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摩根大通是在对冲风险，还是在下巨额赌注？

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J.P. Morgan Chase & Co.'s trading losses of more than $2 billion centered on a complicated three-step strategy that could raise new questions about whether the bank was hedging its risks or making a big bet.


摩根大通(J.P. Morgan Chase & Co.)遭受了逾20亿美元的交易损失，其关键是一个复杂的三步策略。这个策略可能会引起新的疑问：摩根大通是在对冲风险，还是在下巨额赌注？



The size and complexity of the trades suggest to some critics that the bank might have been seeking to generate profits rather than to simply protect its giant portfolio of corporate loans and other holdings from losses.


在一些批评者看来，这些交易的规模和复杂程度说明摩根大通当初可能是想获利，而不只是防止包含公司贷款等资产的巨额投资组合蒙受损失。



When J.P. Morgan announced the blowup last Thursday, the nation's largest bank by assets said the losses occurred in a portfolio designed to 'hedge the firm's overall credit exposure.'


摩根大通是全美资产规模最大的银行。该行在上周四公布巨亏时说，损失发生在一个旨在"对冲本公司整体信贷风险"的投资组合当中。



But at Tuesday's shareholder meeting in Tampa, Fla., J.P. Morgan Chairman and Chief Executive James Dimon seemed to slightlysoften the bank's previousdescription of its trading strategy.


但周二在佛罗里达州坦帕市召开的股东大会上，摩根大通董事长兼首席执行长戴蒙(James Dimon)似乎略微软化了该行先前对其交易策略的描述。



'We do continue to believe in the importance of being able to hedge risk as an institution,' he said. 'However, we also understand the need for rules and practices to ensure that hedging doesn't morph into something different. What this hedge morphed into violates our own principles.'


他说，我们依旧相信作为一家机构具备风险对冲能力的重要性，但是，我们也明白有必要用规则和惯例确保对冲行为不变质；这一次对冲演变的结果违背了我们的原则。



A spokesman for J.P. Morgan said the bank plans to provide more transparency over the trading positions at the end of this quarter.


摩根大通一位发言人说，该行准备在本季度末进一步披露交易头寸的情况。



The losses are likely to inflame the debate over how far regulators should go in reining in the risky trading that has been fingered as a culprit in the 2008 financial crisis. The J.P. Morgan trades could be defined either as profit-seeking trades or as so-called portfolio hedges -- broad-based efforts by a bank to protect itself against a downturn.


高风险交易曾被指是2008年金融危机的罪魁祸首。关于监管机构应在多大程度上控制这类交易的争论，可能会因为摩根大通这次巨亏而变得更加激烈。摩根大通的交易既可定义为逐利性交易，也可定义为投资组合套期保值（对冲），即银行为保护自己免受市况下跌冲击而采取的各种措施。



'I don't think there's a clear line of demarcation between hedging and speculating,'' said Charles Geisst, a finance professor at Manhattan College in Bronx, N.Y. 'There never really has been.''


纽约州布朗克斯的曼哈顿学院(Manhattan College)金融学教授盖斯特(Charles Geisst)说，我认为套保与投机之间并无明确界线；从来就没真正有过界线。



Deputy-level staff at the five financial regulators writing the 'Volcker rule,' which aims to limit bank risk-taking, will meet Wednesday at the Treasury Department, part of a regular biweekly meeting. Lower-level regulatory staff met Tuesday to continue to grind through the final draft of the regulation, which is expected as early as this summer, according to people familiar with the matter.


有五家金融监管机构正在制定旨在限制银行冒险的"沃尔克规则"(Volcker rule)。它们将于周三派出副职级工作人员前往财政部参加两周一次的例行会议。周二有级别更低的工作人员开会，继续推敲规则的终稿。据知情人士说，预计终稿最早将在今年夏季公布。



The Justice Department also said Tuesday it opened a probe into the J.P. Morgan losses.


司法部周二表示已对摩根大通的亏损立案调查。



J.P. Morgan's Chief Investment Office -- the risk-management unit at the center of the $2 billion-plus loss and home to the trader who became known as 'London whale' -- is part of the company's Corporate/Private Equity sector, which has posted net income of $5.09 billion over the past three years, according to regulatory filings. The bank's profit over that period was $48.08 billion.


摩根大通的风险管理部门"首席投资办公室"(Chief Investment Office)是造成这次巨亏事件的主要部门，也是那位被称为"伦敦鲸"的交易员工作的部门。这个部门隶属于摩根大通"公司/私募股权部"(Corporate/Private Equity)。监管备案文件显示，该部门过去三年实现净利50.9亿美元。同一时期摩根大通实现总利润480.8亿美元。



The New York company last year bought derivatives on indexes tracking high-yield corporate bonds in a bid to protect itself against a possible recession in Europe, which could hurt J.P. Morgan by increasing defaults in its $724 billion loan portfolio. Those high-yield derivatives contracts expire in December 2012, as previously reported by The Wall Street Journal.


摩根大通去年买入基于高收益公司债券指数的衍生品，以防欧洲经济衰退给自己造成冲击。因为如果欧洲经济衰退，该行所持的7,240亿美元贷款资产的违约率就会增加。据《华尔街日报》先前报道，这些高收益衍生品合约的到期时间是2012年12月。



This trade could serve as a hedge because it would produce paper gains if the bonds -- which are particularly sensitive to a market downturn -- deteriorated in value, traders said.


交易员说，这笔交易可以起到套期保值的作用，因为如果特别容易受市况下跌影响的基础债券贬值，这笔交易就会实现账面赢利。



When European markets improved early in 2012, the company sought to reduce its earlier bet by selling insurance-like derivatives called credit-default swaps tied to an index tracking investment-grade corporate bonds. As reported by the Journal, those trades on highly rated bonds expire in 2017.


