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assemblée des troubadours phynanciers 

anonymous: the biggest short squeeze in history

The explosive rise of Volkswagen's share price (up 300% over the last 5 days). This is due to one of the biggest short squeezes in history. The percentage of shares on loan (a good proxy of the short position in the shares) is estimated at 13%, which is more than twice VW's free float of 5.7% (Porsche announced this weekend that it holds 74% through shares and options; Lower Saxony holds another 20%).

This has an enormous impact on the constituents of European benchmark indices, such as the DJ EuroStoxx and in particular the DAX 30.

For instance, ETF's on these indices have to adjust their weightings accordingly, which explains why the DAX constituents have been under heavy pressure over the last few days.
The index tracker funds need to buy VW and sell the remaining constituents in order to keep up with the change in relative weightings, which becomes a self-reinforcing process.

As a result, big market caps, such as Allianz, Daimler, Deutsche Bank and Siemens have lost more than 30% of their value in the last five days.
Even 'defensive' stocks, such as Bayer and RWE have lost around 20%.

It is difficult to know when and how this crazy situation will end, but the recent price movements in the constituents of the DAX have little to do with fundamentals.

More explanations:
VW spike disclocates a lot of derivatives & basket trading activities by "artificially" fuelling ,among others, DAX 's MASSIVE outperformance , with VW weight reaching to ...25% of DAX

DAX buying comes from
1)DAX-hedged asset managers deciding to cut DAX shorts
2) VW-shorts opting for BUYING DAX & SELLING 29 COMPONENTS
3) any purchase of 1 DAX contract (worth €113k) triggers purchase of 35  VW shares
4) any purchase of 100 DAX  triggers purchase of  3500 VW shares
5) any purchase of €28 000  worth of Synthetic VW implies the buying of 1 DAX and the selling of €85 000 worth of DAX non-VW basket
6) any purchase of €10Mn synthetic implies selling €30Mn worth of 29-member basket
and so on ...the snow ball effect.

 

 

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ritholtz @tpg: adjusted monetary base

--- et bien, il va falloir être prêt à bondir sur l'or d'une fois que les banques seront ret(h)unées (et que la vitesse de la monnaie se remettra à augmenter). mais pas d'empressement mesdemoiselles, avant de vous parer de bijoux, attendez sagement que l'envie de prêter reprenne à votre banquier… http://bigpicture.typepad.com/comments/2008/10/adjusted-moneta.html ---

 

And speaking of sucking, how about this chart? Check out that huge spike at the end -- as big as Greenspan's Y2K money supply surge.

There is an inflationary spike somewhere out there, once we get through this massive deflationary period.

Here is the longer term view:

And M1

Notice how this spike dwarfs 2001 post 9/11

 

 

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evans-pritchard @telegraph: europe on the brink of currency crisis meltdown

 

--- le rideau de fer n'est plus, le feu peu désormais se propager librement au-delà du danube. après les flammes américaines, c'est le grand incendie de l'europe de l'est qui s'annonce. au moins, l'hiver ne risque pas d'être froid de par chez nous! http://www.telegraph.co.uk/finance/comment/ambroseevans_pritchard/3260052/Europe-on-the-brink-of-currency-crisis-meltdown.html ---

The financial crisis spreading like wildfire across the former Soviet bloc threatens to set off a second and more dangerous banking crisis in Western Europe, tipping the whole Continent into a fully-fledged economic slump.

Currency pegs are being tested to destruction on the fringes of Europe’s monetary union in a traumatic upheaval that recalls the collapse of the Exchange Rate Mechanism in 1992.

“This is the biggest currency crisis the world has ever seen,” said Neil Mellor, a strategist at Bank of New York Mellon.

Experts fear the mayhem may soon trigger a chain reaction within the eurozone itself. The risk is a surge in capital flight from Austria – the country, as it happens, that set off the global banking collapse of May 1931 when Credit-Anstalt went down – and from a string of Club Med countries that rely on foreign funding to cover huge current account deficits.

The latest data from the Bank for International Settlements shows that Western European banks hold almost all the exposure to the emerging market bubble, now busting with spectacular effect.

[…]

Austria’s bank exposure to emerging markets is equal to 85pc of GDP – with a heavy concentration in Hungary, Ukraine, and Serbia – all now queuing up (with Belarus) for rescue packages from the International Monetary Fund.

Exposure is 50pc of GDP for Switzerland, 25pc for Sweden, 24pc for the UK, and 23pc for Spain. The US figure is just 4pc. America is the staid old lady in this drama.

