Monthly Archives: August 2016

Onward On..JCU

Here's a list of the acts that performed live at JCU ... My tenure was Warren Zevon, Talking Heads, Psych Furs and David Johannson.

Music act, Academic year

  • Music act, Academic year
    • Richard Dyer-Bennet, 58-59
    • Mimi Benzell, 58-59
    • Duke Ellington, 60-61
    • Stan Kenton, 60-61
    • Dave Brubeck, 61-62
    • The Four Freshmen, 62-63, 65-66
    • Armstrong


      Louis Armstrong, 63-64

    • The Vienna Boys Choir, 63-64
    • The Romeros, 63-64
    • Lou Elgart, 63-64
    • Erroll Garner, 63-64
    • Chad Mitchell Trio, 64-65
    • Al Hirt, 64-65
    • Don Shirley Trio, 65-66
    • Kingston Trio, 65-66
    • We Five, 65-66
    • Serendipity Singers, 65-66
    • Stan Getz, 65-66
    • The Rooftop Singers, 65-66
    • Simon and Garfunkel

      Simon and Garfunkel

      Simon and Garfunkel, 66-67

    • Bitter End Singers, 66-67
    • Smokey Robinson and the Miracles, 67-68
    • The Four Seasons, 67-68
    • Flip Wilson, 67-68
    • Neil Diamond, 67-68
    • The Association, 68-69
    • The Turtles, 68-69
    • The Four Tops, 68-69
    • The Jaggerz, 68-69
    • The Vogues, 68-69
    • Iron Butterfly, 69-70
    • Tom Rush, 69-70
    • Lou Rawls, 69-70
    • Rotary Connection, 69-70
    • Chambers Brothers, 69-70
    • Sergio Mendes and Brasil, ’66 70-71
    • Country Joe McDonald, 70-71
    • Alex Taylor, 70-71
    • chicago_logo_webChicago, 70-71
    • Ides of March, 70-71
    • Freeport, 70-71
    • Sha Na Na, 71-72
    • Poco, 71-72
    • Humble Pie, 71-72
    • Glass Harp, 71-72
    • Peter Yarrow (of Peter, Paul and Mary), 71-72
    • Sly and the Family Stone, 71-72
    • Ruth Copeland, 71-72
    • Richie Havens, 71-72
    • The Beach Boys, 71-72
    • Seals and Crofts, 72-73
    • Barnstorm (featuring Joe Walsh), 72-73
    • Don McLean, 72-73
    • Steeleye Span, 72-73
    • Tir Na Nog, 72-73
    • Procol Harum, 72-73
    • Boz Scaggs, 72-73
    • Spooky Tooth, 72-73
    • Edgar Winter, 72-73
    • Blood, Sweat & Tears, 72-73
    • Beck, Bogert & Appice, 72-73
    • aerosmith-logo_webAerosmith, 73-74
    • Mott the Hoople, 73-74
    • Gordon Lightfoot, 73-74
    • Linda Ronstadt, 73-74
    • Jackson Browne, 73-74
    • B.B. King, 74-75
    • Bruce Springsteen, 74-75
    • Pure Prairie League, 74-75, 75-76
    • Brian Auger’s Oblivion Express, 74-75
    • Michael Stanley Band, 75-76, 76-77
    • Melissa Manchester, 75-76
    • Orleans, 75-76
    • The Outlaws, 75-76
    • Elvin Bishop, 75-76
    • Laura Nyro, 75-76
    • Flo & Eddie, 75-76
    • Southside Johnny and the Asbury Jukes, 76-77, 86-87
    • Image converted using ifftoanyHeart, 76-77
    • The Kinks, 76-77
    • Nils Lofgren, 76-77
    • Dickey Betts, 76-77
    • Steve Gibbons Band, 76-77
    • Alex Bevan, 77-78
    • Kevin Richards, 77-78
    • Michael Spiro, 77-78
    • Chuck Mangione, 77-78
    • Breathless, 77-78
    • Steve Forbert, 78-79
    • Warren Zevon, 79-80
    • Stewart


