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[学科前沿] 对冲基金的杠杆比率与美国证券法规不一致的疑问 [分享]

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corise007 发表于 2013-7-14 13:25:40 |显示全部楼层
  美国保证金率在1929年的牛市中降低至10-20%,少量资金可以撬动大笔交易,但在《1934年证券交易法》中的T规则,规定了50%的最低保证金的比例,从1974年以来基本稳定在50%。
       然而,美国对冲基金在股票买卖的高频交易中或卖空交易中资金的杠杆比率很高,有的在10倍以上(意味保证金将降低至10%),不知是怎么突破法律障碍的?大型的券商,如美林证券、高盛、摩根斯坦利等是怎么允许进行高杠杆的交易的?
       谢谢!
关键词:美国证券 对冲基金 证券法 摩根斯坦利 法律障碍 摩根斯坦利 美国证券 对冲基金 股票买卖 保证金

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Chemist_MZ 发表于6楼  查看完整内容

Ok, what I said is only an example, it's just for reference. What I mean is that there should be some thing you ignored that opens the green light to the those financial institutions. You know the negotiation power of those banks. The merge of Citi and travelers also violates the regulation law. But they did it. And, you should be nicer next time. Anyway, somebody has answered your question. ...

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Chemist_MZ 在职认证  发表于 2013-7-14 21:19:00 |显示全部楼层
Firstly I should say, margin ratio is a little different from the leverage ratio.

Second, the main reason for the great expansion of the leverage ratio is that in 2004, the CEO of Goldman Sachs Henry Paulson led to persuade SEC to change the rule that allowed leverage to expand from 12:1 to 100:1 for only the 5 largest investment banks. This allows the investment banks to borrow more money to buy the debt and package them to sell more CDOs.

here is a related article.
http://dailybail.com/home/whitew ... ated-the-finan.html

best,

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corise007 发表于 2013-7-15 09:03:25 |显示全部楼层
Firstly I should say, margin ratio is a little different from the leverage ratio.

Second, the main reason for the great expansion of the leverage ratio is that in 2004, the CEO of Goldman Sachs Henry Paulson led to persuade SEC to change the rule that allowed leverage to expand from 12:1 to 100:1 for only the 5 largest investment banks. This allows the investment banks to borrow more money to buy the debt and package them to sell more CDOs.

here is a related article.
http://dailybail.com/home/whitew ... ated-the-finan.html

best,
多谢楼上回复!但楼上提到的selll more CDOs,CDOs是衍生产品——债券抵押证券,而不是股票!这应该是两个完全不同的概念,在次债危机中,鲍尔森公司参与了大量的CDO房贷的挑选工作,在08年的经济危机中,鲍尔森基金公司、高盛、花旗银行、摩根大通、摩根士丹利、瑞士信贷第一波士顿、德意志银行、美国银行、德意志银行、雷曼兄弟、贝尔斯登、美林等大机构都损失惨重!其中后三者现在都倍兼并了!
另外,实在没明白,如果楼上说,仅五个券商开放高杠杆融资融券业务,但在2008年经济危机前,华尔街的十大投资银行都有不凡的证券业务,如摩根大通、摩根士丹利、雷曼兄弟、贝尔斯登、美林、瑞银、瑞信、高盛、花旗银行等的资本高杠杆比率都比较高!但从资本角度看,人们包括现象的投行专家还认为高盛、摩根大通控制20多倍还算低,远低于贝尔斯登和雷曼兄弟等投资银行!
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corise007 发表于 2013-7-15 09:20:13 |显示全部楼层
楼上说的CDOs是债券抵押证券(Collateral Debt Obligation),并不是股票!与本贴说的股票卖空时的资金杠杆比率10倍不是一回事!
在2008年经济危机发生前,华尔街十大投资银行券商:摩根大通、摩根士丹利、瑞士信贷第一波士顿、巴克莱银行、德意志银行、美国银行、高盛、雷曼兄弟、贝尔斯登、美林等都有高倍数的资金杠杆比率,到今天,人们认为摩根大通和高盛的20多倍的资本杠杆比率还算低!远低于贝尔斯登和雷曼!

"Firstly I should say, margin ratio is a little different from the leverage ratio.
Second, the main reason for the great expansion of the leverage ratio is that in 2004, the CEO of Goldman Sachs Henry Paulson led to persuade SEC to change the rule that allowed leverage to expand from 12:1 to 100:1 for only the 5 largest investment banks. This allows the investment banks to borrow more money to buy the debt and package them to sell more CDOs.
here is a related article.
http://dailybail.com/home/whitew ... ated-the-finan.html

本文来自: 人大经济论坛 金融衍生品与数量金融 版,详细出处参考: https://bbs.pinggu.org/forum.php?mod=viewthread&tid=2531271&page=1&from^^uid=3862418"
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corise007 发表于 2013-7-15 09:25:24 |显示全部楼层
另外,华尔街起码有十大券商,允许的资金的杠杆比率越高,券商的获得收益越高,怎么只允许5个券商以高杠杆比率交易股票呢?而券商雷曼兄弟、贝尔斯登、美林正是因为高的资本杠杆比率,无法承受亏损而被兼并!
       所以,版主的解读是不是搞错了?
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Chemist_MZ 在职认证  发表于 2013-7-15 09:32:13 |显示全部楼层
corise007 发表于 2013-7-15 09:20
楼上说的CDOs是债券抵押证券(Collateral Debt Obligation),并不是股票!与本贴说的股票卖空时的资金杠杆比 ...
Ok, what I said is only an example, it's just for reference. What I mean is that there should be some thing you ignored that opens the green light to the those financial institutions. You know the negotiation power of those banks. The merge of Citi and travelers also violates the regulation law. But they did it.

And, you should be nicer next time. Anyway, somebody has answered your question. If you don't agree you can add further information.

best,



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corise007 发表于 2013-7-15 09:49:03 |显示全部楼层
非常感谢版主的回复!
不过,只是想把问题讨论清楚一些,因为在高频交易中,高杠杆几乎每天都频繁使用!
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Chemist_MZ 在职认证  发表于 2013-7-15 10:06:18 |显示全部楼层
corise007 发表于 2013-7-15 09:49
非常感谢版主的回复!
不过,只是想把问题讨论清楚一些,因为在高频交易中,高杠杆几乎每天都频繁使用!
Ok, I see.

Actually I am not very familiar with those regulation laws. If you are not those financial institutions, your behavior will be just restricted by the law.

While,

If you are those big names, actually you can do anything as you want.

For example, if you are only an individual investor opens an account at Merrill Lynch when ML plays a role as a broker, your margin or leverage ratio will be restricted. But if ML is doing his own business when it plays as a dealer who trades for its own account, he can be unregulated. Actually, this is what happens on the street.

If you look the example of the Long term capital, they are big guys that has such a big fame that makes them can ask for very good trading conditions such as very low margin for short selling or no collateral for borrowing money.


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