June, 2011
The Weekender
This week on FT Alphaville,
- We found $775bn of missing muni bonds.
- We looked at the holy grail of active ETFs.
- How the Fed’s efforts to sell off Maiden Lane’s MBS is pushing down their prices.
Sino-Forest: a further defence
From those loyal analysts at RBC Dominion Securities on Friday, a note entitled:
Evidence Mounting in Sino’s Favour
RBC puts forward three main reasons why Muddy Waters is wrong and Sino-Forest warrants an “out-perform”
Who’s been trading natgas futures on the curve?
The natgas mystery continues!
Let’s start first with the following flashes from the CME via Reuters on Friday:
NYMEX PRELIMINARY DATA SHOWS NATGAS FUTURES OPEN INTEREST HIT RECORD HIGH ON JUNE 9–CME WEBSITE
PRELIMINARY DATA ALSO SHOWS NYMEX NATGAS FUTURES VOLUME SET NEW RECORD HIGH THURSDAY–CME WEBSITE
Which means the day after the mysterious mini-flash someone or some people,
29 weeks later: muni bonds after the apocalypse
Nobody tell Meredith Whitney but municipal bond funds finally ended their 29 week run of outflows:
And nobody tell muni bond cork poppers this may be just the flip side to the equities pull back.
The supply! The supply!
Maiden Lane’s no lady. She continues to harass Wall Street.
The Federal Reserve has been selling off the portfolio of dodgy Mortgage-Backed Securities (MBS) it acquired as part of its bail-out of AIG.
Jean-Claude Trichet, the almost-Hamiltonian
Presenting a… revisionist view of why the European Central Bank president hates any Greek debt restructuring, in whatever form.
One in which the stakes get a lot higher too.
Here’s a chart where,
US Markets Live transcript 10 Jun 2011
Markets Live chat transcript for the chat ending at 15:12 on 10 Jun 2011. Participants in this chat were: Cardiff Garcia John McDermott Paul Murphy Izabella Kaminska CGGooooood morning
Reminder: US Markets Live starts in 10 minutes
You know the routine.
See you at 10am New York, 3pm London.
Santander’s €1bn flop – the covered bond that barked
Woof.
The Wall Street Journal has more details of the €1bn covered bond issued somewhat disastrously by Spanish bank Santander last week. Why disastrous? Deal managers were only able to sell about half of the bond,
Pimco explains how frogs make butter out of government debt
You may remember Bill Gross’ sage advice to “buy cheap bonds” and his amphibious explainer:
All right fellow frogs, so we’re being repressed and shortchanged in order to allow Uncle Sam to balance its books.
An Allied Irish credit event query, redux
Readers are at this point excused a slight sense of déjà vu…
That’s a credit event query appearing for Allied Irish Banks, a second time. Isda has accepted the request for consideration.
Someone asked Isda back in April whether a government order to make Allied Irish buy back subordinated debt had triggered credit protection.
Markets Live transcript 10 Jun 2011
Markets Live chat transcript for the chat ending at 11:14 on 10 Jun 2011. Participants in this chat were: Neil Hume, FT bryce.elder NHHola Rabble NHsorry we are late NHBryce and I
The future is all about cross-asset arbitrage
What happens when computer-driven trading reaches a high-speed saturation point?
That is, when high frequency trading reaches its natural limit — it simply cannot get any faster?
The answer is multi-dimensional arbitrage.
Untying Vallar’s Gordian knot
Few mainstream institutional investors have focussed on Vallar till now – we feel this could trigger their taking a closer look.
That’s Liberum Capital talking about Nat Rothschild’s original London-listed shell company,
Eurozone uncertainty, illustrated bond edition
Or, what happens when European ministers continuously and very publicly talk about Greece.
From Citigroup’s Mark Schofield:
A consensus on the shape of any possible package still seems elusive, however.
An algorithim running backwards in natural gas
The folks at Nanex — the group which successfully data-mined the consolidated trade tape from the May 6, 2010 to determine the role played by algorithmic trading in the flash crash — have cast their eyes over to the natural gas futures market and Wednesday’s mini flash crash.
Further reading
Elsewhere on Friday,
- Pimco has a long-short-long position in US debt.
- The hedgies are buying Africa.
- What Jean-Claude Trichet thought of Ireland in 2004.
- More on the natgas mini-crash — “completely opposite of normal market behavior.”
Pink picks
Comment, analysis and other offerings from Friday’s FT,
Philip Stephens: Why Berlin is resetting its compass
I think it was Napoleon who said you can know a state’s foreign policy by its geography,
Snap news
Breaking pre-market news on Friday,
- Nat Rothschild’s Vallar to acquire 75 per cent of Bumi Mineral Resources; issues $2bn of convertible bonds – statement.
- New questions emerge over Sino-Forest timber deal — report.
Further further reading
For the commute home,
- Nine ideas from abroad to fix the US economy.
- Must-read: how to spot a bubble in real time.
- What matters about the Opec debacle.
- Re: Groupon — “Warren Buffett wouldn’t spit in that moat.”
Yet to emerge from the depths
This blogger isn’t a fan of the oft-made analogy between the US economy now and the Japanese economy of the early 1990s — an analogy normally used to analyse the possibility of the US facing a similar Lost Decade.
SEC to investors re Chinese reverse mergers: don’t be stoopid
Randolph: “I just received a hot tip about this Chinese reverse merger company. I think we should invest.”
Mortimer: “But did you ask this hot tipper about his motives? Maybe we should do our own research instead of relying on what somebody has told us.”
New strategy – AIG will buy European junk instead of its own
AIG is back on Wall Street.
Fresh from failing to acquire its own portfolio of dodgy deals from the Federal Reserve — AIG’s Mortgage-Backed Securities (MBS) were acquired by the US central bank during
Sino-Forest hit by Muddy Waters’ ‘perfect’ ‘pile of crap’
“We are going to provide you with some information on why Muddy Waters research is a pile of crap” — Richard Kelertas, Dundee Capital Markets. [Source: Financial Post]
A bold (and so far unheeded) call from Dundee Capital,
Sovereigns of fortune (a debtor’s prison break)
In 2008-2009, a sovereign crack commando unit was sent to debtor’s prison by a bond vigilante court for a crime they didn’t commit.
(Well, actually, private-sector balance sheet losses, exchange rate collapse,
NEIN, Herr Schäuble
One really has to admire ECB president Trichet.
His ability to bat away difficult questions without saying anything remotely controversial is phenomenal.
That said, there are some points worth picking up on from Thursday’s presser,
Reflections of a UK banks analyst
Tony Shiret isn’t the only big name analyst heading out of the door at Credit Suisse.
UK banks analyst Jonathan Pierce, who made timely calls on The Crock, Alliance & Leicester and Bungle Bank before the crunch,
Doubling a losing bet, really fast
Chart via Societe Generale, and to be read in conjunction with the Troika finally admitting that Greece has failed to control its deficit as it demanded in 2011:
While the size of fiscal adjustment being asked for in Greece (and Ireland actually) is in itself historically unprecedented,
When algorithms fight, natgas edition
It’s not an earthquake. It’s last night’s mini-crash in natgas futures, via Zero Hedge:
“It looks like two computers getting into a competition with each other” one market-watcher told Reuters.