July, 2010
There’s a silver lining in every flash crash…
So says JP Morgan’s Michael Cembalest, who might well take an interest in the events of May 6.
As protectorate for “several hundred billion dollars in client assets,” the JPM private banking chief investment officer says he’s very interested in anything that might “detract”
The end of diversification?
Back in 2007, the CFTC filed a complaint against Dutch high-frequency market maker Optiver for manipulating energy futures via a practice known as ‘banging the close’.
In 2008, Optiver was charged in connection with the case,
JP Morgan says earnings per share $1.09 in Q2
JP Morgan reported second-quarter EPS around 40¢ above market expectations on Thursday at $1.09 — although ex-exceptional brought this down to $87.
Flashes, via Reuters:
RTRS-JPMORGANCHASE REPORTS SECOND-QUARTER 2010 NET INCOME OF $4.8BILLION,
Markets Live transcript 15 Jul 2010
Markets Live chat transcript for the chat ending at 11:30 on 15 Jul 2010. Participants in this chat were: Neil Hume, FT Bryce Elder NHGood morning NHhola NHbonjour
Europe’s SPV – not saving anything?
Not the €440bn European Financial Stability Facility then, but €366bn?
German paper Süddeutschen Zeitung reported on Wednesday that the EFSF would be €74bn smaller than the €440bn planned, because of the collateralisation needed to get that triple-A rating.
The Macondo ‘Costometer’
Introducing the Macondo ‘Costometer’ from Citigroup.
Unfortunately you can’t manipulate the data, but it could be used as the basis for a spreadsheet.
Have fun!
Notes
Citi reckons the clear
Key man risk all over again [updated]
You’d think Guillaume Rambourg’s exit from Gartmore would be priced in by now.
And you’d be wrong. Some early share action on Thursday:
How much key man risk is left, we wonder?
Update (8.55 GMT):
The refined European bank haircut
Forget questions over sovereign bond haircuts — they’re a definite go in the eurozone banking stress tests — even if rumoured clipping amounts are somewhat divorced from CDS-implied loss levels.
The newest stressed-out issue is whether those haircuts will apply to all the government bonds on banks’ books.
China’s trust factor
With warnings like these, you can see why trusts are becoming an issue for China:
—
Fitch Ratings cautions that [Chinese] lending has not slowed nearly as much as official data suggests, due to the increasing amount of credit being shifted off of Chinese banks’ balance sheets via informal securitisation (ie the re‐packaging of loans into investments products for sale to investors).
Further reading
Elsewhere on Thursday,
- It’s all gone quiet in the eurozone, or has it?
- The evolution of commodity investing.
- Cassandra time.
- Is the Vix giving us a signal?
- Fed minutes flashing caution.
Pink picks
Comment, analysis and other offerings from Thursday’s FT,
Gillian Tett: Asian players are a worry for eurozone
As Europe prepares to publish the results of bank stress tests, it is not simply the behaviour of the bond market that is “intimidating” governments,
Snap news
Breaking pre-market news on Thursday,
- Dimension Data recommends £2.1bn/120p a share cash offer from Nippon Telegraph — statement.
- Fairfield Energy postpones IPO “in light of market conditions”
FOMC minutes show Fed expects lower inflation, higher unemployment
The Federal Open Market Committee on Wednesday released the minutes of its most recent two-day meeting.
Highlights of their “summary of economic projections” are below, emphasis FT Alphaville’s:
FOMC participants’ forecasts for economic activity and inflation suggested that they expected the recovery to continue and inflation to remain subdued,
Star trader Guillaume Rambourg resigns from Gartmore
Guillaume Rambourg, the star hedge fund veteran at the FTSE-listed UK asset manager Gartmore has resigned from the firm.
Here’s the RNS:
Gartmore Group Limited
ANNOUNCEMENT REGARDING GUILLAUME RAMBOURG
London,
CDS report: Earnings vs economy
The optimism instilled by the solid start to US earnings season took a knock today after investors received a reminder that the economic backdrop is far from rosy.
Markit iTraxx Europe 113.5bp (-1.5),
Euro-nostalgia
Tip of the hat to Alea for this. A European Central Bank academic paper reveals the euro’s burgeoning global role…
…last year. From the summary (our emphasis):
The year 2009 was characterised by a severe global economic crisis and serious disruptions to global financial markets…
Cold shouldered by the Takeover Panel
Things you probably didn’t know about the City of London.
The first in an irregular series starts with Wednesday’s news that the Takeover Panel — the body which polices all mergers & acquisition activity in the UK — has “cold shoulder”
Pay (I)TV
Shares in ITV, the UK’s biggest free-to-air broadcaster, are under pressure on Wednesday.
Merrill Lynch has done the damage, cuttings its recommendation to “underperform” because it believes ITV’s forthcoming strategy review won’t address the fundamental limitations of its business model.
Fitch goes aaaagh on Chinese securitisation
Frightened with Fitch on Wednesday.
The rating agency has looked at where Chinese lending is disappearing to — only to reiterate that rather too much is flowing into the black hole of informal securitisation.
Regulators acting at the speed of fax
Hat tip to @carlcarrie via Twitter for the following priceless nugget of information regarding some of the regulatory processes governing the increasingly fast-paced world of high frequency trading across non-equity based asset classes.
Is something really scary coming in October?
What on earth is going on with the Vix?
Dedicated Vix watchers at the Daily Options Report and Vix and More blogs are getting a little agitated.
It’s all down to the Vix futures contango, which has sharply steepened recently.
Markets Live transcript 14 Jul 2010
Markets Live chat transcript for the chat ending at 11:27 on 14 Jul 2010. Participants in this chat were: Neil Hume, FT Bryce Elder NHdum, dum, dum, dum NHit’s 11.03am
The banking ‘miracle’ – debunked [updated]
The Bank of England’s executive director of financial stability has a refreshingly straight-forward answer to his self-imposed question “The Contribution of the Financial Sector: Miracle or Mirage?”
His response:
Banco Santander vs Bank of BMW
2010 is shaping up to be a good year for Germany’s luxury carmakers.
In April, Daimler caught investors on the hop with a sudden doubling of its profit expectation, and on Tuesday arch-rival BMW increased its profit and sales forecast for 2010.
Greece, more Daedalus than Icarus, for now
The Greek Treasury knew better than to fly too close to the sun.
Tuesday’s rollover of T-bills by the Hellenic Republic went pretty well, in and of itself.
While maturities on offer were shortened to six months from 12 in a last-minute fit of prudence,
Nothing fundamental about this rally
What has really caused this?
. . . and this?
(Note the S&P 500 is now 7.1 per cent above the 10-month low reached on Payrolls Friday 12 days ago and just around 1.5 per cent away from its 200-day moving average).
If the economy is running on life support…
. . . What happens when the batteries run out?
That could very well be the case, as the long-awaited ‘rare earth elements’ shortage is supposedly about to hit US shores any second.
China, according to Bloomberg,
New (inflation swap) derivatives in town
RIP RPI?
As part of its emergency Budget, the UK government wants to switch public sector pension pay-outs from being based on the Retail Prices Index (RPI), to the Consumer Prices Index (CPI). CPI has generally been lower than its RPI-cousin,
Is the Bank of England the new OBR?
Bowler hats and umbrellas at dawn — it’s a Bank of England spat (maybe) .
Former Monetary Policy Committee hellion David Blanchflower writes in his latest Bloomberg column:
During my time on the Bank of England’s Monetary Policy Committee,