一项不走运的交易居然造成摩根大通（JPMorgan Chase）损失20多亿美元，而且损失额还在扩大。如果你想搞明白这是一项怎样的交易，你只需弄清楚什么是“负套利交易”（Negative carry trade）。你还需要知道的是这种交易并不讨人喜欢——相当、相当不入主流。

    华尔街通常都讨厌负套利交易，而如今摩根大通或许比其他任何公司都更加讨厌负套利交易。摩根大通前首席投资官伊娜•德鲁在此次交易丑闻爆出后于周一离职，据报道，她秉信摩根大通能在对冲业务损失的同时继续大赚其钱。这一般都很难做到，通过负套利交易就更加不可能了。在负套利交易中，你持有的时间越长，耗费的资金就越多，直到获得偿付，但不是所有合约都会获得偿付。

    大多数负套利交易都类似于购买保险，需要定期支付保费，但买保险不是必须。如果你租房，那是因为你认为房价会下跌，将来你能以更低的价格买到房子，用华尔街术语，这就是负套利交易。你每月付的房租减去如果买房你需要支付的房贷利息（税后）和物业税，就是你的负套利。你租房时间越长，房价的下跌幅度就需要下跌越多，这样你的等待和付出才是值得的。

    倒不是说，负套利交易总是不好的。有些负套利交易也赚的盆满钵满。2006年和2007年约翰•保尔森赌定楼市将下跌，就是一个负套利交易；据报道，他净赚了250亿美元。但如果你在一家大银行管理交易运营，每天盯着损益报表以确保你的对冲基金尽可能盈利，那你就会尽量去避免负套利交易，哪怕如果不做负套利交易会导致未来发生巨额损失——这看起来正是发生在摩根大通和德鲁身上的事。

    造成摩根大通巨亏的这项交易可能始于去年年中或更早。银行，尤其是大型银行，事实上每时每刻都在对经济走向进行押注。它们借钱给个人和企业，希望他们日后还钱并支付利息。问题是在经济不佳时银行贷款也不好做。但你不能关门歇业。因此，如果你是一家大银行，你要做的就是对冲。

    现如今，对冲贷款风险的最简单方式就是购买信贷违约掉期（CDS），这事实上是一个保险协议，确保贷款出现坏账时得到偿付。这就是摩根大通从2011年年中至下半年开始做的一件事，当时经济已经开始放缓，华盛顿陷入政策僵局，欧洲危机加重。摩根大通看来买了很多对冲美国大公司贷款风险的合约，指望如果经济二次探底、其贷款业务能免受冲击。越来越多的人当时也预测，如果未来18个月内摩根大通最大的一些企业客户出现违约，该行也会无虞。这些合约都是短期的，12月份到期。而且，即便摩根大通的借款人没有违约，光违约风险上升也可能造成短期企业债券价格下跌，收益率上涨，令摩根大通购买的对冲合约价格上涨。

    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.

    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.