After the deluge comes … erm … the deluge.
Commercial Mortgage Alert reports that 37 shops are now in the business of actively originating commercial mortgage-backed securities (CMBS). That’s up from 27 such CMBS “conduits” in existence a year ago, and just shy of a peak of 38 originators tallied in 2007 and 2008. That’s pretty impressive work for a market that all but collapsed after the crisis. Read more
Claudius was a Roman emperor from AD 41 to 54.
Claudius notes are Tier 1 instruments that were issued by Credit Suisse back in 2010 and which feature a call date that first comes into effect in December 2015. Except, as bank bond investors have experienced from time to time, the issuers of such securities have an unnerving tendency to sometimes behave unexpectedly. Credit Suisse made some noise when it released earnings last week that it may call the Claudius bonds thanks to something known as a “regulatory par call.” Read more
This occasional Alphaville contributor just got back from a prolonged reporting stint in Las Vegas.
On the agenda was not one but two securitisation conferences. Some readers may recall that the American Securitization Forum (ASF) has for many years hosted an annual gathering, most often in the pleasant confines of the Aria hotel in Las Vegas. This year, a bitter schism within the securitisation industry meant there were dueling conferences – one organised by the ASF and the other by the break-away Structured Finance Industry Group (SFIG). Read more
Much accounting intrigue in JPMorgan’s recently-released fourth-quarter results.
According to the bank, it incurred a $1.5bn hit to net revenue after “implementing a funding valuation adjustment.” Read more
Commercial paper has a long and varied history.
Initially a form of promissory notes sold by companies, the short-term debt became (in)famous after banks co-opted the stuff in the run-up to the financial crisis — selling hundreds of billions of dollars worth of the paper as a way of raising cheap short-term financing. Buyers of the bank-issued paper got nervous during the crisis, and financial institutions soon found themselves unable to roll over the short-term financing, exacerbating the general freezing of markets. Read more
“We haven’t forgotten who keeps us in business,” reads the slogan on the website of Zions Bancorp, Utah’s biggest bank. Read more
Euromoney reports on Wednesday that Citigroup is attempting to revive “leveraged super seniors,” a type of synthetic CDO not seen seen the financial crisis. We take a (no doubt unhealthy) interest in all things LSS, given our previous experience helping out on this series of Financial Times stories. The stories involved three former Deutsche Bank staff who blew the whistle on the way the German bank was allegedly valuing so-called “gap risk” on $130bn worth of LSS of trades. Read more
Alternate title – Did Goldman Sachs lose $1.3bn in currency trades in the third quarter, or not? Read more
And enjoy sub-par returns for the next 12 months.
No, this is not FT Alphaville’s marketing department shooting itself in the foot. This is the conclusion of a recent paper examining the effect of advertising on hedge funds’ inflows and returns. Read more
Midnight Madness, that Goldman Sachs-led all-night lavish scavenger hunt/puzzle-solving competition/performance art so wonderfully described by Quartz earlier this year, is back and expanding. This year the charitable event will include Citigroup, Credit Suisse, BlueMountain, and Secor Asset Management all fielding teams to compete against Goldman.
Below you can see the pitchbook that was sent to potential participants (in typical banking style) earlier this year: Read more
There’s an oft-quoted number in the debate raging over liquidity in the bond market.*
It is, depending on the week, 75-78 per cent — the amount by which dealer banks’ inventories of corporate bonds are said to have declined since their peak of $235bn in 2007, according to Federal Reserve data. Read more
They are billed as a quick and easy way for investors to gain access to higher-yielding assets while still providing some protection if interest rates start to rise. They are ETFs which track portfolios of (floating-rate) bank loans.
And they are on fire. Read more
How much would you pay to make Goldman Sachs feel slightly uncomfortable?
The City of Oakland, California plans to dish out $226,378. Read more
That’s a SEC filing for the Winklevoss twins’ brand-new Bitcoin exchange-traded fund. For realz. Read more
The world is becoming intimately acquainted with the technical ins-and-outs of the Bloomberg LP empire.
