严格来讲，起爆时间只有市场才知道。但是，在这个高等金融的世界里，普通人又会是无辜的受害者。严重点说，事后也许没有多少站立起来的东西。

我讲的是2颗最高能量的金融武器：（1）重复抵押（re-hypothecation）；（2）CDS。引信是欧债，或者欧债收益率的失控。

MF Global的破产很少人知道其深远的影响，MF Global以及其CEO  Jon Corzine都是绝顶聪明的，设计的产品也几乎是万无一失的，但是，太贪婪了，所以，倒下了。首先把部分美国资产转移到表外，并转移到伦敦这个缺少监管以及限制的天堂，通过与银行等金融机构进行Repo操作，以1%获得资金，购买欧洲高收益率短期债券（有EFSF等确保不会违约），获得5%左右的收益，又进行Repo，这样反复进行，最终杠杆到了40:1. 一般来讲，这种重复抵押会把1块钱的资产折腾4次换出4块钱来。也就是说，每4元的衍生品其底层的支持的资产只有1元。这种现象目前相当普遍，或者泛滥。美国的监管者，SEC，美联储等在要求MF Global公开交易详情后引起巨大恐慌，被不断的催款电话折腾致死。所以，大多数客户的资本（资金）死于非命，不知所终。甚至有客户事先嗅觉灵敏，结清一切头寸，把钱wire transfer电汇出到自己的银行账户，但这个wire transfer竟然后来被反向操作退回汇出银行，这是极小概率也是极难的事件。再看看Reuters的报道：（重复抵押）

Goldman Sachs ($28.17 billion re-hypothecated in 2011), Canadian Imperial Bank of Commerce(re-pledged $72 billion in client assets), Royal Bank of Canada (re-pledged $53.8 billion of $126.7 billion available for re-pledging),Oppenheimer Holdings($15.3 million), Credit Suisse (CHF 332 billion), Knight Capital Group ($1.17 billion),Interactive Brokers ($14.5 billion),Wells Fargo ($19.6 billion), JP Morgan($546.2 billion) and Morgan Stanley ($410 billion)

其中JP Morgan与Morgan Stanley让其他机构相形见绌（超级重复抵押）。通过重复抵押，这些交易商几乎把自己变成了银行（类似货币乘数概念，或者Fractional Reserve Lending），所以，2011年OTC衍生品市场突飞猛进，总量已经超过了2008年，到了700多万亿美元。但是，这些衍生品的底层资产质量却在恶化，当其不堪重负的时候，就是这颗核弹爆炸的时候。这些资产不仅仅是主权债务，也有比如黄金白银等实物。最近HSBC也在同MF Global开始官司以决定一些黄金的归属。当黄金被重复抵押的时候，所有人由一人变成了多人，到底属于谁估计法官也搞不清。而加拿大著名的基金经理Eric Sprott在号召黄金白银的生产商保留部分实物当成现金储备。这些黄金白银进入金融体系后会被人为操纵损害生产商的利益。

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而CDS这个更为熟悉的世界里，同样在上演一些不同寻常的戏。Bloomberg报道，“BNP Paribas SA, France’s biggest bank, sold a net 1.5 billion euros ($2 billion) of credit- default swaps on the nation’s sovereign debt, according to data compiled by the European Banking Authority. UniCredit SpA, Italy’s biggest lender, and Banca Monte dei Paschi SpA are net insurers of more than 500 million euros each of their government’s bonds, and Oesterreichische Volksbanken AG, the Austrian lender which has yet to pay interest on 1 billion euros of state aid received in 2009, has guaranteed a net 839 million euros of its national debt, EBA data show.”也即欧洲的各大银行出售了并还在继续出售大量担保本国债务的CDS，以不时获取现金流支持自家资本。要记住大西洋对面的庞然大物AIG在2008年就是基于类似的原因倒下的。如果欧盟的救助成功，这些都是费了吹灰之力得来的利润，如果欧盟救助不成功，银行不管怎样都是死，与出售CDS关系不大。但出售国债CDS等同于做多国债，虽然没有margin要求，但要担负variation margin也即maintenance margin，对很多机构来讲这个得及时支付。如果国债不断下跌，即使不违约，CDS的出售者也会因为流血不断而死。

这700多万亿元美元的衍生品催生的信贷泡沫或者债务泡沫具有多大的杀伤力，也许够把地球炸掉几遍。看来还真要为欧洲默哀了。欧盟会议的决议都没有短期的危机措施，似乎在展现政治家的长远眼光，德国似乎以为在掌控一切胸有成竹，但市场会给欧元区那么多时间吗。也许圣诞节的气氛会让市场这头巨兽安静一下，但注定它会早于这些政治家的行动出击。看来盖特纳的欧洲之行以失望告终，美国是没有办法阻止危机了。奥巴马也许会把时间花在伊朗上来寻求连任。也更加说明太平洋西海岸的放水也是注定的了，不管顶层在怎样开会怎样定调，只有这样才能抵抗内外夹击，虽然很可能也坚持不了多久，或者说也许是今后很长一段时期的最后的晚餐。

正如以前所说：This is not meant to scare, but to warn. 机会留给有准备的人，包括逃生的机会。世界上的灾难几乎都是在当时看来是“突然"的，人们都是事先毫无防备的。下一次灾难也一定是这样的，不管是自然灾难还是金融灾难。因为灾难准备也不是没有成本的，也没有时间表，所以很多时候人们宁愿相信没有灾难。

附件：由于一些人担心类似IB的公司以及资金安全性，这里IB的管理层的非正式澄清，自己看，不解释：

12-09-11 06:34 PM

Recently, much has been written about the safety of customer assets held by brokers and we believe that customers are justified in their concerns. And so, we are writing to help clarify your understanding of how brokers are permitted to operate and, in particular, how Interactive Brokers protects its customers assets while servicing their needs to trade on margin.

