????但同其他負套利交易一樣，摩根大通為對沖風險付出了沉重代價。德魯的首席投資辦公室在2011年下半年損失了1億美元，全年僅貢獻8億美元利潤，低于2010年的13億美元利潤和2009年的30億美元利潤。但與此同時，經濟并未出現陡然下行，事實上經濟已開始回暖，2月份時看來即將步入復蘇。當時，摩根大通本應了結對沖交易，鎖定損失，或者至少按兵不動，將CDS保費沖入業務成本。畢竟，即便是有這些成本高昂的交易，摩根大通去年仍能實現整體近190億美元的利潤。

????但摩根大通沒有這么做。事實上，德魯的交易員們開始出售跟蹤美國100多家公司信用狀況的CDX IG 9指數CDS合約，并迅速賣出了大量此類合約——據報道，短短幾個月內賣出達1,000億美元——因此，負責該項交易這一塊的主要交易員布魯諾?伊克希爾被譽為“倫敦鯨”。

????在外界看來，摩根大通似乎是在豪賭美國企業信貸價格將上漲，長期收益率將下降，而美國經濟總體將改善。這些都是一家銀行的日常行為，看上去并不像是對沖。因此，一個多月前最初出現有關這項交易的報道時，很多觀察人士質疑摩根大通是否違反了沃克爾規則（Volcker rule），盡管這項法規尚未實施。

????摩根大通首席執行官杰米?戴蒙一再堅稱，這項交易即便是在沃克爾規則下也是允許的，因為這是一項組合對沖交易，在某種程度上，的確如此。與該行幾個月前購買并持有的CDS 合約不同，摩根大通出售的這些新合約要到2017年才到期。因此，結合矛盾的長、短期交易，摩根大通似乎是賭定美國企業債券收益率曲線將變緩，這是步入經濟衰退前的常見景象。但由于摩根大通售出（而非購買）了大量CDS合約，它通過定期獲得的保費來維持這項交易。該行將負套利交易轉變為了正收入流，可真不賴。

????當然，除了對沖一些借款人的違約風險外，摩根大通也對收益率曲線形狀下了巨額賭注。如果曲線變陡（而不是變緩），摩根大通將損失數十億美元，這就是我們聽到的已發生的情況。為何會這樣，目前還不是很清楚。畢竟經濟沒有二次探底。但很多對沖基金看到了摩根大通的交易，開始對賭，對摩根大通的交易構成了壓力。

????說到底，真正的問題還在于德魯根本性錯誤的觀點，即銀行可以在對沖風險的同時大賺其錢。金融危機本應已經證明這是不可能的。不幸的是，看來華爾街需要再次被提醒。

????譯者：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.