Bund, Tbond e la matrixiana allo yen vm18 (1 Viewer)

[gipa69]

By John Parry

NEW YORK, Aug 9 (Reuters) - U.S. Treasury prices rose on Thursday as investors shunned riskier assets for the safety of government bonds on signs that turmoil in U.S. credit markets has spread abroad.

The seizing up of credit availability overnight in Europe prompted Europe's central bank to provide an emergency cash injection and led to U.S. stocks falling and the rally in the safe-haven U.S. Treasury market.

But long-dated bond prices erased their early gains due to weak demand at a $9 billion auction of 30-year bonds.

"This is a day-to-day if not an hour-to-hour phenomenon," said William Sullivan, chief economist at JVB Financial Group in Boca Raton, Florida. "The Treasury market is being held hostage by ongoing changes in risk perception and probably the most salient indicator of risk perception is the stock market."

At the Treasury's auction of new long bonds, the bid-to-cover ratio, an indication of demand, was 1.57, well below that in the previous auction of 30-year notes in February. Indirect bidders, which includes foreign central banks, took about 12 percent of the auction, down from about 42 percent in the previous auction.

The 30-year bond <US30YT> traded flat in price for a yield of 5.05 percent, versus 5.01 percent just before the auction and with 5.05 percent late on Wednesday.

"The auction was garbage, but expectations were pretty low coming into it," said Beth Malloy, bond market analyst at Briefing.com in Chicago.

"As far as the market's reaction, we should be able to recover fairly well, especially since the fundamentals of the day have not changed. What gave us our initial bid is still out there," she said.

The new issue of the benchmark 10-year note <US10YT>, which was sold in a Treasury auction on Wednesday, traded down 5 basis points in yield, at 4.81 percent.

(Ellen Freilich and Lucia Mutikani contributed to this report)

 

[gipa69]

carino....

http://hf-implode.com/

 

[gipa69]

Essendo il mercato molto isterico (basta guardare anche lo yen cosa sta combinando...) il mio consiglio operativo e che in questi giorni i mercati saranno meno precisi nei suppporti resistenze e vari rintracciamenti per cui sarebbe opportuno fidarsi del proprio istinto se lo si ha abbastanza contrarian.

 

[gipa69]

Reuters
Central banks move to calm panicky money markets
Thursday August 9, 5:31 pm ET
By Randall Palmer and Stella Dawson


OTTAWA/FRANKFURT (Reuters) - Major central banks swept in to calm credit markets spooked by mounting losses on Thursday, with the European Central Bank injecting record amounts of cash to prevent a financial system seizure.

U.S. President George W. Bush also sought to calm fears that a credit squeeze would shake economic growth, telling a news conference both the global and U.S. economy were strong.

"I'm told there is enough liquidity in the system to enable markets to correct," Bush said.

The ECB pumped a record 94.8 billion euros ($130.6 billion) into Europe's money markets after France's biggest listed bank, BNP Paribas (ParisNPP.PA - News), froze withdrawals from three funds hurt by problems in the U.S. subprime mortgage market.

BNP's action made European banks fearful of how far U.S. subprime credit problems had reached and they essentially stopped providing short-term funds to one another, sparking a scramble for cash and forcing the central bank to step in.

After North American markets opened, the Bank of Canada said it was in contact with other central banks on the global situation and stood ready to add money as needed.

The Fed and the Bank of Canada both pumped money into financial systems through regular operations aimed at bringing benchmark overnight interest rates back to target.

The Fed injected $24 billion and the Bank of Canada C$1.64 billion ($1.55 billion). While the operations were larger than normal, analysts said they did not amount to an emergency injection of liquidity.

"The important thing to know is that we add reserves to the (U.S.) banking system the vast majority of business days in substantial volume," Minneapolis Federal Reserve Bank President Gary Stern told a gathering of local business people in Billings, Montana.

Michael Darda, chief economist at MKM Partners in Greenwich, Connecticut, said the Fed's operation was a normal response to bring the overnight federal funds rate, which was trading at 5.5 percent, back toward its 5.25 percent target. The rate retreated to 5.375 percent but returned to 5.5 percent late in the day.

"It's a mini-panic, and we are seeing demand for short-term credit," he said. "We are not seeing a so-called 'credit crunch' in the U.S. money market."

MARKETS SPOOKED

Nonetheless, financial markets were spooked.

