JPMorgan 사태 요약

JPMorgan 사태 요약

1. 신용부도스왑(Credit Default Swap)

 : 기업의 부도위험 등 ‘신용’을 사고 팔 수 있는 신용파생상품 거래. 대출이나 채권의 형태로 자금을 조달한 채무자(B기업)의 신용위험만을 별도로 분리해 이를 시장에서 사고파는 금융파생상품의 일종이다. 자본시장(JP모건)이 신용위험에 대한 수수료(프리미엄)를 받고 위험을 부담하는 보험사 역할을 한다. CDS는 금융기관 대 금융기관의 파생상품거래이기 때문에 CDS거래의 건수 및 양이 많아져야 시장이 활성화된다. JP모건의 블라이드 마스터스 글로벌상품 부문 대표가 1997년 개발해 전 세계를 상대로 판매했다. (네이버 지식사전)

2. 신용부도스왑(Credit Default Swap)은 보험과 같은 계약이다. 

CDS Buyer는 CDS Seller에게 일종의 보험료(CDS Premium, regular payments)를 지급하는 대신 default 시 보험금을 지급받는다.(make the buyer whole if an insured bond defaults.)

3. CDS Seller (CDS short position) 의 경우 경기가 좋아지면 신용시장이 개선되며 CDS Premium이 하락한다. 이때 CDS Seller는 시가평가(mark-to-market)의 원리에 의해 a paper profit을 얻게 된다.

반대로 경기가 나빠지면 CDS Premium이 상승함에 따라 a paper loss 를 얻게 된다.

그렇다면 당연히 CDS Buyer (CDS long position)은 경기가 불황일 때 평가손익이 증가할 테다.

신용시장의 상황와 CDS 가격은 반대로 움직인다.

이를 다른 식으로 표현하면 CDS Seller는 CDS Short position이자 Credit long position으로 볼 수 있다. Credit이 개선되면 (CDS 가격(Premium)이 감소함으로써) 평가손익이 증가하는 것이다. 

즉 앞으로 신용시장이 개선될 거라고 예상한다면 CDS Short position (Bullish deal, 낙관적인)을 취하는 것이 맞다.

4. JPMorgan의 거래.

: JPM은 2017년에 만료되는 CDS를 SELL하고 (CDS 2017 Short), 2012년에 만료되는 CDS를 BUY (CDS 2012 Long)했다. CDS2017의 Premium이 더 높았기 때문에 높은 Premium을 받고 낮은 Premium을 냄으로써 수익을 낼 수 있었다. 물론 Hedge(by short and long position)도 할 수 있었다.

5. Hedge fund의 공격과 신용시장의 악화

: 신용시장의 악화를 예상했던 Hedge funds(or rival traders)는 기회를 노리고 CDS2017 Buy를 시작했고, 처음에는 JPM의 엄청난 물량공세를 견디지 못했으나 결국에는 Hedge funds의 long position과 실제 신용시장의 악화가 CDS2017의 Premium을 끌어올렸다. 

6. JPM의 6주 만에 20억 달러 손실, 해소거래(Unwind)의 어려움

: CDS Short position에 엄청난 투자(the sheer size of the bets, massive position)를 했던 JPM은 6주만에 20억 달러의 평가손실(paper losses)을 입게 되었다. 또 큰 베팅이었던 만큼 빠른 해소거래(unwind, exit position)도 불가능했다.

7. 한 달간 이를 은폐, 결국 5월 10일 CEO Jamie Dimon의 손실 발표. 주가 폭락.

: 10일 긴급 설명회(Conference call)를 열고, 런던에 있는 이 회사의 최고투자책임실이 신용부도스와프에 투자해 지난 6주 동안 20억달러의 손실을 입었다고 밝힘.

이후 주가 폭락. Investors have driven the stock down 13 percent, knocking $20 billion off the company’s market value as of May 16.

8. 사태의 영향

- 바니 프랭크 미 하원의원은 “증권거래위원회가 조사에 나서는 것은 너무나 당연하다”며 “이번 건은 파생상품에 대한 규제가 왜 필요한지 잘 보여준다”고 꼬집었다.  The proponents of the Volcker rule can point to JPMorgan to buttress their case.

- 로버트 뮬러 연방수사국(FBI) 국장은 16일 상원 법사위 청문회에 출석해 제이피모건의 파생상품 투자 실패에 대한 예비조사를 벌이고 있다

- 대선 : 전문가들은 이번 일을 계기로 잠시 주춤했던 오바마 정부의 금융개혁법안이 더 힘을 얻을 것이고, 오바마 대통령의 대선에도 긍정적인 영향을 미칠 것으로 분석했다.
- 애리조나주의 새러토가 캐피털매니지먼트는 제이피모건체이스와 제이미 다이먼 최고경영자(CEO), 더글러스 브론스틴 최고재무책임자(CFO)가 대규모 손실로 이어진 거액의 파생상품 투자 사실을 은폐했다며 16일 집단소송을 제기

- 제이피모건의 손실은 이들이 주장하는 정상적인 ‘헤지’(위험회피)가 아니라 ‘투기’로 발생한 것이라는 의구심이 커지고 있다.

