Posts from Friday May 4 2012

The Weekender

This week on FT Alphaville,

A big debate kicked off about Black-Scholes and models in the crisis. Read more

CDX tranches, now trading without delta near you!

Back up a moment to remember what first brought JP Morgan’s Chief Investment Office to our attention.

It was a bunch of hedge funds complaining to journalists that big trades done by the CIO were causing the Markit CDX.NA.IG.9 credit index to become a lot cheaper than its component parts. Read more

As good as… Moynihan

Spotted by the FT’s Shahien Nasripour in Bank of America’s latest 10-Q filing — a perfect positive trading record in the first quarter:

 Read more

Harp-ing on about mortgages and market share

When the godfather of mortgage securitisation speaks, you listen.

This week Lewis Ranieri devoted a not insignificant amount of time from his Milken conference panelist discussion to Harp 2.0 — the US government’s refinancing programme for underwater mortgages. Read more

“A gradual deterioration in the collateral backing multi-cedulas”

Covered bonds. The sacred cows of the fixed income universe. The instruments which have never knowingly failed (thanks to their cover pool of secured assets). Magic bonds.

It should be news then that the cover pool backing Spanish multi-cedulas — Spain being one of the biggest issuers of covered bonds in Europe — is for the first time experiencing a wobble. Read more

Markets Live transcript 4 May 2012

Live markets commentary from 

US Markets Live – 10am New York, 3pm London

Join Joseph and Cardiff (and maybe some special London guests) for US Markets Live, starting at 10am New York time, 3pm UK time. Among other things, we’ll probably be talking about this…

Nonfarm payrolls in April — 115,000

Consensus had been 160k. Unemployment rate came in at 8.1 per cent. March payrolls revised up from 120k to 154k though, and February up from 240k to 259k.

Full Bureau of Labour Statistics release below… Read more

A mystery in the iShares Dax ETF

Emma Dunkley at Citywire has stumbled across a bit of a mystery.

In April, the iShares Dax ETF experienced outflows of some $5bn. For a fund which held about $13bn under management at its peak, that’s a sizeable chunk of capital that just flew out: Read more

EU plans to terminate Britain, return to Dark Ages – report

Sensational “news” via the Daily Express, which for the avoidance of doubt is a British national newspaper.

 Read more

Markets Live transcript 4 May 2012

Live markets commentary from 

The (early) Lunch Wrap

Good morning, New York…


April started bad and got worse, final PMIs show

On Friday morning, the Markit Eurozone Composite Purchasing Manager Indices were out, signalling further weakness. The manufacturing indices, released on Wednesday, had already set the scene for further deterioration not only in the periphery, but also the core. Add the services sector, and the composite reading was 46.7, versus an earlier flash estimate of 47.4, and 49.1 for March. The final reading for services alone was a full point lower, at 46.9, than its flash estimate of 47.9.

Country by country, for the composite of services and manufacturing output: Read more

Further reading

Elsewhere on Friday,

– Risk lipstick and the SEF mandate pig: a regulatory fairytaleRead more

The 6am Cut London

Facebook set a price range of $28 to $35 per share for its IPO. Using the high end of the range, Facebook could raise could raise up to $13.6bn in the offering, up from the $10bn it indicated earlier in the year, reports the FT. Based on the number of shares outstanding, the range would value the company between $77bn and $95.9bn. Mark Zuckerberg could see the value of his stake rise to $18.7bn in the share sale, says WSJ DealJournal. (Facebook S-1)

Chen Guangcheng has requested free passage to the US, in the most extraordinary moment yet in the week-long affair, says the WSJ. Mr Chen phoned into a Capitol Hill hearing from his hospital room in Beijing and made the request. The case has sparked the worst diplomatic incident in more than a decade between the US and China, says the FTRead more

Overnight markets: Down

Resources and exporter stocks led Asian markets lower with the mood tilting toward the risk averse after a soft survey of the US service sector but investors generally wary of being too bold ahead of key US payrolls data, the FT says.

The MSCI Asia Pacific Excluding Japan Index declined 0.4 per cent with Australia’s S&P/ASX 200 off 0.6 per cent and South Korea’s Kospi Composite index down 0.6 per cent. Hong Kong’s Hang Seng index declined 0.6 per cent while the Shanghai Composite index was little changed. Japanese markets were closed for a holiday. Read more