While analogs for periods past have been shown time and time again, the striking similarity of the last four months of this year and the same period last year is becoming extremely worrisome. The rips and dips are of almost perfectly equal size and duration and retail and professional participation is also very similar. July 21st marked the top last year after failing to break the highs of a July [...]
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by Tyler Durden
The significant rise in global systemic risk that occurred in 2008 remained until mid 2010 when it began to subside a little as Jackson Hole and QE2 seemed to allay fears somewhat. However, in the last year or so, BofA’s market fragility index has soared higher alarmingly signaling higher systemic risks than in the peak pre-Lehman era. This confirms the massively elevated signal for global systemic risk that credit markets [...] Equities and broad risk-assets were generally in sync today until around 1430ET when between rumors of a Euro-wide deposit-guarantee ‘scheme’ – which we had already dismissed as impossible short-term, very unlikely medium-term, and not a long-term solution to redenomination/insolvency risk – and Kocherlakota’s hints as NEW QE if the fiscal cliff arrives – US equity markets took off (as did Gold). S&P 500 e-mini futures (ES) pushed to more than 12pts [...] There are a lot of moving parts in the Dismal take of Dimon’s demise. The starting point is that Bruno Iksil in the JPMorgan CIO Office, under the premise of hedging the bank’s credit portfolio’s tail risk had placed various tranche trades (levered credit positions with various risk profiles) in the only liquid tranche market that still exists – CDX Series 9 (an ‘orrible portfolio of credits with an initial [...] by ZH For the first time since last July, right before the market’s grand plan collapse, the Dow has fallen for 6 days-in-a-row. We could of course have just copy/pasted yesterday’s end-of-day as today was a case of deja deja vu all over again as we sold off hard overnight (basically top-ticking right before the US day-session close), made new overnight lows, then managed a miraculous rally into and across the European [...] by thetechnicaltake
The “dumb money” indicator has become more neutral suggesting that the bulls have lost enthusiasm for this bull market. As can be seen in figure 1 (below), the indicator has dropped below the upper trading band (green arrow). From this perspective, the playbook becomes real simple. If the indicator moves back above the upper trading band, then investors are putting risk back on, and all in likelihood, this would represent [...] by ZH Having followed the fortunes of the beleaguered Belgian bank from before it appeared on anyone’s worksheets, we are hardly surprised that the EU Commission charged with confirming the good-bank / bad-bank restructuring is concerned at the deal that Belgium has with the French (and Luxembourg) government to backstop/finance Dexia’s debt. Belgium’s De Standaard (and two other European newspapers) today suggests the Belgians fear the EUR90bn deal is ‘not feasible’ as it [...] by JM Credit Spreads in the New Normal At its very core, to price something complicated, you lay the most similar liquid asset you can find next to it that has a liquid price. You deconstruct the liquid one by its risk premia, and then you reconstruct the one you are trying to price by applying suitable risk premia to it. The output is fair value. All the talk [...] |
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