转: 解密摩根大通20亿巨额交易亏损# Stock
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新浪财经讯 北京时间5月12日凌晨消息，周四晚华尔街巨头摩根大通(JPM)宣布一位绰
号为“伦敦鲸鱼”的交易员导致公司亏损约20亿美元。这一事件令全球市场雪上加霜，
JPM周五开盘即暴跌近10%。尽管事件曝光，但迄今全部细节仍不为人知，监管机构、市
场人士甚至摩根大通自己都在努力探寻来龙去脉。本文将以尽可能简单清晰的语言为您
解读这一事件。
本文的结构是十问伦敦鲸鱼门，通过10个自设自答的问题，力图达到一贴道尽的目
的。应指出的是，目前这些问题有些还没有答案，设问主要是为了抛砖引玉。
1)谁是绰号为“伦敦鲸鱼”的交易员？为什么一个外界了解如此之少的人能建立如
此庞大的头寸？
“伦敦鲸鱼”是摩根大通驻伦敦的交易员埃克西尔(Bruno Iksil)，他任职于摩根
大通的首席投资部门(CIO)。他可不是一个小人物，美国双线资本公司的主管巴哈(
Bonnie Baha)指出：“伯南克对国债市场的地位有多重要，埃克西尔在衍生品市场的地
位就有多重要。”
但是，相对他的业界地位而言，埃克西尔在圈外实在是不为人知，要知道近年来他
每年都为摩根大通赚取约1亿美元。当然，现在他一下子亏了20亿。目前外界所知的基
本情况包括，他是个法国人，在摩根大通伦敦办事处高调地工作。
《华尔街日报》上个月报道，埃克西尔自2007年1月起为摩根大通工作，他每周在
伦敦办公室和巴黎的家之间往返。在办公室他有时穿黑色牛仔裤，几乎不打领带。
加入摩根大通前，他曾于1997至1999年在法国银行CDC Ixis担任资金经理，此后加
盟Natexis国民银行，担任信用衍生品主管。
谁第一个给埃克西尔取了“伦敦鲸鱼”的绰号目前不得而知。但据媒体消息和周四
摩根大通披露的情况看，埃克西尔还没有因为巨亏20亿美元被解雇。
第二个问题目前还没有标准答案。摩根大通CEO迪蒙(Jamie Dimon)昨天的言论也许
能提供一些线索，他指出，埃克西尔事件的出现源自摩根大通上上下下出现了“太多的
失误、粗心草率和误判”。
2)“伦敦鲸鱼”埃克西尔都干了什么？他是如何做的？他什么时候停止的？又是为
什么？
诸多迹象表明，埃克西尔年初为摩根大通建立了巨额的信用违约掉期(CDS)头寸，
后来在3月底之前空翻多卖出了这些保护，这样做意味着他在赌一篮子美国公司的债券
不会违约或贬值，而多家对冲基金和其他市场参与方随后投入了巨额对赌资金，买入针
对这些公司债券的违约保护，他们希望债券违约或贬值。
埃克西尔这样做不无道理，他赌的是美国经济的持续改善将推升企业债的价值，但
从4月初开始，企业债的价格开始朝对他不利的方向移动，摩根大通的许多衍生品头寸
开始受损，而对赌的对冲基金等获利。
埃克西尔大量下注CDS很可能是在今年初进行的。他为什么要这样做呢？历史数据
表明，从去年12月开始，通过CDX IG 9指数买入CDS比购买单个公司的违约保护要便宜
得多，两者之间的息差最高为2.9万美元。这可能意味着这头“伦敦鲸鱼”就是在这个
时候开始出笼的，原因就是息差。他出于降低保护成本进行CDS的置换也好，出于加强
保护的目的也好，抑或就是为了投机赚钱，结果都是一个，他建立了基于CDX IG 9指数
的大量CDS头寸。
而目前的情况就大不相同，本周四为该指数涵盖的价值1000万美元的企业债购买5
年违约保护的价格约为每年7.6万美元。据Markit的数据，理论上购买这些公司单个违
约保护的总价格也差不多。两者的息差不太大。换成现在，埃克西尔不会建立如此巨额
的CDS头寸。
3)CDX IG 9指数是个什么东西？它包含的公司又有哪些？
CDX IG 19是一个CDS指数，针对121家美国领先公司的信用状况提供保护。这121家
公司基本上都是大名鼎鼎，其中包括麦当劳、美国运通、惠普、迪士尼和梅西百货。最
初该指数涵盖125家公司的信用保护，后来随着房利美、房地美、贷款提供商CIT和储蓄
银行华盛顿互惠陷入违约，它们都从这个指数中被移除，结果就剩下121家。
4)什么是首席投资部(CIO)？
CIO是摩根大通企业分部之下的一个业务部门。根据摩根大通的招聘广告，对这个
部门的正式描述是负责“管理整个公司所有主要业务线的日常运营所产生的结构性利息
、汇率和某些信用风险”。上个月《华尔街日报》曾报道，摩根大通曾公开宣称：“我
们的CIO运营可以对冲结构性风险，并投资于使公司的资产和债务处于更好的组合状态
”。
据摩根大通的证管文件，截至2011年12月31日，CIO持有约3500亿美元的投资证券
，相当于摩根大通资产总额的约15%。彭博社的报道称，摩根大通CEO迪蒙曾驱使CIO通
过投资高收益的资产来增加盈利，其中包括投资于结构化信用产品、股票和衍生品。彭
博社认为，迪蒙在过去5年中将CIO转型了，增加了CIO的规模并提升CIO在投机方面的风
险。
在2006年加入CIO担任伦敦地方最高负责人的马克里斯(Achilles Macris)领导下，
CIO开始对企业和抵押债务投资以增加利润，2010年CIO的投资组合最高达2000亿美元，
