July, 2010
Former Nomura fund chairman fingers Nomura Asset Management to the SEC
It’s a bit of an odd one this. So here’s a straight story to start:
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Nomura Asset Management USA, the American offshoot of the Japanese bank’s asset management business, has been reported to the Securities and Exchange Commission by the former chairman and chief executive of one of its funds.
Repo curve inversion?
We’re not sure how significant this is, but the US repo curve appears to have inverted.
Looking at the historical data it seems not for the first time in the last year either.
Here’s the chart:
Here’s some comment from Marc Ostwald,
The far future of Europe’s fiscal crisis
It’s summer, the Sun is high in the sky… and the European sovereign stress is low.
But that hasn’t stopped Barclays Capital looking for glimpses in the crystal ball.
As they noted on Friday, the European Financial Stability Facility’s mere existence has started to feed liquidity back into sovereigns’ refinancing,
US GDP comes in below consensus at 2.4 per cent
US GDP grew at an annualised rate of 2.4 per cent in the second quarter, according to Commerce Department data released on Friday. From the release:
Real gross domestic product — the output of goods and services produced by labor and property located in the United States — increased at an annual rate of 2.4 percent in the second quarter of 2010, (that is,
How Dodd-Frank travels – all the way to Canadian ABCP
DBRS’s Andrew Fitzpatrick has a wonderfully understated way of putting things:
. . . it would be something between ironic and sad if the best-laid plans of the Montréal Accord, a difficult but ultimately successful private-sector restructuring in response to the financial crisis,
UBS ponders the UK’s quiet CPI calibration
Is Britain’s government quietly working on a(nother) CPI/RPI change?
Back in May, the new UK chancellor George Osborne suggested to Mervyn King that he would “welcome” the Bank of England governor’s views “on how we might accelerate the process of including housing costs in the [Consumer Prices Index] inflation target.”
Markets Live transcript 30 Jul 2010
Markets Live chat transcript for the chat ending at 11:13 on 30 Jul 2010. Participants in this chat were: Miles Johnson, FT Izabella Kaminska, FT Joseph Cotterill MJHello MJand welcome to markets live
A humpy US curve
FT Alphaville reported on Wednesday that the US 10-year Treasury swap spread was back in negative territory.
But rather than looking at the historical spread for clues as to what’s going on, we thought it might be a good idea to look to the curve.
Nomura’s horrible quarter
It says a lot about recent business conditions for Japan’s biggest investment bank that an 80 per cent year-on-year plunge in quarterly net profit — reported on Friday — was at the high end of forecasts.
GrainCorp: A homegrown deal Down Under
Deal of the day — or possibly for several months — in Australia focuses on a rare bit of homegrown M&A activity in the resources sector.
This time however, it’s in the less controversial field of grains,
Citi’s super senior subprime SEC slip
One of these is a draft version of a third-quarter pre-earnings announcement Citigroup considered making in the credit-crunched October of 2007, in reference to its subprime exposure. The other is what actually went out.
Further reading
Elsewhere on Friday,
- Anatomy of Lehman’s (liquidity) failure.
- VIX and the 200 day.
- “ ) Let’s say the aggregate coupon you owe on that bond is 5%. So you have to come up with $1 million a year to pay the interest to the holders. In theory, as each note prepays or pays off, the capital account has been stacking back those funds, so when the bond retires, you can hand the principal back. But what if some of the notes aren’t paying? Well, at first blush, you’re dead, because the coupon "inbox" from the mortgagees is short. But in fact some of them have prepaid – which means that if you’re not being honest you could raid the capital "box" and make the interest payments with it. Who’s the wiser, up until the bond matures and suddenly the money that’s supposed to be there to return to the investors is missing? I know, I know, this can’t happen. Uh huh. Pull the other one folks. How many little games have been played over the last three years with accounting? Why not here? Now here’s the problem: If Fan/Fred were to implement such a "refinance/prepay" program, suddenly all the performing loans will immediately roll off. All that’s left is the non-performing one
Pink picks
Comment, analysis and other offerings from Friday’s FT,
Philip Stephens: Three years on, markets are masters again
It has been three years since the roof started to fall in, writes the FT’s Stephens.
