Share this page!

DC Profile picture
Twitter logo
23 Feb, 4 tweets, 2 min read
Interesting story going on with this Infinity Q fund, so let’s go thru the details before theories go crazy on this. The request for relief here may seem ominous - a fund can’t calculate the value of 1/5 of it’s portfolio - but this may not be as big an issue as it seems 👇 Image
Infinity Q was pricing swaps based on a 3rd party model, common in funds holding illiquid or OTC assets like this (or some will get a 3rd party to validate in-house models). Problem here is the CIO made some unauthorized changes, so the swap valuations cannot be approved... Image
The solution they have is reasonable I think: Freeze redemptions of the fund, since it is unknown if the CIO’s changes would reflect a fair value of the assets, go thru the model and fix it, and then liquidate the fund in a controlled manner... Image
A bad edit in Excel that affects 1/5 of your NAV is rough for sure, but imo there is no reason to suspect anything nefarious. The fund will likely shut down as planned once the model is fixed.

h/t @GordonJohnson19 who shared the full request (below) 💯

sec.gov/Archives/edgar…

• • •

Missing some Tweet in this thread? You can try to force a refresh
　

Keep Current with DC

DC Profile picture

Stay in touch and get notified when new unrolls are available from this author!

Read all threads

This Thread may be Removed Anytime!

PDF

Twitter may remove this content at anytime! Save it as PDF for later use!

Try unrolling a thread yourself!

how to unroll video
  1. Follow @ThreadReaderApp to mention us!

  2. From a Twitter thread mention us with a keyword "unroll"
@threadreaderapp unroll

Practice here first or read more on our help page!

More from @AnalystDC

DC Profile picture
22 Feb
Anecdotal evidence that $20B inflow of UST to LU in Dec 2020 was indeed Clearstream. If this is all prepping for a boom in their securities finance business, we should perhaps beware of new $CNY pumps coming online near term 👇

securitiesfinancetimes.com/securitieslend…
tldr of why this is relevant to $CNY pumps. The chart has 4 lines that seem related, but only 3 should be. CNYUSD (white) should be supported by China’s broad dollar assets (UST proxy in yellow) and leverage ratio of the major Chinese banks (red)...
However since Sept 2019 China’s gross UST holdings and the reserve ratio have gone down, both CNY bearish, while CNY itself has gone 🚀🚀🚀 alongside UST holdings of Belgium & Luxembourg (orange & green). This is the ultimate mystery here... 🤔🧐
Read 5 tweets
DC Profile picture
7 Feb
Some more detail on the recent repo crunch in China. The key here is that the month-end bottleneck was not huge relative to recent history. This means, as suspected, the real problem is in $ funding. China’s banks did not have the $ liquidity to cover the end of Jan as usual...
Since PBOC has followed a policy of keeping official FX reserves flat in recent years, it appears that they are trying to solve the problem thru off-the-books $ swaps (thus the movement of collateral to Belgium to secure these swaps, as I have observed previously)...
The repo crunch, and recent slowing in Chinese purchases of $-denominated commodities (see copper below) gives some evidence that these sources of $ may be starting to dry up...
Read 4 tweets
DC Profile picture
31 Jan
While I was distracted with the $GME drama, it appears that not all has been calm in China's repo market, with repo rates in the overnight market spiking to levels not seen in quite a few years...
This article has a pretty good background on what is happening and normally I would just leave it at that, since the details of PBOC's monetary policy are as opaque to me as they are to most other people, but a few points caught my attention...

reuters.com/article/us-chi…
The fact that the shock seems to have been most severe in HK immediately raised an eyebrow, as there have been a few other recent events in HK I had been keeping an eye on...
Read 7 tweets
DC Profile picture
28 Dec 20
🎅🎅🎅 HOLIDAY SPECIAL: COMMODITY BASED "REPO" MARKETS 🎅🎅🎅

Been sitting on this one for a while, but in the spirit of the season, let's take a look at the strange and exciting world of commodity based repo-like transactions and do some unwrapping! 😉
The rise in prominence of Islamic finance institutions, and conversion of some key EM players into fully Islamic banks has made funding transactions complying with Islamic finance conventions a fast growing market:

ibtimes.com/saudi-arabias-…
It is general consensus among Sharia boards that deferred payment for the sale of hard assets does not equal the payment of interest & thus permissible for Islamic finance institutions. This forms the basis of the commodity murabaha, often the default structure in these markets:
Read 10 tweets
DC Profile picture
15 Sep 20
🚗🚗🚗 ARE GLOBAL CAR SALES REALLY BULLISH? 🚗🚗🚗

Once again, Bloomberg gives us a mental gymnastics clinic in their urge to twist any data series into a bullish headline. This time, it's global auto sales. But is the data really bullish? Let's see for ourselves! Image
At first glance, what they are saying is objectively true. Looking at auto sales in the US + EU + China, August 2020 was indeed the best August on record so far. But does a single month make a bullish trend? Let's take some deeper cuts at the data! Image
First, auto sales data is highly seasonal, so let's smooth it by summing over the trailing 12 months. Immediately, we see that something else is at play here. Sales peaked in Sept 2018 (coincidentally, right around when yield curves started inverting and macro turned bearish). Image
Read 8 tweets
DC Profile picture
13 Aug 20
JUICY TESLA RESIDUAL VALUE UPDATE (+ $TSLA 🐻 CATNIP) 🚨🚨🚨

Some time ago I went over a recent $TSLA ABS transaction and pointed to some interesting residual value stuff that was going on in the deal. WELL, THERE'S AN UPDATE! First, remember what the issues with the deal were:
To recap, a large part (56%) of the value of the deal would come from the residual value of the leased cars. Additionally, Moody's was concerned that residual value data from auctions was unavailable and most of the info was coming from resale channels controlled by $TSLA.
Okay, but who was actually providing the residual value figures used in the deal credit analysis? That job was done by ALG, a data service owned by a small NASDAQ-listed company TrueCar. Note that both $TSLA (through finance subsidiary TFL) and Moody's reference the ALG figures
Read 7 tweets

Did Thread Reader help you today?

Support us! We are indie developers!

This site is made by just two indie developers on a laptop doing marketing, support and development! Read more about the story.

Become a Premium Member ($3/month or $30/year) and get exclusive features!

Become Premium

Too expensive? Make a small donation by buying us coffee ($5) or help with server cost ($10)

Donate via Paypal Become our Patreon

Thank you for your support!

Follow Us on Twitter!

Like this author's thread?

Get emails when @AnalystDC has new unrolls!

Check out other threads from @AnalystDC!

Read all threads by @AnalystDC