Goldman's Protection
假如去年9月美国国际集团(AIG)陷入破产，那么高盛集团(Goldman Sachs Group)会怎样？自从去年9月16日美国政府出手救助AIG之后，高盛的地位始终很牢固：该公司不会受到影响。这并不只是关系到政治争论，对投资者也有重要意义。如果高盛能够经受住AIG这样的大型交易对手破产而没有遭受重大损失，那么会更有力地证明高盛是个出色的风险管理者；为了反映出这点，高盛的股价也有资格高于其他银行类股。AIG本周新公布了一些数据，可能有助于投资者评估高盛保全自身的程度；尤其是AIG在政府救助之后向高盛付款的具体情况，更能充分体现这一点。高盛持有被称为债权抵押证券(CDO)的证券。为了对冲这些证券贬值的风险，高盛向AIG购买了信用违约掉期合约。AIG周一表示，其为高盛涉及各个行业价值139.8亿美元的债权抵押证券提供了保护。随着这些债权抵押证券价值缩水，AIG向高盛提供了抵押品，如果其破产了，高盛也能保留这些抵押品。高盛拒绝透露具体数字，只是说，在政府救助AIG的时候，我们对AIG的大部分敞口都拥有抵押品，其余敞口也进行了对冲。那么，政府救助AIG之后，这些债权抵押证券敞口又怎么样了？AIG本周公布，去年9月16日至年底，高盛总共收到了25亿美元的抵押品。高盛还获得了一笔56亿美元的现金，这笔资金来自于美国联邦储备委员会(Fed)和AIG共同组建的一个实体，组建该实体是为了从AIG的交易对手那里购买基础债权抵押证券。这56亿美元是高盛已经持有的抵押品和债权抵押证券面值之间的差价。如果AIG破产，那么高盛就得不到25亿美元的抵押品，也收不到那笔现金。相反，高盛可能还会面临那些债权抵押证券价值进一步缩水的风险。这可能会危害到高盛373亿美元的有形普通股权益。而且，如果AIG破产，还会牵连到其他交易的损失。AIG和高盛集团总计签署了大约200亿美元的掉期合约，规模明显高于涉及各个行业价值139.8亿美元的债权抵押证券。高盛的防御之道是：购买了对冲AIG违约的掉期合约，用以防范上述可怕后果。对冲大规模敞口可能会耗资不菲，尤其是当其他人也在试图进行同样对冲时更是如此。高盛拒绝透露何时进行的这些对冲。不过高盛补充称，当我们认为从AIG收到的抵押品不足以弥补我们的理论损失时，我们购买了对冲合约。如果高盛当时是在AIG的掉期价格飙升至高昂水平之前进行对冲的话，那可能就会是此次信贷危机中最为精明的一笔交易了。Peter Eavis相关阅读美国会考虑征税收回AIG奖金 2009-03-18恨AIG？恨你自己吧 2009-03-17AIG因奖金问题深陷政治漩涡 2009-03-17 本文涉及股票或公司document.write (truthmeter('2009年03月18日15:45', 'MRK'));默克公司（又名：默沙东公司）英文名称：Merck & Co. Inc.总部地点：美国上市地点：纽约证交所股票代码：MRKdocument.write (truthmeter('2009年03月18日15:45', 'AIG'));美国国际集团英文名称：American International Group Inc.总部地点：美国上市地点：纽约证交所股票代码：AIGdocument.write (truthmeter('2009年03月18日15:45', 'SGP'));先灵葆雅公司英文名称：Schering-Plough Corp.总部地点：美国上市地点：纽约证交所股票代码：SGPdocument.write (truthmeter('2009年03月18日15:45', 'SGP'));Schering-Plough Corp.总部地点：美国上市地点：纽约证交所股票代码：SGPdocument.write (truthmeter('2009年03月18日15:45', 'GS'));高盛集团英文名称：Goldman Sachs Group Inc.总部地点：美国上市地点：纽约证交所股票代码：GSdocument.write (truthmeter('2009年03月18日15:45', 'WYE'));Wyeth总部地点：美国上市地点：纽约证交所股票代码：WYEdocument.write (truthmeter('2009年03月18日15:45', 'PFE'));辉瑞制药有限公司（简称：辉瑞公司)英文名称：Pfizer Inc.总部地点：美国上市地点：纽约证交所股票代码：PFEdocument.write (truthmeter('2009年03月18日15:45', 'AU'));AngloGold Ashanti Ltd. (ADS)总部地点：南非(South Africa)上市地点：纽约证交所股票代码：AUdocument.write (truthmeter('2009年03月18日15:45', 'ANG.JO'));Anglogold Ashanti Ltd.总部地点：南非(South Africa)上市地点：约翰内斯堡股票代码：ANGJ
What would have happened to Goldman Sachs Group Inc. if American International Group Inc. had gone bankrupt last September?From the time of the government's AIG rescue on Sept. 16, Goldman's position has been consistent: It wouldn't have been hurt.This isn't just relevant for the political debate, it also matters for investors.If Goldman were able to withstand the bankruptcy of a large counterparty like AIG without material hits, it would bolster the view that Goldman is a savvy risk manager, and that its stock deserves to trade at a premium to other banks to reflect that.This week, AIG released new data that might help investors assess the extent to which Goldman protected itself. In particular, the new information included details of payments made to Goldman after the government rescue.Goldman owned securities called collateralized debt obligations. To protect itself against value declines on these, Goldman wrote bets with AIG, using credit-default swaps. Monday, AIG said it provided protection on $13.98 billion of 'multisector' CDOs with Goldman.As the CDOs declined in value, AIG posted collateral with Goldman that the firm could keep if AIG failed.Goldman declines to give specific numbers, but said: 'The majority of our exposure to AIG at the time of the bailout was collateralized, with the rest covered by hedges.'So what happened to this CDO exposure after the rescue? This week, AIG said Goldman received $2.5 billion of collateral between Sept. 16 and the end of 2008. And it got $5.6 billion in cash from a joint Federal Reserve-AIG entity set up to buy underlying CDOs from AIG's counterparties.That $5.6 billion represents the difference between collateral Goldman