Archive: 12/24/2007
Main News
from The Wall Street Journal
The banks orchestrating a bailout of troubled investment vehicles that were hit by the subprime mortgage crisis are throwing in the towel after struggling to raise money for the planned fund, according to people familiar with the matter. At the behest of the Treasury Department, Bank of America, Citigroup and J.P. Morgan Chase have been working since September to set up the fund, which would buy assets from so-called structured investment vehicles. But lack of interest has led the banks to drop the plan, known as the Master-Enhanced Liquidity Conduit.
http://online.wsj.com/article/SB119826733522845631.html?mod=djemalertNEWS
The banks orchestrating a bailout of troubled investment vehicles that were hit by the subprime mortgage crisis are throwing in the towel after struggling to raise money for the planned fund, according to people familiar with the matter. At the behest of the Treasury Department, Bank of America, Citigroup and J.P. Morgan Chase have been working since September to set up the fund, which would buy assets from so-called structured investment vehicles. But lack of interest has led the banks to drop the plan, known as the Master-Enhanced Liquidity Conduit.
http://online.wsj.com/article/SB119826733522845631.html?mod=djemalertNEWS
GOLDMAN: KING OF THE DEAL
By ZACHERY KOUWE
Wall Street powerhouse Goldman Sachs has done it again. The New York investment bank, led by Lloyd Blankfein, has once again taken the top spot in the much-watched league tables for advising on mergers and leveraged buyouts, according to a...
full story: http://www.nypost.com/seven/12232007/business/goldman__king_of_the_deal_407852.htm
By ZACHERY KOUWE
Wall Street powerhouse Goldman Sachs has done it again. The New York investment bank, led by Lloyd Blankfein, has once again taken the top spot in the much-watched league tables for advising on mergers and leveraged buyouts, according to a...
full story: http://www.nypost.com/seven/12232007/business/goldman__king_of_the_deal_407852.htm
Citadel, others to launch Merc competitor: report
Crain's Chicago Business Fri, 21 Dec 2007 3:49 PM PST
(Reuters) -- J.P. Morgan Chase & Co., Deutsche Bank and Chicago-based hedge fund group Citadel plan to launch a new exchange to compete against the CME Group Inc.'s Chicago Mercantile Exchange, the Wall Street Journal reported on Friday. The exchange would try to compete with CME in some of its ...
Crain's Chicago Business Fri, 21 Dec 2007 3:49 PM PST
(Reuters) -- J.P. Morgan Chase & Co., Deutsche Bank and Chicago-based hedge fund group Citadel plan to launch a new exchange to compete against the CME Group Inc.'s Chicago Mercantile Exchange, the Wall Street Journal reported on Friday. The exchange would try to compete with CME in some of its ...
Fitch Affirms BlackRock's Investment Grade Corporate CDO Asset ...
FOX News - USA
The rating affirmation is based on BlackRock's extensive investment experience, portfolio management expertise, its well documented and organized CDO ...
See all stories on this topic
FOX News - USA
The rating affirmation is based on BlackRock's extensive investment experience, portfolio management expertise, its well documented and organized CDO ...
See all stories on this topic
BARRON'S COVER
Reforming the Rating Agencies Rating agencies such as Moody's and Standard & Poor's blew it big-time in the subprime-mortgage mess. Five prescriptions for fixing a troubled industry.
http://online.barrons.com/article/SB119809206941640049.html?mod=djemWR
Reforming the Rating Agencies Rating agencies such as Moody's and Standard & Poor's blew it big-time in the subprime-mortgage mess. Five prescriptions for fixing a troubled industry.
http://online.barrons.com/article/SB119809206941640049.html?mod=djemWR
The US hedge fund industry is creeping toward its lowest number of fund launches in four years as larger allocations ...
eFinancial News Fri, 21 Dec 2007 1:14 AM PST
The US hedge fund industry is creeping toward its lowest number of fund launches in four years as larger allocations to bigger hedge funds squeeze out newer and smaller asset pools.
eFinancial News Fri, 21 Dec 2007 1:14 AM PST
The US hedge fund industry is creeping toward its lowest number of fund launches in four years as larger allocations to bigger hedge funds squeeze out newer and smaller asset pools.