产生了50亿美元利润，这相当于摩根大通2010年净利润的四分之一还多。
5)摩根大通内部CIO(换而言之其实是一个进行大额高风险对赌的部门)与首席风险
官(CRO)的关系是什么？CRO为什么不管管CIO？
霍根(John Hogan)是摩根大通的CRO，今年1月管理摩根大通投行部门风险的霍根出
任整个摩根大通集团的首席风险官。但是，CIO的直接负责人是55岁的德鲁(Ina Drew)
，摩根大通的首席投资官。她为摩根大通服务可追溯至1982年，当时她加盟了摩根大通
的前身之一Chemical银行集团。
霍根和德鲁都是摩根大通14人组成的运营委员会的成员，也都是涵盖全公司高管的
68人执行委员会成员。后一委员会的成员还包括来自CIO的马克里斯、萨博(Richard
Sabo)和谢爱琳(Irene Tse，音译)。自2006年加盟CIO开始，马克里斯就是CIO伦敦地区
的最高领导人。
这意味着，摩根大通内部可能存在一个强大的CIO帮，而此前的良好盈利纪录给了
他们更大的话语权。CIO可能不太服从CRO在风险管理方面的领导。
6)CIO是不是一个巨大的自营交易(proprietary trading)部门？它是否违背了沃克
尔规则的精神？
沃克尔规则是《多德-弗兰克法案》的一个条款，它禁止银行为自己的账户进行交
易。规则的本意是限制银行过度冒险。有意思的是自营交易的定义到底是什么呢？沃克
尔规则的名字来自美联储前主席保罗-沃克尔(Paul Volcker)，他在国会作证时议员曾
要求他对自营交易下定义，他的回答却是：“我对过话的每个银行家都非常清楚自营交
易的意思。”但是，摩根大通本次巨亏20亿美元表明，自营交易的定义可能非常模糊，
监管机构推行沃克尔规则将面临巨大挑战。
上个月《华尔街日报》的报道指出，摩根大通CFO布劳恩斯坦(Doug Braunstein)指
出：“我认为，CIO的头寸既符合沃克尔规则的精神，在字面上也是合规的。”他还称
，CIO“负责对冲风险，他们针对下行风险采取对冲措施，这是天然保护资产负债表的
机构”。结果是什么呢？至少现在CIO让摩根大通一下子就亏了20亿美元。
7)控制风险的部门谁来管？
监管机构和摩根大通高管即将启动的追查可能集中在CIO可能导致多大的亏损，但
不容忽视的是，CIO存在的目的原本是平衡风险而不是加大风险甚至豪赌。“伦敦鲸鱼
门”无疑凸显了控制风险部门由谁控制的问题。
CLSA分析师指出：“CIO似乎存在一个大问题。关键在于，亏损居然发生在一个旨
在降低风险的部门，而不是一个需要冒险的部门。最大的问题是谁来监督CIO？这事关
一家表现好于其他同业公司的资产2万亿美元银行(注：指的是摩根大通)的内部制衡问
题。我们认为，这意味着这家大型银行基本的资本-债务管理是失败的。”
8)为什么摩根大通过去几周中多次忽视“伦敦鲸鱼”的交易头寸？
上个月，迪蒙完全没有理会媒体对“伦敦鲸鱼”交易的报道和关注。在第一财季分
析师会议上迪蒙指出：“这完全是小题大做。每个银行都有大型投资组合，在这些组合
中，只要你觉得明智你就可以投资。”周四晚迪蒙的口风完全改变，此前他是故意掩盖
还是粗心大意呢？可能都不是。迪蒙的驱策导致部下冒险，在没有出现严重后果时，贵
为CEO的他怎么可能“重视”呢？这相当于对媒体认错。
9)本次亏损是否会影响摩根大通价值150亿美元的股票回购？
应该不会。摩根大通在4月13日发布第一季财报时指出，董事会已批准新的150亿美
元股票回购计划，今年最高可以回购120亿美元。
迪蒙在第一季财报电话会议中指出，今年迄今新回购计划已执行4.5亿美元，回购
均价约为44.75美元，“很明显，如果股价上涨，我们会有所克制少买一点。如果股价
下跌我们会多买。”本周四摩根大通股票的收盘价为40.74美元，此后摩根大通公布了
“伦敦鲸鱼”导致巨亏的消息，周五开盘该股即暴跌9%以上。
10)摩根大通未来的命运如何？在金融危机中，它赢得了“华尔街之王”的称号，
现在这一荣光是否已扫地？
目前摩根大通正在与英国金融管理局(FSA)就CIO导致的交易亏损进行磋商。很可能
的一种情况是，本次亏损事件将引发全球监管机构对所谓自营交易进行更严格监督，虽
然摩根大通CEO迪蒙不承认这是自营交易，理由是CIO没有使用公司自有资本进行对赌。
如果仅仅是亏损20亿美元，摩根大通不会受到很严重的影响。“华尔街之王”会蒙尘但
不会声誉扫地。
如果本次“伦敦鲸鱼”事件使呼吁美国设立新法，禁止银行在自有账户上进行交易
的人士获得更多的进攻弹药，新法通过，摩根大通的盈利能力可能受到很大影响。不过
，“华尔街之王”应该有办法另辟赚钱的蹊径。
摩根大通还面临如何说服股东的艰难任务，毕竟周四晚迪蒙预计第二财季将因为本
次事件而蒙受略高于20亿美元的亏损。对迪蒙来说，一个重大的考验是5月15日的股东
年度大会，届时经理人包括他自己的薪酬计划将接受股东表决。
Financial News highlights 10 key questions that need answers – some of
which we have; some of which are still outstanding.