      Talking Heads, 80-81

    • The Psychedelic Furs, 82-83
    • David Johansen, 82-83
    • Wild Horses, 83-84
    • Otis Day and the Knights, 84-85
    • Bruce Cockburn, 84-85
    • Al Stewart, 84-85
    • Stryper, 85-86
    • The Romantics, 87-88


It’s Pronounced Yee-ros

Lately, my email has been flooded with an array of white papers, news links and general narrative groping discussions of Eurodollar futures. The recent movement of Lie-bor sets started the nostalgic looks at the once "largest pit in the world." Recently, the articles have dug deeper - and in my opinion, more accurately - into the risks hidden in the Gyro-dollar contract.

Bloomberg highlighted the BIS paper on PIMCOs warehouse of contracts at Bill Gross' untidy exit to Janus. (Now a tag line for anyone or anything facing an abrupt change) Gross held 1.2 million contracts according to BIS along with an ego maniac amount of short vol T positions. Well after the fact, smart people are realizing the connection between these positions and the T melt up. For novices, 1000 contracts has a notional 1B value, so Gross' fall at the firm he created is attached to his Tony Montana sized mound of Gyros. A small country's GDP worth to be exact.

These positions are green lit by the Fed's - wrong headed in our opinion - desire for openness that morphed into Forward Guidance. Eurodollars have begun to gyrate sans any official Fed activity. More tremors should be expected and, as always, the positions will be the problem. Government suppressed volatility creates a nasty side effect of markets being driven violently by liquidation. How many more practitioners will be heading to janus soon?

Oh, Those Guys

Last week, in the post below, we questioned the reasoning behind 2 disparate views of the Treasury market. Friday, after comments from various CB plutocrats in the mountains, both gentlemen were hung out to dry. The belly dropped out of the curve and the SP and Dow future tagged down pattern objectives.

The media focused on the small tweak in FF futures. As @mark_dow pointed out prior to the Fed yakking, the odds were about 33%. After Yellen (backed up by Fisher, such a misogynistic business) the betting line moved to about 36%. This activated the usual wave of "What do bond guys know that Fed doesn't ?" (excluding our 2 friends mentioned in prior post !) memes. Skipping past the Nov. election meeting, hike pricing jumps in Dec. Historically, a move in Dec would show "measured pace" to be 1 in Dec 2015 and 1 in Dec 2016 - oh how time flies when you're stuck in the upside down.

I've never been a fan of hedging away stub risk or taking clues from the 30 day average contract anyway. Fed Funds Futures are like a sign on a well traveled highway that you glance at while cruising by. The funding rate may go up in Sep, Nov or Dec in our opinion but the annual shifting of the window hardly seems deserving of all the angst.

Who Are These Guys ?

On the 5 Year

By Vincent Cignarella
(Bloomberg) -- If the Fed were going to raise rates, central-bank demand at today’s 5Y auction would have been minuscule, Hilltop Securities’ Mark Grant writes in email; instead, indirects, which include CBs, took down record 68.7%.
Central banks “speak to each other” and “there is a very large hint here”; “central banks would be in with both barrels” if the Fed isn’t planning to raise rates

AND from Jeffries' Tom Simons via Fidelity Fixed Income: 5 Year has ALL Hallmarks of a Liquidity Event

Really guys? This is what passes for FI commentary 8 years into the Upside Down? The auction was either A) CB signaling the all clear or B) a system seizure. LULZY, please try a little. I understand Mr. Cignarella not chuckling and telling the esteemed Mr Grant (great name for an FI guy ) of Hilltop Securities to go read a book...but what the heck is Fidelity Fixed Income streaming on Mr. Simons' crazed opinions for?

Here's my advice to both men, unsolicited, from a grape stomping semi-retired former practitioner - Show 1 cell of dignity and RESIGN NOW. Get out of the game. You're making stuff up. There's plenty of actual weirdness going on in global FI, you don't need to fabricate sound bites and conspiracy theories. It is kinda funny though.