U.S. interest rate swaps, a measure of market risk appetite, widened sharply. Stocks fell and investors piled into the safety of bonds, pushing down yields on U.S. Treasuries and European government debt.

In the United States, the blue-chip Dow Jones industrial average (DJI:^DJI - News) closed down 387 points, or 2.8 percent.

In Europe, traders said cash markets were seizing up until the ECB acted. "There appears to be a dash for cash both in dollars and in euros," said Nick Parsons, head of market strategy at nabCapital in London.

The ECB said its aim was "to assure orderly conditions in the euro money market." It routinely holds quick market operations when there is a cash imbalance, but not since after the terror attacks on the United States in September 2001 had the size neared Thursday's level.

The BNP problems had sent jitters through European markets already rife with rumors of worsening troubles in Germany. The Bundesbank hosted a meeting with banks involved in the rescue of Europe's highest profile subprime victim yet, lender IKB (XETRA:IKBG.DE - News), to arrange details of its 3.5 billion euro bailout.

"Nobody wants to lend any money. It's safety first." said Karen Birzler, a money market trader at HVB in Munich.

The cost for banks to borrow money overnight in the euro zone, the world's second-largest economic region, shot up to 4.62 percent, the highest since shortly after the 2001 attacks, and above the ECB's 4 percent target.

Only when the ECB offered banks extra cash to assure orderly conditions did rates return to normal.

A Zurich-based money market trader called market conditions "crazy" since Fed Chairman Ben Bernanke has given no signal of concern that credit markets could undo the real economy.

"The market is acting like a yo-yo. It's all very psychological. The possibility of a credit crunch returning is starting to spook everyone," he said.

(Additional reporting by David Milliken, Eva Kuehnen and Catherine Hornby in Frankfurt; Thomas Atkins in Zurich; Natsuko Waki, Sumeet Desai, Mike Dolan in London; Emily Kaiser in Washington; Tamawa Kadoya in New York; and David Lawder in Billings, Montana)

($1=0.7257 Euro)

 

[gipa69]

I fondi quants possono perdere...... meganews del venerdì


Highbridge, Goldman `Quant' Hedge Funds Lose Money (Update1)

By Katherine Burton and Jenny Strasburg

Aug. 9 (Bloomberg) -- Hedge funds that use mathematical models to drive investment decisions, including those run by Highbridge Capital Management LLC, Goldman Sachs Group Inc. and Tykhe Capital LLC, are losing money in August.

Highbridge's $15 billion multistrategy fund fell 4 percent this month, the Tykhe Portfolios Ltd. Fund declined 7 percent in the first three trading days of August and Goldman Sachs's $9 billion Global Alpha fund dropped almost 12 percent in the two weeks that ended Aug. 3, according to investors. A second Goldman fund is selling positions in response to losses.

``If the conditions change, the models don't work as planned,'' said Luis Rodriguez, head of risk management for New York-based Manhattan Family Office LLC, which invests money on behalf of an undisclosed wealthy family.

Hedge funds' quantitative, or ``quant,'' models have been confounded by wider credit spreads stemming from losses in the subprime loan market. The difference in yields between the riskiest corporate bonds and U.S. Treasuries has expanded about 1.5 percentage points since the start of June. Volatility, as measured by the Chicago Board Options Exchange SPX Volatility Index, has climbed to an average of 22 in two weeks from 14 since June 2003.

Goldman Outflows

Goldman's Global Alpha losses may lead to more redemptions. Withdrawals for the fund's $6.2 billion offshore version totaled $394 million in the month ended June 30, according to an investor who declined to be identified. That was almost three times the $142 million in new money added.

The fund decreased 8 percent during the last full week of July and was down 16 percent from the beginning of January through Aug. 3. There is an Aug. 15 deadline for Global Alpha investors who want to redeem money on Sept. 30.

The $29 billion Renaissance Institutional Equities Fund, overseen by a team led by James Simons at East Setauket, New York-based Renaissance Technologies Corp., also has faltered this year. The fund was down 0.4 percent through Aug. 3, after having been up 5.8 percent a month earlier.

Tykhe Capital LLC's fund fell 9.6 percent this year through Aug. 3. The New York hedge-fund firm, which manages about $1.8 billion, is trimming holdings, the Wall Street Journal reported, citing an investor briefed by Tykhe executives.

