Quantifying The USD-JPY Carry Trade Ratio Following Australia's Interest Rate Announcement

The earlier announcement of a 25 bps rate hike by the RBA was not a big surprise. What was, however, was the knee-jerk reaction by both the USD and the JPY, and specifically the relative sizes of said jerk. As both currencies are funding currencies to AUD longs, the relative reactions provide a good, if crude, way to quantify the relative concentration of shorts in any givencurrencies (USD and JPY). Then again, it may merely indicate that tonight's USD-trading night shift at Goldman had much more Red Bull than the OZ one. In either way, both the initial knee jerk reaction as well as the subsequent follow through, indicate a roughly 50-100% greater concentration of dollar than yen-based shorts: in other words: the carry ratio funded in USD and JPY is between 2:1 and 3:2.

Guest Post: Iran’s Nuclear Ambitions Highlight Kazakhstan’s Uranium Potential

One bonus of the global recession is that it wiped a lot of incompetent hedge fund managers and energy speculators from the canyons of Wall Street. As the Gordon Gecko sycophants regroup and look for the next Big Thing, maximizing profit while minimizing risk, the landscape looks very different than it did a year ago. In such a climate, it is uranium, not oil and natural gas that would seem to have the brightest future for one simple, overriding capitalist principle – supply and demand.

Project Mayhem's picture

Global warming scam exposed as scientific fraud; Copenhagen summit approaches, Abu Dubai goes bust; financing problems spread to governments, Washington insists on Colombia 'full spectrum' base, new H1N1 bypasses adaptive immunity, Gibbs' Virology paper suggests lab origin, US mint suspends sales of Eagles, Bernanke to run his mouth on Thursday.

Daily Highlights: 11.24.09

  • As banks build capital, Treasury wants TARP to focus on lending.
  • Asian stocks fall on Japan deflation, share-sale concern; Dollar, Yen gain.
  • China shares retreat on policy uncertainty ahead of government economic meeting.
  • China’s 5 largest banks submit plans for raising capital to the industry regulator.
  • Fed said to ask stress-tested banks to submit plans for repaying US aid.
  • Home resales leaped up 10.1% in October, rising far more than expected.
  • Nov. clothing sales weaken vs. 2008's clearance sales, but electronics, online rise.
asiablues's picture

Broad capital spending cuts, and curtailed production have landed machinery companies in the pits but mining equipment makers will likely be among the first to emerge from under the recessionary rubble. The reason is that commodity prices are up substantially from their recent lows, at a time when the world is running out of all those precious natural resources.

Leo Kolivakis's picture

ECB President Jean-Claude Trichet on Wednesday urged European insurers and pension funds to have sufficient capital on hand, stressing they are "systemically important" to the financial system. I have long argued that insurers and pension funds need to be monitored by regulatory agencies that respond to systemic risks. Unfortunately, the New Normal for retirement benefits looks a lot like the old normal based on chicanery and deceit.

October Hedge Fund Capital Flows And Performance

The hedge fund industry, which for the most part is still markedly below its average high water mark, tracked the market closely in October, returning -0.36% for the month. More details on hedge fund performance from

Hedge fund performance was slightly negative in October halting the industry’s seven month positive performance streak.

The HFN Hedge Fund Aggregate Index was -0.36% in October and +16.25% YTD.

The industry remains on pace to return nearly 20% in 2009 which would be the best since 2003 and second best in 10 years.

Daily Credit Summary: November 9 - Yankee Pride on Dollar Slide

Spreads were notably firm today, with HY outperforming IG, as markets gapped tighter at the open, were unable to recover Friday's tights and leaked tighter all day following the risk-on dollar down trend 'trade-du-mois'. A day of little real news but a continued sell USD, buy anything USD-based saw stocks gapping up to almost 2009 highs on almost 2009 low volumes and we suspect credit's rallies were helped by fund unwinds after Friday's loan BWIC.IG has now traded within a 20bps range (115bps to 95bps) since 7/23 (on an adjusted basis) while equities have continued to move higher with 'buy-the-dips' working incessantly on lower and lower volumes.

inoculatedinvestor's picture

For a change, this week I decided to only comment on links that suggest that everything in the world is rosy and that the US is already in the middle of an impressively sound V-shaped recovery. Too bad I couldn’t find anyone who argued either of those points credibly. Oh well, guess everyone will have to settle for yet another dose of reality.

Cheeky Bastard's picture

Saudi Arabia has been a long time number one supplier of crude oil to the US. But as recent data shows the historical trend hit a reversal and not only have the KSA oil exports to the US fallen, they have fallen so much that the present number represents less than half of the number which denominated the KSA exported US oil from its peak in 2008. The number now denominates a 22-year low.

Frontrunning: November 3

  • Wall Street cries "Feed Me" or the world will end (Bloomberg)
  • RBS, Lloyds get $51 billion in second bailout (Bloomberg)
  • Even as Europe raises 2010 growth forecast (AP)
  • Mort Zuckerman: Forget inflation, deflation is a bigger danger (USNews)
  • States are pondering fraud suits against banks (NYT)
  • Retailers "dodge bullet" with CIT November bankruptcy filing (Bloomberg)