Title Blog: For a Crappy Tool, It's Really Important
In Kate Kelly's narrative of Goldman Sachs's mortgage-trading gains, thrice the traders want to keep their bearish bets but are forced to unwind their positions by higher-ups. What fascinates me is the way in which value-at-risk, a very quick-and-dirty risk measure, seems to have been of paramount importance within the highly sophisticated investment bank Link read entire story on source's website Source Portfolio.com
"Hedge Hunters," by Katherine Burton
International Herald Tribune Fri, 21 Dec 2007 10:38 AM PST
Eighteen of the secretive hedge fund industry's top performers are incisively profiled by a longtime reporter for Bloomberg News.
International Herald Tribune Fri, 21 Dec 2007 10:38 AM PST
Eighteen of the secretive hedge fund industry's top performers are incisively profiled by a longtime reporter for Bloomberg News.
by Trader Mark
Moody's review for banks' CPDOs
Dec 21 2007 01:33
The volatility in credit markets appears set to claim fresh victims after the ratings agency put a number of complex and highly leveraged products on review for downgrade Read more »
Dec 21 2007 01:33
The volatility in credit markets appears set to claim fresh victims after the ratings agency put a number of complex and highly leveraged products on review for downgrade Read more »
Hedge Fund Asset Flows 3Q07: Event-Driven Strategies Growing Fastest <http://seekingalpha.com/article/58097-hedge-fund-asset-flows-3q07-event-driven-strategies-growing-fastest?source=i_email>
China pension fund 2007 stock investment gains surpass 100 bln ...
Forbes - NY,USA
BEIJING (XFN-ASIA) - China's National Social Security Fund has realized gains of over 100 bln yuan from its stock investments in 2007, against 62 bln in ...
See all stories on this topic
Forbes - NY,USA
BEIJING (XFN-ASIA) - China's National Social Security Fund has realized gains of over 100 bln yuan from its stock investments in 2007, against 62 bln in ...
See all stories on this topic
HEDGE FUND SEX TALES DENIED
New York Post Sun, 23 Dec 2007 1:36 AM PST
HEDGE fund manager Seth Tobias, who mysteriously drowned three months ago only to have his name dirtied by allegations he was bedding male hustlers, is being defended by an unlikely source - a former gay porn star. Paul Barresi, who appeared in...
New York Post Sun, 23 Dec 2007 1:36 AM PST
HEDGE fund manager Seth Tobias, who mysteriously drowned three months ago only to have his name dirtied by allegations he was bedding male hustlers, is being defended by an unlikely source - a former gay porn star. Paul Barresi, who appeared in...
THIS WEEK'S WINNERS AND LOSERS
New York Post Sun, 23 Dec 2007 1:27 AM PST
WINNERS PETER JACKSON After a public squabble, “Lord of the Rings“ director agrees to produce prequel “The Hobbit“ for New Line Cinema. BILL ACKMAN Pershing Square hedge fund boss looks like a genius after betting against MBIA stock, which sunk...
New York Post Sun, 23 Dec 2007 1:27 AM PST
WINNERS PETER JACKSON After a public squabble, “Lord of the Rings“ director agrees to produce prequel “The Hobbit“ for New Line Cinema. BILL ACKMAN Pershing Square hedge fund boss looks like a genius after betting against MBIA stock, which sunk...
Title Model-Based Stress Tests: Linking Stress Tests to VaR for Market Risk Authors Alexander, Carol; Sheedy, Elizabeth; Date May 2007 Category Methods
Click above to see all GloriaMundi resources from these categories Abstract Under the new capital accord stress tests are to be included in market risk regulatory capital calculations. This development necessitates a coherent and objective framework for stress testing portfolios exposed to market risk. Following recent criticism of stress testing methods our tests are conducted in the context of risk models, building on the VaR literature. First, to identify the most suitable risk models for stress testing, we apply an extensive back testing procedure that focuses on extreme market movements. We consider eight possible risk models including both conditional and unconditional models and four possible return distributions (normal, Student’s t, empirical and normal mixture) applied to three heavily traded currency pairs using a sample of daily data spanning more than 20 years. Finding that risk models accommodating both volatility clustering and heavy tails are the most accurate predictors of extreme returns, we develop a corresponding model-based stress testing methodology. Our results are compared with traditional stress tests and we assess the implications for capital adequacy. On the basis of our results we conclude that the new recommendations for market risk regulatory capital calculation will have little impact on current levels of foreign exchange regulatory capital. Links view complete description on GloriaMundi
Click above to see all GloriaMundi resources from these categories Abstract Under the new capital accord stress tests are to be included in market risk regulatory capital calculations. This development necessitates a coherent and objective framework for stress testing portfolios exposed to market risk. Following recent criticism of stress testing methods our tests are conducted in the context of risk models, building on the VaR literature. First, to identify the most suitable risk models for stress testing, we apply an extensive back testing procedure that focuses on extreme market movements. We consider eight possible risk models including both conditional and unconditional models and four possible return distributions (normal, Student’s t, empirical and normal mixture) applied to three heavily traded currency pairs using a sample of daily data spanning more than 20 years. Finding that risk models accommodating both volatility clustering and heavy tails are the most accurate predictors of extreme returns, we develop a corresponding model-based stress testing methodology. Our results are compared with traditional stress tests and we assess the implications for capital adequacy. On the basis of our results we conclude that the new recommendations for market risk regulatory capital calculation will have little impact on current levels of foreign exchange regulatory capital. Links view complete description on GloriaMundi
2 Young Hedge-Fund Veterans Stir Up the World of Philanthropy
NYTimes.com via Yahoo! Finance Thu, 20 Dec 2007 8:51 PM PST
Holden Karnofsky and Elie Hassenfeld rank charities by analyzing the numbers in much the same way they did at their investment management company.
