Main News

 

Traders and CDO head are suspended
Financial Times - London,England,UK
By Paul J Davies in London Brady Dougan, chief executive of Credit Suisse, would not confirm the names or number of traders who have been suspended by the ...

 

Merrill Lynch's CDO co-head quits
Financial News Online US - London,UK
At Merrill Lynch, he was co-head of the Strategic Solutions Group, which sells CDOs, the structured products backed by bonds and mortgages that have been ...

 

BlackRock sees opportunity in China amid credit crisis
China represents an investment opportunity at a time when much of the rest of the world can expect more fallout from the credit crisis, Larry Fink, chairman and chief executive of global fund manager BlackRock, said.  (Financial Times)
http://mail2.efnmail.co.uk/r/341597/MTk4MTI1OjE2NDc0/

 

by Trader Mark

 

The credit crunch: Now it’s KKR’s turn

KKR Financial Holdings said it began restructuring talks with creditors after deferring (for the second time) repayment of a chunk of debt due Friday. 

by Felix Salmon

Michael Lewis gets his nerd on in the March issue of Portfolio, wading into the Taleb vs …

 

Canyon of Zeros
Wall Street bosses have failed miserably in managing the credit crisis. Read More

 

by Christopher Holt

 

RMBS Trends: The New Face Of U.S. Alt-A RMBS: A Smaller Market, And Less Risky Loans
After the U.S. RMBS market collateralized by Alt-A loans fell dramatically in the fourth quarter of 2007, the question now is: When and by how much might it rebound? In our view, a real turnaround isn't likely until 2009, though some improvement may occur later in 2008. Much depends on the degree to which real estate values continue to drop, whether unemployment compounds already-poor performance, and the conforming-loan limit determination for 2008, which is part of the economic stimulus plan that the administration is proposing.
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http://standardandpoors.rsys1.net/servlet/cc5?kHiQAABAQTVsLgHxhilpuHQJhuV2VR

 

Structured Finance
125 Ratings Lowered On 18 U.S. CDO Of ABS Transactions; $13.774 Billion In Issuance Affected
We lowered our ratings on 125 tranches from 18 U.S. cash flow and hybrid collateralized debt obligation (CDO) transactions. Of the lowered ratings, 116 were removed from CreditWatch with negative implications. Additionally, we affirmed one rating at 'AAA' and removed it from CreditWatch. The downgrades reflect a number of factors, including credit deterioration and recent negative rating actions on subprime U.S. RMBS securities, as well as changes we have made to the recovery rate and correlation assumptions used to assess U.S. RMBS held within CDO collateral pools.
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http://standardandpoors.rsys1.net/servlet/cc5?kHiQAABAQTVsLgHxhilpuHQJhuV2VU

 

Market Volatility Could Shake Up State Pension Funding Stability
After some tumultuous times in 2001 and 2002, U.S. state pension plans have recovered in recent years with the help of growing investment returns. The funded ratio, or actuarial value of assets divided by the actuarial accrued liabilities, is one measure of the health of a pension fund. Funding for 2007 will likely improve as complete data become available, but we believe that any improvement could be short-lived if recent market volatility persists and shrinks investment returns.
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Why Market-Valuation-Indifferent Indexing Works Jack Treynor. In this article, Treynor again considers the problem of designing a good index for indexation. He defines what he calls market-valuation-indifferent (MVI) indexing as being indexing in which the index is built on any weights that avoid the problem of market capitalization. It appears that stock markets price stocks imperfectly, but on average overpriced stocks counterbalance underpriced stocks, resulting in a symmetrical distribution of error. More...

 

A Copula Approach to Value-at-Risk Estimation for Fixed-Income Portfolios Lionel Martellini, Jean-Christophe Meyfredi. This paper introduces a multivariate copula approach to Value-at-Risk estimation for fixed income portfolios. Using a parsimonious model to extract time-varying parameters used as proxies for factors affecting the shape of the yield curve, and a Student copula to model the dependence structure of these factors, we are able to generate VaR estimates that strongly dominate standard VaR estimates in formal out-of-sample tests. More...