What if….

What if a rate rises in the woods at a "paced transition" and there's no one there to lift it?

Here's 2 clips from the Fed - the first from the May 2016 ARRC Roundtable and the second from Powell at the June 21 Roundtable forum:


"After extensive discussion, the ARRC has preliminarily narrowed the list of potential rates to two that it considers to be the strongest alternatives, the Overnight Bank Funding Rate and some form of overnight Treasury general collateral repurchase agreement (GC repo) rate. Because of the dominance of LIBOR in U.S. dollar interest rate derivative markets, planning for any transition to either rate poses a host of challenges. While the dealers and central counterparties currently represented in the ARRC play key roles in intermediating these markets, demand for interest rate derivatives is ultimately driven by end users. Therefore, it is key that end users play an integral role in the ultimate choice of an alternative and in an ultimate transition strategy. However, end users cannot be expected to choose or transition to trading a benchmark that does not have at least a threshold level of liquidity. Accordingly, the ARRC has thus far focused on formulating an initial transition strategy (the “paced transition”) that could potentially provide this threshold level of liquidity. This plan envisions gradually moving price alignment interest and also eventually discounting from the effective federal funds rate to the new rate chosen by the ARRC. If adopted, a paced transition would represent a first step in creating a liquid market for the alternative rate, but further work will be required – following consultation and close involvement with end users – both in developing the details of an initial transition strategy and in planning for a full transition strategy that would move a more significant portion of the derivatives markets away from LIBOR to the new rate. Following the publication of this interim report, the ARRC intends to consult widely and closely


In saying this, I want to make it clear that LIBOR has been significantly improved. ICE Benchmark Administration is in the process of making important changes to its methodology, and submissions to LIBOR are now regulated by the United Kingdom's Financial Conduct Authority. However, the term money market borrowing by banks that underlies U.S. dollar LIBOR has experienced a secular decline. As a result, the majority of U.S. dollar LIBOR submissions must still rely on expert judgement, and even those submissions that are transaction-based may be based on relatively few actual trades. This calls into question whether LIBOR can ultimately satisfy IOSCO Principle 7 regarding data sufficiency, which requires that a benchmark be based on an active market. That Principle is a particularly important one, as it is difficult to ask banks to submit rates at which they believe they could borrow on a daily basis if they do not actually borrow very often.

That basic fact poses the risk that LIBOR could eventually be forced to stop publication entirely.

Sources tell me several wall hangers in the discussion wondered why the FF rate couldn't just be used.? This should startle you to realize many people charged with this mission are ignorant. The Powell quote shows more understanding, "as it is difficult to ask banks to submit rates AT WHICH THEY BELIEVE THEY COULD BORROW ON A DAILY BASIS IF THEY DO NOT ACTUALLY BORROW VERY OFTEN."  But he's wrong too - its actually far too easy.  In fact, you just submit what you want. And that is where all the Lie in "Lie-bor" originated. The rate was constructed to be the offered rate. What is the rate that you would, are, offer a like entity for this tenor. The revised, but obviously still used, bank manipulated question; Where do you BELIEVE you could borrow ? is at best the bid side and -as we found out - at worst a mirage.

But who cares? right...its just regulatory. And what difference if a few saps who took floating mortgages get bumped, right? But what of the alleged 300 TRILLION in "stuff" link-marked (can't really call it benchmarked anymore) to the ephemeral phantasm rate? The open interest in Gyro-dollars might be calculated to some other, prior, notion of said ghost/memory. It's just heartening to know smart people are on it !

Stranger Things

This morning I got an email from David Kotok of Cumberland Advisors. The title was "Libor !" and the gist - embedded in a half-dozen mind numbing analyst papers - was they had gone defensive because of the rising rate and widening spreads between HQLA and sub-HQLA "assets". This topic has been mentioned (cough, cough) several times in the delusional ramblings between me and my imaginary dog , Hooper, here in this blog.