在2012年初欧洲市场有所好转时，摩根大通卖出了与投资级公司债指数挂钩的信用违约掉期(credit-default swap，简称CDS)，力求减少之前的押注。正如《华尔街日报》所报道的，那些高评级债券交易的到期时间是2017年。



Observers said these trades could be either hedges or income generators: They might have been designed to pay off both in a downturn, as the 'junk'-bond market underperformed higher-quality bonds, and later to pay off as the investment-grade market rebounded in the recovery.


观察人士说，做这些交易可能防范风险，也可能创造收入。设计这些产品的目的也许就是实现"双赢"，即在垃圾债券的表现不如高质量债券的经济下行期间赢利，在随后投资级市场回暖的经济复苏时期也赢利。



In the third leg of the trade, which hasn't been reported, J.P. Morgan bought protection on investment-grade bonds that expired at the end of 2012, according to people familiar with the strategy. This gave the bank protection on the investment-grade bond trade. A related trade provided more benefits but allowed the bank to capture the premium between cost of default protectionending in 2014 and the cost of the same protectionending in 2017.


据了解摩根大通策略的人透露，交易的第三步(还未被报道过)是，该公司购买了投资级债券CDS，这些债券2012年底到期。这让摩根大通在投资级债券交易方面有了保护。一笔相关交易给摩根大通带来了更多实惠，但仅让它获得2014年到期的CDS与2017年到期的同样CDS之间的差价。



J.P. Morgan's strategy is raising eyebrows in part because it uses different types of bond indexes that may not have moved in tandem. Also, the size of the bets is critical.


摩根大通的战略让人吃惊，部分原因在于它用的是不同种类的债券指数，而这些指数的走势可能并不同步。另外，押注的规模也至关重要。



'The timing, prices and particular choice of index that people are saying that J. P. Morgan used seems to support the view that there was more to the trade than just a hedge,' said James Parascandola, a veteran credit-default-swaps traderformerly with MF Global Holdings Ltd. and Barclays PLC.


曾供职全球曼氏金融(MF Global Holdings Ltd.)和巴克莱集团(Barclays PLC.)的资深CDS交易员帕拉斯坎杜拉(James Parascandola)说，人们说的摩根大通所用指数的时机、价格和特定选择似乎都印证这样一种观点，即做这个交易似乎不只是为了避险，还有其它目的。



In the meantime, J.P. Morgan's trading positions seem to have benefited from month-end price moves that coincided with unusually heavy trading volume in an index on which the bank focused its trading, according to an analysis of trading data and market participants.


此外，据一份交易数据分析报告显示以及市场参与者表示，摩根大通的交易头寸似乎从月底的价格波动中获益，其波动与该行重点关注的一个交易指数不同寻常的大规模交易量是一致的。



For the last two weeks of January through the week ending Feb. 3, for example, the gross face value of trades in the CDS index traded by J.P. Morgan jumped 6.4%, to $862 billion, and the index moved in J.P. Morgan's favor, according to a warehouse of CDS trades kept by the Depository Trust & Clearing Corp.


根据存管信托及结算公司(Depository Trust & Clearing Corp.)存留的CDS交易数据显示，在截至2月3日的两周中，摩根大通对那个CDS指数交易票面总额增加6.4%，至8,620亿美元，指数向有利于摩根大通的方向移动。



From the end of February to the start of March, that gross 'notional' volume jumped 4.5% to $901 billion, moving the index in J.P. Morgan's favor again, the data show.


数据显示，2月底至3月初，"名义"总额大涨4.5%，至9,010亿美元，指数再次向有利于摩根大通的方向移动。



During the financial crisis, several large banks including Deutsche Bank AG suffered steep losses from a popular trading strategy which involved buying large amounts of corporate bonds and hedging them with credit-default swaps that acted like insurance against defaults.


金融危机期间，包括德意志银行(Deutsche Bank AG)在内的几大银行都因一项受欢迎的交易策略遭遇巨亏。具体来说，该策略就是购买大量公司债，再为这些公司债购买充当违约保险的CDS。



This 'basis trade'' went haywire in late 2008 when bank funding costs soared and many firms sold off large volumes of bonds. That led prices of the bonds to fall sharply and diverge from the cost of credit protection, resulting in losses for the banks.


这种"基差交易"曾在2008年底出过问题，当时银行融资成本飙升，很多公司抛售了大量债券，导致债券价格大幅下跌并偏离违约掉期价格，最终酿成银行的亏损。



Episodes such as those helped give rise to the Volcker rule, named after former Federal Reserve Chairman Paul Volcker and part of the 2010 Dodd-Frank financial overhaul. But putting the rule in place has proved complicated, in part due to language in the proposed rule that allows banks to hedge against the risk in a bank's portfolio of positions.


这些问题在一定程度上促成了"沃尔克规则"的出台。这一规则以美联储(Federal Reserve)前主席沃尔克(Paul Volcker)的姓氏命名，也是2010年《多德－弗兰克法》(Dodd-Frank)金融改革的一部分。但事实证明，该规则实施起来很复杂，原因之一就是拟议规则当中的措辞让银行有机会为头寸组合的风险进行套期保值。



Such so-called portfolio hedging has been backed by banks and financial lobbyists, who say that banks need to have the maximum flexibility to manage their risks.


这种所谓的投资组合套期保值一直受到银行和金融说客的支持。他们说，银行在风险管理方面需要拥有最大的灵活性。



Katy Burne / Aaron Lucchetti / Gregory Zuckerman


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