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PrimeX Selling Accelerates

Tyler Durden's picture




 

Update: Jeff Gundlach just said on his conference call that PrimeX is 6-8 points overvalued vis a vis the cash prime-backed RMBS

It only took a little over an hour...

FROM 10AM SURVEY
PrimeX.FRM.1  Mid 104-240:  103 OR 106-16
PrimeX.FRM.2  Mid 94-080:   92-16 OR 96-00
PrimeX.ARM.1  Mid 100-08:   98-16 OR 102-00
PrimeX.ARM.2  Mid 89-24:    88-00 OR 91-16

MS PrimeX Markets               

                       Cpn    Bid        Offer   Chg from Close  Factor               
PrimeX.FRM.1   442    102-16 / 103-16      -1-120        0.47               
PrimeX.FRM.2   458    92-08  / 93-08       -1-286         0.49               
PrimeX.ARM.1   442    98-16  / 99-16       -1-143         0.41               
PrimeX.ARM.2   458    87-16  / 88-16       -2-072         0.44

 

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Tue, 10/11/2011 - 15:25 | 1762102 FOC 1183
FOC 1183's picture

So, that retail guy hasn't shown up yet?

Tue, 10/11/2011 - 15:30 | 1762131 Mike2756
Mike2756's picture

Stuck in traffic.  

http://youtu.be/cSD2kpicYy4

Tue, 10/11/2011 - 15:52 | 1762273 Iam Rich
Iam Rich's picture

No...busy buying RUT, it's 3:15p ya know.

Tue, 10/11/2011 - 15:25 | 1762103 GeneMarchbanks
GeneMarchbanks's picture

Real-time updates... keep them coming.

Tue, 10/11/2011 - 15:27 | 1762113 Trimmed Hedge
Trimmed Hedge's picture

I don't even know what all that means, and I'm still scared!

 

Please hold me, Taylor....

Tue, 10/11/2011 - 15:31 | 1762137 hambone
hambone's picture

TH,

may Taylor always be there for you in your times of distress!

Tue, 10/11/2011 - 15:39 | 1762188 kito
kito's picture

can someone explain this? 

Tue, 10/11/2011 - 15:49 | 1762256 Au_Ag_CuPbCu
Au_Ag_CuPbCu's picture

He doesn't know what it means....he's a little scared...and finally he wants someone named Taylor to hold him.  Taylor Swift maybe...dunno.

Tue, 10/11/2011 - 15:45 | 1762225 Rome is burining
Rome is burining's picture

Tighter! Tighter!

Tue, 10/11/2011 - 15:28 | 1762120 Michael
Michael's picture

Oh how I love the smell of sub-prime collapse version 2.0 aka Prime Collapse in the afternoon.

Tue, 10/11/2011 - 16:07 | 1762358 Dr. Richard Head
Dr. Richard Head's picture

The question becomes how long for fallout from this particular iceburg hit by the US economy? 

Tue, 10/11/2011 - 15:34 | 1762156 Mutatto
Mutatto's picture

So, from the earlier post...are these trade volumes significant?  Or is it going to take awhile for this IED to go off?

Tyler D?

Kyle B?

anyone?

 

M

Tue, 10/11/2011 - 15:35 | 1762162 Paralympic Equity
Paralympic Equity's picture

PRIMEX is less in notional than the sub prime index, a lot smaller, but still i guess not all mortgages become an MBS

Tue, 10/11/2011 - 16:08 | 1762367 Dr. Richard Head
Dr. Richard Head's picture

All mortgages becomeare MBS, but not all MBS are mortgages. HA

Tue, 03/20/2012 - 09:04 | 2272777 l.hauri
l.hauri's picture

it is an interesting approach. I really like it.
yacht charter phuket

Tue, 10/11/2011 - 15:36 | 1762165 Au_Ag_CuPbCu
Au_Ag_CuPbCu's picture

Totally off subject but Tori Spelling just had a baby?  WTF??? What sick %^#$ would put his dick in her?

Tue, 10/11/2011 - 15:37 | 1762173 spartan117
spartan117's picture

She's only worth, what, $30 billion?  you can buy a lot of PrimeX with that. 

Tue, 10/11/2011 - 16:02 | 1762331 SheepDog-One
SheepDog-One's picture

Shes definitely scary!

Tue, 10/11/2011 - 15:40 | 1762166 mynhair
mynhair's picture

Who needs PrimeX anyway?  Loser air bonds, phfffttt.

Sell and juice the rip.

 

Just need 4 more cents on TNA.

Tue, 10/11/2011 - 15:43 | 1762176 Paralympic Equity
Paralympic Equity's picture

Sorry, posted 2 times by accident

Tue, 10/11/2011 - 15:41 | 1762197 FatAmerican
FatAmerican's picture

so what index are we buying?, and how do we get the leverage in this? can retail investors buy this index? is there an index for the huge volume for the alt a garbage that is comming due right now?

Tue, 10/11/2011 - 16:09 | 1762381 Dr. Richard Head
Dr. Richard Head's picture

Don't forget the Option-Only Jumbos coming due.  MBS are hot, pick em up!

Tue, 10/11/2011 - 16:09 | 1762382 Dr. Richard Head
Dr. Richard Head's picture

Don't forget the Option-Only Jumbos coming due.  MBS are hot, pick em up!

Tue, 10/11/2011 - 15:41 | 1762198 gwar5
gwar5's picture

Bubbles, bubbles everywhere.... with all the Euro troubles we forgot about our own little landmines.

Tue, 10/11/2011 - 15:57 | 1762300 SheepDog-One
SheepDog-One's picture

And that was the point of it....remember months ago the US problem was getting nuclear hot, suddenly out of the blue GREECE got problems, and they were HUGE ya know....so all attention away from the US to obsess over Europe ills. Like a cancer patient tisk tisking about his neighbors flu.

Tue, 10/11/2011 - 16:11 | 1762398 Dr. Richard Head
Dr. Richard Head's picture

Plus Euro-trash panic allowed for a "flight to safety" (I throw up in my mouth when I type that) to the DOHlar.  Worked pretty nicely to help PMs to take their shit and scare out weak handed longs.  The Euro tale was wagging the US dog there, but I guess the world forgot who the World Reserve Currency was.  Time to remember bitchez.,

Tue, 10/11/2011 - 17:32 | 1762952 Ruffcut
Ruffcut's picture

When you have so much bullshit in a paper bag, some of it is going to squish out. Thank god we have duct tape. All is well.

Tue, 10/11/2011 - 15:42 | 1762202 mynhair
mynhair's picture

and out......

Tue, 10/11/2011 - 15:42 | 1762208 Roark_4_Prez
Roark_4_Prez's picture

Usually don't comment but. Generally these are just hedges for the big dealers against their cash book. So they are short the hell out of this and making money on it. Primex and abx are just dealer hedges.

Tue, 10/11/2011 - 15:44 | 1762216 Everybodys All ...
Everybodys All American's picture

I'm guessing that's not good for the "real or "fake" balance sheets of our banks.

Tue, 10/11/2011 - 15:45 | 1762222 willien1derland
willien1derland's picture

 For those unfamiliar with Primex/ABX please use the link below...

http://ftalphaville.ft.com/blog/2011/10/11/699021/a-primex-primer-also-featuring-abx/

Tue, 10/11/2011 - 15:59 | 1762315 Tyler Durden
Tyler Durden's picture

Good piece with one major problem:  synthetic can be created at a moment's notice per client demand. Also, any parked CDS do not have to be reported to DTCC meaning any attempt to make this issue seem smaller than it is is rather naive.

Tue, 10/11/2011 - 16:05 | 1762349 SheepDog-One
SheepDog-One's picture

But isnt making terrible issues seem irrelevant the America Way now?

Tue, 10/11/2011 - 16:17 | 1762404 Dr. Richard Head
Dr. Richard Head's picture

A synthetic CDS market that goes unreported?!?!?!  Surely you jest sir. 

Tue, 10/11/2011 - 15:45 | 1762226 adr
adr's picture

I just saw a stat that said the Dow is trading in the lowest range since July 20th. Something like 78 points. So since July 20th the Dow has moved up or down over 100 points within a session every single day.

The hilarity of a broken market. Too bad it screws us all.

Just like the effin commodity market that will be sending bread to $8 a loaf by christmas. 8% up in wheat in one day, corn limit up. FUCK ALL YOU TRADERS!!!!! Death is not a big enough punishment.

Tue, 10/11/2011 - 15:59 | 1762314 andybev01
andybev01's picture

Kind of like watching your washing machine walk across the floor when it's spinning an unbalanced load.

It's funny until the hose breaks and floods the basement.

Tue, 10/11/2011 - 16:16 | 1762435 Dr. Richard Head
Dr. Richard Head's picture

Plus you see these global markets trading in tandem now across the board (equity wise).  Lower lows are a coming?

Where's my fucking DOW 10,000 cock ring?

Tue, 10/11/2011 - 15:46 | 1762233 LongSoupLine
LongSoupLine's picture

I'm not concerned...I'm confident the bottomless liquidity giant, ESFS, will cover all issues globally.

If that fails, we can always "break glass in emergency" and wheel out a certain studdering ex-treasury idiot to brew up some scary "financial doom to all if we don't save the banks" campfire stories in front of Congress.

Tue, 10/11/2011 - 15:51 | 1762267 mn1
mn1's picture

i guess thats why the market is up again today???

Tue, 10/11/2011 - 15:58 | 1762309 SheepDog-One
SheepDog-One's picture

'The Market' you mean these things that are still trading below 1999 levels?

Tue, 10/11/2011 - 16:11 | 1762394 d00daa
d00daa's picture

fucking bagholder.  keep buying the 12% in five sessions rips with no leadership, so very indicative of a true bottom and the start of a healthy bull market.   /s

Tue, 10/11/2011 - 15:52 | 1762271 CrimsonAvenger
CrimsonAvenger's picture

I don't know what any of this means, except that I probably need to go get some more lube.

Tue, 10/11/2011 - 15:59 | 1762313 Mitch Comestein
Mitch Comestein's picture

I was wondering why SRS was up 4% and all the other shorts are flat.  Its got to be the reason.  Something is not good in the Real Estate world.

Tue, 10/11/2011 - 16:06 | 1762352 Paralympic Equity
Paralympic Equity's picture

PRIMEX is less in notional than the sub prime index, a lot smaller, but still i guess not all mortgages become an MBS

Tue, 10/11/2011 - 16:09 | 1762377 Tyler Durden
Tyler Durden's picture

Ah, the old volume argument. Look at historical volumes of ABX in the early days of the subprime rout before everyone wanted in...

BARCLAYS CAN CREATE $10 BILLION CDS IN ONE SECOND IF A CLIENT DEMANDS IT!!!

Wed, 10/12/2011 - 02:31 | 1764648 Paralympic Equity
Paralympic Equity's picture

Good point, didn't think of it that way.

Tue, 10/11/2011 - 16:19 | 1762473 Dr. Richard Head
Dr. Richard Head's picture

Were you the one that wrote this article or did you just read it?

http://www.businessinsider.com/henry-blodget-the-coming-alt-a-mortgage-reset-bomb-is-a-myth-2009-8

Tue, 10/11/2011 - 16:34 | 1762602 ghostfaceinvestah
ghostfaceinvestah's picture

A lot of prime jumbos were held in portfolio, even during the bubble, as they were seen as a good balance sheet product, they were extended to HNW customers of the bank, etc.  So yes, there was a lot less securitized.  Plus the underlying collateral was seen as being more homogenous so less need to dump a ton of securities into each index.

But the selloff in Prime-X is indicative of the worsening performance of the underlying collateral, I believe.  The latest remittance reports came out last week and there is no sign of performance improvement at all.  At this point in the cycle (5 years in for the 2006 vintage collateral) we should see some peaking of CDRs, but that is just not happening, in fact dqs are getting worse.

Of course, all the major banks will reduce reserves this quarter and book those reversals through income, they don't seem to care what the underlying performance is doing (or the fact that a lot of their second liens are performing over a defaulted first, good luck collecting on those).

Tue, 10/11/2011 - 16:41 | 1762655 Dr. Richard Head
Dr. Richard Head's picture

Those prime jumbos are still marked at par on the bank's balance sheets I bet. 

I love the smell of insolvency at the close of the markets. 

Tue, 10/11/2011 - 16:17 | 1762445 Market Efficien...
Market Efficiency Romantic's picture

off topic, but I wanted to bounce an idea off some of the HFT tylers around:

I am familiar with some of the HFT triggers, but I was wondering whether game theory was of any impotance to HFT. Recognizing the increasingly intersting last half hour of ES trading, I was wondering, if there was a momentum-driven type that would try to create momentum and if it succeeded would go balls to the wall to drive the trend into the close.

During the day, such strategies would not succeed, but with a defined endpoint such a momentum could have better chances of success.

Just an alternative idea, but the thought of infinite versus ending games and the momentum action into the close over the past half year made me curious.

Another thought, but that is just allocation guessing: The fight over 1,200 in SPX to me looks like banks facing-off hedge funds. Banks need a bull market to survive and definitely have political support on this. HFs have record short levels and need a bear market to survive. If that idea makes sense, banks being the prime brokers definitely are controlling the playing field. I personally do not hope so and to me it does not reflect what is in the cards macro-economically, but the unreasonable freaked-out action since Monday has got me considering out-of-the-box ideas.

Would really appreciate your thoughts and knowledge.

Tue, 10/11/2011 - 17:48 | 1763020 Johnny Yuma
Johnny Yuma's picture

All you'll ever need to know about PrimeX: http://www.markit.com/assets/en/docs/products/data/structured-finance/Do...

It's 2008 all over again baby!

Tue, 10/11/2011 - 18:08 | 1763099 pmcgoohan
pmcgoohan's picture

Cant find any Markit ETFs with Interactive Brokers- can anyone recommend a retail broker that has it, or a decent proxy?

Tue, 10/11/2011 - 18:42 | 1763172 Market Efficien...
Market Efficiency Romantic's picture

wonder where JP got lost in the credit opp fund? Always stated to be bullish on housing recovery. Sure continued to play the credit derivative innovation game only the other way around, this time with the opposite effect.

Tue, 10/11/2011 - 22:08 | 1764039 herriage
herriage's picture

great board here. Question: whats the best way for a retail investor to play this...if there is one?

if ZH was a stock, I would be long it...and beyond the triple short ETF's....thats about all I would be long.   

2008 is about to happen again...but on steroids

Wed, 10/12/2011 - 00:07 | 1764417 Market Efficien...
Market Efficiency Romantic's picture

if you have a chance to get portfolio margin, play leverahed pair trades on ETFs. XLF short, SPY long (alternatively value/dividend ETFs long), hyg short, lqd long. If you get something like 20:1, that may pay of well. In most cases, you need 100k account for portfolio margin. Don't really know, if there are retail ETF plays direclty on PrimeX, don't think so, though, such plays are not made vailable to the public, usually.

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