1) Who is the London Whale trader…
…and why is there so little information on someone able to build up such a
big position?
“What [Ben] Bernanke is to the Treasury market, Iksil is to the derivatives
market,” is how Bonnie Baha, head of the global developed credit group at
US firm DoubleLine Capital, described Bruno Iksil, the London-based trader
in the chief investment office who was widely identified in the media as the
banker at the centre of JP Morgan’s big bets.
However, for a man thought to have earned JP Morgan around $100m a year in
recent years, little is known about him other than he is a low-profile
Frenchman working predominantly in the bank’s London office.
The Wall Street Journal reported last month that “Iksil, who has worked at
JP Morgan since January 2007, commutes to London each week from his home in
Paris, and works from home most Fridays. He sometimes wears black jeans in
the office and rarely a tie, according to someone who worked with him” [ http://on.wsj.com/I9GXaf ].
Before that, he was a portfolio manager at French bank CDC Ixis from 1997 to
1999, when he moved to Natexis Banques Populaires and worked as head of
credit derivatives, according to his Bloomberg profile.
Quite who first dubbed him the London Whale remains unclear. As to his
future, a source close to the bank said that Iksil had not been fired as a
result of his trading actions.
JP Morgan chief executive Jamie Dimon said that a review was underway and
that "many errors," "sloppiness" and "bad judgment" had occurred at the bank
as a whole.
2) What was he doing? How was he doing it? When and why did he stop?
Iksil is believed to have taken large positions for the bank in credit-
default swaps, while hedge funds and other market participants subsequently
made heavy opposing bets. While they bought default protection on a basket
of US companies' bonds, Iksil sold the protection via the CDX IG 9 index, in
doing so placing his own bet that the companies won't default.
It is thought he took massive bets early this year. Does that suggest that
this was the moment JP Morgan became worried about the position?
Also, as Financial News’ Chart of the Day today shows [ http://bit.ly/IIr5hg ], it became much cheaper to buy CDS through the index than buying protection on the individual companies from December time. Does this suggest that that was when the London whale began his trade?
3) What is the CDX IG 9? What are the underlying companies?
A CDX IG 19 is a credit default swap index that offers protection on 121
leading US companies. They include, among others, McDonald’s, American
Express, Hewlett Packard, Walt Disney and shopping emporium Macy’s. It
originally consisted of 125 companies, but mortgage providers Fannie Mae and
Freddie Mac, loan provider CIT and savings bank Washington Mutual were
removed after they went into default, according to data provider Markit.
According to The Wall Street Journal, Iksil turned his attention to the
index earlier this year and took large positions in January and February
before he stopped selling the contracts at the end of March [ http://on.wsj.com/LvZtgV ]. But JP Morgan sold so many of the index swaps that the cost of protection on those companies dropped, which left hedge funds fuming because they were hoping for the opposite, reported the Journal. Consequently, it had become much cheaper to buy CDS through the index than buying protection on the individual companies with the gap widening to as much as $29,000 in January.
Yesterday, five-year protection on $10m of the corporate bonds underlying
the index cost $76,000 annually. Theoretically, buying the protection for
the individual companies would have cost exactly the same, according to data
from Markit.
4) What is the chief investment office?
The CIO is a business within the corporate division of JP Morgan, which is
formally described as the unit responsible for “managing structural
interest rate, currency and certain credit risks that are created from the
day-to-day operations of the firm's primary lines of business across the
company”, according to a recent job advert for a position at the unit in
New York [ http://bit.ly/ImeUIO ]
Last month, The WSJ reported JP Morgan to state: "Our CIO activities hedge
structural risks and invest to bring the company's asset and liabilities
into better alignment."
It added that the unit is “focused on managing the long-term structural
assets and liabilities of the firm and is not focused on short-term profits."
The CIO accounts for about $350bn of investment securities as of December 31
, according to JP Morgan’s company filings, or about 15% of the bank's
total assets.
Bloomberg reported today that the unit oversees about $360bn, the difference
between money JP Morgan received from deposits and the amount it extends in
loans. It added that Dimon had been pushing the unit to boost profit by
investing in higher-yielding assets, including structured credit, equities
and derivatives.
