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of financial Veg-O-Matics were slicing and dicing financial assets into potent, newfangled securities—IOs and POs—that investors were scooping up with reckless élan. What was worse, investors had rediscovered their thirst for leverage. With double-digit bond yields a thing of the past, investors—particularly the new hedge funds that were “popping up all over”—were resorting to borrowing to inflate their returns. How could investors be so certain that markets would always be liquid?, Klarman wondered. He feared that investors were turning “a blind eye to the consequences of ‘Outlier’ events,” such as the sudden disturbances and occasional crashes that, historically, have always upset the best-laid plans of investors. In general, Klarman warned, “Successful investors have positioned themselves to avoid the 100-year flood. Increasingly, that way of thinking has become passé.” Turning to the former Salomon traders’ fund—that is, to Long-Term—Klarman noted that, given its projected leverage, even a single serious mistake would put a “major dent” in the fund’s capital. “Two major errors at the same time, of course, would be catastrophic.”²²

* Maintaining the position wasn’t completely cost-free. Though a simple trade, it actually entailed four different payment streams. Long-Term collected interest on the collateral it paid out and paid interest (at a slightly higher rate) on the collateral it took in. It made some of this deficit back because it collected the 7.36 percent coupon on the bond it owned and paid the lesser 7.24 percent rate on the bond it shorted. Overall, it cost Long-Term a few basis points a month.

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