Natural Gas (1 Viewer)

Fleursdumal

Fleursdumal

फूल की बुराई
come li stecchisce il natural gas è una cosa incredibile , natural hedge funds born killer
son curiosissimo di scoprire su quali spread si è buttato il trader novello icaro


USA: AMARANT; CROLLANO PREZZI GAS, BRUCIA 5 MLD DOLLARI/ANSA
(ANSA) - NEW YORK, 19 SET - Elevati rendimenti, altissimi
rischi: la regola aurea degli hedge fund mette nei guai Amaranth
Advisors, gestore che ha sede a Greenwich nel Connecticut, che
brucia in una settimana 5 miliardi di dollari, dimezzando gli
asset in portafoglio, a quota 4,5 miliardi per il crollo delle
quotazioni del gas naturale.
La società si avvia a indossare i panni dell'ultima vittima
in ordine temporale della volatilità dei prezzi dell'energia,
avendo avvisato i propri investitori che due degli hedge fund
più grandi (i fondi con strategie altamente speculative che
possono dare grandi ritorni al prezzo di un alto rischio) hanno
accumulato perdite prossime al 50% a causa proprio delle
quotazioni del gas naturale, in calo del 35% da inizio anno e
del 68% dai massimi del 13 dicembre 2005, con una vera e propria
picchiata ad agosto dopo i dati sulle scorte e sulle previsioni
di un inverno mite.
I prezzi del gas sono crollati del 12% la scorsa settimana,
proprio mentre i fondi Amaranth, sotto la regia di un trader
32enne Brian Hunter (che nel 2005 ha guadagnato tra i 75 e 100
milioni di dollari), hanno 'scommesso tutto' sulla crescita del
differenziale dei prezzi fra i future sul gas con scadenza
estiva e quelli dell'inverno. Un azzardo che è finito male.
In una lettera, Amaranth ha spiegato il cambio di strategia
con la volontà di ridurre le esposizioni correnti, sbilanciate
sul gas naturale, "per preservare il capitale degli
investitori", anche se le perdite accumulate, pari al 35% del
risorse totali, sembrano davvero irrecuperabili.
Appena ad agosto si è avuto il crollo di MotherRock Lp, un
fondo da 430 milioni di dollari gestito da Robert Collins, ex
presidente della prima borsa dell'energia al mondo, il Nymex,
che ha di recente cessato le attività comunicando alla
clientela che difficilmente avrebbe recuperato i capitali.
Il gruppo Amaranth, creato nel 2000 a New York da Nicholas
Maounis, si era distinto per l'ottima performance dei due fondi,
prossima al 25% fino a poche settimane fa, e per un solido 2005,
con profitti per 800 milioni di dollari.
Il caso Amaranth, che ha assicurato di aver coperto le sue
posizioni, ha riportato la questione hedge fund in primo piano,
con la Sec, la Consob americana, impegnata a superare le
resistenze su una maggiore trasparenza del settore. Per altro
verso è in movimento anche il Congresso Usa, per l'approvazione
di una più precisa normativa, soprattutto a tutela degli
investitori.
 
Fleursdumal

Fleursdumal

फूल की बुराई
trovato un articolo più dettagliato e trovato anche lo spread incriminato: pazzesco :eek: :eek:

A Hedge Fund’s Loss Rattles Nerves




By GRETCHEN MORGENSON and JENNY ANDERSON
Published: September 19, 2006

Enormous losses at one of the nation’s largest hedge funds resurrected worries yesterday that major bets by these secretive, unregulated investment partnerships could create widespread financial disruptions.

Alan Zale for The New York Times

Amaranth Advisors’ trading floor in Greenwich, Conn. The hedge fund said that it had lost more than $3 billion in the downturn in natural gas.


The hedge fund, Amaranth Advisors, based in Greenwich, Conn., made an estimated $1 billion on rising energy prices last year. Yesterday, the fund told its investors that it had lost more than $3 billion in the recent downturn in natural gas and that it was working with its lenders and selling its holdings “to protect our investors.”

Amaranth’s investors include pension funds, endowments and large financial firms like banks, insurance companies and brokerage firms. The Institutional Fund of Hedge Funds at Morgan Stanley was an investor in Amaranth; as of June 30, it had a stake valued at $124 million. The turnabout in the fortunes of the $9.25 billion fund reflects the decline in energy prices recently; natural gas prices fell 12 percent just last week.

Yet also last week, Charles H. Winkler, chief operating officer at Amaranth, had met with prospective investors at the Four Seasons restaurant in Manhattan and reported that his fund was up 25 percent for the year, according to a meeting participant. Days later, rumors began circulating that Amaranth was losing money in one of its natural gas bets, a trade that had generated enormous profits for the fund in recent years.

