October, 2010
FTfm on AV
Some highlights from Monday’s FTfm.
Indemnity plan could cost €28bn
Europe’s asset management industry faces a bill of as much as €28bn to fund a continent-wide investor compensation scheme demanded by Brussels.
Bubbles inflate because we’re a bunch of saps
We like to get quirky on Friday afternoons, so here’s an item about gullibility and financial crises.
It’s hardly controversial to assert that mass psychology plays a lead role in the formation of asset bubbles — but would it help if we had the tools to actually measure collective irrationality?
From the abstract to a new paper by Andrew Odlyzko,
SEC: ‘quote-stuffing’ not responsible for the flash crash
A grateful tip of the hat to David Merkel of the excellent Aleph Blog, who left a comment in a previous post directing us to page 79 of the flash crash report.
We previously reported the findings of Nanex,
NY Fed: more, please
Those Fed presidents really love giving speeches, don’t they?
After this week’s statements by four other regional presidents, who differed on both the economic outlook and their preferred policy recommendations,
SEC releases flash crash report
The anticipated SEC report on the May 6 flash crash is out. Here’s an excerpt:
At 2:32 p.m., against this backdrop of unusually high volatility and thinning liquidity, a large fundamental5 trader (a mutual fund complex) initiated a sell program to sell a total of 75,000 E- Mini contracts (valued at approximately $4.1 billion) as a hedge to an existing equity position.
Analysts: the good, the lucky and the unable
Some analysts are better than others. That much we know.
But how to distinguish between — and capitalise on — those who ‘get lucky’ with their last calls and those who have a genuine tendency to make ‘accurate’ recommendations?
A new academic paper,
Unintended consequences of a prop desk’s extinction
FT Alphaville attended an introductory course to securities lending and shorting the other day.
And amongst the interesting snippets divulged — especially in light of Michael Lewis’ recent article on the mysterious disappearance of prop traders — was a chart,
[Shameless FT Tilt promo] As the west wilts…
Consider this post to be the first in an occasional series of random promos for FT Tilt.
Here are two charts drawn up by the ever-thoughtful Ian Harnett and team at Absolute Strategy Research.
The first shows how,
An ISM breakdown
The ISM PMI for September was 54.4, essentially posting a correction from its unexpectedly high reading for August and coming in slightly below estimates.
One way to read this is that although manufacturing activity continued expanding,
A psy-QE-logical problem
David Rosenberg thoughts on QE v2.0 are complex indeed.
Though he’s detailed at length why quantitative easing will flatten the yield curve — this time — he’s rather dubious of its actual effects on the US economy,
UBS analysts see a $1 trillion headwind for Europe’s banks
Risk-weighted assets are cropping up all over the place this week.
We’ve had Barclays Capital and Credit Suisse unveiling their own estimates for RWAs under the new Basel III rules. Meanwhile, JP Morgan published a note lamenting the the shift of banks’ securitisation exposures from a capital deduction to risk-weighting.
Cash stash, charts du jour
Corporate cash hoarding is still on the rise.
And here, courtesy of UBS’s global investment strategy team, is the extent to which it’s increasing among US non-financial corporates:
Cash now accounts for more than 12 per cent of market cap in the non-financial universe,
A rash of MMF rating withdrawals at Moody’s
The latest money market funds to be stripped of their triple-A credit ratings by Moody’s belong to Goldman Sachs.
From a Friday statement:
Moody’s withdraws Aaa/MR1+ ratings of two Goldman Sachs money market feeder funds
London,
Markets Live transcript 1 Oct 2010
Markets Live chat transcript for the chat ending at 11:11 on 1 Oct 2010. Participants in this chat were: Izabella Kaminska Tracy Alloway IKtesting TAIs it safe to come out?
So long SLS, and thanks for all the liquidity
Here’s Paul Fisher waving a curt Bank of England farewell to the Special Liquidity Scheme it started back in 2008.
From a Thursday speech by the Monetary Policy Committee member:
During early 2008,
What price Tokyo’s (first round) of intervention?
The details of Tokyo’s first yen intervention in six years have emerged from the Japanese finance ministry.
As Bloomberg reports on Friday, Japan sold Y2,120bn in the month through to September 28 in a bid to weaken the yen after it rose to a 15-year high on September 15.
A surprisingly large QE-ffect
A new paper from the Fed’s finance and economics discussion attempts to shed light on the flow and stock effects of large-scale Treasury purchases — in other words, quantitative easing.
After analysing chunks of data in Cusip form,
The fate of Anglo Irish sub-debt
What gory fate does Brian Lenihan have in mind for Anglo Irish Bank subordinate debt investors?
Unveiling details of the as-much-as €50bn bail-out of Ireland’s banks on Thursday, the Ireland finance minister remarked that:
Further reading
Elsewhere on Friday,
- Michael Lewis’s prop trade mystery.
- The market is out on a limb.
- “Fiscal austerity does not boost short-term growth.”
- Cold feet after gold’s hot, hot run.
- The 10 winning ideas for Goldman’s new ad campaign.
Pink picks
Comment, analysis and other offerings from Friday’s FT,
Philip Stephens: Britain’s farewell to arms
Britain is stepping back from the world, says the FT’s Philip Stephens. David Cameron’s government had imagined a measured withdrawal,
Snap news
Breaking pre-market news on Friday,
- Repsol agrees to sell $7.1bn stake of Brazil unit to Sinopec – Bloomberg.
- Corporate: Tottenham Hotspurs, First Quantum Minerals, City of London Investment Group,