According to a Bloomberg article published last month, Dimon “has
transformed the bank’s chief investment office in the past five years,
increasing the size and risk of its speculative bets.”
It said that the unit, led by Achilles Macris, who joined in 2006 as the CIO
’s most senior London executive, there has been an expansion into corporate
and mortgage-debt investments to generate profits. Bloomberg cites a senior
executive as saying that Macris’s team built up a portfolio of as much as
$200bn and booked a profit of $5bn in 2010 – equal to more than a quarter
of JP Morgan’s net income that year.
5) What is the relationship between the chief investment office (which takes
big risky bets) and the chief risk officer?
John Hogan is JP Morgan’s chief risk officer, having stepped up from
managing its investment bank’s risk to overseeing risk across the group in
January.
However, 55 year-old Ina Drew, who has been with the bank since starting at
predecessor firm Chemical Banking Corp in 1982, works as chief investment
officer.
Both sit on the bank’s 14-strong operating committee as well as its 68-
strong firm-wide executive committee.
The committee also includes Achilles Macris, Richard Sabo and Irene Tse from
the chief investment office. Macris is said to be the office’s top
executive in London since joining the bank in 2006, according to a Bloomberg
report last month.
But it is not so clear on how the CIO relates with the CRO.
6) Is the CIO just a giant proprietary trading unit and against the spirit
of the Volcker Rule?
Under the Volcker Rule, a provision of the Dodd-Frank Act, banks are
prohibited from trading for their own account. It is designed to curb
excessive risk-taking at banks. When pressed by US Congress to define
proprietary trading, Paul Volcker, former chairman of the Federal Reserve,
said that “every banker” he speaks with “knows very well what ‘
proprietary trading’ means”. But the case of JP Morgan’s CIO office
illustrates the blurred definition of proprietary trading and the challenge
facing regulators who are trying to impose the Volcker Rule.
But the Wall Street Journal’s Deal Journal last month cited JP Morgan chief
financial officer Doug Braunstein as saying that the positions were “
consistent with both, I think, the spirit and written rules of the Volcker
rule as it is written today”.
He said the office “balances our risks. They hedge against downside risk,
that’s the nature of protecting that balance sheet”.
But Dimon admitted last night that the latest development will hamper the
bank’s efforts to lobby for a softening of the Volcker rule on bank trading
and “plays right into the hands of a whole bunch of pundits out there. We
will have to deal with that – that's life”.
7) Were there any controls?
The impending scrutiny of regulators and the bank’s top brass is likely to
focus on how such a large loss was able to occur in a division that exists
to balance out the bank’s risks rather than take huge bets. Analysts wasted
little time in highlighting the fact that the loss raises control issues.
Deal Journal cited a note from CLSA analysts saying: “There appear to be
major issues with the CIO office...Here is a key point: this loss occurred
in a risk-mitigation unit and not a risk-taking one...The bigger issue is
who was watching the CIO office. This raises issues about checks and
balances at a $2 trillion bank that has performed better than peers. We view
this as a failure of basic asset-liability management at a large bank due
to poor investments of deposits in excess of liabilities”.
8) Why did JPM repeatedly downplay the trading positions in recent weeks?
Dimon last month dismissed the attention paid in the media to the trades,
during the bank’s first-quarter analyst call, saying: “It’s a complete
tempest in a teapot. Every bank has a major portfolio and in those
portfolios you make investments that you think are wise.”
9) Will the losses have an effect on JP Morgan’s $15bn share buyback
programme?
The US bank said in its first-quarter results on April 13 it had authorised
a new $15bn common equity repurchase programme, of which up to $12bn of
repurchases has been approved for this year.
Dimon said on the results call that JP Morgan spent approximately $450m year
-to-date on that new authorisation at a price of about $44.75, adding that
“obviously if the stock goes up I think we will be consistent and we will
buy less. When it goes down we will buy more”. At the market close
yesterday, JP Morgan shares were at $40.74.
10) What next for JP Morgan, now that its mantle as the King of Wall Street
throughout the financial crisis has slipped?
JP Morgan is holding discussions with the UK Financial Services Authority
over the trading losses incurred by the CIO.
It is likely that the losses will spark increased scrutiny from regulators
worldwide over so-called proprietary trading, although JP Morgan chief
executive Jamie Dimon has said the trades aren't bets with the firm's own
capital.
Nevertheless, the losses will give ammunition to supporters of the new
legislation in the US to prevent banks from trading on their own accounts.
Gary Jenkins, founder of Swordfish Research in London told Dow Jones: “I
don't see regulators or rating agencies giving the banks any benefit of the
doubt now."
The bank will also face a tough task winning over its shareholders, after
Dimon offered guidance that the bank is likely to see "slightly more" than $
2bn in losses for the second quarter. JP Morgan shares, which closed at $40.
74 yesterday in New York, were trading 8% lower in Frankfurt trading this
morning.
A key test for Dimon could come at the bank’s annual shareholder meeting on
May 15, when issues such as executive remuneration will be put to a so-
called say-on-pay vote.
