Posts Tagged ‘Citigroup assets’

Citigroup Plans “Crisis Derivatives”

Citigroup Plans "Crisis Derivatives"

Courtesy of Mish

Bomb with Lit Fuse

Proving that it has learned nothing from the arrogance of Chuck Prince and Citi’s subsequent demise, Citi plans crisis derivatives.

Credit specialists at Citi are considering launching the first derivatives intended to pay out in the event of a financial crisis. The firm has drawn up plans for a tradable liquidity index, known as the CLX, on which products could be structured that allow buyers to hedge a spike in funding costs.

Like the untraded US rates liquidity index (USRLI), the CLX is constructed as a sum of the Sharpe ratio – deviations from the mean divided by volatility – of various market factors, such as equity volatilities, Treasury rates, swap spreads, corporate bond swaption-implied volatilities, and structured credit spreads. Citi will make the CLX tradable by using fixed historical values for the mean and volatility parameters, eliminating the need for costly recomputation from lengthy time series.

Although the design of the index serves as a proxy measure for liquidity, Terry Benzschawel, a managing director of quantitative credit trading strategy at Citi in New York and head of the team researching the product, says it also tracks more traditional measures such as bid-ask spreads, trading volumes and the USRLI. He compares the potential impact of CLX to that of the interest rate swaps market.

"The great thing about the index is that it hedges your funding costs while being very simple to trade. I believe it will reduce the systemic risk in the industry, akin to how the advent of swaps means people don’t worry about interest-rate exposures any more – they just pay a fee to hedge it," he says.

Chris Rogers, chair of statistical science at Cambridge University, said the only participants able to sell CLX-based products would probably be those who are too big to fail.

"This is basically a kind of insurance product. The main issue is: how good is the party issuing it? If it’s going to be paying out huge numbers in the event of a crisis, will it be able to meet it obligations? Insurers can buy reinsurance for their liabilities, but the buck has to stop somewhere – there’s a limit to how much a private insurer can pay out. Only the government can cover unlimited losses," he says.

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Catalonia Police Reject Madrid Orders: Barring Invasion, the Vote Will Take Place

Courtesy of Mish.

Barring a mass invasion by Spanish government troops, it appears the vote in Catalonia will take place.

Given the importance of the story, Western media is amazingly silent. Stories are few and far between.

We have not even see Tweet 1 from President Trump. Let’s take a look at the latest news and Tweets that I can find.

US News reports Catalonia Refuses to Give Police Over to Spain

Catalonia’s top security official says the regional government is refusing to hand over con...



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Zero Hedge

"Japan Has No Illusions That Rates Will Ever Rise": Is This What The Endgame Looks Like

Courtesy of ZeroHedge. View original post here.

By Victor Shvets of Macquarie Capital

Japan Debt Mountain: does it matter?

For almost 25 years, Japan’s debt burden has been the poster child of what would happen to others if capital is misallocated, bubbles burst and then clearance and required reforms are either delayed or not implemented. Indeed, at more than 5x GDP, Japan is shouldering a greater debt burden than other key jurisdictions. It is also facing severe demographic challenges, while its labour market remains constrained and the state maintains a...



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ValueWalk

Dotard Vs. Madman: The Linguistic War Between Trump And Kim

By Polina Tikhonova. Originally published at ValueWalk.

The war of words between the leaders of the U.S. and North Korea has escalated… again. North Korean leader Kim Jong-un threatened to “tame with fire” U.S. President Donald Trump, whom he referred to as “mentally deranged U.S. dotard.”

Gage Skidmore / Flickr

An official statement released by Kim on Thursday came as an apparent response to Trump’s newly announced eco...



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Insider Scoop

Healthcare Stocks Spike After McCain Announces 'No' Vote On Graham-Cassidy Proposal

Courtesy of Benzinga.

Related AET Your Easy Guide To Credit Suisse's New Top Stocks List Vornado Realty Has An Intri...

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Chart School

Tech Trades Squeeze Stops; Russell 2000 Approaches Resistance

Courtesy of Declan.

There is a bit of an overreach on today's action as the level of loss was light. However, the much-anticipated breakouts in the Nasdaq and Nasdaq 100 look like they will have to wait a little longer. Both Tech indices saw the squeeze put on tight long stops, but not enough to suggest a panic sell-off is imminent. However, any sell-off has to be watched; losses below the 50-day MA would be concerning.