There is Bloomberg’s bread-and-butter business of selling sophisticated data terminals to thousands of banking, hedge fund and regulatory authorities around the world. There is also the well-respected news wire run by Matt Winkler. Read more
Here’s a moderately informative activity for a Friday afternoon.
Log on to your Bloomberg terminal. Type UUID <GO> Read more
Eurobank recently lowered the over-collateralisation (OC) of its second covered bond programme to the bare minimum allowed by Greece’s covered bond law. Avid covered bond-watchers (there must be a handful of you out there) will know of course, that specially designed legal frameworks are one of the big perks of the covered bond structure – along with juicy benefits like an overstuffing of assets and the dual recourse nature of the centuries-old debt instruments. Read more
Are you a bank agonising over whether to keep your triple A-rated covered bonds as part of your liquidity buffer or send them to the European Central Bank? Not sure what to do with your AA-rated non-financial euro corporate debt?
Then you need this handy table from BofAML’s structured finance guru, Alexander Batchvarov. Read more
GOLDMAN SACHS HAS A SECRET PROPRIETARY-TRADING UNIT THAT IS RISKING THE BANK’S OWN CAPITAL BY MAKING INVESTMENTS AND CEO LLOYD BLANKFEIN SAID GOLDMAN WASN’T PROP-TRADING ANYMORE AND THAT IS WRONG AND HE LIED AND HE SHOULD BE HOG-TIED WITH HIS OWN BLACKBERRY CHARGER.
That’s a typical reaction to this Bloomberg piece on Goldman’s “secret” prop-trading team for you. Read more
Buried in Morgan Stanley’s decent third-quarter results (excluding the absurdity that is DVA of course) is this intriguing footnote:
Morgan Stanley’s average trading Value-at-Risk (VaR) measured at the 95% confidence level was $63 million compared with $76 million in second quarter of 2012 and $99 million in the third quarter of the prior year. The Firm modified its VaR model this quarter to make it more responsive to recent market conditions.
Oh, those international accounting standard-setters. Such drama queens.
On Wednesday, the International Accounting Standards Board (IASB) and its US counterpart, the Financial Accounting Standards Board (FASB), held a joint meeting to discuss impairment. Read more
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
What’s this? Something you haven’t seen before in Goldman Sachs’ results?
Net revenues in Investing & Lending were $2.14 billion for 2011. Results for 2011 included a loss of $517 million from the firm’s investment in the ordinary shares of Industrial and Commercial Bank of China Limited (ICBC) and net gains of $1.12 billion from other investments in equities, primarily in private equity positions, partially offset by losses from public equities. In addition, Investing & Lending included net revenues of $96 million from debt securities and loans. This amount includes approximately $1 billion of unrealized losses related to relationship lending activities, including the effect of hedges, offset by net interest income and net gains from other debt securities and loans. Results for 2011 also included other net revenues of $1.44 billion, principally related to the firm’s consolidated entities held for investment purposes. Read more
For today’s edition of history rhyming, have a look at this (seminal) piece of research from Citigroup’s Matt King.
On September 5 2008 — just weeks before Lehman Brothers collapsed — the Citi credit strategist sent out a research note carrying the provocative title of “Are the brokers broken?” The thesis was simple: America’s broker-banks were funding nearly half their own assets through repo transactions. Read more
Or, Allianz talking out of its… ah, never mind.
The German insurer has recently taken to touting a proposal for the EFSF to insure sovereign debt. Read more
Elizabeth Duke, a Federal Reserve governor, called for fresh government action to help troubled homeowners on Thursday as the number of distressed borrowers entering the administration’s primary foreclosure-prevention scheme fell to a two-year low, the FT reports in its rolling global market overview. Germany’s Dax index was the worst performer in initial trading, falling 1.7 per cent. Italy’s FTSE MIB index was down 1.3 per cent, followed by Spain’s Ibex and France’s CAC gauges, which both shed 1.2 per cent. The FTSE 100 fell 0.9 per cent on opening. Financial institutions came under particular pressure.