Thursday, May 17, 2012

More Details about JPMorgan's Loss

WSJ, 5/16/2012, "From 'Caveman' to 'Whale'", By GREGORY ZUCKERMAN

WSJ 這篇文章簡單介紹了這次闖下大禍的 "London Whale" Bruno Iksil。他去年賭 Kodak, Dynegy 和 American Airline 的債券會違約,下了 $1 bn 的賭注,賺了$450 mn。

他當時操作的工具是 CDX High Yield 11,這個指數追蹤 100 家垃圾債券等級的公司。這工具看起來像是一個 zero coupon 的 CDO 所作成的指數,是從 2008 年開始的。不過因為是指數,所以不是真正由債券包裝而成。最簡單的方式就是由這一百家公司的債券的 YTM 來計算他們如果是零息的情況下價格是多少,然後計算這些債券的平均價格。Iksil 賭的 HY 11 在去年 12 月 20 日到期,然後這個指數會重新調整這 100 家成份公司 roll over 成一個新的指數重新開始再繼續。他在去年下半年下的注是賭在 12 月 20 日以前這些成份公司裡面至少有兩家以上會違約(機率比想像中要小,有些公司已經在夏天先倒掉了所以不算)。

看準方向雖然不容易,但是還不是投資最難的一部份。投資最難之處在於抓時間。台灣有不少人一直說房市泡沫化,預期房市要崩潰已經好幾年了,不過到現在為止還沒有預測成功。我同意台灣房市價格遲早會下修,不過以目前這種低利率環境要看到它下修還需要許多其他不利的經濟條件配合。要斬釘截鐵的說時間是今年下半年(或是去年下半年、前年下半年...),這個實在太唬爛了。

從 Iksil 建立部位開始,這個指數大約是在 87 cents (on the dollar) 左右,Iksil 站在空方。有人空當然有人要做多,那時候有不少避險基金跟 Iksil 對作。當九月底這個指數大約是 82 cents 的時候,Kodak 的信用透支引發了市場強烈的反應,指數跌到 70 cents。有許多做多的避險基金在這個時候認賠出場,使得指數跌的更深。不過到了 11 月的時候許多看多的交易員的信心又回來了,一時之間指數回到 83 cents,Iksil 經歷了一場紙上富貴。

即使在 11 月 7 日 Dynegy 的母公司申請破產保護,Iksil 和 J.P. Morgan 的情況還是不看好,而且只剩下六個星期這個指數就要到期了。在這樣的情況下 Iksil 仍然不為所動,所以得到了 "caveman" 這樣的綽號,意思是他就好像穴居在自己的辦公室,堅持自己的部位完全不為所動。

不過他的堅持居然奏效了,沒有多久指數又開始走跌,到了 11 月 29 日American Airline 的母公司也宣告破產保護,這個指數的崩跌再無疑問,J.P. Morgan 最後賺了 $450 million。這是零和遊戲,他們賺了 $450 million 就表示跟他們對作的交易對手差不多也輸了這麼多。

這種賭徒性格常常在交易員身上看到。賭贏了功成名就,賭輸了的人通常名不見經傳。只有像這次風控沒作好,為公司輸掉太多錢的交易員才會變成有名的輸家。一般膽子小的人大概不適合玩這行,成功沒他們的份,雖然輸也不會輸太多,但是公司通常不喜歡用賺不了大錢的交易員,因此職業壽命往往也不會太長。

這次的問題所顯露出來的是由於 Bruno Iksil 和他所屬的 Chief Investment Office (單位主管 Ina Drew 已辭職下台,她是 Columiba SIPA 畢業的校友) 在過去為 J.P. Morgan 立下汗馬功勞,所以投資部位可能因此在風控的管制下可以得到一些額外的彈性空間。他們過去三年內為公司賺了 $5.09 bn,超過 J.P. Morgan 整體獲利 $48.08 bn 的 10%。

簡單的說,J.P. Morgan 在這個單位的風險控管上跟一般散戶沒有什麼兩樣。過去幾年成功的策略就加碼來做,完全不考慮自己可能只是運氣好。Volcker Rule 的推動預計會減少不少阻力,Jamie Dimon 就算還有臉高調反對,也沒有人會理他了。

