阻止熊市突袭的一种方法
在所有关于 AIG 的喧嚣之中，最重要的教训却被忽略了。AIG 之所以失败，是因为它大量出售信用违约互换（CDS），却没有适当地对冲或覆盖其头寸。我们必须从中汲取的是：CDS 是毒性工具，其使用应当受到严格监管——只有那些拥有基础债券的人才应当被允许购买它们。实施这一规则将驯服一股破坏性力量，并降低互换的价格。它还将通过减少 AIG 未平仓头寸的损失，在不废除任何合约的情况下，为美国财政部节省大量资金。
In all the uproar over AIG, the most important lesson has been ignored. AIG failed because it sold large amounts of credit default swaps (CDS) without properly offsetting or covering their positions. What we must take away from this is that CDS are toxic instruments whose use ought to be strictly regulated: Only those who own the underlying bonds ought to be allowed to buy them. Instituting this rule would tame a destructive force and cut the price of the swaps. It would also save the U.S. Treasury a lot of money by reducing the loss on AIG’s outstanding positions without abrogating any contracts.
信用违约互换（CDS）最初是作为一种为债券提供违约保险的方式而诞生的。由于它们是可交易的工具，后来变成了做空市场的认股权证，用来押注某家公司或国家情况的恶化。这类投机之所以有毒，是因为它会自我实现——投机本身就能让预期变成现实。
CDS came into existence as a way of providing insurance on bonds against default. Since they are tradable instruments, they became bear-market warrants for speculating on deteriorating conditions in a company or country. What makes them toxic is that such speculation can be self-validating.
直到 2008 年金融危机爆发之前，主导性的观点——即所谓的有效市场假说——认为金融工具的价格精确地反映了所有可获得的信息（也就是底层现实）。但事实并非如此。金融市场处理的不是当前现实，而是未来——那是关于预期的问题，而非确定的知识。因此，我们必须用一种新的范式来理解金融市场，这种范式承认市场对未来的看法总是带有偏见的，并且金融市场中价格的扭曲，可能会反过来影响那些价格本应反映的底层现实。（我把这种反馈机制称为“反身性”。）
Up until the crash of 2008, the prevailing view — called the efficient market hypothesis — was that the prices of financial instruments accurately reflect all the available information (i.e. the underlying reality). But this is not true. Financial markets don’t deal with the current reality, but with the future — a matter of anticipation, not knowledge. Thus, we must understand financial markets through a new paradigm which recognizes that they always provide a biased view of the future, and that the distortion of prices in financial markets may affect the underlying reality that those prices are supposed to reflect. (I call this feedback mechanism “reflexivity.”)
借助这一新范式，信用违约掉期的毒性可以通过三步论证来揭示。第一步是承认，在股票市场中做多和做空存在不对称的风险/回报特征。在做多头寸上亏损会降低风险敞口，而在做空头寸上亏损则会增加风险敞口。因此，一个人做多时犯错比做空时犯错更能承受损失。这种不对称性抑制了做空行为。
With the help of this new paradigm, the poisonous nature of CDS can be demonstrated in a three-step argument. The first step is to acknowledge that being long and selling short in the stock market has an asymmetric risk/reward profile. Losing on a long position reduces one’s risk exposure, while losing on a short position increases it. As a result, one can be more patient being long and wrong than being short and wrong. This asymmetry discourages short-selling.
第二步，要认识到 CDS 市场提供了一种做空债券的便捷途径，但风险/回报的不对称性方向正好相反。通过买入 CDS 合约来做空债券，风险有限，但盈利潜力几乎无限。相比之下，卖出 CDS 则利润有限，风险却几乎无穷。这种不对称性鼓励投机做空，从而对标的债券产生下行压力。CDS 的可交易性放大了这一负面效应——它们更像权证（可随时卖出），而不是期权（需要实际违约才能兑现）。人们买入 CDS，并非预期最终违约，而是预期 CDS 会因不利事件而升值。
AIG 以为自己是在卖出债券保险，因此认为 CDS 定价高得离谱。实际上，它卖出的是一种熊市权证，而且严重低估了其中的风险。
The second step is to recognize that the CDS market offers a convenient way of shorting bonds, but the risk/reward asymmetry works in the opposite way. Going short on bonds by buying a CDS contract carries limited risk but almost unlimited profit potential. By contrast, selling CDS offers limited profits but practically unlimited risks. This asymmetry encourages speculating on the short side, which in turn exerts a downward pressure on the underlying bonds. The negative effect is reinforced by the fact that CDS are tradable and therefore tend to be priced as warrants, which can be sold at anytime, not as options, which would require an actual default to be cashed in. People buy them not because they expect an eventual default, but because they expect the CDS to appreciate in response to adverse developments. AIG thought it was selling insurance on bonds, and as such, they considered CDS outrageously overpriced. In fact, it was selling bear-market warrants and it severely underestimated the risk.
第三个步骤是认识到反身性（reflexivity），这意味着金融工具的定价错误可能会反过来影响那些市场价格本应反映的基本面。这种现象在金融机构身上表现得最为突出，因为它们的经营能力如此地依赖于信任。它们股票和债券价格的下跌会推高融资成本。这意味着，对金融机构的做空攻击有可能自我实现。
The third step is to recognize reflexivity, which means that the mispricing of financial instruments can affect the fundamentals that market prices are supposed to reflect. Nowhere is this phenomenon more pronounced than in the case of financial institutions, whose ability to do business is so dependent on trust. A decline in their share and bond prices can increase their financing costs. That means that bear raids on financial institutions can be self-validating.
综合这三方面因素来看，很明显，AIG、贝尔斯登、雷曼兄弟等公司是被熊市狙击（bear raid）摧毁的——在这种攻击中，卖空股票和买入信用违约互换（CDS）相互放大、彼此强化。取消提价规则（uptick rule）让股票可以无限卖空，该规则原本只允许在股价上涨时做空，从而遏制熊市狙击；而信用违约互换（CDS）市场则为无限做空债券提供了便利。两者形成了致命组合。AIG 没能看清这一点。
Taking these three considerations together, it’s clear that AIG, Bear Stearns, Lehman Brothers and others were destroyed by bear raids in which the shorting of stocks and buying CDS mutually amplified and reinforced each other. The unlimited shorting of stocks was made possible by the abolition of the uptick rule, which would have hindered bear raids by allowing short selling only when prices were rising. The unlimited shorting of bonds was facilitated by the CDS market. The two made a lethal combination. And AIG failed to understand this.
如今很多人主张，信用违约互换（CDS）应该在受监管的交易所交易。我认为它们是有毒资产，只应允许债券持有者使用，而不应让那些想对国家或公司做空投机的人参与。根据这一规定——这需要国际协议和联邦立法——对 CDS 的购买压力将大幅减少，所有未结清的 CDS 价格都会下降。作为附带好处，美国财政部将因对 AIG 的风险敞口而节省大量资金。
Many argue now that CDS ought to be traded on regulated exchanges. I believe that they are toxic and should only be allowed to be used by those who own the bonds, not by others who want to speculate against countries or companies. Under this rule — which would require international agreement and federal legislation — the buying pressure on CDS would greatly diminish, and all outstanding CDS would drop in price. As a collateral benefit, the U.S. Treasury would save a great deal of money on its exposure to AIG.
索罗斯先生是索罗斯基金管理公司的董事长，也是《2008 年崩溃》（公共事务出版社，2009）的作者。
Mr. Soros is chair of Soros Fund Management and author of “The Crash of 2008” (PublicAffairs, 2009).