NYTimes.com via Yahoo! Finance Thu, 20 Dec 2007 8:51 PM PST
Holden Karnofsky and Elie Hassenfeld rank charities by analyzing the numbers in much the same way they did at their investment management company.
_________________________________________________________________________
Yield Curve Corner
How to Avoid Recession? Let the Fed Work
New York Times - United States
Daniel Gross, a financial journalist writing for Slate, has gone so far as to liken the Fed and its chairman, Ben S. Bernanke, to FEMA and its erstwhile ...
See all stories on this topic
New York Times - United States
Daniel Gross, a financial journalist writing for Slate, has gone so far as to liken the Fed and its chairman, Ben S. Bernanke, to FEMA and its erstwhile ...
See all stories on this topic
Global Issuers
U.S. Weekly Financial Notes: Three Central Banks Bearing Gifts
The U.S. Federal Reserve, European Central Bank (ECB), and the Bank of England (BoE) all arrived at the holiday season with gifts for the market. They left the myrrh and frankincense behind, but spent lots of gold. The first Term Auction Facility of US$20 billion from the Fed was held on Monday, while the BoE offered up £10 billion in auctions and the ECB provided EUR348 billion in 14-day loans. Financial markets were heavily affected by the new injections; the Fed's first auction of $20 billion in 28-day credits under its new Term Auction Facility attracted strong bidding, with $61.6 billion in bids from 93 bidders.
To learn more, click or copy and paste the URL below:
(subscription required)
http://standardandpoors.rsys1.net/servlet/cc5?kHiQARYWQTVsLgHxhilpuHQJhuV2VW
_________________________________________________________________________
Natural Disaster Corner
Climate Prediction http://www.nws.noaa.gov/predictions.php
World Meterological Organization http://severe.worldweather.org/
Tornadoes: http://www.disastercenter.com/tornado.htm
Great Sat Pictures of events:
_________________________________________________________________________
Iranian Situation and Other Man Made Disasters
Iran conservatives slam Ahmadinejad on economy
AFP via Yahoo! News Sun, 23 Dec 2007 9:14 AM PST
The former commander of Iran's Revolutionary Guards has attacked President Mahmoud Ahmadinejad over high inflation, the latest conservative to criticise his economic policies, media reported on Sunday.
AFP via Yahoo! News Sun, 23 Dec 2007 9:14 AM PST
The former commander of Iran's Revolutionary Guards has attacked President Mahmoud Ahmadinejad over high inflation, the latest conservative to criticise his economic policies, media reported on Sunday.
2,500 tonnes of Afghan drugs enter Iran annually: official
AFP via Yahoo! News Sun, 23 Dec 2007 5:37 AM PST
Some 2,500 tonnes of narcotics enter Iran from neighbouring Afghanistan annually, more than a quarter of which are consumed in the Islamic republic, an anti-drugs official said on Sunday.
AFP via Yahoo! News Sun, 23 Dec 2007 5:37 AM PST
Some 2,500 tonnes of narcotics enter Iran from neighbouring Afghanistan annually, more than a quarter of which are consumed in the Islamic republic, an anti-drugs official said on Sunday.
Iran Cited In Iraq's Decline in Violence
The Iranian government has decided "at the most senior levels" to rein in the violent Shiite militias it supports in Iraq, a move reflected in a sharp decrease in sophisticated roadside bomb attacks over the past several months, according to the State Department's top official on Iraq.