Dimon said on Thursday that the bank was in the processing of conducting a
review into what went wrong. No one has been fired as a result of the losses
, but Dimon could take such action once the firm finishes its review, the
WSJ reported.
号为“伦敦鲸鱼”的交易员导致公司亏损约20亿美元。这一事件令全球市场雪上加霜，
JPM周五开盘即暴跌近10%。尽管事件曝光，但迄今全部细节仍不为人知，监管机构、市
场人士甚至摩根大通自己都在努力探寻来龙去脉。本文将以尽可能简单清晰的语言为您
解读这一事件。
本文的结构是十问伦敦鲸鱼门，通过10个自设自答的问题，力图达到一贴道尽的目
的。应指出的是，目前这些问题有些还没有答案，设问主要是为了抛砖引玉。
1)谁是绰号为“伦敦鲸鱼”的交易员？为什么一个外界了解如此之少的人能建立如
此庞大的头寸？
“伦敦鲸鱼”是摩根大通驻伦敦的交易员埃克西尔(Bruno Iksil)，他任职于摩根
大通的首席投资部门(CIO)。他可不是一个小人物，美国双线资本公司的主管巴哈(
Bonnie Baha)指出：“伯南克对国债市场的地位有多重要，埃克西尔在衍生品市场的地
位就有多重要。”
但是，相对他的业界地位而言，埃克西尔在圈外实在是不为人知，要知道近年来他
每年都为摩根大通赚取约1亿美元。当然，现在他一下子亏了20亿。目前外界所知的基
本情况包括，他是个法国人，在摩根大通伦敦办事处高调地工作。
《华尔街日报》上个月报道，埃克西尔自2007年1月起为摩根大通工作，他每周在
伦敦办公室和巴黎的家之间往返。在办公室他有时穿黑色牛仔裤，几乎不打领带。
加入摩根大通前，他曾于1997至1999年在法国银行CDC Ixis担任资金经理，此后加
盟Natexis国民银行，担任信用衍生品主管。
谁第一个给埃克西尔取了“伦敦鲸鱼”的绰号目前不得而知。但据媒体消息和周四
摩根大通披露的情况看，埃克西尔还没有因为巨亏20亿美元被解雇。
第二个问题目前还没有标准答案。摩根大通CEO迪蒙(Jamie Dimon)昨天的言论也许
能提供一些线索，他指出，埃克西尔事件的出现源自摩根大通上上下下出现了“太多的
失误、粗心草率和误判”。
2)“伦敦鲸鱼”埃克西尔都干了什么？他是如何做的？他什么时候停止的？又是为
什么？
诸多迹象表明，埃克西尔年初为摩根大通建立了巨额的信用违约掉期(CDS)头寸，
后来在3月底之前空翻多卖出了这些保护，这样做意味着他在赌一篮子美国公司的债券
不会违约或贬值，而多家对冲基金和其他市场参与方随后投入了巨额对赌资金，买入针
对这些公司债券的违约保护，他们希望债券违约或贬值。
埃克西尔这样做不无道理，他赌的是美国经济的持续改善将推升企业债的价值，但
从4月初开始，企业债的价格开始朝对他不利的方向移动，摩根大通的许多衍生品头寸
开始受损，而对赌的对冲基金等获利。
埃克西尔大量下注CDS很可能是在今年初进行的。他为什么要这样做呢？历史数据
表明，从去年12月开始，通过CDX IG 9指数买入CDS比购买单个公司的违约保护要便宜
得多，两者之间的息差最高为2.9万美元。这可能意味着这头“伦敦鲸鱼”就是在这个
时候开始出笼的，原因就是息差。他出于降低保护成本进行CDS的置换也好，出于加强
保护的目的也好，抑或就是为了投机赚钱，结果都是一个，他建立了基于CDX IG 9指数
的大量CDS头寸。
而目前的情况就大不相同，本周四为该指数涵盖的价值1000万美元的企业债购买5
年违约保护的价格约为每年7.6万美元。据Markit的数据，理论上购买这些公司单个违
约保护的总价格也差不多。两者的息差不太大。换成现在，埃克西尔不会建立如此巨额
的CDS头寸。
3)CDX IG 9指数是个什么东西？它包含的公司又有哪些？
CDX IG 19是一个CDS指数，针对121家美国领先公司的信用状况提供保护。这121家
公司基本上都是大名鼎鼎，其中包括麦当劳、美国运通、惠普、迪士尼和梅西百货。最
初该指数涵盖125家公司的信用保护，后来随着房利美、房地美、贷款提供商CIT和储蓄
银行华盛顿互惠陷入违约，它们都从这个指数中被移除，结果就剩下121家。
4)什么是首席投资部(CIO)？
CIO是摩根大通企业分部之下的一个业务部门。根据摩根大通的招聘广告，对这个
部门的正式描述是负责“管理整个公司所有主要业务线的日常运营所产生的结构性利息
、汇率和某些信用风险”。上个月《华尔街日报》曾报道，摩根大通曾公开宣称：“我
们的CIO运营可以对冲结构性风险，并投资于使公司的资产和债务处于更好的组合状态
”。
据摩根大通的证管文件，截至2011年12月31日，CIO持有约3500亿美元的投资证券
，相当于摩根大通资产总额的约15%。彭博社的报道称，摩根大通CEO迪蒙曾驱使CIO通
过投资高收益的资产来增加盈利，其中包括投资于结构化信用产品、股票和衍生品。彭
博社认为，迪蒙在过去5年中将CIO转型了，增加了CIO的规模并提升CIO在投机方面的风
险。
在2006年加入CIO担任伦敦地方最高负责人的马克里斯(Achilles Macris)领导下，
