Search results

Yeah, it's them Jooooos!

A very funny question, that... Define "works".

Apart from the fact that this isn't supported by a shred of evidence, it's quite impressive that you're one of the few people who really really gets it.

An indicator of recession? That's proper funny... Here's the link for the GGB that should work: http://www.bloomberg.com/quote/GGGB5YR:IND This is the 10y Italy: http://www.bloomberg.com/quote/GBTPGR10:IND This is the 2y, which is the shortest I can find...

I much prefer Super Mario.

If he can stage what he did this week, he's not gone. It's absolutely masterful.

I guess it's good news because it means that Greece stays afloat a bit longer. I am with you, however, and I don't get it.

Indeed... Many cool ways you can play w/martingale.

Yes, maybe you don't have to borrow the lot daily, but that's the idea. Now take this story to a logical extreme. It's not that it becomes more costly for you to borrow, but rather that you simply can't borrow, because no counterparty is willing to lend you cash, even overnight. To be sure...

Sure, but I, personally, am of the view that they would have been OK if all they had was the piddly €6bn worth of short-dated peripheral paper. As to the haircuts, a counterparty normally cannot raise them on an existing term repo (although it does depend on the exact legal language, as...

Yes, but they had existing credit facilities that would have easily covered the margin calls on the outright bond positions. As I keep saying, that wasn't the crux of the problem and it's not what actually killed them (it might have, eventually). As far as I know, the repo book was smth like...

Sorry, I thought I'd attach an example to illustrate. That's the time series of the clean price of a 1y BTPS (I used 4.25% Oct12). As you can see, the implications of whole Eurozone crisis are that the bond price dropped from arnd 103 to 99.50, i.e arnd 3.5 points. On a €6bn notional...

Yeah, sure, it's a large(ish) position, liquidity-wise, but how much do you think short-dated EUR periph paper moves? Have you tried to estimate how much collateral they would have had to post as a result of the €6bn bonds they were long dropping in value? Despite all the noise you hear in...

Because, to my knowledge, it wasn't a cash-and-carry trade. A cash-and-carry trade of 6 yards of short-dated periphs doesn't kill someone like MFG. So yes, of course, they were faced with margin calls, but they weren't that large, in the grand scheme of things. The issue is that, quite...

Yes, I know... It's that whole genetic pre-disposition to be a finance/economics guru that's coming through, loud and clear. Only thing that's even more apparent is your modesty.

There's nothing wrong with derivatives if they're adequately margined and traded on the exchange. Now you're being funny again...

It's not opaqueness... I have already mentioned it in the other thread and it's not just a simple cash-and-carry trade. 6 yards of shorter-dated periphs funded for term doesn't kill somebody like MFG with margin calls.

We have seen it a few times before. Most prominent case is Argentina in 2001 and the Eternity Global vs Morgan Guaranty/JPM, 2nd District Court. Point of all this is that sov CDS mkt should have never been allowed to exist the way it does now.

The most incredibly stupid thing to me is that they completely ignored the correlation between the two trades. I really don't think that either of two, taken by itself, would have killed them.

Someone does. I am sure there's some BIS data on it somewhere.