(By Karen DeYoung, The Washington Post)
The Iranian government has decided "at the most senior levels" to rein in the violent Shiite militias it supports in Iraq, a move reflected in a sharp decrease in sophisticated roadside bomb attacks over the past several months, according to the State Department's top official on Iraq.
(By Karen DeYoung, The Washington Post)
No progress on American missing in Iran: wife
AFP via Yahoo! News Sat, 22 Dec 2007 11:27 AM PST
The wife of a ex-FBI agent missing in Iran since March said on Saturday she received no new information about his fate during a pre-Christmas trip to the Islamic republic to search for her husband.
AFP via Yahoo! News Sat, 22 Dec 2007 11:27 AM PST
The wife of a ex-FBI agent missing in Iran since March said on Saturday she received no new information about his fate during a pre-Christmas trip to the Islamic republic to search for her husband.
IRAN/U.S.: A secret nuclear weapons program Iran scrapped in 2003 could easily be restarted due to curbs on U.N. inspections in Iran, said Gregory Schulte, U.S. envoy to the International Atomic Energy Agency. Schulte said a U.S. National Intelligence Estimate showed evidence of a secret atom bomb project in Iran and that there is no reason to relax, even if the program was halted. Schulte cited Iran's 2006 revival of uranium enrichment after a two-year cessation.
_________________________________________________________________________
Opalesque’s Corner
- Update: Hedge fund RAB still wants Northern Rock EGM
- Citadel not eyeing BoA unit after all
- Risk Management: Role reversal as hedge funds assess levels of exposure to bank defaults, many had entered one-way collateral agreements with banks
- Q&A: Investcorp banks growth on FoFs, single manager platform
- People: Uwe Eberle new Man Investments USA CEO, Rod Barker quits RAB for Moscow`s Renaissance, Harvard fund managers` earnings swell to $23.3m in 2007
- 2 young hedge-fund veterans stir up the world of philanthropy
- Outlook: Morgan Stanley rules out China bubble scenario, Asian markets followed similar trajectory in 2007, decoupling story lead to outperformance late in the year
- FT interview: Bill Gross says US in recession, describes hedge funds as a `con`
- Credit Crunch Update: Merrill may get capital infusion from Singapore`s Temasek, Swiss SRI investor demands $13.7bln sub-prime loss audit by UBS, has Singapore Investment Corporation received privileged information?, UBS faces rebellion over fund injection, question on Saudi royal family`s involvement, Background: A single catastrophic mistake by Morgan Stanley mortgage traders caused $8bn loss, Bear Stearns losses, first time in history, stand at $854m for Q4 (Nov. 30th), Barclays ready for subprime fight, Joseph Lewis` cautionary Bear Stearns tale: $200m paper loss?, MBIA said it had guaranteed $8.1bln of the riskiest mortgage securities, possible chain reaction, Subprime will create more opportunities for sovereign funds to invest world`s best-known banks
- Background: How the rating agencies destroyed their `God-Like Status`, The Bear Flu - How it spread, Cioffi`s novel financing scheme used by Bear Stearns` hedge funds became template for subprime disaster, The sub-prime crisis set the stage for hedge fund losses, exposed the weaknesses of banks and ratings agencies, highlighted valuation issues, The sub-prime crisis set the stage for hedge fund losses, exposed the weaknesses of banks and ratings agencies, highlighted valuation issues
- Asset-backed commercial paper falls most since August
- Research: Why do hedge funds stop reporting performance?