CIO开始对企业和抵押债务投资以增加利润，2010年CIO的投资组合最高达2000亿美元，
产生了50亿美元利润，这相当于摩根大通2010年净利润的四分之一还多。
5)摩根大通内部CIO(换而言之其实是一个进行大额高风险对赌的部门)与首席风险
官(CRO)的关系是什么？CRO为什么不管管CIO？
霍根(John Hogan)是摩根大通的CRO，今年1月管理摩根大通投行部门风险的霍根出
任整个摩根大通集团的首席风险官。但是，CIO的直接负责人是55岁的德鲁(Ina Drew)
，摩根大通的首席投资官。她为摩根大通服务可追溯至1982年，当时她加盟了摩根大通
的前身之一Chemical银行集团。
霍根和德鲁都是摩根大通14人组成的运营委员会的成员，也都是涵盖全公司高管的
68人执行委员会成员。后一委员会的成员还包括来自CIO的马克里斯、萨博(Richard
Sabo)和谢爱琳(Irene Tse，音译)。自2006年加盟CIO开始，马克里斯就是CIO伦敦地区
的最高领导人。
这意味着，摩根大通内部可能存在一个强大的CIO帮，而此前的良好盈利纪录给了
他们更大的话语权。CIO可能不太服从CRO在风险管理方面的领导。
6)CIO是不是一个巨大的自营交易(proprietary trading)部门？它是否违背了沃克
尔规则的精神？
沃克尔规则是《多德-弗兰克法案》的一个条款，它禁止银行为自己的账户进行交
易。规则的本意是限制银行过度冒险。有意思的是自营交易的定义到底是什么呢？沃克
尔规则的名字来自美联储前主席保罗-沃克尔(Paul Volcker)，他在国会作证时议员曾
要求他对自营交易下定义，他的回答却是：“我对过话的每个银行家都非常清楚自营交
易的意思。”但是，摩根大通本次巨亏20亿美元表明，自营交易的定义可能非常模糊，
监管机构推行沃克尔规则将面临巨大挑战。
上个月《华尔街日报》的报道指出，摩根大通CFO布劳恩斯坦(Doug Braunstein)指
出：“我认为，CIO的头寸既符合沃克尔规则的精神，在字面上也是合规的。”他还称
，CIO“负责对冲风险，他们针对下行风险采取对冲措施，这是天然保护资产负债表的
机构”。结果是什么呢？至少现在CIO让摩根大通一下子就亏了20亿美元。
7)控制风险的部门谁来管？
监管机构和摩根大通高管即将启动的追查可能集中在CIO可能导致多大的亏损，但
不容忽视的是，CIO存在的目的原本是平衡风险而不是加大风险甚至豪赌。“伦敦鲸鱼
门”无疑凸显了控制风险部门由谁控制的问题。
CLSA分析师指出：“CIO似乎存在一个大问题。关键在于，亏损居然发生在一个旨
在降低风险的部门，而不是一个需要冒险的部门。最大的问题是谁来监督CIO？这事关
一家表现好于其他同业公司的资产2万亿美元银行(注：指的是摩根大通)的内部制衡问
题。我们认为，这意味着这家大型银行基本的资本-债务管理是失败的。”
8)为什么摩根大通过去几周中多次忽视“伦敦鲸鱼”的交易头寸？
上个月，迪蒙完全没有理会媒体对“伦敦鲸鱼”交易的报道和关注。在第一财季分
析师会议上迪蒙指出：“这完全是小题大做。每个银行都有大型投资组合，在这些组合
中，只要你觉得明智你就可以投资。”周四晚迪蒙的口风完全改变，此前他是故意掩盖
还是粗心大意呢？可能都不是。迪蒙的驱策导致部下冒险，在没有出现严重后果时，贵
为CEO的他怎么可能“重视”呢？这相当于对媒体认错。
9)本次亏损是否会影响摩根大通价值150亿美元的股票回购？
应该不会。摩根大通在4月13日发布第一季财报时指出，董事会已批准新的150亿美
元股票回购计划，今年最高可以回购120亿美元。
迪蒙在第一季财报电话会议中指出，今年迄今新回购计划已执行4.5亿美元，回购
均价约为44.75美元，“很明显，如果股价上涨，我们会有所克制少买一点。如果股价
下跌我们会多买。”本周四摩根大通股票的收盘价为40.74美元，此后摩根大通公布了
“伦敦鲸鱼”导致巨亏的消息，周五开盘该股即暴跌9%以上。
10)摩根大通未来的命运如何？在金融危机中，它赢得了“华尔街之王”的称号，
现在这一荣光是否已扫地？
目前摩根大通正在与英国金融管理局(FSA)就CIO导致的交易亏损进行磋商。很可能
的一种情况是，本次亏损事件将引发全球监管机构对所谓自营交易进行更严格监督，虽
然摩根大通CEO迪蒙不承认这是自营交易，理由是CIO没有使用公司自有资本进行对赌。
如果仅仅是亏损20亿美元，摩根大通不会受到很严重的影响。“华尔街之王”会蒙尘但
不会声誉扫地。
如果本次“伦敦鲸鱼”事件使呼吁美国设立新法，禁止银行在自有账户上进行交易
的人士获得更多的进攻弹药，新法通过，摩根大通的盈利能力可能受到很大影响。不过
，“华尔街之王”应该有办法另辟赚钱的蹊径。
摩根大通还面临如何说服股东的艰难任务，毕竟周四晚迪蒙预计第二财季将因为本
次事件而蒙受略高于20亿美元的亏损。对迪蒙来说，一个重大的考验是5月15日的股东
年度大会，届时经理人包括他自己的薪酬计划将接受股东表决。
Financial News highlights 10 key questions that need answers – some of
which we have; some of which are still outstanding.
