，导致它们也相继倒闭。美联储现在将强势的银行与弱势的银行隔离开来。但是没有一个中央银行负责防止保险或衍生品行业中的多米诺骨牌效应。在这些行业中，本来坚实的公司可能仅仅因为链条上其他公司的困境而陷入麻烦。当一个行业存在“连锁反应”威胁时，最好尽量减少任何形式的联系。这就是我们经营再保险业务的方式，也是我们退出衍生品业务的原因之一。

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.

很多人认为，衍生品可以减少系统性风险，因为那些不能承受某些风险的参与者可以把它们转移给更强大的人。这些人相信，衍生品可以稳定经济，促进贸易，消除个别参与者的波动。在微观层面上，他们说的往往是对的。事实上，在伯克希尔，我有时会进行大规模的衍生品交易，以便实施某些投资策略。

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.

查理和我相信，宏观形势很危险，而且越来越危险。大量的风险，特别是信用风险，集中在相对少数的衍生品交易商手中，而且他们之间还进行着广泛的交易。其中一个人的麻烦可能很快感染其他人。除此之外，这些交易商还向非交易商对手方借出了巨额资金。其中一些对手方，正如我所提到的，由于某个单一事件（例如电信行业的崩溃或商业电力项目价值的急剧下降）而可能同时遇到问题。一旦联系暴露出来，就可能引发严重的系统性问题。

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 another. The troubles of one could quickly infect the others. On top of that, these dealers are owed huge amounts by nondealer 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.

事实上，在1998年，一个单一的、使用杠杆和衍生品的对冲基金，长期资本管理公司（Long-Term Capital Management），给美联储造成了如此严重的焦虑，以至于它匆忙地策划了一次救援行动。在后来的国会证词中，美联储官员承认，如果他们没有干预，LTCM的未结交易——一个公众不知道的公司，只雇佣了几百人——很可能对美国市场的稳定构成严重威胁。换句话说，美联储之所以采取行动，是因为它的领导人担心如果LTCM这枚多米诺骨牌倒下，其他金融机构会发生什么。而这件事，尽管它让许多固定收益市场陷入了数周的瘫痪，但远非最坏的情况 。

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.

LTCM使用的衍生品工具之一是总回报互换，这是一种合约，可以在各种市场（包括股票）实现100%的杠杆率。例如，合约的一方（通常是银行）为购买股票提供所有资金，而另一方（不提供任何资本）同意在未来的某个日期接收或支付银行实现的任何收益或损失。

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.

这种类型的总回报互换让保证金要求成了一个笑话。除此之外，其他类型的衍生品严重削弱了监管机构控制杠杆和了解银行、保险公司和其他金融机构的风险状况的能力。同样，即使是经验丰富的投资者和分析师，在分析那些与衍生品合约密切相关的公司的财务状况时也会遇到重大问题。当查理（Charlie）和我读完主要银行详细说明其衍生品活动的冗长脚注时，我们唯一明白的是，我们不明白这些机构承担了多少风险。

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.

衍生品的精灵已经从瓶子里出来了，这些工具几乎肯定会在种类和数量上不断增加，直到某个事件让它们的毒性显现出来。它们有多危险的知识已经渗透到电力和天然气行业，这些行业爆发的重大问题导致了衍生品的使用大幅减少。然而，在其他地方，衍生品业务仍然不受控制地扩张。央行和政府迄今为止还没有找到有效的方法来控制或监测这些合约所带来的风险。

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.

查理和我相信，伯克希尔哈撒韦应该是一个金融坚固的堡垒——为了我们的股东、债权人、保单持有人和员工的利益。我们试图警惕任何可能发生的超级灾难风险，这种态度可能让我们过于担心长期衍生品合约的增长数量和与之相伴的大量无担保应收账款。然而，在我们看来，衍生品是金融大规模杀伤性武器，携带着潜在的致命危险，尽管现在还没有显现出来。

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 mega-catastrophe 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.