s*****n
发帖数: 5488 | 1 经过内部擦屁股的版本。考虑到这个鸟公司一贯作风。我相信它是short sequeeze然后
反被别人搞了。因为对手盘资金更雄厚。
Iskil’s positions were reported large enough that they moved prices, so
that buying protection on the index was cheaper than buying protection on
the individual credits underlying the index.
Hedge fund traders reportedly started calling Iskil the “London Whale” and
began placing a variety of bets against his positions. Many believed that
his position was so large that he would have to lose money once the index
and the underlying credits reverted to a more normal relationship.
JPMorgan has insisted that Iskil’s trades are not directional bets across
the markets, but hedges against other risks on the company’s balance sheet.
In some ways, this is a surprising hedge for JPMorgan. The bank, one of the
largest lenders in the U.S., is presumably already “long” corporate
America just by virtue of its exposure to so many American borrowers.
Selling derivatives that pay buyers if corporate credit quality in the U.S.
deteriorates would seem to just double down, since being a protection seller
in this market creates a synthetic long position in the underlying bonds.
Traders I spoke with say that Iskil is probably using the CDX trade as part
of a strategy to hedge inflation rate risk. The clearest way to hedge
inflation risk is to buy Treasury Inflation Protected Securities, or TIPS.
But the yield on 10-year TIPS has been so low it has sometimes fallen into
negative territory.
JPMorgan may be seeking to combine the inflation protection of TIPS without
locking in the low yields by pairing its TIPS purchases with selling
protection on CDX. The idea is to skim the higher yield offered in corporate
bonds to balance out the low yield of the TIPS. This could even be somewhat
self-financing, as the income from selling protection could be used to
purchase the TIPS.
The Wall Street Journal reported earlier this week that Iskil has stopped
making the trades that were rattling hedge fund traders. This could be
because of all the unwanted attention he had attracted. It would also make
sense if this was always a paired trade with TIPS. The spread between TIPS
and ordinary Treasurys has narrowed recently, implying diminished inflation
expectations. If JPMorgan is investing less in protection against inflation,
it would need less of an overlay against the cost of this inflation —
which would mean backing off the long position in the CDX.
JPMorgan hasn’t been very clear about what Iskil is doing, but this trade
would explain why Iskil’s bosses view his trading as hedging rather than
prop trading. |
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