格雷格利马曼’s Game: Structured-Products Markets

Fred Brettschneider and Greg Lippmann long joked about leaving Wall Street to start their own investment firm. The two have worked together since 1993, when Brettschneider showed up for his first day on the mortgage-trading desk at Credit Suisse First Boston after earning a master’s in economics from the London School of Economics and Political Science and Lippmann was assigned to show him the investment bank’s proprietary systems. In 2000, Lippmann followed Brettschneider to Deutsche Bank less than a week after his former colleague had been hired to head its asset-backed-securities trading. Both thrived at Deutsche — Brettschneider was promoted to head of global markets for the Americas; Lippmann rose to oversee all nonagency mortgage and other asset-backed-securities trading — and their conversations about going off on their own got a little more serious.

在2009年秋天，当世界从金融危机和监管机构卷入时，监管者希望对银行交易自己的资本的能力进行重大限制，这两个老朋友的机会。Lippmann一直是Deutsche的大型赌注的建筑师，抵御次级抵押贷款市场，净额20亿美元 - 并由于他的谨慎而潜在地节省数十亿美元 - 并使他成为迈克尔刘易斯的一个主要角色The Big Short。在危机之后，他和Brettschneider看到了一些相同的资产支持证券，曾经被认为有毒的证券是在有吸引力的高级屈服收益率上交易。问题是，根据预期的新银行规则，如果他们留在德意志，这两位高管将无法充分利用这些机会。

利马曼left in May 2010. He was joined by Eugene Xu, a math whiz with a Ph.D. from the University of California, Los Angeles, who had designed the Deutsche computer models that predicted the huge subprime losses, and Jordan Milman, who had overseen subprime and nonagency trading at the bank. Brettschneider left Deutsche at the end of July. By then the others had set up a 12-person firm that was operating out of Lippmann’s Manhattan apartment. Brettschneider and Lippmann provided the working capital. “We were confident enough in ourselves that we didn’t want to sell a portion of the company,” the 48-year-old Brettschneider says of the decision not to take seed money.

第一次夏天很忙。投资Lippmann专业在Deutsche所必需的强大基础设施和最先进的计算机模型中的那种结构性信用证券。虽然Lippmann和Brettschneider解决了基础设施，但徐与另一个分析师们狂热地建造了对其成功至关重要的量型。到8月初，徐和分析师完成了大约90％。“建筑量型是挂圣圣诞灯的一点，”Lippmann，45.“如果一个灯泡不起作用，灯光都没有亮起。”

Josh Birnbaum Nehal Chopra Deepak. Gulati 格雷格 利马曼 杰弗里 Smith

Lippmann，Brettschneider，Milman和Xu需要一个名字的新业务。从Brevan Howard Asset Management借用一张页面，一个伦敦对冲基金公司，其名称是从其创始人的姓氏创造的名字，他们提出了LibreMax Capital。

利马曼concedes that he and Brettschneider may have overhired at first. “We started with more people than was necessary rather than having as low expenses as possible,” he says. “We wanted to build an institutional-quality firm that would have staying power.”

They also wanted to move quickly. Structured-credit markets had started to recover from the worst of the crisis; the bargains that they had spied while at Deutsche were no longer so cheap. In addition, they wanted to launch by October so they would have a full quarter of performance in their first year.

Brettschneider and Lippmann met their deadline and launched the LibreMax Partners fund on October 1, 2010, with $375 million in committed capital. By January 2012 the firm had $1 billion in assets, despite the Partners fund’s meager 2 percent return in 2011. Today, LibreMax manages $3 billion, powered by the Partners fund’s strong returns in 2012 (up 20.7 percent) and 2013 (up 12.9 percent). The firm has launched several specialized vehicles, including the LibreMax SL Fund, which invests only in asset-backed securities based on student loans.

作为Librimax的Cio，Lippmann监督20人加上的投资团队，其责任根据产品类型分配，包括商业抵押贷款支持的证券，住宅抵押贷款支持证券，消费者资产支持的证券和抵押贷款义务。每个产品组都会通过数千个证券筛选，使用公司的专有计算机模型来分析底层仪器，查看贷款违约和预付款等因素。产品集团负责人将他们的想法带到了每周投资委员会会议，Lippmann主持，但他们还在交易楼层分享。

Lippmann称他的公司扮演的结构化产品市场扮演“真正alpha的最后一个堡垒之一”。与传统股权和债券市场不同，差价紧张，信息快速传播，结构化产品市场非常不透明。证券不在交易所上交易，并且可以对其价值产生大规模的分歧。为他的部队毕业于1991年毕业于宾夕法尼亚州毕业主义之后，李普曼在他的第一份工作中毕业，作为委员会大学的分析师了解抵押贷款支持的证券的复杂性。

“Librimax拥有漫长而短暂的观点中的最周到的群体之一，”Saguenay Strachmore Capital，Saguenay Strachmore Capital，Approation的纽约州的替代资产经理和Librimax投资者联合创始人Brian Walsh说。“如果你可以很好地发挥两侧，你有一个真正的事业。”

Brettschneider, who as president oversees the operational and client side of LibreMax, and Lippmann would agree. Together they are trying to build a firm that delivers strong risk-adjusted returns — a firm where people look forward to showing up for work. “We want everybody to be part of the family,” says Lippmann, who even though he has a big corner office spends most of his time on the trading floor, right next to Milman.