tag:blogger.com,1999:blog-34323687.post4806294504453002222..comments2024-03-28T12:22:11.704+00:00Comments on Macro Man: The Beginning of the ENDMacro Manhttp://www.blogger.com/profile/12324967552369915949noreply@blogger.comBlogger16125tag:blogger.com,1999:blog-34323687.post-41481898995858175402010-11-29T06:47:23.156+00:002010-11-29T06:47:23.156+00:00I don't have a clue who pushing that thingme b...I don't have a clue who pushing that thingme bob around but those guys are spot on.Unknownhttps://www.blogger.com/profile/11882601304613626929noreply@blogger.comtag:blogger.com,1999:blog-34323687.post-47324870567012490842010-11-29T06:33:09.995+00:002010-11-29T06:33:09.995+00:00Risk on - risk off signal? don't forget our ri...Risk on - risk off signal? don't forget our risk barometer, it just about to break.Unknownhttps://www.blogger.com/profile/11882601304613626929noreply@blogger.comtag:blogger.com,1999:blog-34323687.post-30035135798014826152010-11-28T23:40:22.971+00:002010-11-28T23:40:22.971+00:00Irish bailout ready to hit the markets. Some parti...Irish bailout ready to hit the markets. Some participation by the Irish pension funds in the bailout, maybe 20% of the cash (!) and the rest is from a variety of countries, it all adds up to €85B, at an average interest rate of 5.8%. This is an appalling political development for the Irish people, but politics isn't my patch.<br /><br />Bondholder haircuts are off the table so that means that the European bank stocks will bounce and US banks will probably follow. Treasuries will probably be sold as investors exit safety trades.<br /><br />You would think that this might stabilize EURUSD for a while. But with US employment reports lurking to provide additional USD support, and Portugal and Spain next in line for the bond vigilantes, it seems unlikely that we will see more than a very brief resurgence of DGDF and the commodity trade. <br /><br />Sell the rips in EURUSD and in the emerging markets is how LB sees it. There may be downside for the USD in the immediate future but it isn't going to last long. LB is watching AUDJPY as risk proxy. Both currencies have been weak lately, so to me there is no clear risk-on or risk-off signal for US equities and high yield credit for the time being. Sideways trade in the US and some frantic exit rallies in EMs?leftbacknoreply@blogger.comtag:blogger.com,1999:blog-34323687.post-85303194168346113512010-11-28T07:45:29.371+00:002010-11-28T07:45:29.371+00:00I think the appeal here is that unlike the short s...I think the appeal here is that unlike the short sovereign cds game this is a bit more clever as you're betting upon where it will be post breakup. To that end its a bit like a recovery swap though there is some carry cost involved.Nemo Incognitohttps://www.blogger.com/profile/07345185457108156269noreply@blogger.comtag:blogger.com,1999:blog-34323687.post-67752828689793971702010-11-27T23:55:11.840+00:002010-11-27T23:55:11.840+00:00Wait, isn't it 989.99 x (1+1.43%)^5/(1+1.2%)^5...Wait, isn't it 989.99 x (1+1.43%)^5/(1+1.2%)^5 instead? which gives 1001.291139 as an implied fwd. <br /><br />IF there's a breakup of the Euro, even 1001.29 is ridiculously low for the DEM/ITL rate. It would probably be around 30% higher. However, that's a big IF and there's your answer to why that's the current implied fwd END rate. If you assign a probability of 10% to EUR breakup, then the probability weighted fwd (which is what you actually get and pay for) seems fair, no?thetanoreply@blogger.comtag:blogger.com,1999:blog-34323687.post-77214442637630469712010-11-27T02:59:16.542+00:002010-11-27T02:59:16.542+00:00LB, sitting at a large former investment bank I ca...LB, sitting at a large former investment bank I can tell you that your recent comment does sometimes look like a pretty accurate summary of how the world works.Nemo Incognitohttps://www.blogger.com/profile/07345185457108156269noreply@blogger.comtag:blogger.com,1999:blog-34323687.post-7335838845424954532010-11-26T21:46:42.747+00:002010-11-26T21:46:42.747+00:00"The opposite is true of (3) and (4) - if Ger..."The opposite is true of (3) and (4) - if Germany readopted the Deutschmark then you are left holding a DEM-denominated bond with credit risk hedged (although I'm sure no-one would bother buying protection on Germany)."<br /><br />If Germany left the Euro (the most likely scenario in my opinion - the Euro would depreciate without causing all of the chaos of weaker members exiting), is it automatic that they would re-denominate their debt? Seems to me (if they could get away with ti) that they would prefer to maintain their liabilities in a currency destined to continually become weaker.Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-34323687.post-91758758162478099502010-11-26T11:12:07.835+00:002010-11-26T11:12:07.835+00:00Sorry to perseverate on this issue, but it occurre...Sorry to perseverate on this issue, but it occurred to me that this is all completely predictable. If you are a banker named José, and your bank is insolvent but you have a large trading operation, you can simply have your amigos on the fixed income desk short the govies of your own country, say, España, against the govies of another solvent country, e.g. Deutschland. Then when the rates are high enough, your government demands a bailout of its banking system, and you then use the resulting monies to buy the govies that you had been shorting, while advising El Jefe to begin an austerity program that results in lower rates via deflation. A year later you pocket the profits and announce that you have successfully replenished your Tier 1 assets and recapitalized. Your fixed income boys get a big bonus. Meanwhile, in another country, a banker named Giorgio is shorting the govies of..... <br /><br />Repeat, serially, around the world.leftbacknoreply@blogger.comtag:blogger.com,1999:blog-34323687.post-12637409231801939692010-11-26T10:03:27.209+00:002010-11-26T10:03:27.209+00:00Leftback can confirm from his temporary perch in t...Leftback can confirm from his temporary perch in the UK that things are going pear-shaped in a hurry in Europe. It was certainly interesting to read yesterday's missive from TMM confirming that traders are making concrete plans for the withdrawal of weaker and/or stronger economies from the €. <br /><br />For as we all know, market participants are painfully aware that An Official Denial actually means Yes, We Are Bankrupt and Yes, We Will Be Doing That Haircut Thing but we don't want the General Population to know just yet.leftbacknoreply@blogger.comtag:blogger.com,1999:blog-34323687.post-4415659089955496262010-11-26T05:22:38.749+00:002010-11-26T05:22:38.749+00:00The Dow going to be twice shy when Oil breaks prev...The Dow going to be twice shy when Oil breaks previous high coming out of a downturn.<br /><br />http://i797.photobucket.com/albums/yy258/<br />FX-/DowOil.jpgUnknownhttps://www.blogger.com/profile/11882601304613626929noreply@blogger.comtag:blogger.com,1999:blog-34323687.post-82272081120289712712010-11-25T11:00:10.287+00:002010-11-25T11:00:10.287+00:00http://www.chinadaily.com.cn/china/2010-11/24/cont...http://www.chinadaily.com.cn/china/2010-11/24/content_11599087.htm<br /><br />I think USD is fundamentaly not in much better position than EUR. It is just about market press headlines in a certain point in time.<br />So what should we save in? I was never a fan of PM but have put 20% of our portfolio in gold recently. Could be described as an act of desperation :)Belektronnoreply@blogger.comtag:blogger.com,1999:blog-34323687.post-37940620387008474512010-11-25T10:13:31.680+00:002010-11-25T10:13:31.680+00:00apologies...my mistake...forgot about the rounding...apologies...my mistake...forgot about the rounding...it's approx 992Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-34323687.post-40725495642042397062010-11-25T10:11:10.210+00:002010-11-25T10:11:10.210+00:00something wrong with calculation...
989.99 x (1+1...something wrong with calculation...<br /><br />989.99 x (1+1.43%)/(1+1.2%) = 1001.87 not 992.46<br /><br />Am I missing something??Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-34323687.post-30278695208408539992010-11-25T08:02:33.147+00:002010-11-25T08:02:33.147+00:00There is a missing oldie but a goodie from TMMisms...There is a missing oldie but a goodie from TMMisms.<br /><br />Turds: those mortgage related thingme bobs on banks balance sheets, most notably mention here in reference to the Euro Zone.<br /><br />"Turds' yeah I know I can hear you all laughing from here,but f%^&it, I bet 50 cents can't trade the cable like I can, is'nt that right old timer.Unknownhttps://www.blogger.com/profile/11882601304613626929noreply@blogger.comtag:blogger.com,1999:blog-34323687.post-42210992202458358792010-11-25T01:11:43.145+00:002010-11-25T01:11:43.145+00:00fucking ©-free?fucking ©-free?Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-34323687.post-70978664471885547372010-11-24T21:24:55.127+00:002010-11-24T21:24:55.127+00:0020 euros yours20 euros yoursAnonymousnoreply@blogger.com