摩根大通铸成20亿美元巨亏的罪魁祸首：负套利交易

    但同其他负套利交易一样，摩根大通为对冲风险付出了沉重代价。德鲁的首席投资办公室在2011年下半年损失了1亿美元，全年仅贡献8亿美元利润，低于2010年的13亿美元利润和2009年的30亿美元利润。但与此同时，经济并未出现陡然下行，事实上经济已开始回暖，2月份时看来即将步入复苏。当时，摩根大通本应了结对冲交易，锁定损失，或者至少按兵不动，将CDS保费冲入业务成本。毕竟，即便是有这些成本高昂的交易，摩根大通去年仍能实现整体近190亿美元的利润。

    但摩根大通没有这么做。事实上，德鲁的交易员们开始出售跟踪美国100多家公司信用状况的CDX IG 9指数CDS合约，并迅速卖出了大量此类合约——据报道，短短几个月内卖出达1,000亿美元——因此，负责该项交易这一块的主要交易员布鲁诺•伊克希尔被誉为“伦敦鲸”。

    在外界看来，摩根大通似乎是在豪赌美国企业信贷价格将上涨，长期收益率将下降，而美国经济总体将改善。这些都是一家银行的日常行为，看上去并不像是对冲。因此，一个多月前最初出现有关这项交易的报道时，很多观察人士质疑摩根大通是否违反了沃克尔规则（Volcker rule），尽管这项法规尚未实施。

    摩根大通首席执行官杰米•戴蒙一再坚称，这项交易即便是在沃克尔规则下也是允许的，因为这是一项组合对冲交易，在某种程度上，的确如此。与该行几个月前购买并持有的CDS 合约不同，摩根大通出售的这些新合约要到2017年才到期。因此，结合矛盾的长、短期交易，摩根大通似乎是赌定美国企业债券收益率曲线将变缓，这是步入经济衰退前的常见景象。但由于摩根大通售出（而非购买）了大量CDS合约，它通过定期获得的保费来维持这项交易。该行将负套利交易转变为了正收入流，可真不赖。

    当然，除了对冲一些借款人的违约风险外，摩根大通也对收益率曲线形状下了巨额赌注。如果曲线变陡（而不是变缓），摩根大通将损失数十亿美元，这就是我们听到的已发生的情况。为何会这样，目前还不是很清楚。毕竟经济没有二次探底。但很多对冲基金看到了摩根大通的交易，开始对赌，对摩根大通的交易构成了压力。

    说到底，真正的问题还在于德鲁根本性错误的观点，即银行可以在对冲风险的同时大赚其钱。金融危机本应已经证明这是不可能的。不幸的是，看来华尔街需要再次被提醒。

    译者：早稻米

    But while that hedged the bank, the trade, like all negative carries, was also costly. Drew's chief investment office lost $100 million in the second half of 2011, ending the year up just $800 million, compared to a profit of $1.3 billion the year before, and a gain of $3 billion in 2009. What's more, the economy didn't fall off a cliff, instead it started to improve and by February again looked well on the path to recovery. At this point, what JPMorgan should have done was close out its insurance bets, and take the loss. Or at least left them on and just swallowed the CDS premiums as a cost of doing business. Afterall, even with the costly trades JPMorgan was still able to turn in an overall profit of nearly $19 billion last year. The bank could afford to have some insurance.

    But that's not what JPMorgan did. Instead, Drew's traders sold CDS contracts on an index that tracks the credit worthiness of over 100 U.S. companies called the CDX IG 9, for short. And they quickly sold a massive amount of insurance - reportedly as much as $100 billion in a few months - which is why the main trader who was in charge of putting on this part of the trade, Bruno Iksil, came to be known as the London whale.

    To the outside world, it looked like JPMorgan was making a huge bet that U.S. corporate credit prices would rise, and long-term yields would fall, and the U.S. economy in general would improve. Given that is what a bank does normally, this didn't look like a hedge. And so a number of observers, when news of the trade originally emerged a little over a month ago, raised questions as to whether JPMorgan was violating the Volcker rule, even though it really isn't yet in place.

    But JPMorgan's CEO Jamie Dimon has repeatedly argued that the trade would be allowed under the Volcker rule because it was a portfolio hedge, which in a way it was. Unlike the CDS contracts the bank had bought just a few month earlier and held on to, the new contracts that it sold didn't expire until 2017. So when you combine the competing short-term and long-term trades, JPMorgan now had a bet that the yield curve on U.S. corporate bonds would flatten, which is exactly what it would normally do if we were headed into a recession. And yet, because they had now sold a massive number of CDS contracts instead of buying them, JPMorgan was being paid on a regular basis to keep the trade going. The bank had turned its negative carry trade into a positive one. Not bad.

    Except, of course, instead of just taking out insurance on some of its borrowers, JPMorgan now had a massive bet on the shape of the yield curve. If it was to steepen instead of flatten, JPMorgan would lose billions of dollars, which is, as we now know, exactly what happened. Why that happened isn't entirely clear. In part, the economy hasn't double dipped. But what also happened is that a number of hedge funds spotted JPMorgan's trade and began betting against the bank's positions, putting pressure on its trades.

    In the end, the real problem was the original fallacy that Drew set up, which is the idea that banks can both hedge their positions and make money at the same time. The financial crisis should have proven that this wasn't possible. Unfortunately, it appears that Wall Street needed another reminder.