Jamie Dimon 先前說要 ride out the storm,我猜他的意思大概是不打算攤平退場認輸。今天聽到消息說他們的損失又增加了 50% (New York Times, 5/16/2012, "JPMorgan’s Trading Loss Is Said to Rise at Least 50%" By NELSON D. SCHWARTZ and JESSICA SILVER-GREENBERG),這些都是用 mark to market 的方式計算出來的。如果 Iksil 仍然站在空方的話,其實也不見得就一定會輸,接下來市場反轉向下的機會是存在的。這有可能是 Jamie Dimon 的盤算,不過這些東西要知道更多細節才能判斷,我就不加揣測了。

8 comments:

Ben said...

Excuse my French, but s&*t always seems to happen when I am on vacation. My wife keeps reminding me that vacation and I are mutually exclusive:(

Jamie is between a rock and hard place now. His over-confidence in himself and JP Morgan may very well be his Achilles heel. Time will tell.

CCLu said...

To Ben,

Enjoy your vacation. This shit does not happen this week, and it will not end any time soon.

Jamie Dimon got sued by shareholders of JPMorgan yesterday. And I can only assume he'll be in for a much bigger trouble from SEC. All surfaced evidences show this is not the wrong doing by a rouge trader, but a misstep by the high ranking officers of the bank. Dimon definitely knew what was going on.

There are more details coming out today when it was supposed to be a great happy day for Facebook. I'm digesting those information and hopefully can post more soon.

Ben said...

Thanks, CC.

All I ever wanted was three weeks of flat market...I guess that was too much to ask for. The market god never grants my wishes:)

CCLu said...

To Ben,

This is why you should sell in May and go away. Well, what we have now is not that adage means, but it applies.

Three weeks of flat market? I'm sorry to say this, but "in your dreams".

I don't even have time to cover Greece yet. Things are deteriorating super fast there. They might not have a banking system left when the June election takes place.

Ben said...

The time to sell this year is not in May, but rather in March or April. Individual investors may be able to turn their portfolio around on a dime, but the big boys need time to unload their positions. If a portfolio manager waits for the news to hit the tape before reacting, he/she will not be around for long.

I have been net short equity and long volatility and agency bonds in my book for some time now. There are two decisions to be made regarding any short position - when to short and when to cover. To me, when to cover is the more difficult decision. The market has gone straight down pretty much since the beginning of May. Nothing goes straight up or down. We should expect a counter-trend rally soon. The issues at hand are:

- Do I cover/hedge my short positions to lock in profits?
- Do I participate in the coming counter-trend rally?
- If I did decide to increase my long exposure, when would I get out of my long positions?

I "wished" for a flat market because I didn't want to deal with the aforementioned issues on my vacation, not because I am concerned with the daily price fluctuation of the market(ok, maybe just a little:). If I get my process right, money will follow. However, the process takes a lot of time, focus, and efforts, which destroy my vacation and make the wife one unhappy woman.

By the way, Greece is fairly meaningless now. Spain, Italy, and maybe even France should be our focus going forward.

Just my $0.02

CCLu said...

To Ben,

I bet somewhat different in Greece. We don't care much about it for the sake of its economy, but we do care how European leaders deal with a situation like this.

I think it can still emit a very strong and useful signal. Do they take moral hazard seriously? Or they would go far to keep the "integrity" of the Euro-zone intact?

Ben said...

If Italy and Spain didn't have issues, nobody would care how Greece is handled, other than the Greeks of course.

My take is that a "comprehensive" solution for Spain and Italy will be announced when Germany finally decides what to do with Greece.

Of course, there is always the possibility that Germany and other Northern European countries will quit the EMU first.

It is all political now, and that's the real danger.

CCLu said...

To Ben,

It seems we have the same idea on economic issues, but not in political ones.

I always believe "action speaks louder than words" when it comes to policy decisions. Merkel and others can say whatever they wish (in fact, they probably can't), but the market will judge what they will do from their action. Rescuing Greece would be a very strong signal that they leave no man behind.

If that is too costly, add in the moral hazard trouble those stupid Greeks are causing, the wise choice might be laying out a clear exit strategy for Greece and all other troubled countries.