April, 2010
The (Greek) tragedy of the quants
Take a good look at that chart, from BNP Paribas, for it is the stuff that quant models are made of.
The way this particular model, said by BNP to be a “main work horse” of quant traders, works is this:
Further reading
Elsewhere on Wednesday,
- A history of Wall Street alarmism.
- Doctor Doom’s Greek thoughts.
- Greece: ‘you say speculator, I say investor’.
- Welcome to Europe’s cohesion crisis.
- Although bank runs are its biggest problem now.
Pink picks
Comment, analysis and other offerings from Wednesday’s FT,
Martin Wolf: Why cautious reform is the risky option
Americans are obsessed with the case launched by the Securities and Exchange Commission against Goldman Sachs.
Snap news
Breaking pre-market news on Wednesday,
-Home Retail announces £150m share buyback alongside results – statement.
- BBVA reports flat Q1 net profit, says bad debts remain at same level as December – statement.
Blankfein on Capitol Hill – ‘A whole bowl of cherries…’
It’s almost 9pm, ET, and Senate subcommittee on investigations chairman Carl Levin has just wrapped up his cross-examination of Goldman Sach’s Lloyd Blankfein. From the Senators’ side this was a surgical attack — with a blunt scalpel.
A dead banker talking?
That’s Lloyd Blankfein, chairman and chief executive of Goldman Sachs, having just taken his seat at the Senate witch trials.
How long before he burns?
Shares in Goldman were up 1 per cent at the close of trading in New York on Tuesday,
Dispatch from the Milken Global Conference: Thailand’s SMEs
Dr Vachara Phanchet, Thailand’s trade representative and an engineer by training, has a wry sense of humour that is rare among his peer group.
But at the Milken Institute’s Global Conference in Los Angeles on Monday,
A certain sovereign virus…
Do the Bond Vigilantes team at M&G know how sensitive our Club Med cousins are to this sort of thing?
Swine Flu II
Exactly one year ago, an outbreak of flu in Mexico led to fears of a global pandemic.
CDS report: Downgrade and difficulties
Greece CDS started off a bit wider today as ongoing concerns about the the lack of details of the aid package and ambiguity of support across EU members were the early focus.
Greece Finance Minister Papaconstantinou made some remarks,
Restructuring the Parthenon, Part II
What’s Greek for junk? Because that’s where Greece’s sovereign debt is, after S&P slashed its rating by three notches to BB+/BB on Tuesday.
But that’s not the worst of it. This is. From S&P’s release:
In the event of a Greek default…
Following its ratings action on Portugal, S&P downgraded Greece by a full three notches on Tuesday to BB+/B — junk status. From the agency’s release:
· We have updated our assessment of the political,
Market swill
The equity price action post the S&P downgrade of Portugal.
Portugal;
Spain;
Athens;
The Euro;
Elsewhere…
S&P cuts Portugal’s ratings two notches to A-
Straight from the wire on Tuesday:
27Apr10 RTRS-S&P CUTS PORTUGAL RATINGS TO ‘A-/A-2′; OUTLOOK NEGATIVE
27Apr10 RTRS-S&P CUTS PORTUGAL’S LONG-TERM RATING TO ‘A-’ FROM ‘A+’
27Apr10 RTRS-S&P CUTS PORTUGAL’S SHORT-TERM RATING TO ‘A-2′ FROM ‘A-1′ Ā
And here are the details from S&P’s press release (our emphasis):
[Abacus] Live, from Room 106
The FT’s Alan Rappeport is live blogging proceedings at the Senate subcommittee on investigations on Tuesday.
Should be fun.
The hearing’s running order – here.
Rappeport, meanwhile, is here — refresh for the latest updates.
[Abacus] ‘My name is Fabrice Tourre’
Just in case you can’t wait for the live testimony before a Senate sub-committee later on Tuesday…
We present the prepared remarks of Fabrice Tourre, the Goldman trader accused of subprime fraud in the SEC’s complaint against his bank.
[Abacus] The running order in Room 106
We’ll have to wait a bit for the headline act. The business of the Permanent Subcommittee on Investigations gets underway at 10am – in Room 106 in the Dirksen Senate office building.
Lloyd Blankfein,
Vertical vertigo in ETFs
A definition of the vertical integration model from Wikipedia:
In microeconomics and management, the term vertical integration describes a style of management control. Vertically integrated companies in a supply chain are united through a common owner.
Markets Live transcript 27 Apr 2010
Markets Live chat transcript for the chat ending at 11:22 on 27 Apr 2010. Participants in this chat were: Neil Hume, FT Bryce Elder NHHello NHfrom Alphaville NHon Fab & Lloyd day
Buiter on Greece and a blueprint for a new Europe
Citi’s global economist, Willem Buiter, has done some serious, serious thinking on the issue of sovereign debt problems in the eurozone.
And here are the fruits of his labour — starting with Greece:
The CDS market doesn’t believe in Greece containment
So much for comforting markets.
After much to-ing and fro-ing, Greece requested €45bn in financial aid on Friday.
The result? Bond yields above 13 per cent on Monday. CDS above 700bps — and illiquid.
[Abacus] Tail risk in the Rhineland
IKB, the bailed-out German bank, has been thrust ignominiously into headlines once again.
IKB was one of the investors in Goldman Sachs’ now-infamous Abacus CDO, which lies at the heart of an SEC law suit against the American bank.
Holy rollers
Are you a Christian? Have you had enough of all this ‘evil’ finance fuss? Do you want to go good?
Meet the Stoxx Europe Christian index.
It comprises 533 European companies that only derive revenues from sources approved “according to the values and principles of the Christian religion”
Further reading
Elsewhere on Tuesday,
- Behold, the unrecovery.
- Blankfein’s testimony: ‘worthless platitudes’.
- Goldman, WaMu, and ‘garbage barges’.
- Plus, a vampire squid lexicon.
- Reconstructing the interbank bust.
Pink picks
Comment, analysis and other offerings from Tuesday’s FT,
Market Insight: Hugo Bänziger – New Basel rules must address past shortfalls
When French vineyards became infected in the 1800s it led to the collapse of the country’s wine industry.
Snap news
Breaking pre-market news on Tuesday,
- Lloyds makes Q1 profit as bad debts drop – statement.
- Deutsche Bank Q1 profit rises 48 per cent, beats expectations – statement.
- BP Q1 profits up 135 per cent on higher oil price – statement.
The mysterious “Fed staffers” document
Get those conspiracy caps on already!
Here, courtesy of the FT’s Tom Braithwaite, is the four-page document that has helped block financial reform legislation in the Senate. For now.
Dated April 24,
Blankfein: “It was one of the worst days in my professional life”
Short and sweet enough to post in full — prepared remarks from Goldman Sachs chairman and chief executive, Lloyd Blankfein ahead of his appearance before the Permanent Senate Subcommittee on Investigations on Tuesday…
CDS report: US financials in the frame
Credit markets were active again on Monday with continued focus on Greece and the eurozone peripherals as well as the US financials.
Greek bonds widened out early as the markets continued to consider the challenges in multiple member-states coordinating delivery of the financial aid package requested by Greece last week.
Derivatives reform: Swap-ocalypse Now
Credit default swaps were up a tad on US banks on Monday — Goldman up at about 162bps, 20 bps more than on Friday, for example; Citi up 18 bps, to 184 bps.
Gosh. What’s the problem? Simple. Here it is: