In The Footprints Of A Whale

Tyler Durden's picture

It was only last week that we highlighted the facts and fiction behind JPMorgan's prop-trading CIO office activities and Bruno' London Whale' Iksil's magnificent market cornering 'hedging' activity. Well, Bloomberg's chart-of-the-day provides the clearest and most destructive indication of just how ridiculous this supposed 'hedge' position had become. Thanks to Mary Childs and Shannon Harrington's data scrubbing, its turns out that, according to the DTCC, the net notional of contracts on Series 9 on the Investment Grade credit index (this is the credit derivative index that is most closely tied to the massive haul of outstanding tranche deals that remain in the market) surged an incredible 65% (to $148.2bn) in the last 14 weeks. As is clear from the chart, relative to every other credit derivative index this level of activity cornering, which managed to drive the index 18% below its 'fair-value', stands out rather dramatically and perhaps should jog a few regulator's from their porn-surfing lunch-breaks. The footprints of this particular whale seem a little too large to ignore but that then again, Spain did manage to sell some short-term debt so who cares?

 

Charts: Bloomberg