To start, and so as not to leave any confusion as to the position of IB vis-à-vis the Thomson Reuters news article, IB DOES NOT, in any way:

1. Circumvent U.S. securities or commodities rules at the expense of our customers;

2. Invest customers’ segregated funds in foreign sovereign debt or utilize in-house repurchase agreements;

3. Commingle or utilize customer segregated assets for proprietary operations;

4. Enter into agreements which are designed to take advantage of supposedly unrestricted U.K. re-hypothecation rules; or

5. Engage in transactions deemed as “hyper-hypothecation”.

More specifically, regarding hypothecation and the level of such activity at IB:

- The hypothecation and re-hypothecation of customer assets is a standard and essential practice, which U.S. brokers employ in the course of financing customer activity. The rights to do so are longstanding, have been explicitly provided by regulation and one should not be surprised to see boilerplate consent language in each broker’s customer agreement acknowledging this. For example, a customer who incurs a margin debit by virtue of the fact that they have purchased securities with only partly their own money, thereby relying upon the broker to lend them the funds to pay the balance at settlement, subjects a portion (up to 140% of the amount borrowed, also referred to as the margin debit) of those securities to a lien on behalf of the broker. The lien is also known as hypothecation. The broker, in turn, may pledge or re-hypothecate the securities upon which they have a lien to replace the cash. In the case of IB, this re-hypothecation typically takes place in the form of a stock loan. In simple terms, IB borrows money from a third party, using the customer’s margin stock as collateral, and it lends those funds to the customer to finance the customer’s purchase.

- Similarly, a customer who carries a futures position must place a margin deposit with IB. IB may pledge the customer’s cash deposit to a futures clearing house in support of the margin required on that position. 

- While IB is not in a position to comment on the practices of others and whether they comply or fail to comply with these regulations, or do so in a manner which introduces unwarranted risk to the firm and its customers, we can state unequivocally that we comply with all regulations and utilize investment policies that tend to be more conservative than those permitted under the regulations.

- The Thomson Reuters news article alleged that IB, among other brokers, engaged in a practice that the author categorizes as “hyper-hypothecation” (apparently a term used to describe a process in which a broker alters the risk of one financial instrument into the exposure of multiple other instruments and perhaps multiple counterparties through a daisy-chain series of pledges) at an amount of $14.5 billion. While we are not sure of the author’s source for this number, we would refer interested parties to footnote 10 (“Collateral”) on page 17 of our June 30, 2011 financial statement, which is posted on the IB website (http://www.interactivebrokers.com/d...Unaud_Finls.pdf) and reads as follows: 

“At June 30, 2011, the fair value of securities received as collateral, where the Company is permitted to sell or repledge the securities was $16,817,859,287, consisting of $13,022,386,422 from customers, $2,886,934,605 from securities purchased under agreements to resell and $908,538,260 from securities borrowed. The fair value of these securities that had been sold or repledged was $4,526,153,369, consisting of $2,583,920,633 deposited in a separate bank account for the exclusive benefit of customers in accordance with SEC Rule 15c3-3, $761,740,278 securities loaned, $877,478,486 securities borrowed that had been pledged to cover customer short sales and $303,013,972 securities that had been pledged as collateral with clearing organizations.” 

A closer examination of this $16.8 billion balance reveals the following:

1. $13.0 billion represents the amount IB is authorized to pledge (largely based upon 140% of customer debit balances), of which only $0.8 billion has been repledged, largely through stock lending. 

2. $2.9 billion represents the investment of customer’s cash balances in reverse repurchase agreements where the underlying collateral is U.S. treasury securities. These transactions are conducted with third parties and guaranteed through a central counterparty clearing house (FICC). $2.6 billion of this collateral, technically a repledge (i.e., part of the $4.5 billion “sold or repledged”), is not re-hypothecated and it remains in the possession of IB and held at a custody bank in a segregated Reserve Safekeeping Account for the exclusive benefit of customers. The remaining $0.3 billion represents collateral pledged to clearing organizations.

3. $0.9 billion represents short sale transactions whereby the sales proceeds have been pledged as collateral to fully secure the borrowed securities. These transactions are classified as securities sold (i.e., part of the $4.5 billion “sold or repledged”). 

Based upon this information, which reflects prudently risk-managed broker financing transactions, we believe a fair-minded author would have drawn a different conclusion regarding IB and hyper-hypothecation given a minimum level of investigation and contact.