Global Macro Trading Journal

[gmst]

Quote from gmst:


More and more it seems to me that for the short run (1week or so), the currency that will come out on top after all this will be none other than 'US Dollar'.

My prediction is coming true. Sorry for boasting, but I can't help it

I think long dollar is this week's trade.

 

[ralph00]

BTW, I've received a few PMs about NLY - I'll just say this to everyone ... stay away until after the Bammer talks this week. There is a lot of chatter about greasing the way for mass refinancings. Word is, Bernanke thinks it's a magic bullet for the economy (don't get me started),

If this comes to pass those billions in savings to underwater homeowners will come out of the pockets of owners of MBS, of which NLY is a major one. Stock could fall 20% easy. Also, the SEC has asked for comment about possibly rescinding tax advantage for leveraged reits. I'm don't think this will come to pass, but it's another risk factor.

 

[Ghost of Cutten]

My back of an envelope calculations show that the SNB has made approx $25 billion today. That may be the biggest one-day trading profit in financial market history. Not bad for a bunch of grey-suited bureaucrats.

 

[gmst]

GoC

can u pls post details - ur assumptions etc.

If what you are saying is true, then this is the greatest trade ever

 

[Martinghoul]

Quote from Ghost of Cutten:
My back of an envelope calculations show that the SNB has made approx $25 billion today. That may be the biggest one-day trading profit in financial market history. Not bad for a bunch of grey-suited bureaucrats.

Hildebrand ain't no grey-suited bureaucrat... He's a punter.

 

[Ghost of Cutten]

Quote from gmst:

GoC

can u pls post details - ur assumptions etc.

If what you are saying is true, then this is the greatest trade ever

SNB forex reserves went from 180bn CHF to 250-ish in August (i.e. they added about 40% to their position size). 250bn CHF is about 300bn USD. 10 handle move in one day = about 8%. 8% of 300 is $24bn USD.

 

[ralph00]

Where did you get the #'s on the added forex reserves in August?

 

[Ghost of Cutten]

Quote from ralph00:

Where did you get the #'s on the added forex reserves in August?

http://online.wsj.com/article/BT-CO-20110906-701670.html?mod=WSJ_Banking_middleHeadlines

 

[ralph00]

Thanks, I was just about to reply that I found that. Not a bad day. Another one like it and the SNB will be back to even for its fx interventions in the last year and a half.

 

[ralph00]

Good piece by Bill Gross. Flattening the yield curve may lower the cost of capital, but is likely to choke of credit creation. The world runs on carry. The Fed has already eliminated it up to 2 years with its 0% forever announcement. "Operation twist" threatens the rest of the curve.

http://www.ft.com/intl/cms/s/0/04868cd6-d7b2-11e0-a06b-00144feabdc0.html#axzz1X07dvYNX