Some background : When the recovery was in its infancy (the one that is "sub-par", "non-existent" or "just CB induced" depending on the pundit) the Obama administration invited a gaggle of us to the Treasury Dept. to meet with the economics team and discuss their plans and offer input. The Sec. of the Treasury, Tim Geithner (you know the guy everyone on TV painted as an idiot - but happened to be one of the brightest minds I've come across) was "officially" not there, (Spoiler Alert: he was there) Along with a few egomaniacs, a couple of interesting guys, a female copper haired consensus retail economist and one jaded small time trader (moi) was a polite and gracious older gentleman named Bob Eisenbies. This is where Bob, former Fed-er, now Chief Economist of Cumberland Advisors and I met and became friends.

Bob and I continued to chat after returning to our home bases and he mentioned our conversations to David who was kind enough to bump me to the head of the line with an invite to his annual fishing/shadow Fed awesomeness nicknamed Camp Kotok. The timing of this gathering is the first weekend in August which usually meant the Employment Report release would find us all jostling for phone/internet service before heading out to fish. If you noticed, there was a post about this year's confab on the back page of section 1 in last week's WSJ. So, my long winded "heads -up" is that a couple weeks after eating, drinking and fishing with some of the more dynamic thinkers, money managers and Fed staffers of the business; Cumberland has gone defensive.


Monday Patterns

We used to watch for linear days on Employment data. Another tid bit was 2 months revisions that go in same direction of the data print. The following Monday (i.e. today) would present an "inside up" (or inside down if a linear up day) and some position reduction. This would set up a Tuesday failure and new low (high). If the market continued the pattern creating an outside new range - like today - the move was more likely to be exhausted. Both Treasury Notes and Spoos are exhibiting the latter pattern characteristics today.

Friday Stuff

Things no one cares about except @Conorsen and me.

Treasury Bill rates look like this: 3m -.26. 6mo - .41. 1 year - .51 and 2 years at .76.

The 5 year is around 1.10 and the 10 year is 1.53. 1o year rates should be an extrapolation of 1 year rates into the future with various adjustments for coupons, day counts, forwards, futures and convexity.

3 month LIBOR set at .77 sending an old metric known as the TED spread out again. The 12 month rate (the rate we watch that fits nicely far enough away from the FF gravitational pull and  fills the gap until the 2 yr note) hit a new high of 1.47%. The 3 month set was 66 a month ago, when pundits began to count days and shrug off regulatory changes, and a paltry 30 one year ago today. Rates are falling I am told by the WSJ and the TV.

By next week, it is quite probable that 12 month "money" will be within a gnat's whisker of the 10 year government note rate. Ponder for a second the chasm between dollar interbank and many DM negative yielding "tax contracts." One has to wonder, how can the price of money be so high and debt yield so low? Considering that quantitative monetary policy is used to make the distinction between money and debt evaporate, what has gone wrong? More importantly, why are Conor and I the only 2 people who seem to care?

Who’s Doing It ?

WSJ Section C1, yesterday, upper right corner. Under the heading "Trading Places" a chart of the 6 year bear market in FI trading at GS, MS, C, BofA and JPM. Goldman and Citi vaporized the largest shares of FI trading with MS making a bold 2011 attempt to ramp up that was quickly aborted. Interestingly, the gist of the article was on increased scrutiny by the SEC to disclose more about their trading ops and revenues. "Hey, we realize you don't do this anymore, so could you now shed some light on it ?!"

The real question is, if these heavily regulated institutions are no longer in the business, who exactly is ? The market for FI is bigger than ever. Anything with a yield north of 1 is considered attractive by default. (see what I did there?) The truth is for all the whining about equity "dark pools", FI trading - from Uncle Sam's stuff to the sketchiest junk - is performed by a cabal of private low profile operators. Central Bank quantitative measures provide pedestrian cover to the activities. Ask John Q. who buys FI and he'll quickly tell you, "The Fed."

Witness the evaporation in JGBs of late and the regulatory reduction in Big 5 FI trading feels a little more scary. When bond prices fall, it seems no one is still "in the business."