Snap news
Breaking pre-market news on Friday,
- British Airways pre-tax loss increases to £164m from £148m — statement.
- Anglo American reinstates dividend of $0.25 per share — statement.
- Vedanta Resources posts record $794m Ebitda — statement.
Wyly brothers accused of MASSIVE insider scandal
Yes, MASSIVE. Knocks Martha Stewart, Galleon, etc into a cocked hat…
The Securities and Exchange Commission today charged brothers Samuel E. Wyly and Charles J. Wyly, Jr. of Dallas with violating federal securities laws governing ownership and trading of securities by corporate insiders.
Inflationista!
Joachim Fels just isn’t giving in.
Here’s what Morgan Stanley’s central-bank watcher had to say on his recent theme of inflation on Thursday — never mind the contrary case building for deflation:
Macro-prudence, macro-unintended consequences
With a tip of the hat to Simon Johnson, here’s a Harvard paper with a curious take on two hot topics of the financial future: macro-prudence and shadow banks.
Getting the first wrong might create (more) perverse incentives in the second.
BarCap: 1 Hamp: 0
Barclays Capital has won its battle against Hamp stats.
BarCap analysts Sandeep Bordia and Jasraj Vaidya last week criticised the latest Hamp loan performance data, published on July 20 by the US Treasury.
How to profit from the Euribor-Eonia basis
FT Alphaville noted on Wednesday how the basis between the Euribor rate (set by a panel of 42 European participating banks) and Euro Libor (as set by 16 banks in London) has been diverging on the back of the European sovereign crisis.
Markets Live transcript 29 Jul 2010
Markets Live chat transcript for the chat ending at 11:20 on 29 Jul 2010. Participants in this chat were: Bryce Elder Tony Tassell
BEAnd we’re off again.
BEGood morning
TTcool…good morning
A Panasonic tale of markets and spin
At first glance, it might look as though investors were horrified at moves by Japanese electronics giant Panasonic to transform itself into a company focused on renewable energy and energy conservation — and to spend about $9.4bn and issue Y500bn ($5.7bn) worth of new shares doing it.
ECB haircuts are trimmed, ABStylish
On Wednesday the European Central Bank whipped out its scissors to trim a little more off the top of eurozone banks’ repo collateral, as well as restyle certain market segments.
The ECB released its long-trailed revisions to the discounts financials have to take on the assets they provide the central bank in return for its liquidity.
Sovereign CDS all a-lite at LCH.Clearnet
To post collateral or not to post collateral?
That is the sovereign derivatives question of the week.
Earlier this week we learned that Portugal’s debt office is now posting collateral to derivatives dealers — a two-way CSA largely unheard of in the sovereign sphere.
Gilt-ridden
Not nitroglycerine but, umm, something altogether more stable, ya know.
Gilts have overcome criticism at the start of 2010 to become one of the best-performing assets this year. Even Pimco, the bond fund whose manager Bill Gross made that famous “gilt market is resting on a bed of nitroglycerine”
Groaning under the UK pensions rock
Pensions. Boring, deathly things that people generally try to put off thinking about.
Unless when they weight down listed UK companies even more than usual, that is, which – thanks to trends in pensions accounting analysed by Citigroup on Monday — is looking a tad likelier.
Further reading
Elsewhere on Thursday,
- The SEC gets an FOIA pass.
- ETFs may be a factor in late-day market volatility.
- No more sh***y deals at Goldman.
- Canada carries on the real-estate bubble without us.
Pink picks
Comment, analysis and other offerings from Thursday’s FT,
News analysis: Banks plan for loss of eurozone member
Banks have started early-stage planning to deal with the potential fallout on the derivatives and bond markets of a European country being forced to leave the euro,
Snap news
Breaking pre-market news on Thursday,
- Royal Dutch Shell Q2 earnings $4.5bn; $7-8bn asset sales planned — statement.
- Santander group profit down 1.6 per cent; UK profit up 11 per cent — statement.