already held and the CDOs' par value.An AIG failure likely would have prevented Goldman from receiving the $2.5 billion of collateral, and the cash payments. Instead, Goldman would have been exposed to further declines in the value of the CDOs.This could have hurt Goldman's $37.3 billion of tangible common equity. And an AIG failure could have led to losses on other trades.AIG had about $20 billion of total swaps with Goldman, substantially more than the $13.98 billion on the multisector CDOs.Goldman's defense: It had protected itself against that outcome by acquiring swaps protection against a default by AIG itself.Hedging large exposures can be expensive, especially when others are trying to do the same. Goldman declined to say when it made these hedges. But it added: 'We purchased the hedges when we believed that the collateral we received from AIG was inadequate to cover our notional exposure.'If it got in before the swaps prices for AIG ballooned to expensive levels, it would count as one of the canniest trades of the credit crisis.Peter Eavis
What would have happened to Goldman Sachs Group Inc. if American International Group Inc. had gone bankrupt last September?From the time of the government's AIG rescue on Sept. 16, Goldman's position has been consistent: It wouldn't have been hurt.This isn't just relevant for the political debate, it also matters for investors.If Goldman were able to withstand the bankruptcy of a large counterparty like AIG without material hits, it would bolster the view that Goldman is a savvy risk manager, and that its stock deserves to trade at a premium to other banks to reflect that.This week, AIG released new data that might help investors assess the extent to which Goldman protected itself. In particular, the new information included details of payments made to Goldman after the government rescue.Goldman owned securities called collateralized debt obligations. To protect itself against value declines on these, Goldman wrote bets with AIG, using credit-default swaps. Monday, AIG said it provided protection on $13.98 billion of 'multisector' CDOs with Goldman.As the CDOs declined in value, AIG posted collateral with Goldman that the firm could keep if AIG failed.Goldman declines to give specific numbers, but said: 'The majority of our exposure to AIG at the time of the bailout was collateralized, with the rest covered by hedges.'So what happened to this CDO exposure after the rescue? This week, AIG said Goldman received $2.5 billion of collateral between Sept. 16 and the end of 2008. And it got $5.6 billion in cash from a joint Federal Reserve-AIG entity set up to buy underlying CDOs from AIG's counterparties.That $5.6 billion represents the difference between collateral Goldman already held and the CDOs' par value.An AIG failure likely would have prevented Goldman from receiving the $2.5 billion of collateral, and the cash payments. Instead, Goldman would have been exposed to further declines in the value of the CDOs.This could have hurt Goldman's $37.3 billion of tangible common equity. And an AIG failure could have led to losses on other trades.AIG had about $20 billion of total swaps with Goldman, substantially more than the $13.98 billion on the multisector CDOs.Goldman's defense: It had protected itself against that outcome by acquiring swaps protection against a default by AIG itself.Hedging large exposures can be expensive, especially when others are trying to do the same. Goldman declined to say when it made these hedges. But it added: 'We purchased the hedges when we believed that the collateral we received from AIG was inadequate to cover our notional exposure.'If it got in before the swaps prices for AIG ballooned to expensive levels, it would count as one of the canniest trades of the credit crisis.Peter Eavis