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How JPMorgan Lost $2 Billion Without Really Trying

Credit-default swaps are insurance-like contracts between two parties.

The buyer makes regular payments to the seller, who must make the buyer whole if an insured bond defaults. 

In addition to buying credit-default swaps on a particular bond, investors can buy swaps on indexes of bonds, such as the ones created by Markit Group, a deriviatives firm. The indexes rise when economic conditions worsen and the likelihood of corporate bond defaults increases. 

Traders use them to speculate on changing credit conditions. 

Buying the index can be a way for someone who owns a lot of corporate bonds to hedge against a decline in their value.

In 2011, JPMorgan profited by betting that credit conditions would worsen. In December, though, the European Central Bank provided long-term loans to euro zone banks, igniting a bond rally. Suddenly, JPMorgan’s bearish bets were vulnerable. Early this year, London-based traders in JPMorgan’s Chief Investment Office made offsetting bullish bets, according to market participants. It sold credit insurance using a Markit CDX North America Investment Grade Index that reflects the price of credit-default swaps on 121 companies that had investment-grade ratings when the index was created in 2007. The bank is thought to have sold insurance on the index using contracts that expire in 2017.

To protect against short-term losses, it also bought insurance on the index using contracts that expire at the end of 2012. That could have been a profitable strategy, because the 2017 insurance was more expensive than the 2012. And as long as the spread between the prices of the two contracts remained relatively stable, any decline in the value of one would be offset by an increase in the other, reducing the bank’s risk of an overall loss on the position.

JPMorgan bought and sold so many contracts on the Markit CDX that it may have driven price moves in the $10 trillion market for credit swaps indexes tied to corporate health, according to market participants. At one point the cost of insurance via the index fell 20 percent below the average cost of insuring the individual bonds that composed the index. “The strategy overall got too big,” says Peter Tchir, a former credit derivatives trader who now heads TF Market Advisors, a New York trading firm. “Once their activity was moving the market, they should have stopped and got out.”

Sensing an opportunity, some hedge funds bought the 2017 contracts and sold credit insurance on the underlying bonds, hoping to profit when the relationship between the prices returned to normal. But because JPMorgan continued to be a big seller of insurance, the prices got even more out of whack, giving the hedge funds a paper loss. That led some traders to complain about the situation to the press. On April 5, Bloomberg News published a story saying that Bruno Iksil, a London-based trader for JPMorgan, had amassed a position so large that he may have been driving price moves in the credit derivatives market. The information was attributed to five traders at hedge funds and rival banks who requested anonymity because they were not authorized to discuss the transactions. Iksil’s influence on the market spurred some counterparts to dub him the London Whale.

Once the news got out, things quickly went south for JPMorgan. Hedge funds increased their bets that prices would come back in line. Thanks to their trades plus deteriorating credit conditions, the prices of the 2017 index contracts rose more than the prices of the 2012 contracts. JPMorgan’s paper losses mounted.

Compounding the losses were the sheer size of the bets, which made it difficult for the bank to unwind its trades. “These had to be massive positions” to inflict the loss JPMorgan suffered, says Michael Livian, CEO of Manhattan asset manager Livian & Co. and a former credit derivatives specialist at Bear Stearns. “And when you build that kind of size in the credit derivative market, you have to know you can’t just exit the position overnight.”

On the May 10 conference call, Dimon confessed: “The portfolio has proven to be riskier, more volatile, and less effective as an economic hedge than we thought.” For JPMorgan, the nation’s largest bank, the stakes are far bigger than a $2 billion paper loss. Since the bank announced its loss, investors have driven the stock down 13 percent, knocking $20 billion off the company’s market value as of May 16.

The episode has reignited the debate over how much freedom banks should have to make bets. Dimon had been a vociferous opponent of the Volcker Rule, a section of the Dodd-Frank financial reform law that would greatly limit the kinds of risks banks can take. Now, as Dimon himself pointed out, the proponents of the rule can point to JPMorgan to buttress their case. “This is a very unfortunate and inopportune time to have had this kind of mistake, yeah,” he said in an appearance on NBC’sMeet the Press.

The loss also raises the question of why the bank was putting shareholders at risk to gamble in a market of arcane indexes, where specialized hedge funds seek to profit from pricing anomalies. “JPMorgan was definitely in the very dark gray area between insurance and speculation,” says Robert Lamb, a finance professor at New York University who has studied risk on Wall Street. “To be the one side of the market and to think you were immune from the crowd on the other side is not safe, sane, or reasonable.”

The bottom line

: Big bets on arcane credit derivatives left JPMorgan vulnerable to moves by hedge funds and rival traders.

(http://www.businessweek.com/articles/2012-05-17/how-jpmorgan-lost-2-billion-without-really-trying#p2)