dwb's Comments RSS Syndication from SeekingAlpha.com http://seekingalpha.comuser/6083/comments http://seekingalpha.com/article/156463-natural-gas-etf-suspends-new-shares-are-there-alternatives?source=feed#comment-640720 640720
closed ended-> Since when are futures and swaps "closed ended." wha? USL uses swaps to track "12 month oil". The real risk is that the swaps perform differently than the prompt (that is, if UNG uses 3, 6, 12 month swaps instead of mostly prompt and prompt +1). A 6 month swap will perform very differently than 1 month prompt and is likely to outperform prompt declining prices and underperform prompt rising prices (back months will not rise/fall as much as prompt). For example, suppose there is a hurricane: Oct and Nov production get disrupted so those contracts soar. Dec, Jan, Feb mos are increasingly less likely to be affected and rise less. The increase in a swap will be the avg increase of all those months. If UNG uses 2-month swaps or prompt and prompt+1 then UNG rises the full amount of oct and nov futures increases. If UNG uses a 6-month swap it rises less (the avg increase of all 6 forward months).

On the roll yield, using swaps might actually mitigate the loss in a steeply contango market as less is lost rolling the back month(s) if the contango flattens after 6 months as it does now. Of course, this depends on the term of the swaps and the shape of the contango.

]]> Fri, 21 Aug 2009 23:32:11 -0400
closed ended-> Since when are futures and swaps "closed ended." wha? USL uses swaps to track "12 month oil". The real risk is that the swaps perform differently than the prompt (that is, if UNG uses 3, 6, 12 month swaps instead of mostly prompt and prompt +1). A 6 month swap will perform very differently than 1 month prompt and is likely to outperform prompt declining prices and underperform prompt rising prices (back months will not rise/fall as much as prompt). For example, suppose there is a hurricane: Oct and Nov production get disrupted so those contracts soar. Dec, Jan, Feb mos are increasingly less likely to be affected and rise less. The increase in a swap will be the avg increase of all those months. If UNG uses 2-month swaps or prompt and prompt+1 then UNG rises the full amount of oct and nov futures increases. If UNG uses a 6-month swap it rises less (the avg increase of all 6 forward months).

On the roll yield, using swaps might actually mitigate the loss in a steeply contango market as less is lost rolling the back month(s) if the contango flattens after 6 months as it does now. Of course, this depends on the term of the swaps and the shape of the contango.

]]> http://seekingalpha.com/article/154661-monetizing-debt-disinformation-in-the-blogosphere?source=feed#comment-624157 624157
The real question is whether they have some sort of interest rate target for the 7-10 year. In my mind they should: since Volcker the fed has generally targeted interest rates and employed the repo/fed funds market to effect the short term rate (buying/selling to effect the rate they want). They publicize and affirm the short term rate target every six weeks. If they are employing 5,7, &10 year debt to accomplish the same thing (in principle not a bad idea since the real economy is driven off longer rates) then they should set a rate target farther out too. At what rate are they buying vs selling the 7 year? Buying/selling - setting the market price- their activity has all kinds of implications, from determination of mortgage rates & bond yields, even to asset allocation schmes between debt/equity. If they buy regular debt at the expense of TIPS they distort inflation expectation signals. They should tell us: where are you buying/selling (at the very least, so we do not get plasteredleaning against the fed!). ]]> Mon, 10 Aug 2009 19:58:53 -0400
The real question is whether they have some sort of interest rate target for the 7-10 year. In my mind they should: since Volcker the fed has generally targeted interest rates and employed the repo/fed funds market to effect the short term rate (buying/selling to effect the rate they want). They publicize and affirm the short term rate target every six weeks. If they are employing 5,7, &10 year debt to accomplish the same thing (in principle not a bad idea since the real economy is driven off longer rates) then they should set a rate target farther out too. At what rate are they buying vs selling the 7 year? Buying/selling - setting the market price- their activity has all kinds of implications, from determination of mortgage rates & bond yields, even to asset allocation schmes between debt/equity. If they buy regular debt at the expense of TIPS they distort inflation expectation signals. They should tell us: where are you buying/selling (at the very least, so we do not get plasteredleaning against the fed!). ]]> http://seekingalpha.com/article/92348-fannie-and-freddie-can-t-sell-their-debt?source=feed#comment-237626 237626 Sun, 24 Aug 2008 10:45:35 -0400 http://seekingalpha.com/article/34388-why-dendreon-s-provenge-must-be-approved?source=feed#comment-85380 85380 Thu, 03 May 2007 08:02:15 -0400 http://seekingalpha.com/article/34388-why-dendreon-s-provenge-must-be-approved?source=feed#comment-85379 85379 Thu, 03 May 2007 08:01:45 -0400 http://seekingalpha.com/article/31171-standard-pacific-s-book-value-impairment-scenario?source=feed#comment-83508 83508 Sat, 31 Mar 2007 08:11:35 -0400 http://seekingalpha.com/article/21136-clearing-up-the-picture-on-syntax-brillian?source=feed#comment-76363 76363 Fri, 24 Nov 2006 22:14:08 -0500 http://seekingalpha.com/article/20765-brillian-syntax-at-low-end-of-market-at-the-wrong-time?source=feed#comment-75151 75151 Thu, 16 Nov 2006 22:49:27 -0500 http://seekingalpha.com/article/18012-metals-and-mining-blast-off?source=feed#comment-68554 68554
The 1-2 punch of increasing labor costs and slumping demand is going to drive companies like PD and PCU with 50% exposure to the U.S. market well below current levels.

Commodities bulls are buying all metals and miners alike - just based on news of OPEC cutting oil supply - but we are now entering a phase of differentiation between margins and markets, miners and metals. There are some great long/short trades to be made by differentiating the propects of individual companies and markets against the backdrop of hedge funds who are all buying and selling the whole commodities stack en masse.]]> Fri, 06 Oct 2006 09:12:53 -0400
The 1-2 punch of increasing labor costs and slumping demand is going to drive companies like PD and PCU with 50% exposure to the U.S. market well below current levels.

Commodities bulls are buying all metals and miners alike - just based on news of OPEC cutting oil supply - but we are now entering a phase of differentiation between margins and markets, miners and metals. There are some great long/short trades to be made by differentiating the propects of individual companies and markets against the backdrop of hedge funds who are all buying and selling the whole commodities stack en masse.]]> http://seekingalpha.com/article/15941-launch-of-salesforce-for-google-adwords-demonstrates-the-power-of-appexchange?source=feed#comment-60824 60824 Sat, 26 Aug 2006 17:17:41 -0400