Amazingly, Spanish banks alone have lent $316bn to Latin America, almost twice the lending by all US banks combined ($172bn) to what was once the US backyard. Hence the growing doubts about the health of Spain’s financial system – already under stress from its own property crash – as Argentina spirals towards another default, and Brazil’s currency, bonds and stocks all go into freefall.

Broadly speaking, the US and Japan sat out the emerging market credit boom. The lending spree has been a European play – often using dollar balance sheets, adding another ugly twist as global “deleveraging” causes the dollar to rocket. Nowhere has this been more extreme than in the ex-Soviet bloc.

The region has borrowed $1.6 trillion in dollars, euros, and Swiss francs. A few dare-devil homeowners in Hungary and Latvia took out mortgages in Japanese yen. They have just suffered a 40pc rise in their debt since July. Nobody warned them what happens when the Japanese carry trade goes into brutal reverse, as it does when the cycle turns.

[…]

It is just blood in the water for hedge funds sharks, eyeing a long line of currency kills. “The economy is not strong enough to take it, so you know it is unsustainable,” said Simon Derrick, currency strategist at the Bank of New York Mellon.

[…]

The markets no longer believe that the spending structure of the Russian state is viable as oil threatens to plunge below $60 a barrel. The foreign debt of the oligarchs ($530bn) has surpassed the country’s foreign reserves. Some $47bn has to be repaid over the next two months.

Traders are paying close attention as contagion moves from the periphery of the eurozone into the core. They are tracking the yield spreads between Italian and German 10-year bonds, the stress barometer of monetary union.

The spreads reached a post-EMU high of 93 last week. Nobody knows where the snapping point is, but anything above 100 would be viewed as a red alarm. The market took careful note on Friday that Portugal’s biggest banks, Millenium, BPI, and Banco Espirito Santo are preparing to take up the state’s emergency credit guarantees.

Hans Redeker, currency chief at BNP Paribas, says there is an imminent danger that East Europe’s currency pegs will be smashed unless the EU authorities wake up to the full gravity of the threat, and that in turn will trigger a dangerous crisis for EMU itself.

“The system is paralysed, and it is starting to look like Black Wednesday in 1992. I’m afraid this is going to have a very deflationary effect on the economy of Western Europe. It is almost guaranteed that euroland money supply is about to implode,” he said.

A grain of comfort for British readers: UK banks have almost no exposure to the ex-Communist bloc, except in Poland – one of the less vulnerable states.

The threat to Britain lies in emerging Asia, where banks have lent $329bn, almost as much as the Americans and Japanese combined. Whether you realise it or not, your pension fund is sunk in Vietnamese bonds and loans to Indian steel magnates. Didn’t they tell you?

--- by the way, les pompiers européens auront-ils les mêmes réflexes que leurs homologues ricains? http://www.timesfreepress.com/news/2008/sep/24/rescue-plan/?editorialcartoons ---

 

 

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loo @atp: today is casual friday!

--- put your feet up and relax. today is casual friday! ---

 

trading halted on s&p500 futures!

Oct. 24 (Bloomberg) -- Trading in Standard & Poor's 500 Index futures expiring in December on the Chicago Mercantile Exchange has been limited to stop the contracts from falling below 855.20, the exchange said.

     Trading below that level will resume when U.S. exchanges open for regular trading at 9:30 a.m. New York time, said Jeremy Hughes, a London-based spokesman for the CME. The so-called limit down suspension allows the contracts to trade above 855.20, he said.

 

eurostoxx 6.5% en dessous du "bottom"

 

yen through the roof

 

introducing the great britain peso

 

oz down under

 

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unmack + moses + harrington @bb: usd 1 trillion corporate debt bets toxic

--- maintenant que les subprime CDOs sont en grande partie "written down" après avoir enfanté la sympathique mouise dans laquelle nous nous baignons depuis qq mois, cédons le devant de la scène aux synthetic CDOs… http://www.bloomberg.com/apps/news?pid=20601087&sid=a5x0jMKZf4yc&refer=home ---

Investors are taking losses of up to 90 percent in the $1.2 trillion market for collateralized debt obligations tied to corporate credit as the failures of Lehman Brothers Holdings Inc. and Icelandic banks send shockwaves through the global financial system.

The losses among banks, insurers and money managers may spark the next round of writedowns on CDOs after $660 billion in subprime-related losses. They may force lenders to post more reserves against losses after governments worldwide announced $3 trillion in financial-industry rescue packages since last month, according to Barclays Capital.