Late in the week, the fund’s traders began dumping large stakes in convertible bonds and high-yield corporate debt, securities that could be sold without disrupting the market.

Mr. Winkler did not return a phone call seeking comment.

The scale of Amaranth’s losses — and how quickly they appear to have mounted — was the talk of Wall Street yesterday, as was speculation on how much the bet was leveraged, or made on borrowed money. Still, there were no signs of ripples on the financial markets as a result.

Amaranth’s woes are largely the result of a decline in natural gas prices that began in December, well before the spring months of March or April, when they typically fall off. Amaranth’s biggest stake was a combination bet on the spread between natural gas futures prices for March 2007 and those for April 2007. Amaranth had often bet that the spread on that so-called shoulder month — when natural gas inventories stop being drawn down and begin to rise — would increase.

But instead the spread collapsed. In the last six weeks, for example, the spread between the two futures contracts ranged from $2.50 at the end of July to around 75 cents yesterday.

Traders briefed on Amaranth’s problems, including one person who examined the fund’s books yesterday, said that the losses might be considerably larger than the firm estimated. Over the weekend, according to one person briefed on the situation, Goldman Sachs examined the fund’s positions.

Amaranth is not the first hedge fund to experience problems in energy markets. MotherRock Energy Fund, a $400 million portfolio, shut down last month after losing money on its bets that natural gas prices would fall. Summer heat sent prices soaring and the fund lost 24.6 percent in June and 25.5 percent in July, according to one investor.

The natural gas market is exceptionally volatile, making it an ideal playground for hedge funds that thrive on wide price movements in securities. Natural gas prices are subject to more severe swings than oil, in part because gas cannot be stored easily.

Arthur Gelber, the founder of Gelber & Associates, an energy advisory and consulting firm based in Houston, said that as a result, the natural gas market was about five times more volatile than the stock market.

The greatest demand for natural gas occurs during very hot or very cold weather, Mr. Gelber said. During mild periods, like early autumn, an oversupply of natural gas can cause a significant decline in price. Hedge funds have added to this natural volatility, he said.

Amaranth was founded six years ago by Nicholas M. Maounis, a former portfolio manager who had specialized in debt securities at Paloma Partners, another large hedge fund. Amaranth employs a so-called multistrategy approach to investing that allows nimble portfolio managers to seize opportunities in whatever markets seem to be most promising at the time.

Now that Amaranth has owned up to huge losses in a single sector, “multistrategy’’ seems to have been a misnomer at the fund.

In his letter to investors, Mr. Maounis, 43, wrote: “In an effort to preserve investor capital, we have taken a number of steps, including aggressively reducing our natural gas exposure.”
Amaranth has additional offices in Houston, London, Singapore and Toronto and employs 115 traders, portfolio managers and analysts, according to its Web site. The firm deploys capital “in a highly disciplined, risk-controlled manner,” it noted.


Its energy portfolio has been overseen by Brian Hunter, a trader who joined the fund from Deutsche Bank in 2004 and conducts trades from his hometown of Calgary, Alberta. Mr. Hunter made enough money at Amaranth in 2005, an estimated $75 million to $100 million, to place him among the 30 most highly paid traders in Trader Monthly magazine.

Rocaton Investment Advisers, a consulting firm in Norwalk, Conn., whose clients have $235 billion in assets, recommended Amaranth to its customers. Yesterday, Robin Pellish, Rocaton’s chief executive, declined to comment on her firm’s relationship with the fund or to identify clients that it had advised to invest in it.

“We’re well aware of the situation with Amaranth and we are monitoring developments,” Ms. Pellish said.

Citing Amaranth’s woes, Stewart R. Massey, founding partner of Massey, Quick & Company, an investment advisory firm in Morristown, N.J., said, “I think it will cause investors to go back and take another hard look at the multistrategy funds they are invested in and do a deeper round of due diligence.” Mr. Massey said he did not have any exposure to Amaranth.

The problems at Aramanth will help fuel a debate over whether more oversight is needed over hedge funds, which have become increasingly powerful forces in the markets. There are nearly 9,000 hedge funds, managing more than $1.2 trillion in assets. In 1990, hedge funds managed just $38.9 billion, according to Hedge Fund Research.

Last week, in a speech in Hong Kong, the president of the Federal Reserve Bank of New York, Timothy F. Geithner, said greater attention needed to be paid to the margin requirements and risk controls in dealings with hedge funds.

