Investment banks are supposed to be reliable counterparties for their hedge fund clients, not unpredictable sources of risk. But Lehman Brothers Holdings’ rapid descent into bankruptcy on September 15 created a black hole in the $1.93 trillion hedge fund industry, and no one knows yet how deep it goes — or which hedge funds will be sucked into the abyss.
The problem is as shadowy and complex as it is hard to quantify. Lehman was once a prime broker to a who’s who of high-profile hedge fund firms, including London-based GLG Partners, which has more than $23 billion in assets under management and is listed on the New York Stock Exchange, and $17 billion-in-assets Lansdowne Partners, which is also based in London.
Leading up to its demise, Lehman’s weakened state prompted many large hedge funds to reduce their risk by diversifying their prime broker relationships, pulling assets from the firm and shifting them to such commercial banks as Citigroup and JPMorgan Chase & Co. Because large hedge fund operations tend to have at least two prime brokers providing trading, clearing and settlement services for any given fund — as well as multiple counterparty financing relationships — they are probably less at risk than are small hedge funds, says Stuart Davies, global head of investments for $12 billion fund-of-hedge-funds firm Ivy Asset Management. Still, Davies expects a few managers will get stung by the unsettled trades they still have on their books. "Some funds are going to find that they have exposure to Lehman, and they are going to struggle to come to terms with what they can recover in the weeks ahead," he says. "I hate to say it, but it probably won’t be very much."
For firms that worked with Lehman’s North American investment banking unit, which was purchased by Barclays, asset transfers have reportedly been slow but successful as the British bank has absorbed the brokerage activities of its former U.S. rival. But anyone doing business with London-based Lehman Brothers International (Europe) — which was left out of the Barclays deal and placed in receivership with accounting firm PricewaterhouseCoopers — has not been so lucky. The division’s last-minute transfer of $8.2 billion in cash from its British coffers to Lehman’s New York headquarters on the Friday before the firm declared bankruptcy has hedge fund executives fuming, and the legal objections are coming thick and fast.
On September 19, GLG Partners, which did business with Lehman International, lodged a formal objection to the sale of Lehman’s U.S. broker-dealer assets to Barclays in the U.S. Bankruptcy Court for the Southern District of New York, seeking to protect its right to fight for the cash it held in its trading accounts at the time of the firm’s implosion. GLG, which is 11 percent owned by Lehman, estimates its exposure across all of its funds is $95 mil-lion, or less than 1 percent of its assets. Others may have had more at stake. Harbinger Capital Partners, part of Birmingham, Alabama–based investment group Harbert Management Corp., filed its own objection on September 26, seeking to recoup $250 million from Lehman; London-based MKM Longboat Capital Advisors told investors at the end of last month that it will have to close its $1.5 billion flagship MKM Multi-Strategy Fund because of poor performance and its prime brokering relationship with Lehman. (Two other MKM Longboat funds will remain active.)
The most unnerving aspect of Lehman’s failure is the bank’s role as an aggressive counterparty to a wide range of over-the-counter derivatives — from plain-vanilla interest rate and equity swap contracts to more-exotic credit default swaps, which alone constitute a massive $54.6 trillion global market, according to midyear statistics from the International Swaps and Derivatives Association.
实际上，体制资产管理人员和对冲基金公司认为他们通过雷曼购买保护，以防止特定公司的违约风险，不再有任何保障措施。那些篱笆只会消失。所以拥有数百万美元的现金和证券，个人对冲基金公司与雷曼一起纳入保证金或抵押品。
"I don’t think people understand how big a problem this is," says one hedge fund manager who declines to be named. "It is absolutely enormous. If your assets were secured and ring-fenced within Lehman, you should be fine, in theory — but that is just a theory. If your assets weren’t secured, I think you’re out of business, because you’ve just lost whatever was in there, including any profits. You’re now just another unsecured creditor."
复杂的事项是雷曼消亡的时间。对冲基金的每个经理都在狂热地工作，以便在9月30日确定其利润，损失和总投资组合净资产价值 - 这是第三季度和许多投资者在年前发出赎回请求通知的最后一次机会窗口-结尾。个人公司如何评估他们的资金接触雷曼仍然不确定。
“问题是，许多经理现在没有明确的是他们的场外交易交换和衍生品是值得的或者可能的解决是什么，”伦敦IGS集团的联合创始人兼首席执行官John Godden说，一家对冲基金咨询公司，协助管理人员风险管理和投资组合建模。“这就是普华永道的睡衣者将要通过 - 而且快速地工作 - 但它可能需要一些时间。”
“现在的普华永道是OTC衍生品的最大全球贸易商，即讽刺，”罗伯特·斯洛安，纽约对冲基金咨询公司S3合作伙伴的信用瑞士和S3合作伙伴的创始人。“你认为我们现在有混乱吗？PWC已经在展开敞篷债券掉期，它在市场上具有级联效果。”
在净资产和解规模的容易结束时，Godden表示，管理者可能能够指定他们的投资组合价值的一定比例，并将其归咎于反映任何未知互换的未知估值。在更强硬的结束时，他补充说，一些对冲基金 - 许多人已经面临救赎，而不管他们的相对表现如何，如果他们的雷曼乐器的接触变成超过几个百分点，或者他们的救赎请求大于其资金的自由流动性。如果发生这种情况，他说，赎回将被暂停，这可能最终对某些资金发出死亡骑士。