高盛披露细节

高盛披露细节

 

            下面一篇文章是高盛披露的自己在次贷危机前后投资的操作细节。不管这些细节是不是它当时的真实想法和做法，但至少，从一个侧面，我们可以看到，像高盛这么一流的投资银行是如何面对危机的。在牛市时刻，投资者随便怎么做都能够赚钱，只要你是呆在股市里。而在熊市时刻，除非你卖空，否则很难赚钱。那么，在股市从牛市转入熊市的过程中，在那个慢火煮青蛙的时刻，面对如野牛一般乱蹦乱跳的股市走向，你该怎么办呢？看看高盛当时在做什么，也有不少的启发。

如果阅读上有困难，请到我的新浪博客，那里没有乱码：

www.blog.sina.com.cn/wangxiangusa

 

 

附录： 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]