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Erm, actually, Greek restructuring was deemed a credit event and a CDS trigger. Greek sov CDS did pay out in the end.

There's actually quite a few papers out there discussing the possible mechanics of a monetary union breakup and all the lex monetae stuff. People have been trying to come up with scenarios for this for a while now. Not that there's any more clarity as a result.

Huh? Say what? Logarithmic at zero? The closest you can get to CDS in a retail setting is using futures to create either a yield spread or an asset swap position. Obviously, it will be marked to mkt.

It's fine... Hollande doesn't really mean it.

Well, I can't really predict the relationship going forward... However, from the graph of the realized core/headline spread, does it look like we've experienced any sort of convergence during the 1992 - 2012 period? Here's the stats for the headline CPI/core PCE spread: 1992 - 97 mean 0.5%...

Well, firstly, I would argue strongly that Fed's real mandate has a lot more to do with core PCE, rather than the headline. We all know that the core/headline spread in both CPI and PCE is driven mostly by energy, historically. That's why inflation mkts arnd the world, especially TIPS, are so...

Sire, firstly, what does PCE have to do with TIPS? TIPS cashflows are based on the headline CPI-U, rather than anything else. If you look at the realized CPI-U fixings, you will perforce conclude that they are, first and foremost, about oil/gasoline. That's reality, regardless of the various...

Yeah, Ole Bill's story is, basically, about going long the line in the attachment (I used a const maturity 7y breakevens). Problem, for me, is still the fact that it is mostly a long oil/gasoline trade (and becomes increasingly more so with time). Furthermore, also due to the funding...

Cheap? The front end of TIPS is a punt on oil/gasoline and who knows what happens there. I daresay that 2y TIPS at -1.5% real yield isn't really that cheap, unless you think oil's gonna roof it. The only thing that's cheap in TIPS is the 30y area, but that's on a relative basis.

I do these things in a portfolio context... Negative carry on a single position doesn't really matter. What matters is the carry/roll for the whole portfolio vs the optionality you're long/short.

Why sorry? As I said, I have absolutely zero view on the Euro and I iz az flat az a pancake.

Easy... You find muppets in the mkt who would hand you this money. How big was Amaranth? How much of Brian Hunter's drawdown went to Arnold?

Right... So after a lengthy discussion of the various scenarios and possibilities for the Euro, we're concluding that it's best to have no exposure to it? Funny, innit? As I have mentioned previously, I very much agree with the sentiment. In general, I like long USDCHF, regardless of the...

Don't know about nuking, but why couldn't China's implosion be US's gain? There's a certain symmetry to it, innit? China's miracle led to the overall loss of competitiveness and productive capacity in the US (and the West in general). Wouldn't it be natural to assume that the US benefits...

Just a rhetorical question, since I don't see any point in arguing about this stuff... Along the lines of what Hugh Hendry has been arguing for, could the Hail Mary be simply the reversal of the marvellous Chinese miracle? So what if China is, in fact, overleveraged and experiences a sharp...

You're incorrect. I have on occasion expressed my wholehearted admiration of Dalio, Simons and some others. I have my reservations about Soros, although I do respect his record. I have expressed some skepticism regarding the exploits of people who, in my opinion, are in the public eye too...

Bruce Krasting is a muppet, IMHO... He, like the other guy, is ignoring the small print, in order to continue with his rant. The small print (which needs paying attention to) is that these are SNB foreign currency holdings, excluding derivatives. One interesting point on EURCHF. A certain...

Yeah, sure... I certainly can't rule out more cuts. Westpac economist (who got today wrong, incidentally) is now expecting the RBA to cut down to the low of 3.25 this year (previous forecast was 3.75). Personally, I don't have any skin in the AUD game, so just observing.

I am not sure what there is to mention. As to the banks not passing on the rate cuts, I am not entirely sure that's the case. Right after the RBA, Bank of Queensland announced that they're cutting the variable home loan rate by 35bps. Whether this is enough of a passthrough to satisfy the RBA...

Well, this is a rather superficial analysis that this guy has done. Indeed, EUR investments excluding FX derivatives have fallen by 6.5%. However, curiously enough, EUR investments including FX derivatives have fallen only by 0.7%. So, really, I can imagine that they just had some PNL swings...