The Nasdaq 100 is looking a little more vulnerable with the MACD trigger 'sell' and +DI/-DI sell' trigger. Look to this index for leads.
...

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Digital Currencies

Jamie Dimon Faces Market Abuse Claim Over "False, Misleading" Bitcoin Comments

Courtesy of ZeroHedge. View original post here.

A week after Jamie Dimon made headlines by proclaiming Bitcoin a "fraud" and anyone who owns it as "stupid," the JPMorgan CEO faces a market abuse claim for "spreading false and misleading information" about bitcoin.

Unless you have been living under a rock for the past week, you will be well aware of JPMorgan CEO Jamie Dimon's panicked outburst wi...



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Members' Corner

"Citron Exposes Ubiquiti Networks" But TNN Says "Not So Fast"

What do you think? (There's a comment section below )

"CITRON EXPOSES UBIQUITI NETWORKS" 

Does Ubiquiti Networks (NASDAQ:UBNT) actually have real products that sell to consumers? Of course! So did Valeant and WorldCom, but that does not stop its financials from having every indication of being completely fraudulent.

Citron will detail a series of alarming red flags and detail how Ubiquiti Networks is deceiving the investing public.

Read the full report here.

******

Rebutal by The Nattering Naybob, ...



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OpTrader

Swing trading portfolio - week of September 11th, 2017

Reminder: OpTrader is available to chat with Members, comments are found below each post.

 

This post is for all our live virtual trade ideas and daily comments. Please click on "comments" below to follow our live discussion. All of our current  trades are listed in the spreadsheet below, with entry price (1/2 in and All in), and exit prices (1/3 out, 2/3 out, and All out).

We also indicate our stop, which is most of the time the "5 day moving average". All trades, unless indicated, are front-month ATM options. 

Please feel free to participate in the discussion and ask any questions you might have about this virtual portfolio, by clicking on the "comments" link right below.

To learn more about the swing trading virtual portfolio (strategy, performance, FAQ, etc.), please click here ...



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Biotech

Can low doses of chemicals affect your health? A new report weighs the evidence

Reminder: Pharmboy and Ilene are available to chat with Members, comments are found below each post.

 

Can low doses of chemicals affect your health? A new report weighs the evidence

Courtesy of Rachel ShafferUniversity of Washington

Assessing the data. LightField Studios/shutterstock.com

Toxicology’s founding father, Paracelsus, is famous for proclaiming that “...



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Mapping The Market

The App Economy Will Be Worth $6 Trillion in Five Years

Courtesy of Jean-Luc

This would be excellent news for AAPL and GOOG to a lesser extent although not inconsequential:

The App Economy Will Be Worth $6 Trillion in Five Years 

In five years, the app economy will be worth $6.3 trillion, up from $1.3 trillion last year, according to a report released today by app measurement company App Annie. What explains the growth? More people are spending more time and -- crucially -- more money in apps. While on average people aren't downloading many more apps, App Annie expects global app usership to nearly double to 6.3 billion people in the next five years while the time spent in apps will more than double. And, it expects the...



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Promotions

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Kimble Charting Solutions

Brazil; Waterfall in prices starting? Impact U.S.?

Courtesy of Chris Kimble.

Below looks at the Brazil ETF (EWZ) over the last decade. The rally over the past year has it facing a critical level, from a Power of the Pattern perspective.

CLICK ON CHART TO ENLARGE

EWZ is facing dual resistance at (1), while in a 9-year down trend of lower highs and lower lows. The counter trend rally over the past 17-months has it testing key falling resistance. Did the counter trend reflation rally just end at dual resistance???

If EWZ b...



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All About Trends

Mid-Day Update

Reminder: Harlan is available to chat with Members, comments are found below each post.

Click here for the full report.




To learn more, sign up for David's free newsletter and receive the free report from All About Trends - "How To Outperform 90% Of Wall Street With Just $500 A Week." Tell David PSW sent you. - Ilene...

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Philip R. Davis is a founder Phil's Stock World, a stock and options trading site that teaches the art of options trading to newcomers and devises advanced strategies for expert traders...

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