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macrocephalopod

@macrocephalopod

Paul Allen, Vice President M&A, Pierce & Pierce (Sie/Hir) | Vegan | Silence is Violence | Women’s Rights Are Human Rights | ACAB (Assigned Cephalopod At Birth)

Joined December 2020

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    1. NRI Inc‏ @NewRiverInvest 23 Feb 2021

      the infinity Q story is weird. there shouldn’t be that much dispersion between prices on the positions. i do L3 sometimes on a lot of portfolio but for a var swap that has been live already you should be able to use a composite of dealer-marks thats pretty close

      2 replies 0 retweets 7 likes
      Show this thread
    2. macrocephalopod‏ @macrocephalopod 23 Feb 2021
      Replying to @NewRiverInvest

      macrocephalopod Retweeted macrocephalopod

      Can’t link directly but see @LadyFOHF responses in this thread, speculated that they are bespoke bilateral swaps where only one dealer could/would make a price. Still sketchy as hell but maybe explains why it will take them days to cut a NAV.https://twitter.com/macrocephalopod/status/1364150892933623808 …

      macrocephalopod added,

      macrocephalopod @macrocephalopod
      Someone who knows options help me with this. When I traded variance swaps we marked them to the average of quotes that dealers sent us. For NAV we had an independent third party mark them. Why would you be marking them with a model? https://www.bloomberg.com/news/articles/2021-02-22/infinity-q-fund-seeks-sec-permission-to-suspend-redemptions?sref=vuYGislZ&utm_source=url_link …
      1 reply 0 retweets 3 likes
    3. NRI Inc‏ @NewRiverInvest 23 Feb 2021
      Replying to @macrocephalopod @LadyFOHF

      ok that makes sense kinda but only when you are past unwind decision, otherwise you can net it with another dealer and side-pocket the position for the remaining life of swap. there’s something else we dont know here. like, why L3 in the first place? its a paperwork nightmare

      1 reply 0 retweets 2 likes
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    5. NRI Inc‏ @NewRiverInvest 23 Feb 2021
      Replying to @LadyFOHF @macrocephalopod

      this sounds like the jon corzine defense, only banks get to mark to maturity, thats basic rules. this screams of a breach of internal controls, which is fraud, even if it ends up being small fraud (in $ terms) as to smooth returns

      0 replies 0 retweets 1 like
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      macrocephalopod‏ @macrocephalopod 23 Feb 2021
      Replying to @LadyFOHF @NewRiverInvest

      Like, if you thought it would expire ITM then you would prefer not to mark to market, if you don’t think it will expire ITM then you’d prefer to defer those losses and keep collecting fees? Seems like you’d have to stretch to find an answer that doesn’t sound like “fraud”.

      3:09 AM - 23 Feb 2021
      2 replies 0 retweets 0 likes
        1. skajbaje‏ @skajbaje 23 Feb 2021
          Replying to @macrocephalopod @LadyFOHF @NewRiverInvest

          Looking at the portfolio, they seem to have a bunch of SX5E USD correl swaps, SPX dispersions, but these are all dec21 and dec22 expiry. Can’t see how they can materially impact the valuations

          0 replies 1 retweet 0 likes
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        1. skajbaje‏ @skajbaje 23 Feb 2021
          Replying to @macrocephalopod @LadyFOHF @NewRiverInvest

          Also not sure if there was any disagreement on collateral postings

          0 replies 0 retweets 0 likes
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