 

SocGen risk control resources were insufficient
Reuters - Wednesday February 20, 10:23 GMT

 

Structured credit hedge funds fall further
Hedge Funds Review - Tuesday February 19, 15:54 GMT

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Yield Curve Corner

 

Fed Saw Need for `Relatively Low' Rates for Some Time (Update3) ... said ``relatively low'' interest rates may be needed for some time to counteract a ...
www.bloomberg.com/apps/news?pid=20601087&

 

Federal Reserve policy makers said downside risks to the economy remained even in the wake of recent interest-rate cuts, according to minutes of their Jan. 29-30 meeting. In their quarterly economic summary, central bank officials lowered the forecast for gross domestic product this year to 1.3% from 2%. In addition, the central tendency for core inflation was revised up, with officials now expecting core inflation in 2008 to range between 2% and 2.2%. The officials said inflation could tick higher if energy and commodity prices were to weigh on consumers more heavily than expected. The severity of the housing downturn, tightening in the credit markets and high oil prices were factors leading to the cloudier outlook, the officials said.
http://online.wsj.com/article/SB120353316487980571.html?mod=djemalertNEWS

 

by David Merkel

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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: http://www.osei.noaa.gov/Events/Current/DSTchina051_MO.jpg

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Iranian Situation and Other Man Made Disasters

 

Iran's ancient pre-Islamic community dwindling
Reuters via Yahoo! News Wed, 20 Feb 2008 12:21 PM PST
Iran's Zoroastrian community has shrunk by half to 45,000 people since the country's 1979 Islamic revolution, as members of the ancient faith search for jobs and a better future in the West, their MP said on Wednesday.

 

Iran hangs 10 convicts in one day
AFP via Yahoo! News Wed, 20 Feb 2008 5:11 AM PST
Iran hanged 10 convicts on Wednesday, the latest in a growing number of executions in the Islamic republic that officials say are aimed at improving public security, the Fars news agency reported.

 

Geopolitical Diary: Iraq, Iran and Oil Diplomacy
February 20, 2008 0323 GMT
Iraq and Iran are planning to set up a joint committee to manage oil development cooperation in the two states' southern border region.
http://www.stratfor.com/geopolitical_diary/geopolitical_diary_iraq_iran_and_oil_diplomacy

 

The Mughniyah Strike: Waiting for the Next Shoe to Drop
February 19, 2008 1636 GMT
Fred Burton, Stratfor's top terrorism expert, discusses warnings and risks of a Hezbollah retaliation following the killing of operations chief Imad Mughniyah in Damascus. An interview with Colin Chapman.
http://www.stratfor.com/podcast/mughniyah_strike_waiting_next_shoe_fall

 

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Opalesque’s Corner

 

