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发表于 2012-5-14 12:38 AM
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ctcld 发表于 2012-5-14 00:07 
http://www.hutong9.net/home.php?mod=space&uid=7162&do=blog&id=39762
你理解错了，而且因为立场而错 ...
老大的中文版的解释俺前几日看过了。另外看到下面的英文部分是来自DQ的。俺没理解错的话，这回主要是JPM独家在卖IG9，赌的是IG9指数成分股没有破产的风险，指数才会走平，让JPM白赚保险金。结果是卖大发了，风险比预期的大，又脱不了身，窟窿就出来了。这种操作策略当然脱离不了JPM对大环境经济形势的预判，没有这个预判，风险是难以预估的。不知老大说俺的理解错误更具体指的是什么，请赐教。谢！
Among the hedge funds that began taking positions against JPMorgan were Blue Mountain, a New York fund; Lucidus Capital Partners, a London fund; Hutchin Hill, a New York fund; and Bluecrest, a giant London hedge fund founded by two former traders on JPMorgan’s proprietary trading desk.
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Last summer the chief investment office began calling brokers at several Wall Street banks, the brokers say. The office was offering to sell insurance on an index of big American corporations like General Mills, Alcoa and McDonald’s — known as CDX IG Series 9. If the companies in the index went bankrupt, JPMorgan would have to pay out, but if the companies continued to do well JPMorgan could rake in the fees from financial firms that bought the insurance.
The strategy initially made money for JPMorgan and its position began to grow, as did an appetite for it among a tight-knit segment of hedge funds focused on credit opportunities. The large scale of the trade was permitted as a result of an expansion in the limits placed on the size and the scope of securities the unit could trade in that were adopted after JPMorgan acquired Washington Mutual in the financial crisis. Those limits have now been scaled back.
By January, these hedge funds were getting calls nearly every day from brokers representing the chief investment office, according to hedge fund managers and brokers on the calls.
The seller’s identity was not supposed to be known, but the sheer volume of the trade made it hard to hide, and soon enough all fingers in the “small, clubby world” of credit hedge funds pointed to Mr. Iksil’s desk at JPMorgan, according to one fund manager.
“A bunch of us started looking at it and talking about it a lot,” the manager said. “There was agreement that Bruno was selling.”
There were two ways that JPMorgan could win this bet. If the companies in the index did well, the bank’s cost of insuring the index would continue to fall. JPMorgan could also artificially drive the price lower by continuing to issue more and more insurance — a distinct possibility thanks to JPMorgan’s size and stature.
In January and February, as the price of the insurance continued to drop, lunch meetings and casual conversations between hedge fund managers swirled around the ability of JPMorgan to continue financing this bet.
“A lot of people told me it was a foolish trade,” said an official with a hedge fund that bet against JPMorgan. “The naysayers on this trade said, ‘Look, this guy has unlimited firepower, he can just keep selling and selling and make your life miserable.’ ”
Among the hedge funds that began taking positions against JPMorgan were Blue Mountain, a New York fund; Lucidus Capital Partners, a London fund; Hutchin Hill, a New York fund; and Bluecrest, a giant London hedge fund founded by two former traders on JPMorgan’s proprietary trading desk.
The trade did not at first make money for the hedge funds. In the improving economy early in the year, the hedge funds had to make regular insurance payments. But in late March, doubts about the economy began to swirl, and the index jumped.
JPMorgan began seeing losses by the end of the first quarter, on March 31, but they were not enormous, allowing bank executives to shrug off the early criticisms of the trade. But the trade drew increasing attention as the index continued to spike, multiplying JPMorgan’s potential losses if it had to pay out on the insurance.
Soon United States and British regulators were talking daily with bank executives. (The New York Fed has been following the chief investment office practically since its inception, as part of its regular supervision of the firm.)
The Securities and Exchange Commission investigation is at an early stage. No one at JPMorgan has been accused of any wrongdoing.
An important avenue for the S.E.C. investigation, people briefed on the matter said, is the firm’s accounting methods relating to the trades. Investigators could take a close look at how the bank reported risk for the chief investment office and whether changes it made to that measure were adequately disclosed.
In the first quarter, JPMorgan changed its risk measurement to one it felt was more in line with recent regulatory changes involving capital requirements. Yet the bank had issues with the model, and Mr. Dimon said on Thursday that it was later deemed “inadequate.”
JPMorgan, said a person briefed on the matter but not authorized to speak on the record, did not need regulatory approval to change its risk model, but eventually would have to. Other firms said they tended to work in concert with regulators when altering this model.
The change clearly masked the risk of the trades now under the microscope. Mr. Dimon disclosed that the daily value at risk for the trading unit had almost doubled, from an average of $67 million for the first quarter, to $129 million, after the bank scrapped the new model and revised the figures.
One senior Wall Street executive speculated the change might have assigned a lower risk weighting to big trades, allowing the bank to take more risk than it should have in recent months.
In the case of the trade that generated the huge loss, the insurance on the contract does not come due until 2017, so JPMorgan could potentially hold off any actual losses until then. If the economy improves, the cost of insuring American companies could drop again. But now that the London Whale’s trade is public, hedge funds could force the cost of this specific insurance contract up, and with it JPMorgan’s paper losses. This is what appears to be happening now.
On Friday, the insurance index spiked sharply, bringing it up 32 percent from its low in March.
“There are no buyers or sellers in the market right now. Because of that, it is impossible for JPMorgan to get out of this trade,” said Gennaro Pucci, who oversees the PVE Macro Credit Fund in London. “These positions, which made sense for them to put on, just become impossible to manage when liquidity dries up.”
A senior Wall Street executive said on Friday: “JPMorgan violated the cardinal rule of risk: Don’t become the market.” |
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狗仔卡
提升卡
置顶卡
沉默卡
喧嚣卡
变色卡
来看看他们到底会不会动刀子割。
发表于 2012-5-14 02:35 AM