????但同其他負(fù)套利交易一樣，摩根大通為對(duì)沖風(fēng)險(xiǎn)付出了沉重代價(jià)。德魯?shù)氖紫顿Y辦公室在2011年下半年損失了1億美元，全年僅貢獻(xiàn)8億美元利潤(rùn)，低于2010年的13億美元利潤(rùn)和2009年的30億美元利潤(rùn)。但與此同時(shí)，經(jīng)濟(jì)并未出現(xiàn)陡然下行，事實(shí)上經(jīng)濟(jì)已開(kāi)始回暖，2月份時(shí)看來(lái)即將步入復(fù)蘇。當(dāng)時(shí)，摩根大通本應(yīng)了結(jié)對(duì)沖交易，鎖定損失，或者至少按兵不動(dòng)，將CDS保費(fèi)沖入業(yè)務(wù)成本。畢竟，即便是有這些成本高昂的交易，摩根大通去年仍能實(shí)現(xiàn)整體近190億美元的利潤(rùn)。

????但摩根大通沒(méi)有這么做。事實(shí)上，德魯?shù)慕灰讍T們開(kāi)始出售跟蹤美國(guó)100多家公司信用狀況的CDX IG 9指數(shù)CDS合約，并迅速賣出了大量此類合約——據(jù)報(bào)道，短短幾個(gè)月內(nèi)賣出達(dá)1,000億美元——因此，負(fù)責(zé)該項(xiàng)交易這一塊的主要交易員布魯諾?伊克希爾被譽(yù)為“倫敦鯨”。

????在外界看來(lái)，摩根大通似乎是在豪賭美國(guó)企業(yè)信貸價(jià)格將上漲，長(zhǎng)期收益率將下降，而美國(guó)經(jīng)濟(jì)總體將改善。這些都是一家銀行的日常行為，看上去并不像是對(duì)沖。因此，一個(gè)多月前最初出現(xiàn)有關(guān)這項(xiàng)交易的報(bào)道時(shí)，很多觀察人士質(zhì)疑摩根大通是否違反了沃克爾規(guī)則（Volcker rule），盡管這項(xiàng)法規(guī)尚未實(shí)施。

????摩根大通首席執(zhí)行官杰米?戴蒙一再堅(jiān)稱，這項(xiàng)交易即便是在沃克爾規(guī)則下也是允許的，因?yàn)檫@是一項(xiàng)組合對(duì)沖交易，在某種程度上，的確如此。與該行幾個(gè)月前購(gòu)買并持有的CDS 合約不同，摩根大通出售的這些新合約要到2017年才到期。因此，結(jié)合矛盾的長(zhǎng)、短期交易，摩根大通似乎是賭定美國(guó)企業(yè)債券收益率曲線將變緩，這是步入經(jīng)濟(jì)衰退前的常見(jiàn)景象。但由于摩根大通售出（而非購(gòu)買）了大量CDS合約，它通過(guò)定期獲得的保費(fèi)來(lái)維持這項(xiàng)交易。該行將負(fù)套利交易轉(zhuǎn)變?yōu)榱苏杖肓?，可真不賴?/p>

????當(dāng)然，除了對(duì)沖一些借款人的違約風(fēng)險(xiǎn)外，摩根大通也對(duì)收益率曲線形狀下了巨額賭注。如果曲線變陡（而不是變緩），摩根大通將損失數(shù)十億美元，這就是我們聽(tīng)到的已發(fā)生的情況。為何會(huì)這樣，目前還不是很清楚。畢竟經(jīng)濟(jì)沒(méi)有二次探底。但很多對(duì)沖基金看到了摩根大通的交易，開(kāi)始對(duì)賭，對(duì)摩根大通的交易構(gòu)成了壓力。

????說(shuō)到底，真正的問(wèn)題還在于德魯根本性錯(cuò)誤的觀點(diǎn)，即銀行可以在對(duì)沖風(fēng)險(xiǎn)的同時(shí)大賺其錢。金融危機(jī)本應(yīng)已經(jīng)證明這是不可能的。不幸的是，看來(lái)華爾街需要再次被提醒。

????譯者：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.