- Editor's Note
- Opalesque Exclusive: We are at the beginning of a very long and interesting distressed cycle, says international special situations specialist
- Fund launches: Opalesque Exclusive: PAM launches commodities fund series,  Salus Alpha launches two Ucits III compliant event driven/managed futures funds, Liongate offers levered multi-strategy fund, Californian family office launches event-driven hedge fund
- Performance: Opalesque Exclusive: Krom River Commodity Fund up 8.29% in January, spread of returns in all sectors was `particularly satisfying`,  John W. Henry gains in five of seven programs in January, Sun China hedge fund identifies select opportunities, returned 43% net since mid-2007
- Offit Capital Advisors has replaced Azimuth Holdings LLC as investment adviser to FoHFs Capital Preservation Fund
- Update: Oxford Funding hedge fund agrees to buy $5.3m portfolio of mortgages
- London FoHFs Stenham nominated for prestigious Hedge Funds World Awards, Middle East
- Indices: Eurekahedge January 2008 Hedge Fund index fell 3.1%, EM most adversely affected (-6%), HFRI Fund Weighted Composite Index down -2.26% in January, FoF Composite down -2.93%, Scotia Capital Canadian Hedge Fund Index finished January 2008 -4.34%
- FTSE`s hedge fund indices classified as `financial indices` for UCITS purposes, MSCI Barra to launch Asia-Pacific investable hedge fund index, State Street Investor Confidence Index rises from 69.5 to 73.0 in February, highest rise in North America
- HF Replication: New study on hedge fund replication finds surprising results, Counter-intuitive picture from hedge fund replication survey
- 130/30: F&C: 130/30 managers learn lessons of volatile markets, review models
- Regulators: SEBI to issue new hedge fund guidelines soon
- Jersey launches unregulated funds regime for alternative managers
- Institutions: CalPERS sets guidelines for fifth asset class: commodities, forestland, inflation-linked bonds, London borough to allocate GBP20m ($39m) to FoHFs, seeks manager, Mercer Survey: Institutional plans post negative Q4 returns but annual 2007 returns remain positive
- Pimco to run World Bank Fund: World Bank Group selects PIMCO to develop and manage investment strategies to promote institutional investment emerging market local currency bonds, Markit to develop transparent index
- Legal: Lancer Group hedge fund ex-manager indicted by US, Ritchie Capital might be forced to open books, Bear faces fresh legal challenge, rebel investors attempt to reverse liquidation decision
- Credit Crunch Update: Credit Suisse suspends traders after debt `mismarking`, Swiss foundation Ethos may force special audit into UBS` subprime dealings, Barclays ups writedown to $3.1bln, Subprime hit for France`s Credit Agricole, BlackRock says `no truth` to rumours of subprime-related losses or exposure, Moody`s: Bond insurer woes may cause $7bln - $10bln hit for banks, MBIA replaces CEO to maintain top credit rating, Treasury prices fall hard, reflecting investors` worries, The spillover continues to student loans
- SocGen Update: Bank of France says SocGen risk control resources were insufficient, French investigators seek 3rd trader in scandal
- People: Derek Doupe joins the Cambridge Strategy AM as director of marketing, Tremont Capital expands with hire of managing director
- Commodities: Weakening demand? Oil still passes $100, options trading helps explain volatility, Dubai wants to launch world`s first tea futures contract
- Exchanges: NYSE Euronext to launch independent comprehensive valuation service
- Europe: IPM expands into Germany and the Middle East
- Events: IAFE Event NYC: Robust risk management tools: Insights from interest rates
- Northern Rock Update: Hedge funds pocket `easy` gain on Northern Rock drop, Hedge fund to pursue Northern Rock payout `to bitter end` (video), Northern Rock brings in McKinsey for rescue, Commentary: Is London`s place in the international finance community affected by Northern Rock?
- Activist News: Harbinger boosts NYTimes stake to almost 12%, Delphi still having trouble emerging from bankruptcy
- News Briefs: CAIAA opens Chicago chapter, Emerging Hedge Fund Selects VerusHedge, UMB Fund Services offers new hedge fund servicing, Goldman Sachs launches new local-currency emerging market fund, Da Vinci Capital Management plans London listing of growth fund, ING lays groundwork for Islamic hub in Malaysia, Dubai fund steps up push into Asia, Cuba ETF sees biggest-ever surge after Castro resigns
- And Finally. Watch out Beijing, Irishman unveiled plans to launch the `Paddy Olympics` including bathtub races and other follies
- Logon: http://www.opalesque.com/main.php?act=archive

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Misc. Items of Interest

 

Coming into the country UPDATED
Arriving at the South Pole
Full article

 

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Funnies, Facts, Quotes, etc….

 

factitious ak-TISH-uhs, adjective:

1. Produced artificially, in distinction from what is produced by nature.
2. Artificial; not authentic or genuine; sham.

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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:

 

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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)

HFRX Indices https://www.hedgefundresearch.com/hfrx_reg/index.php?fuse=login&1170880431

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Regulatory Info

 

 

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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.