tag:blogger.com,1999:blog-34323687.post8141930869506125619..comments2024-03-29T12:26:35.581+00:00Comments on Macro Man: Why the long face?Macro Manhttp://www.blogger.com/profile/12324967552369915949noreply@blogger.comBlogger9125tag:blogger.com,1999:blog-34323687.post-45583461469460983552007-10-29T19:37:00.000+00:002007-10-29T19:37:00.000+00:00Anonymous, thanks. Of course, all of this begs th...Anonymous, thanks. Of course, all of this begs the question of why not borrow at the discount window, unless the collateral posted was of insufficent to queue up at this particular trough. <BR/><BR/>While there may well be year end funding/credit issues, it's not difficult to construct a scenrio, a la 1999, where the Fed open market desks floods the market with liquidity well in advance, which then somehow fids its way into equities...which then melt up. Hmmm...perhaps I should roll my short strike higher (or cross my fingers it doesn't start til after November 17.)Macro Manhttps://www.blogger.com/profile/12324967552369915949noreply@blogger.comtag:blogger.com,1999:blog-34323687.post-215683744660440062007-10-29T19:19:00.000+00:002007-10-29T19:19:00.000+00:00MM,I asked a co-worker to call into the repo desk ...MM,<BR/><BR/>I asked a co-worker to call into the repo desk we deal with and the $70mm @ 15% was real and done at the end of the day when someone was caught short of reserve requirements. It's peanuts...but the $400mm @ 7+% that's being debated on around on some discussion forums looks more ominous. It's certainly possible that the credit crunch is back and that this year's annual year end funding problem might be a real ticking time bomb.Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-34323687.post-23402745118983576612007-10-29T16:26:00.000+00:002007-10-29T16:26:00.000+00:00Ben, there's a story doing the rounds that some un...Ben, there's a story doing the rounds that some unlucky sould borrowed $75 mio at 15% on Thursday, though I've been unable to confirm. <BR/><BR/>C, who knows whether I am right or not...it's just my take (coloured, naturally, by the view that "USD down" would be the next financial bubble.)<BR/><BR/>Have you been treading the road to Damascus, or have you merely engaged in a <A HREF="http://www.nihoncassandra.blogspot.com/" REL="nofollow">literary conversion to the Dark Side</A> to avoid a financial one?Macro Manhttps://www.blogger.com/profile/12324967552369915949noreply@blogger.comtag:blogger.com,1999:blog-34323687.post-70791100903104025772007-10-29T14:56:00.000+00:002007-10-29T14:56:00.000+00:00Thanks for setting me straight MM.Thanks for setting me straight MM."Cassandra"https://www.blogger.com/profile/17412381249313151515noreply@blogger.comtag:blogger.com,1999:blog-34323687.post-26579064552152870332007-10-29T14:17:00.000+00:002007-10-29T14:17:00.000+00:00I don't know what to make of the spike in the High...I don't know what to make of the spike in the High of the Fed Funds rate to 15% on 10/25/07. Any ideas? Relevant? Irrelevant?<BR/><BR/><A HREF="http://www.newyorkfed.org/markets/omo/dmm/fedfundsdata.cfm" REL="nofollow">FederalFundsData</A>Ben Bittrolffhttps://www.blogger.com/profile/12465978905157927856noreply@blogger.comtag:blogger.com,1999:blog-34323687.post-89175354242432147522007-10-29T13:47:00.000+00:002007-10-29T13:47:00.000+00:00C, I actually think that's exactly what isn't happ...C, I actually think that's exactly what <I>isn't</I> happening, e.g. what's different about the last couple of weeks. <BR/><BR/>Since the buck made its half-hearted attempt at a rally in early October, EUR/USD has rallied from 1.4050 to 1.44. But USD/JPY has fallen from 117.60 to 114 (Ok, it's rallied a smidge so far today.) So EUR/JPY, rather than being the "uber-dollar", which reflects an environment of carry -at-all-costs speculation, has been a mere spectator to dollar weakness of the last couple of weeks.<BR/><BR/>This may reflect the change in Japanese securities law, which nowrequires purveyors of <I>toshin</I> to actually inform Mrs. W what she is getting into...and has thereby slowed the outflow from Japan. <BR/><BR/>Yet the fact that erstwhile laggards the MXN and ZAR are plumbing extremes against the buck suggests, to me at least, that this has broadened out into more of a bitchslap-Geogre Washington kind of party.<BR/><BR/>Not to say that mechanistic carry trading is dead-far from it!- but it seems to me at least that the downward pressure on the dollar is now equal to, if not greater than, the equivalent pressure on erstwhile turds the yen and Swissie. <BR/><BR/>And that is a bit of a different dynamic- indeed one could argue the opposite of whats going on in equity land, where index strength is driven by an ever-narrower band of brothers; in other words, the trend is becoming more selective under the surface, whereas the weak buck is becoming more inclusive.Macro Manhttps://www.blogger.com/profile/12324967552369915949noreply@blogger.comtag:blogger.com,1999:blog-34323687.post-32754254106414573222007-10-29T13:23:00.000+00:002007-10-29T13:23:00.000+00:00MM - i know your the expert in these markets, but ...MM - i know your the expert in these markets, but is this Oct move really about the dollar, or is this move really about a recovery of leveraged fx spec - a phenom independent from subprime & large-institut credit woes?? Forgive me for asking, but are not cable & euro strength and continued Yen & CHF squishiness, along with new highs in all the high-yielders vs. the funding whore-units a tell-tale that while the USD while indeed adrift, but not completely scuttled? <BR/><BR/>In equity markets, for example, a dominant feature at the moment is the strength and persistence of certain single-factor cross-sectional returns - particularly in momentum, which itself aliases other growth and expectational factors themselves related to "the global spec factor" which I reckon is liquidity and neg rates. In FX, from casual observation, the single-factor returns appear wholly rates-driven, the relative structure being both the best explanation of yests returns and finest predictor of tomorrows. From a casual distance, this appears to be swamping the fundamental trade else USD would be far weaker vs. CHF and Yen than it is. Any thoughts?"Cassandra"https://www.blogger.com/profile/17412381249313151515noreply@blogger.comtag:blogger.com,1999:blog-34323687.post-87295650689321279022007-10-29T12:55:00.000+00:002007-10-29T12:55:00.000+00:00Yeah, this is the "non-commerical" , eg spec, futu...Yeah, this is the "non-commerical" , eg spec, futures positionsMacro Manhttps://www.blogger.com/profile/12324967552369915949noreply@blogger.comtag:blogger.com,1999:blog-34323687.post-56990031018682840392007-10-29T12:03:00.000+00:002007-10-29T12:03:00.000+00:00How is the index futures thing computed? Isn't the...How is the index futures thing computed? Isn't the sum of all positions zero (every long corresponds to a short). So I'm guessing this is just "commercials" or "large speculators" or something?mOOmhttps://www.blogger.com/profile/03440274434662150925noreply@blogger.com