Man Group Plc, the world's largest publicly listed hedge- fund manager, named Tykhe in May to manage proceeds from its planned U.S. share sale. The offering by the London-based firm hasn't been scheduled.

French Bank

Two Bear Stearns Cos. hedge funds filed for bankruptcy protection in the Cayman Islands two weeks ago because of subprime losses. The New York-based securities firm then blocked investors from withdrawing money from a third fund. BNP Paribas SA, France's largest bank, stopped redemptions from three investment funds because it couldn't ``fairly'' value the holdings.

Goldman Sachs, based in New York, has sold positions in its North American Equity Opportunities hedge fund because of declines, a person with knowledge of the matter said. The fund lost 15 percent of its value this year as of July 27. It had $463.5 million in assets, according to a July 18 regulatory filing by Goldman Sachs Asset Management.

Goldman spokeswoman Andrea Raphael declined to comment.

Highbridge, which manages $37 billion from New York, said its largest fund was investing in Asian, U.S. and European equities. The fund has risen 5 percent this year, according to a letter sent to investors. A publicly traded fund with $1.8 billion in assets that uses no leverage has fallen 5.3 percent so far in August.

Brooke Harlow, a spokeswoman for Highbridge, declined to comment.

`Opportunities'

Highbridge and other funds are blaming declines on other quantitative managers selling positions.

``While we cannot predict when this technical pressure will subside, we believe it will present significant opportunities which we are well positioned to capitalize on,'' according to a letter. Fund borrowings are at the lowest level in its 15-year history, the letter said.

Black Mesa Capital, a Santa Fe, New Mexico-based quant hedge-fund firm, said an undisclosed hedge fund or investment bank is liquidating trading portfolios, MarketWatch reported, basing its information on a letter sent to investors. Black Mesa's own fund has slumped 7.5 percent this month.

To contact the reporters on this story: Katherine Burton in New York at [email protected] ; Jenny Strasburg in New York at [email protected] ;

Last Updated: August 9, 2007 17:11 EDT

 

[Inshar]

buo giorno gipa,
queste notizie mi sembrano messe li artatamente per creare panic che pensi?
certo poi magari viene tutto giù per benino, ma mettersi short adesso non si rischia uno dei quei rimbalzoni sui denti da paura?
(PS: le ultime parole famose, magari oggi fa meno 10 e sarà il venerdì nero del 2007 )

 

[feliceanima]

Gipa scusa potresti vedere la posizione deggli istituzionali mi sembra di ricordare che a fine febbraio loro e corti ed poco tempo faerano long potresti verificare per piacere grazie .

Giorno a tutti

 

[gipa69]

Che questa non sia la fine del mondo è certo..... che questa correzione abbia caratteristiche diverse dalle precedenti e quindi che occorre mettersi in una condizione di osservazione diversa è altrettanto vero.
Che un rimbalzo potrebbe starci soprattutto nei pressi del doppio minimo è possibile.... che dopo anni con gli short si è guadagnato bene è altrettanto vero molto più vero di tutte le precedenti correzioni dove tutti urlavano al lupo al lupo (qualche volta me compreso) ma il mercato recuperava con facilita i loss.
Ora oggi è venerdi, se la paura fa 90 le iniezioni di liquidità potrebbero avere effetto per la prossima settimana a meno che anche oggi non esagerino negli interventi. (cosa cmq possibile in casi di degenerazione..)
La correzione potrebbe proseguire in attesa che nel week succeda qualche cosa.

Il mercato è combattutto dalle tendenze liquiditative dei modelli matematici spatassciati da una volatilità e da modelli fallati e dalla liquidità fornita dai banchieri centrali unita ad una condizione psicologica degli operatori molto tesa.
Queste sono le poche occasioni in cui mercati pressochè pianificati perdono almeno in parte la forza del controllo e muovono in preda a obblighi liquidativi ed a sentiment estremi, su questi mercati la capacità previsionale individuale può fare la differenza molto di più che in altri periodi.

Prepariamoci a grande volatilità anche oggi.

 

[gipa69]

Questa è la posizione cumulata sui futures di tutti gli indici USA sia contratti mini che pieni pesati per i rispettivi valori.
Posizione estreme.....

 

[quicksilver]

carino....

http://hf-implode.com/

bello davvero, anche "radio free wall street" sembra interessante, poi provo a dargli un occhiata