``We'll see the same problems we've seen in subprime,'' said Alistair Milne, a professor in banking and finance at Cass Business School in London and a former U.K. Treasury economist. ``Banks will take substantial markdowns.''

[…]

Some synthetic CDOs, tied to credit-default swaps on corporate bonds, are trading at less than 10 cents on the dollar, according to Sivan Mahadevan, a derivatives strategist at Morgan Stanley in New York.

CDOs parcel fixed-income assets such as bonds or loans and slice them into new securities of varying risk, providing higher returns than other investments of the same rating.

The synthetic variety pools credit-default swaps, which are derivatives based on bonds and loans and used to protect against or speculate on defaults. Should a borrower fail to meet debt agreements, the contracts pay the buyer face value in exchange for the underlying securities or the cash equivalent. An increase in the agreement's cost indicates a deteriorating perception of credit quality.

About $254 billion of CDOs tied to mortgages for borrowers with poor credit histories have defaulted, according to Wachovia Corp. Tracking defaults on those linked to corporate bonds will be difficult because the market is largely private, said Mahadevan.

[…]

Downgrades of corporate CDOs will force investors to boost capital, according to an Oct. 17 report from Barclays Capital analysts led by Puneet Sharma in London.

Buyers of deals graded AA by Standard & Poor's and Aa2 by Moody's Investors Service, the third-highest rankings, may have to increase cushions against losses to cover the full amount of the investment, up from 1.2 percent now, Sharma said. His estimate is based on the world economy entering a ``severe'' recession.

Demand for synthetic CDOs pushed the cost of default protection to record lows in 2007, driving down company borrowing expenses. Sales surged to $503 billion in 2006, from $84 billion five years earlier, according to Morgan Stanley.

[…]

Barclays Capital estimates that 70 percent of synthetic CDOs sold swaps on Lehman. Swaps on Kaupthing Bank hf, Landsbanki Islands hf and Glitnir Banki hf were included in 376 CDOs rated by S&P. The company ranks almost 3,000.

About 1,500 also sold protection on Washington Mutual, the bankrupt holding company of the biggest U.S. bank to fail, according to S&P. More than 1,200 made bets on both Fannie Mae and Freddie Mac, the New York-based rating company said.

[…]

Nonpayment on speculative-grade corporate bonds may rise to 7.9 percent worldwide in a year, from 2.8 percent at the end of the third quarter, as the credit crisis deepens, Moody's said Oct. 8. Those in the U.S. may rise to 7.6 percent, said S&P.

``As there are credit events, you'll have losses in portfolios and marking down of other assets,'' said Claude Brown, a partner at law firm Clifford Chance LLP in London.

Investors may sell the CDOs back to banks, which will unwind protection they wrote to hedge swap transactions, Barclays said. The chain of events will push up the price of default protection and company borrowing, according to Barclays.

[…]

Companies most frequently referenced in synthetic CDOs include Philadelphia-based Radian Group Inc., the third-largest U.S. mortgage insurer, whose stock fell 68 percent in New York trading this year. Another is CIT Group Inc., an unprofitable commercial lender in New York that dropped 83 percent. The company faces about $2.4 billion in debt repayments by the end of 2008, according to data compiled by Bloomberg.

[…]

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mm @mm: markets stabilizing?

Macro Man

--- d'aucuns disent que les marchés stabilisent depuis qq jours. c'est sans compter sur les illuminati!  http://macro-man.blogspot.com/2008/10/memo-from-illuminati.html ---

 



A Memo From the Illuminati

Posted: 21 Oct 2008 02:58 AM CDT

TO: Goldman Sachs, Bill Gross, Warren Buffett, et al.

FROM: The Order of Rosicrucians, Pentavirate, and Illuminati

RE: Correlation Breakdown
____________________________________________________________________


All,


This memo is to notify you with immediate effect that the 100% correlation across asset markets is now over. We have decided that despite the improvement in funding markets, the recovery in equities, and the decline in implied volatility that pro-risk market prices such as yen crosses should continue to be sold aggressively today. Moreover, we have decided that emerging markets will remain under sever pressure. We have therefore directed agents to weaken emerging currencies across the board, a policy which we will continue until further notice.
Finally, we have also determined with immediate effect that daily shifts at various points of the US yield curve will be determined by a random number generator. Every morning you will now receive a communication disclosing the output of the random generator.