1) Who is the London Whale trader…
…and why is there so little information on someone able to build up such a
big position?
“What [Ben] Bernanke is to the Treasury market, Iksil is to the derivatives
market,” is how Bonnie Baha, head of the global developed credit group at
US firm DoubleLine Capital, described Bruno Iksil, the London-based trader
in the chief investment office who was widely identified in the media as the
banker at the centre of JP Morgan’s big bets.
However, for a man thought to have earned JP Morgan around $100m a year in
recent years, little is known about him other than he is a low-profile
Frenchman working predominantly in the bank’s London office.
The Wall Street Journal reported last month that “Iksil, who has worked at
JP Morgan since January 2007, commutes to London each week from his home in
Paris, and works from home most Fridays. He sometimes wears black jeans in
the office and rarely a tie, according to someone who worked with him” [ http://on.wsj.com/I9GXaf ].
Before that, he was a portfolio manager at French bank CDC Ixis from 1997 to
1999, when he moved to Natexis Banques Populaires and worked as head of
credit derivatives, according to his Bloomberg profile.
Quite who first dubbed him the London Whale remains unclear. As to his
future, a source close to the bank said that Iksil had not been fired as a
result of his trading actions.
JP Morgan chief executive Jamie Dimon said that a review was underway and
that "many errors," "sloppiness" and "bad judgment" had occurred at the bank
as a whole.
2) What was he doing? How was he doing it? When and why did he stop?
Iksil is believed to have taken large positions for the bank in credit-
default swaps, while hedge funds and other market participants subsequently
made heavy opposing bets. While they bought default protection on a basket
of US companies' bonds, Iksil sold the protection via the CDX IG 9 index, in
doing so placing his own bet that the companies won't default.
It is thought he took massive bets early this year. Does that suggest that
this was the moment JP Morgan became worried about the position?
Also, as Financial News’ Chart of the Day today shows [ http://bit.ly/IIr5hg ], it became much cheaper to buy CDS through the index than buying protection on the individual companies from December time. Does this suggest that that was when the London whale began his trade?
3) What is the CDX IG 9? What are the underlying companies?
A CDX IG 19 is a credit default swap index that offers protection on 121
leading US companies. They include, among others, McDonald’s, American
Express, Hewlett Packard, Walt Disney and shopping emporium Macy’s. It
originally consisted of 125 companies, but mortgage providers Fannie Mae and
Freddie Mac, loan provider CIT and savings bank Washington Mutual were
removed after they went into default, according to data provider Markit.
According to The Wall Street Journal, Iksil turned his attention to the
index earlier this year and took large positions in January and February
before he stopped selling the contracts at the end of March [ http://on.wsj.com/LvZtgV ]. But JP Morgan sold so many of the index swaps that the cost of protection on those companies dropped, which left hedge funds fuming because they were hoping for the opposite, reported the Journal. Consequently, it had become much cheaper to buy CDS through the index than buying protection on the individual companies with the gap widening to as much as $29,000 in January.
Yesterday, five-year protection on $10m of the corporate bonds underlying
the index cost $76,000 annually. Theoretically, buying the protection for
the individual companies would have cost exactly the same, according to data
from Markit.
4) What is the chief investment office?
The CIO is a business within the corporate division of JP Morgan, which is
formally described as the unit responsible for “managing structural
interest rate, currency and certain credit risks that are created from the
day-to-day operations of the firm's primary lines of business across the
company”, according to a recent job advert for a position at the unit in
New York [ http://bit.ly/ImeUIO ]
Last month, The WSJ reported JP Morgan to state: "Our CIO activities hedge
structural risks and invest to bring the company's asset and liabilities
into better alignment."
It added that the unit is “focused on managing the long-term structural
assets and liabilities of the firm and is not focused on short-term profits."
The CIO accounts for about $350bn of investment securities as of December 31
, according to JP Morgan’s company filings, or about 15% of the bank's
total assets.
Bloomberg reported today that the unit oversees about $360bn, the difference
between money JP Morgan received from deposits and the amount it extends in
loans. It added that Dimon had been pushing the unit to boost profit by
investing in higher-yielding assets, including structured credit, equities
and derivatives.
