摩根大通鑄成20億美元巨虧的罪魁禍首：負套利交易

????一項不走運的交易居然造成摩根大通（JPMorgan Chase）損失20多億美元，而且損失額還在擴大。如果你想搞明白這是一項怎樣的交易，你只需弄清楚什么是“負套利交易”（Negative carry trade）。你還需要知道的是這種交易并不討人喜歡——相當、相當不入主流。

????華爾街通常都討厭負套利交易，而如今摩根大通或許比其他任何公司都更加討厭負套利交易。摩根大通前首席投資官伊娜?德魯在此次交易丑聞爆出后于周一離職，據報道，她秉信摩根大通能在對沖業務損失的同時繼續大賺其錢。這一般都很難做到，通過負套利交易就更加不可能了。在負套利交易中，你持有的時間越長，耗費的資金就越多，直到獲得償付，但不是所有合約都會獲得償付。

????大多數負套利交易都類似于購買保險，需要定期支付保費，但買保險不是必須。如果你租房，那是因為你認為房價會下跌，將來你能以更低的價格買到房子，用華爾街術語，這就是負套利交易。你每月付的房租減去如果買房你需要支付的房貸利息（稅后）和物業稅，就是你的負套利。你租房時間越長，房價的下跌幅度就需要下跌越多，這樣你的等待和付出才是值得的。

????倒不是說，負套利交易總是不好的。有些負套利交易也賺的盆滿缽滿。2006年和2007年約翰?保爾森賭定樓市將下跌，就是一個負套利交易；據報道，他凈賺了250億美元。但如果你在一家大銀行管理交易運營，每天盯著損益報表以確保你的對沖基金盡可能盈利，那你就會盡量去避免負套利交易，哪怕如果不做負套利交易會導致未來發生巨額損失——這看起來正是發生在摩根大通和德魯身上的事。

????造成摩根大通巨虧的這項交易可能始于去年年中或更早。銀行，尤其是大型銀行，事實上每時每刻都在對經濟走向進行押注。它們借錢給個人和企業，希望他們日后還錢并支付利息。問題是在經濟不佳時銀行貸款也不好做。但你不能關門歇業。因此，如果你是一家大銀行，你要做的就是對沖。

????現如今，對沖貸款風險的最簡單方式就是購買信貸違約掉期（CDS），這事實上是一個保險協議，確保貸款出現壞賬時得到償付。這就是摩根大通從2011年年中至下半年開始做的一件事，當時經濟已經開始放緩，華盛頓陷入政策僵局，歐洲危機加重。摩根大通看來買了很多對沖美國大公司貸款風險的合約，指望如果經濟二次探底、其貸款業務能免受沖擊。越來越多的人當時也預測，如果未來18個月內摩根大通最大的一些企業客戶出現違約，該行也會無虞。這些合約都是短期的，12月份到期。而且，即便摩根大通的借款人沒有違約，光違約風險上升也可能造成短期企業債券價格下跌，收益率上漲，令摩根大通購買的對沖合約價格上漲。

????If you want to understand the ill-fated trade that has cost JPMorgan Chase (JPM) more than $2 billion and counting, all you really need to understand are three words: Negative carry trade. And what you need to understand about those three words is that they are dirty - really, really dirty.

????In general, Wall Street hates negative carry trades. But it's likely that nowhere were negative carry trades more loathed than at JPMorgan Chase. Ina Drew, the firm's former chief investment officer, who left the firm on Monday amid the trading scandal, reportedly believed that the bank could hedge against business losses and still make money at the same time. That's very hard to do in general. But it's impossible to do with a negative carry trade. That's because, until they payout, which not all do, negative carry trades cost more and more money the longer you hold them.

????Most negative carry trades involve buying insurance and paying a regular premium. But they don't have to. If you rent, because you believe housing prices are going to drop and that you will be able to buy a home cheaper later, in Wall Street speak that's a negative carry trade. The rent you shell out each month, minus what you would have paid in interest (after-taxes) on your mortgage and property taxes, is your negative carry. And the longer you rent, the more housing prices have to drop to make your choice to wait pay off.

????That's not to say negative carry trades are always bad. Some have been spectacularly profitable. John Paulson's bet against the housing market in 2006 and 2007, which reportedly netted $25 billion, was a negative carry trade. But if you are running a trading operation at a big bank, and you are watching your P&L everyday, like Drew reportedly did, to make sure your hedges are as profitable as they can be, you will do whatever possible to avoid negative carry trades, even if doing so opens you up to massive losses down the road, which it appears is exactly what happened to Drew and JPMorgan.

????The bet that blew up in JPMorgan's face probably started mid-last year, but it could be even older than that. Banks, especially large banks, are generally betting on the economy all the time. They give out money to people and businesses in the hope that they will get paid back with interest. The problem is that in times of economic stress, the business of banking is not always a good bet. But you can't close the doors. So, if you are big bank, what you do is hedge.

????The easiest way to hedge your bets these days is to buy so called credit default swaps, which are essentially insurance contracts that pay out if a loan goes sour. That's exactly what JPMorgan started doing in mid-to-late 2011 as the economy started to slow, Washington gridlocked and the problems in Europe grew. JPMorgan appears to have bought insurance against a number of large U.S. corporations, protecting the bank against the possibility that if the economy did fall into a double dip, as more and more people were predicting, the bank would be covered against the chance that some of its largest corporate customers would default for the next 18 months. The contracts were short-term and expired in December. And even JPMorgan's borrower didn't default, just the rising threat of higher defaults would likely cause short-term corporate bond prices to fall, and yields to rise, and make the insurance contracts JPMorgan was purchasing increase in value.