We trust you are all keeping well and looking forward to seeing you at the annual end-of-year conference, which this year will be held at the headquarters of the Globex Corporation. This year's agenda is particularly important, as we will map out our plans for the new US Administration.

Yours,


The Order of the Rosicrucians, Pentavirate, and Illuminati

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ft @ft: the 5.8 trillion EUR delever

--- hey bien, y a encore un petit bout de chemin à faire avant d'arriver à 5.8 trillions! http://ftalphaville.ft.com/blog/2008/10/16/17114/the-swiss-tarp-and-the-e58-trillion-delever ---

 [...]

Forget not that barely three months ago, when UBS announced its Q2 results, it had supposedly kitchen sunk its ‘toxic’ assets. BlackRock was sold $15bn of subprime and Alt-A assets in May. Here’s the latest wares being hastily slung overboard, into the outstretched arms of the Swiss taxpayer:


The assets transferred into the fund include around USD 31 billion (as per valuation at 30 September 2008) of primarily cash securities, previously disclosed in these categories:
-US sub-prime
-US Alt-A
-US prime
-US commercial real estate and mortgage-backed securities
-US student loan auction rate certificates and other securities backed by student loans
-US reference-linked note program (RLN)


The other $29bn? More student loans and auction rate securities - which the bank is being forced to buy back from clients in the wake of several US legal proceedings.

Put this latest broad sellof into context…

… and it’s pretty clear it’s a trend: UBS is deleveraging.


The “toxicity” of the assets it’s dumping are not linked necessarily to their likelihood of default or the way they’ve been structured, but rather, the fact that they are simply levered assets UBS cannot afford to have on its balance sheet. The trend will be identical for all banks, and as the recession weighs significantly on consumer sentiment and spending, more and more asset classes will turn into unacceptable liabilities for banks. It’s a debt-deflationary scenario. Which again will bring out comparison to the Great Depression.


From analysts at JPM this morning (highlights ours):

Our 29 selected Euro. banks are at 3.75% equity/asset ratio based on IFRS account. Reaching an eq./asset ratio of 4.5% would require €5.8tn of asset reductions. In total we estimate potential for reductions of €1.2tn from repos, €2.7tn from trading assets, €0.5tn of loan reductions and the balance of €1.5tn needed to come from other assets. The banks most exposed in our view are DB, UBS and BARC looking at current eq/asset ratio and the b/s maturity profile.

Those are figures against which all the Tarps in the world cannot protect the real economy.

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giles @bb: SNB to save UBS

--- la Bonne Nurse Suisse reconnait enfin son légume! mais scandaleux:
(1) 13% du PIB est mis à risque sans aucune dilution de l'actionnariat d'UBS (1.5% du PIB est mis à risque avec dilution),
(2) la BNS apporte 90% du capital (ok, call it non-recourse loan) mais ne participera qu'à 50% des benefs après le 1er milliard (bon ok, de toute facon c'est pas comme si on pensait gagner ne serait-ce qu'un centime sur ce trade!),
(3) les 10% de capital qu'UBS doit apporter sont financés par la confédération sous forme de convertibles, 
(3) UBS est retenu comme asset manager du SPV et va très certainement se toucher de juteuses fees, et surtout
(4) la question à 50 milliards (littéralement): à quel prix les actifs seront-ils transférés dans le SPV? le prix sera le minimum de book value ou de la valuation produite par un agent indépendant (wtf? l'agent indépendant engagé serait capable d'estimer les actifs à une valeur supérieure à celle estimée par UBS? et ca s'appelle agent indépendant ca?!)
scandaleux? intolérable!
au fait, comment voyez-vous la cuisson de notre légume national? http://doodle.ch/9u8k4b84c8styx8r
article@
http://www.bloomberg.com/apps/news?pid=20601087&sid=apWIO6lG85YY&refer=home
full details@ http://snb.ch/en/mmr/reference/pre_20081016_1/source/pre_20081016_1.en.pdf ---
 
UBS AG, Switzerland's biggest bank, will get Swiss government and central bank help to liquidate as much as $60 billion of illiquid assets, the government said today.

Comments [0]

loo @atp: bottom? qqn a dit bottom?

--- non, non, aucun trucage. ce sont bien les quotes au 15 oct 2008 (3 jours après que le G7 ait sauvé le monde)…---

 

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sinfest @sinfest: you can trust the system again

--- énooooorme! et pleins d'autres bons cartoons @ http://www.sinfest.net/archive_page.php?comicID=2959 ---
 

 

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