According to a Bloomberg article published last month, Dimon “has
transformed the bank’s chief investment office in the past five years,
increasing the size and risk of its speculative bets.”
It said that the unit, led by Achilles Macris, who joined in 2006 as the CIO
’s most senior London executive, there has been an expansion into corporate
and mortgage-debt investments to generate profits. Bloomberg cites a senior
executive as saying that Macris’s team built up a portfolio of as much as
$200bn and booked a profit of $5bn in 2010 – equal to more than a quarter
of JP Morgan’s net income that year.
5) What is the relationship between the chief investment office (which takes
big risky bets) and the chief risk officer?
John Hogan is JP Morgan’s chief risk officer, having stepped up from
managing its investment bank’s risk to overseeing risk across the group in
January.
However, 55 year-old Ina Drew, who has been with the bank since starting at
predecessor firm Chemical Banking Corp in 1982, works as chief investment
officer.
Both sit on the bank’s 14-strong operating committee as well as its 68-
strong firm-wide executive committee.
The committee also includes Achilles Macris, Richard Sabo and Irene Tse from
the chief investment office. Macris is said to be the office’s top
executive in London since joining the bank in 2006, according to a Bloomberg
report last month.
But it is not so clear on how the CIO relates with the CRO.
6) Is the CIO just a giant proprietary trading unit and against the spirit
of the Volcker Rule?
Under the Volcker Rule, a provision of the Dodd-Frank Act, banks are
prohibited from trading for their own account. It is designed to curb
excessive risk-taking at banks. When pressed by US Congress to define
proprietary trading, Paul Volcker, former chairman of the Federal Reserve,
said that “every banker” he speaks with “knows very well what ‘
proprietary trading’ means”. But the case of JP Morgan’s CIO office
illustrates the blurred definition of proprietary trading and the challenge
facing regulators who are trying to impose the Volcker Rule.
But the Wall Street Journal’s Deal Journal last month cited JP Morgan chief
financial officer Doug Braunstein as saying that the positions were “
consistent with both, I think, the spirit and written rules of the Volcker
rule as it is written today”.
He said the office “balances our risks. They hedge against downside risk,
that’s the nature of protecting that balance sheet”.
But Dimon admitted last night that the latest development will hamper the
bank’s efforts to lobby for a softening of the Volcker rule on bank trading
and “plays right into the hands of a whole bunch of pundits out there. We
will have to deal with that – that's life”.
7) Were there any controls?
The impending scrutiny of regulators and the bank’s top brass is likely to
focus on how such a large loss was able to occur in a division that exists
to balance out the bank’s risks rather than take huge bets. Analysts wasted
little time in highlighting the fact that the loss raises control issues.
Deal Journal cited a note from CLSA analysts saying: “There appear to be
major issues with the CIO office...Here is a key point: this loss occurred
in a risk-mitigation unit and not a risk-taking one...The bigger issue is
who was watching the CIO office. This raises issues about checks and
balances at a $2 trillion bank that has performed better than peers. We view
this as a failure of basic asset-liability management at a large bank due
to poor investments of deposits in excess of liabilities”.
8) Why did JPM repeatedly downplay the trading positions in recent weeks?
Dimon last month dismissed the attention paid in the media to the trades,
during the bank’s first-quarter analyst call, saying: “It’s a complete
tempest in a teapot. Every bank has a major portfolio and in those
portfolios you make investments that you think are wise.”
9) Will the losses have an effect on JP Morgan’s $15bn share buyback
programme?
The US bank said in its first-quarter results on April 13 it had authorised
a new $15bn common equity repurchase programme, of which up to $12bn of
repurchases has been approved for this year.
Dimon said on the results call that JP Morgan spent approximately $450m year
-to-date on that new authorisation at a price of about $44.75, adding that
“obviously if the stock goes up I think we will be consistent and we will
buy less. When it goes down we will buy more”. At the market close
yesterday, JP Morgan shares were at $40.74.
10) What next for JP Morgan, now that its mantle as the King of Wall Street
throughout the financial crisis has slipped?
JP Morgan is holding discussions with the UK Financial Services Authority
over the trading losses incurred by the CIO.
It is likely that the losses will spark increased scrutiny from regulators
worldwide over so-called proprietary trading, although JP Morgan chief
executive Jamie Dimon has said the trades aren't bets with the firm's own
capital.
Nevertheless, the losses will give ammunition to supporters of the new
legislation in the US to prevent banks from trading on their own accounts.
Gary Jenkins, founder of Swordfish Research in London told Dow Jones: “I
don't see regulators or rating agencies giving the banks any benefit of the
doubt now."
The bank will also face a tough task winning over its shareholders, after
Dimon offered guidance that the bank is likely to see "slightly more" than $
2bn in losses for the second quarter. JP Morgan shares, which closed at $40.
74 yesterday in New York, were trading 8% lower in Frankfurt trading this
morning.
A key test for Dimon could come at the bank’s annual shareholder meeting on
May 15, when issues such as executive remuneration will be put to a so-
called say-on-pay vote.
Dimon said on Thursday that the bank was in the processing of conducting a
review into what went wrong. No one has been fired as a result of the losses
, but Dimon could take such action once the firm finishes its review, the
WSJ reported.