Lessons From Trades Big and Bad - Too Big to Hedge, at Internat Herald Trib, by Floyd Norris, 18/05/12
That may be the lesson of the debacle at JPMorgan Chase. And if regulators take the lesson to heart, they could close a gaping loophole in the Volcker Rule, which is supposed to ban speculative trading by banks that take insured deposits.
When he disclosed a $2 billion trading loss last week, Jamie Dimon, the chief executive of JPMorgan, said the trades were intended to hedge the firm’s credit exposure — that is, reduce the risk of investments it had made. This week, speaking to shareholders, he modified that, saying: “What this hedge morphed into violates our own principles.”
We still don’t know exactly what the trades were, other than that they were complicated, very large and apparently difficult to unwind. It appears the loss is growing rapidly.
A former top risk manager on Wall Street, who asked not to be named because his current employer had not authorized him to talk about JPMorgan, told me he thought some kind of problem like this was inevitable. Big banks are just too big to be able to safely hedge huge investment positions.
The JPMorgan debacle is reminiscent in some ways of the first big disaster of the supposedly sophisticated era of derivatives, that of the Long Term Capital Management hedge fund in 1998. The trades that firm did were supposed to be all but risk-free, since they were simply bets that long-term relationships in prices of various securities would hold, even if there were temporary gyrations that created opportunities for traders who understood the relationships.
It helps to understand what was in many ways the simplest — and seemingly among the surest — trades that got Long Term Capital into trouble. It was a bet that yields on the newly issued 30-year Treasury bond would converge with those of the 30-year bond issued three months earlier. When the bonds’ interest rates diverged, for what were surely temporary market reasons, the obvious trade was to buy the higher-yielding Treasury and short the lower-yielding one. When they came together, that strategy would produce a certain — but small — profit.
But the profit would be large if the fund borrowed a lot of money to take a large position.
What happened then was that so many people put on the trade that even the large and liquid market in Treasury securities was strained. The divergence grew larger. If you could be sure the yields would eventually converge, the obvious course was to increase your bet, which is what Long Term did.
In the long run, that trade would have worked. But the margin calls mounted and it ran out of capital.
It seems likely that something similar — if far more complicated — happened at JPMorgan. At first, when prices diverged in unexpected ways, JPMorgan raised its bet. Managers accepted assurances that the market had to turn around. But it did not. Perhaps market rumors spread about the risks the bank was taking, and others sought to take advantage of it, increasing the divergences. Eventually, JPMorgan blinked.
Immediately after the losses were disclosed, officials of the Comptroller of the Currency, JPMorgan’s principal regulator, assured a Republican senator that all was fine. “They were adamant that hedges like these are there to make the bank safer,” Senator Bob Corker of Tennessee told my colleague, Ben Protess. The officials were said to have opined that the Volcker Rule, whose details are still being debated by regulators, would not have prohibited the trade.
It appears that the unnamed officials were right about the rule, but very wrong about the wisdom of the trading. As proposed by a panel of regulators, the Volcker Rule contains two provisions that are quite reasonable on their own, but that together can create a toxic mix.
The first provision, which is in the Dodd-Frank law, specifies that banks can maintain investment portfolios. The second says it is acceptable to trade securities for the purpose of hedging other holdings, even if it would not be O.K. to buy the same security as a speculative investment.
For market makers, who may buy unwanted securities that customers want to sell, hedging may be wise and prudent. But it will also be short term, until the bank trades out of whatever position it took on in the course of making the market.
But if banks hedge long-term investments, as JPMorgan evidently did, the hedge is also likely to be long term. It will consist of buying something that, in normal times, should move in the opposite direction of their investment. The result is that they will be making convergence trades that are indistinguishable from what Long Term Capital Management did. Given the size of the big banks, they will have to do so in huge volumes that can come back to haunt them if markets move the wrong way.
“This could have been much worse,” said the former risk manager. “Imagine what would have happened if three big banks had pursued the same strategy,” either because they figured out how JPMorgan was making money or because they thought it up on their own. “Then the losses would not have been three times as great,” he said, “but maybe 10 times.” That is because the market used to hedge the position would become completely illiquid, with opportunistic hedge funds trading against the big banks and causing the divergence to grow larger than ever before.
A proposal that regulators are said to have considered, but rejected, would have made it clear that the hedging exception applied for trading assets, not long-term investments. They should reverse that decision.
Sheila C. Bair, the former chairwoman of the Federal Deposit Insurance Corporation, points out that some reports have indicated that when the first hedge went awry, JPMorgan concluded that it could not liquidate the position without further damaging its position. So it tried to hedge the hedge. “Why,” she asked, “is that going on in an insured bank? Is this safe and sound?”
The point of the Volcker Rule, named for its principal proponent, Paul A. Volcker, the former chairman of the Federal Reserve, is to leave certain risky activities to those who do not have government-insured deposits and whose failure would not decimate the financial system unless the government stepped up.
To some extent, that used to be accomplished by the Glass-Steagall law, which separated commercial banks from investment banks. That law was repealed by Congress in 1999, but regulators had been whittling away at it for decades. The old law said that a commercial bank could not be affiliated with any firm “engaged principally” in underwriting and trading securities. That seemed to keep brokers away. But the law did not define “engaged principally,” and bank-friendly regulators eventually defined that so narrowly that it was all but meaningless.
It was no surprise that staff members from the Office of the Comptroller of the Currency immediately came to JPMorgan’s defense. The current comptroller, Thomas J. Curry, immediately backed away from the position, saying more information was needed, but the O.C.C., like many another institution, has a basic view of the world that rarely changes, whoever is in charge.
That view was wonderfully summarized back in 2000 when the comptroller’s office put out a working paper explaining why Glass-Steagall deserved to be repealed. The paper said that academic research had shown that the tighter the regulation of banks, the more likely a banking crisis was. The evidence, it said, “should give pause to those who advocate regulatory restrictions on the activities, ownership and organizational forms of U.S. banks.”
It dismissed talk that banks enjoy a major advantage from having deposit insurance. The banks also faced regulatory costs, noted the authors, James R. Barth, now a professor at Auburn University; R. Dan Brumbaugh Jr., a former senior fellow at the Milken Institute; and James A. Wilcox, now a professor at the University of California, Berkeley. “Most evidence suggests,” they wrote, that on balance the costs for the banks were equal to or greater than the benefits they received from having a federal safety net.
None of the major banks would be alive now without that safety net. But the attitude that regulation is a dead-weight burden persists, both in bank boardrooms and in some parts of the regulatory apparatus.
Mr. Curry has been the comptroller only since March. The JPMorgan fiasco should serve as a warning to him that he needs to clean house, and as a warning to other regulators to be vigilant in assuring the Dodd-Frank law is not effectively nullified by the regulations now being written.
Aqui te deixo a pagina inicial do jornal: http://global.nytimes.com/?iht
http://www.nytimes.com/2012/05/18/business/what-jpmorgan-didnt-learn-high-low-finance.html?_r=1
PS: tem a versão para ipad, com mais anuncios que o NYT, mas tb menos baseada na subscription (ou seja, permite ler muitas mais noticias grátis).
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