- Crowded hedge fund trades: Thomson Financial, Bloomberg, Goldman analyze
- Administrators: Apex fund administration group sets up operation in Malta, BNY Mellon rolls out hedge fund administration, collateral management in Asia
- Indices: Canadian Hedge Watch presents the CHW-HF Composite Index and sub-indices returns for November, 2007, Barclays Capital launches index to track performance of carbon credits
- Portrait: U.S. water plains and subprime spell opportunities for Eclectica
- News Briefs: Offshore crackdown to pay for Obama`s middle class tax cuts
- ...And finally: Thieves sawed off more than 500 downtown parking meters in Atlanta and walked away with them
- Logon: http://www.opalesque.com/main.php?act=archive
- Citadel not eyeing BoA unit after all
- Risk Management: Role reversal as hedge funds assess levels of exposure to bank defaults, many had entered one-way collateral agreements with banks
- Q&A: Investcorp banks growth on FoFs, single manager platform
- People: Uwe Eberle new Man Investments USA CEO, Rod Barker quits RAB for Moscow`s Renaissance, Harvard fund managers` earnings swell to $23.3m in 2007
- 2 young hedge-fund veterans stir up the world of philanthropy
- Outlook: Morgan Stanley rules out China bubble scenario, Asian markets followed similar trajectory in 2007, decoupling story lead to outperformance late in the year
- FT interview: Bill Gross says US in recession, describes hedge funds as a `con`
- Credit Crunch Update: Merrill may get capital infusion from Singapore`s Temasek, Swiss SRI investor demands $13.7bln sub-prime loss audit by UBS, has Singapore Investment Corporation received privileged information?, UBS faces rebellion over fund injection, question on Saudi royal family`s involvement, Background: A single catastrophic mistake by Morgan Stanley mortgage traders caused $8bn loss, Bear Stearns losses, first time in history, stand at $854m for Q4 (Nov. 30th), Barclays ready for subprime fight, Joseph Lewis` cautionary Bear Stearns tale: $200m paper loss?, MBIA said it had guaranteed $8.1bln of the riskiest mortgage securities, possible chain reaction, Subprime will create more opportunities for sovereign funds to invest world`s best-known banks
- Background: How the rating agencies destroyed their `God-Like Status`, The Bear Flu - How it spread, Cioffi`s novel financing scheme used by Bear Stearns` hedge funds became template for subprime disaster, The sub-prime crisis set the stage for hedge fund losses, exposed the weaknesses of banks and ratings agencies, highlighted valuation issues, The sub-prime crisis set the stage for hedge fund losses, exposed the weaknesses of banks and ratings agencies, highlighted valuation issues
- Asset-backed commercial paper falls most since August
- Research: Why do hedge funds stop reporting performance?
- Crowded hedge fund trades: Thomson Financial, Bloomberg, Goldman analyze
- Administrators: Apex fund administration group sets up operation in Malta, BNY Mellon rolls out hedge fund administration, collateral management in Asia
- Indices: Canadian Hedge Watch presents the CHW-HF Composite Index and sub-indices returns for November, 2007, Barclays Capital launches index to track performance of carbon credits
- Portrait: U.S. water plains and subprime spell opportunities for Eclectica
- News Briefs: Offshore crackdown to pay for Obama`s middle class tax cuts
- ...And finally: Thieves sawed off more than 500 downtown parking meters in Atlanta and walked away with them
- Logon: http://www.opalesque.com/main.php?act=archive
_________________________________________________________________________
Misc. Items of Interest
_____________________________________________________________________
Funnies, Facts, Quotes, etc….
persiflage PUR-suh-flahzh, noun:
Frivolous or bantering talk; a frivolous manner of treating any subject, whether serious or otherwise; light raillery.
_________________________________________________________________________
Conference, Courses, Books, Papers
Great Research Sites:
Merrill Lynch research Link to full report including important disclosures see example
John Mauldin’s Weekly Analysis
James Altucher’s Website:
Other useful sites:
_________________________________________________________________________
Index Corner
The CSFB/Tremont Hedge Fund Index www.hedgeindex.com.
The Cogent Dynamic Averages http://www.cogenthedge.com/home/inv_strategy.asphttp://www.cogenthedge.com/home/inv_strategy.asp
The Dow Jones Indices: http://www.djhedgefundindexes.com/index.cfm?event=viewPremiumContent (free registration)
_________________________________________________________________________
Regulatory Info
investor.info@sfc.hkhttp://www.sfc.hk/sfc/html/EN/inutilbar/contact/contact.htmlhttp://www.sfc.hk/sfc/html/EN/inutilbar/contact/contact.htmlhttp://www.sfc.hk/sfc/html/EN/inutilbar/contact/contact.html
_________________________________________________________________________
Disclaimer
The information contained in this document does not constitute an offer or solicitation to sell any security or other type of vehicles to or by anyone in any jurisdictions, nor should it be regarded as a contractual document. Under no circumstances should the information provided on this document be considered as financial advice, or as a sufficient basis on which to make investment decisions. The information contained herein has been gathered by Investor DNA, LLC from sources deemed reliable as of the date of publication, but no warranty of accuracy or completeness is given. Investor DNA, LLC is not responsible for and provides no guarantee with respect to any of the information provided herein or through the use of any hypertext link. Past results are no indication of future performance. All information in this newsletter is for educational and informational purposes and does not constitute investment, legal, tax or accounting advice. All materials are the property of the
respective publishers, as referenced by header and appropriate hypertext links.
|
| Manage your subscription |