「我離港前到過一間精神科醫院。當時有位病人禮貌地問,一個以作為世上最悠久民主政體而自傲的國家,如何能夠將此地交給一個政治制度非常不同的國家,且既沒諮詢當地公民,又沒給予他們民主的前景,好讓他們捍衞自己的將來。一個隨行同事說,奇怪,香港提出最理智問題的人,竟在精神科醫院。」彭定康 金融時報

“During a visit to a mental hospital before I left Hong Kong, a patient politely asked me how a country that prided itself on being the oldest democracy in the world had come to be handing over his city to another country with a very different system of government, without either consulting the citizens or giving them the prospect of democracy to safeguard their future. Strange, said one of my aides, that the man with the sanest question in Hong Kong is in a mental hospital.”Chris Patten Financial Times

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Friday, September 16, 2011

$2 billion



週四蛇竇吹水區,當然沒有放過這個二十億美元的 fraud,週圍挖料問點樣可以輸掉 US$2 billion,是滾雪球呢?還是一招了? 通常發覺有 fraudulent deals 會在市場立即止蝕 cut losses,這還要輸了 20億美元的差價,個盤要坐了幾大呢?10% 20% 30% leverage 。。。。。一時間流言滿天飛!


昨晚看外電還沒有甚麽端倪,AP 說尚未明朗,今早看報原來是:Delta One交易員投資在「對冲比率」等於一的金融產品,原則上不存在槓桿風險,等於買1元、最多虧損1元。


【明報專訊】阿多博利與2008年初震驚全球的法興「瘋狂交易員」凱爾維埃一樣,都是在投行的Delta One交易部任職,今次事件可算法興案翻版。阿多博利可能像凱爾維埃那樣,越過交易保護系統,私自加大注碼,以致釀成巨額虧蝕。這反映了經歷凱爾維埃的教訓及金融海嘯洗禮,銀行內部風險管理依然千瘡百孔。

Delta One交易員投資在「對冲比率」等於一的金融產品,原則上不存在槓桿風險,等於買1元、最多虧損1元。但正由於只能透過金融產品價格的輕微波幅賺錢,交易員會透過高頻交易(即短時間內極多次交易)賺取更大利潤。理論上,銀行每小時都監察交易員持倉,設下嚴格交易金額限制,控制風險。但交易員為了暴利可能鋌而走險,違規擴大自己的注碼。

凱爾維埃當年掌控500億歐元的歐洲期貨交易,遠遠超過規定,結果造成近50億歐元虧蝕。各大銀行此後增聘人手監控交易員操作,但阿多博利今次可能亦是越過交易保護系統,擴大自己注碼,否則單憑買賣低風險的投資工具,難以釀成20億美元的損失。

交易員﹕或對冲不足難止蝕
另外,為了控制風險,Delta One交易員會利用不同對冲工具,保障最大注碼的投資項目,倘若自己「睇錯市」,仍可及時減少損失。有交易員指出,阿多博利可能是對冲措施做得不夠,以致無法控制虧損。



看來又是內審的 nightmare 惡夢,內控 internal control 未能防止惡夢繼續發生。需要知道除了”騙“,即是靠呃之外,若想在金融市場上賺錢,暫時只知道有 the four market roles financial markets are:Hedging,Long or Short term Investing,Speculation,and Arbitrage 四個正確合法途徑。


【AP Associated Press】LONDON - Swiss banking giant UBS said Thursday that a rogue trader has caused it an estimated loss of $2 billion, stunning a beleaguered banking industry that has proven vulnerable to unauthorized trades.

Police in London said they arrested a 31-year-old UBS trader, Kweku Adoboli, in the alleged fraud. UBS declined to confirm his name.

Switzerland's largest bank warned that it could report a loss for the entire third quarter as a result of the rogue trade, while shares in UBS AG plummeted 8.7 percent to 9.98 francs ($11.41) on the Zurich exchange by mid afternoon.

The case immediately evoked memories of Jerome Kerviel, the trader at French bank Societe Generale who secretly gambled away euro4.9 billion ($6.7 billion). The scale of that fraud rocked the global financial industry and prompted banks to tighten oversight rules to ensure such large sums couldn't be traded unnoticed.

The Swiss banking regulator Finma said it was in contact with UBS about the incident, which was discovered late Wednesday.

UBS provided little specific information, saying the incident was still under investigation and no client money was involved. The unauthorized transactions could cost UBS almost as much as the 2 billion Swiss francs ($2.28 billion) the bank hopes to save by cutting 3,500 jobs over the next two years.

Adoboli's profile on the professional networking site LinkedIn showed he spent the past five years working at UBS's European Equity Trading division after three years as a trade support analyst for the bank.

He graduated from the University of Nottingham in 2003 with a degree in E-commerce and digital business, the university said.

Adoboli's profile picture on Facebook showed a black-and-white photograph of an African man in his early 30s, with interests including photography, cycling and boutique wines. The profile became unavailable hours after Adoboli's arrest, indicating that someone with the password had removed it.

Banking observers immediately highlighted the similarities to the Kerviel case, which also involved a trader in his early thirties entrusted with responsibility for vast sums of money.