The growth in hedge funds, Mr. Geithner noted, will eventually “force us to consider how to adapt the design and scope of the supervisory framework to achieve the protection against systemic risk that is so important to economic growth and stability.’’

In 2004, Amaranth protested a new rule proposed by the Securities and Exchange Commission that would have required certain hedge funds to register with federal regulators and undergo greater scrutiny.

“Contrary to media stereotypes of hedge fund managers, Amaranth does not ‘operate in the shadows’ outside of regulatory scrutiny,” its general counsel wrote. “We do not understand why the commission is proceeding so urgently with this rulemaking when the public policy problem to be addressed remains poorly defined and the proposed regulatory response is so burdensome.”

The rule, which was issued in late 2004, was struck down in June by the United States Court of Appeals for the District of Columbia. Last month, the S.E.C. declined to appeal the ruling.

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Fleursdumal

Fleursdumal

फूल की बुराई
f4f ha scritto:
??
varrebbe la pena di accattare qualche call .... cheddici, fleu?
Clicca per allargare...

costano carucce cè, vola implicita al 52-3% sul nov , call7 il premio vale circa 3000$ , call8 circa 1500$ , tanto vale vendersi una put che sò 4,5 per 800$ , anyway roba da maneggiare con cura
 
Fleursdumal

Fleursdumal

फूल की बुराई
azz ulteriori dettagli ; sullo spread non sono andati con i contratti del nymex ma bensì over the counter nelle fauci di GS&co :rolleyes:

Are There More Amaranths Lurking?
The company's misfortunes may signal a need for tightening government controls on over-the-counter, energy-derivatives players


From Platts Oilgram News
Billion-dollar bets on the spread between March, 2007, and April, 2007, gas futures prices blew up in the face of Greenwich (Conn.)-based Amaranth Advisors, leading to $5 billion in losing positions the fund is now trying to liquidate, officials and analysts familiar with the situation told Platts Sept. 19.


"They were long March and short April," former commodities regulator Michael Greenberger said, citing his own sources on futures trading desks within the industry. Greenberger, who headed the Commodity Futures Trading Commission's division of trading and markets in the late 1990s through the Enron collapse, said it appeared Amaranth was hoping to capitalize on the spread between prices at the end of the heating season and the start of the cooling season—a premium of $2.14 per million British thermal units (MMBtu) that collapsed in two weeks to 75 cents by Sept. 18, when Amaranth threw in the towel.

LIQUIDITY PROBLEM. On Sept. 18, Amaranth Managing Partner Nicholas Maounis told investors in his fund that "a dramatic move in natural gas prices" had forced Amaranth to get out of the gas market and would prompt Amaranth to post its first-ever yearly losses. The 64% drop in the spread between the March and April contracts began slowly in late August and early September, but came crashing down by more than $1 per MMBtu in the past three trading days.

Amaranth's contracts were not on the New York Mercantile Exchange (NYMEX), Greenberger explained, but were over-the-counter trades with big investment banks like Goldman Sachs (GS) acting as market-makers and counterparties. That complicates Amaranth's attempt to unwind itself, because an OTC contract nine months out is decidedly less liquid than its counterpart on the NYMEX, sources said.

A Goldman Sachs spokesman would not say how big the bank's exposure to Amaranth might be.

SECTOR NOT PANICKING. Goldman Sachs is not the only bank acting as a broker or lender to Amaranth; both JP Morgan (JPM) and Merrill Lynch (MER) have been handling gas trades for the hedge fund, according to sources familiar with the fund. Representatives of those two investment banks did not return calls for comment.

Randall Dodd, president of the Washington-based Financial Policy Forum, said Amaranth's collapse highlights cracks in the nation's capital structure and, because of the unregulated nature of both energy derivatives and hedge funds, policymakers have no idea how deep those cracks are.

"We don't know how many more Amaranths are out there," Dodd said. "Several falling is a problem for the whole financial system."

In a Sept. 19 report, Merrill Lynch hedge fund analyst Mary Ann Bartels said whatever sickness Amaranth caught did not seem to be spreading across the sector. "Despite the carnage in the energy markets, large speculators did not panic and liquidate, which is contrarian bearish and could indicate further downside for energy," Bartels said.

"BORDERS ON SINFUL." According to Greenberger, "the positions Amaranth took were too large to have any relationship with the underlying fundamentals"— trades that if made on a regulated exchange such as NYMEX would have likely earned disapproval.

The Commodity Futures Trading Commission (CFTC) "would have either talked them down or threatened them down," Greenberger surmised. He said Amaranth's woes highlight the need for the CFTC or Congress to start tightening the presently nonexistent reins on OTC energy derivatives.

