高盛披露細節

高盛披露細節

 

            下麵一篇文章是高盛披露的自己在次貸危機前後投資的操作細節。不管這些細節是不是它當時的真實想法和做法，但至少，從一個側麵，我們可以看到，像高盛這麽一流的投資銀行是如何麵對危機的。在牛市時刻，投資者隨便怎麽做都能夠賺錢，隻要你是呆在股市裏。而在熊市時刻，除非你賣空，否則很難賺錢。那麽，在股市從牛市轉入熊市的過程中，在那個慢火煮青蛙的時刻，麵對如野牛一般亂蹦亂跳的股市走向，你該怎麽辦呢？看看高盛當時在做什麽，也有不少的啟發。

如果閱讀上有困難，請到我的新浪博客，那裏沒有亂碼：

www.blog.sina.com.cn/wangxiangusa

 

 

附錄： Goldman CFO: Co Traded Short In '07, But Shifted In '08

 4/27/10，By Fawn Johnson

WASHINGTON (Dow Jones)--Goldman Sachs Group Inc. (GS) Chief Financial Officer David Viniar said the company began betting against the mortgage market in 2007 by "trading short" as a way to hedge the company's losses in the area, according to testimony prepared for a Senate panel.

Viniar is one of several Goldman executives, including Chief Executive Officer Lloyd Blankfein, slated to testify before the Senate Permanent Subcommittee on Investigations Tuesday. The committee has been investigating Goldman for 18 months and believes Goldman put profits ahead of customers during the housing market crisis several years ago.

In December of 2006, "we began to experience a pattern of daily losses in our mortgage-related product," Viniar's testimony said.

Viniar said he called a meeting with senior managers to discuss the problem. All were "increasingly concerned" about the "higher volatility and recent price declines in our sub-prime mortgage-related positions."

The result of the attempt to bring the company "closer to home" was that the company "traded short"--i.e., bet against the housing market. In 2008, he said, the portfolio shifted again toward "long" positions.

"While the tremendous volatility in the mortgage market caused periodic large losses on long positions and large gains on offsetting short positions, the net of which could have appeared to be a substantial gain or loss on any day, in aggregate, these positions had a comparatively small effect on our net revenues," Viniar said. In 2007 and 2008 combined, net revenues in the housing market were negative.

Broderick spoke of a measurement of the firm's market risk, a measure known as "value at risk."

"Between Nov. 24, 2006 and Feb. 23, 2007, daily VaR in the mortgage department increased from $13 million to $85 million," Broderick said. "We estimate that more than 100% of this increase was the result of increases in volatility--as our underlying positions in many cases declined."

Michael Swenson, a Goldman Sachs managing director that attended the meeting convened by Viniar, also recalled the "closer to home" message in prepared testimony released by the subcommittee. "We were not told what direction to take -- just to get there," Swenson said, according to the text.

Swenson will testify that Goldman lost money while reducing risk, and held both long and short positions in the mortgage market. Goldman has come under fire about accusations it shorted the mortgage market during the subprime market's meltdown, while it also advised clients to go long.

"The ABS desk did not only take short positions and, indeed, took many positions that ultimately reduced profits that the mortgage department otherwise might have realized," Swenson said in the text of his testimony. "By reducing short positions, we left money on the table. But that is the nature of reducing risk while continuing to transact with clients as a market-maker."

Craig Broderick, Goldman Sachs' chief risk officer since 2007, defended the firm's risk management practices in prepared testimony.

"Our objective was to flatten risk, and in this regard we were relatively successful," Broderick said in his statement.

The prepared testimony is at odds with a statement released Monday by the subcommittee's chairman Sen. Carl Levin, (D., Mich.), who has heavily criticized Wall Street financial institutions for their role in the collapse of the housing market.

"Goldman Sachs made billions of dollars from betting against the housing market, and it placed those bets in some cases at the same time it was selling mortgage related securities to its clients," Levin said. "They have a lot to answer for."

-By Fawn Johnson, Dow Jones Newswires; 202-862-9263; [e-mail]