Some lawmakers have called for investment banks to be split off from the core business, to ensure they can't bring down the whole company in case of sudden unexpected losses.

In other trading debacles, Nick Leeson, a British trader working in Singapore for Barings Bank, made unauthorized futures trades that lost more than $1 billion and led to the venerable bank's collapse in 1995. The infamous case prompted banks worldwide to tighten their internal checks.

Leeson was released from a Singapore jail in 1998 for good behavior after serving 3 1/2 years of a 6 1/2-year sentence. He claimed he did not make a cent from his disastrous trades but Barings' liquidators sought the return of 100 million pounds on any of his earnings relating to Barings。



Barings 霸菱 ,就是因為 李森 錯誤地把 Arbitrage “日經期指 Nikkei futures” ,變成 Speculation 炒“日經期指 Nikkei futures” ,一輸就輸掉了整間公司,由荷蘭 ING group 禮貌式用£1吃掉了,查 ING 是攪保險生意起家的金融巨擘,涉足不同領域範疇的 multinational conglomerate 是也!


UBS事件至今還未有更多公開資料,Adoboli 的上司已經也被停職,內部 internal 的,還是未經證實的 vineyard gossips 還是徐徐飄至。 不過肯定做 risk management 和做 internal audit 的朋友們,以後這兩三個月要勤力啲嚕!




伸延閱覽:
瑞銀事件揭銀行管理仍無牙 新浪新聞網
$2B UBS fraud loss CBS News


我的舊文:
灞陵傷別



4 comments:

Ebenezer said...

好得人驚!

the inner space said...

驚得咁多?莫非兄台有個瑞士銀行匿名戶口,放咗好多私己錢! 今次又不涉及 client account money embezzlement!

Haricot 微豆 said...

We usually associate billion dollar losses with poor decisions or fraudulent transactions made by high-level corporate executives.

So it comes as a shock (again) when a single trader was able to inflict so much damage to an otherwise reputable world-class company.

the inner space said...

HBB, 【CTV.ca】UBS kicked off an internal investigation into the catastrophic failure of its risk systems after rogue equity trades cost the Swiss bank $2.3-billion, raising pressure on top management.

UBS said its board of directors had set up a committee chaired by independent director David Sidwell, former chief financial officer at Morgan Stanley, to conduct an independent investigation into the trades and the bank’s control systems.

“External expectations are that the investigation should take weeks and not months,” a UBS insider told Reuters. “The internal investigation will be coordinating with the regulators on their probe.”

The Swiss bank stunned markets on Thursday when it announced unauthorized trades had lost about $2-billion, a figure that was increased to $2.3-billion on Sunday. London trader Kweku Adoboli was charged on Friday with fraud and false accounting dating back to 2008.

Chief executive Oswald Gruebel, who was brought out of retirement in 2009 to turn the bank around, said the alleged fraud would have consequences for strategy and possibly for himself.

UBS said the trader concealed “unauthorized speculative trading in various S&P 500, DAX and EuroStoxx index futures over the last three months” by creating fictitious hedging positions in internal systems.

The UBS source said there was no indication that others were involved and the global synthetic equities team in which Adoboli worked was still operating, but added that members of the team would have to stop trading while answering questions as part of the investigation.

The loss is a heavy blow to the reputation of Switzerland’s biggest bank, which had just started to recover after its near collapse during the financial crisis and a damaging U.S. investigation into its aiding wealthy Americans to dodge taxes.

“The UBS explanation about how the loss was incurred is similar to those speculated in the market on Friday but in the cold light of day remains just as shocking,” said Peter Thorne, analyst at Helvea.

By 9:03 GMT UBS shares were down 1.4 per cent at 10.1 francs, outperforming a 2.9 per cent slide on the European banking stocks index .

The new crisis has prompted calls for UBS’s top managers to step down and for its investment bank to split into a separate unit from its core wealth management business.

Swiss politicians will debate tough new financial regulations later on Monday and are expected to call for the bank to split off its investment unit to shield the core wealth management business from risk.

UBS is now widely expected to speed up an overhaul that had initially been planned for announcement on Nov. 17, although big shareholders have signalled that they could wait until that date while the bank completes its internal investigation, according to the inside source.

Along with Gruebel, Carsten Kengeter, head of the investment banking unit, may be in the firing line.

“This begs a lot of questions with regard to management and reputation,” said Kepler analyst Dirk Becker.

“We estimate that the investment banking chief Carsten Kengeter, who was appointed in April, 2009, with a mission to build up a leading fixed income franchise and promoted in November, 2010, to become solo divisional head, will be sacrificed after this scandal.”

UBS said it had covered the risk resulting from the unauthorized trades, and its equities business was again operating normally within previously defined risk limits.

It said the trader had allegedly concealed the fact that his trades violated UBS risk limits by executing fake exchange-traded funds (ETFs) positions.

ETFs are index funds listed on an exchange and can be traded just like regular stocks. They try to replicate index performances and offer lower costs than actively managed funds, but regulators have warned about risks from some complex ETFs.