"It borders on being sinful," Greenberger asserted. "The CFTC has turned a blind eye to these markets, making them unreliable as a hedging vehicle."

FEINSTEIN'S PUSH. "We are aware of the situation," a CFTC spokesman said, declining to confirm or deny whether the commission was looking into market misbehavior on the part of Amaranth.

The political fallout from Amaranth's troubles had reached Capitol Hill by the afternoon of Sept. 19. Sen. Dianne Feinstein (D-Calif.), who has a bill before the Senate to require OTC energy traders to report their positions daily, reiterated her call for more regulation.

"This is a graphic and very expensive example of the need for legislation that would increase transparency and accountability in the energy markets so the federal government could determine if speculation or manipulation is occurring," Feinstein told Platts.

Holland is a reporter for Platts Oilgram News
 
Fleursdumal

Fleursdumal

फूल की बुराई
DJ US GAS: Nymex Futures Lower Following EIA Storage Data

NEW YORK (Dow Jones)--Natural gas futures were fighting back Thursday for
lost territory with mixed results, amid data showing a slightly
larger-than-expected build in U.S. gas inventories and increased buying by
utilities and industrial gas users.

October natural gas futures opened 8 cents lower Thursday at $4.85 a million
British thermal units, dropped 10 cents following the release of weekly storage
data, then rebounded and dropped again. November gas futures opened Thursday
about 12 cents down at $6.00/MMBtu, bounced into positive territory, then fell
back to about $4.78/MMBtu around midday.

Traders said the initial positive move was due to increased buying by
utilities and industrial natural gas users that had been shut out of the market
during the summer when winter-month futures prices were at record highs.

"With those ridiculously high prices for winter months compared to summer,
with Amaranth and other (hedge) funds" driving up natural gas winter-month
futures prices, "utilities and industrials have been holding off on locking in
their prices for winter, vis-a-vis the board," said Ed Kennedy, a natural gas
trader with Commercial Brokerage Corp. in Miami. "Now they're coming in."

Natural gas futures for the December, January and February contracts reached
record highs over the summer. January gas future were trading at about 33.7
cents down at $7.87/MMBtu at about 12:40 p.m. EDT.

The summer premiums were due in large part to fears of another hurricane
season like last year, when Hurricanes Katrina and Rita devastated the U.S.
Gulf Coast and took up to 15% of the nation's natural gas supplies off line.
Winter-month futures were also buoyed by bets that the coming winter would be
colder than normal and tighten gas supplies. This year's uneventful Atlantic
hurricane season, coupled with recent government forecasts calling for a
warmer-than-normal winter due to El Nino weather conditions, have caused much
of the premiums from winter-month gas futures to disappear.

A government report Thursday showing weekly natural gas storage data led to
an initial drop in front-month futures. About 93 billion cubic feet of natural
gas was injected into U.S. underground storage the week ended Sept. 15, the
U.S. Energy Information Administration reported. The amount was above the
average prediction of 89 billion cubic feet (bcf), according to a Dow Jones
Newswires survey.

Total U.S. gas in storage is at 3.177 billion cubic feet, 12.5% above the
five-year average.

The market saw an initial drop, then a bounce, then another drop following
release of the data. Kennedy said he didn't think the data had too much sway.

"I think the most useless number we get on the fundamental side of natural
gas is storage injection," Kennedy said. "At the end of the season, we're going
to be full."

After their recent precipitous drop, winter-month futures were seen
potentially losing additional value, but not more than 50 to 75 cents, an
analyst said.

On July 31, the January natural gas futures contract closed at $11.11/MMBtu
and the February contract closed at $11.691/MMBtu. Since then, the January
contract has lost more than 26% of its value and February has lost nearly 30%.

Market watchers have been wondering what impact on the market, if any, might
be felt by the potential liquidation of a large number of gas futures positions
formerly held by hedge fund Amaranth Advisors LLC. Amaranth, which lost about
$6 billion since early September largely on natural gas market losses,
reportedly sold its energy trading portfolio to JPMorgan Chase & Co. (JPM) and
hedge fund Citadel Investment Group LLC. The new owners, who are to share
profits and losses, were seen potentially liquidating some portion of
Amaranth's futures and over-the-counter natural gas positions.

Traders and analysts said Thursday it was difficult to tell immediately what
kind of impact might be felt in the Nymex and over-the-counter markets,
particularly the latter, which is not regulated and does not impose limits on
the number of contract positions a single entity can hold at one time.
 
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