August, 2011
The difference of five billion euros [updated]
Update 1435 UK time: The number’s in and it’s €22bn, which takes the total for all ECB bond purchases to €96bn. Again, watch those sterilisation numbers (bid rate, total size of bid, etc). Related fact du jour — the ECB liquidity surplus currently stands at €160bn based on the lending operations that took place in August,
‘Flash crash’ facts
Via JPMorgan:
Further reading
Elsewhere on Monday,
- Cassandra does Texas.
- Felix Zulauf: “Own a lot of gold, and don’t have debt.”
- Investment banks, hedge funds and unholy union.
- The oligarch’s lament.
- Why the oil price collapse may be too late for growth.
Pink picks
Comment, analysis and other offerings from Monday’s FT,
Clive Crook: Fed must fix on a fresh target
A prevailing misconception about US economic policy is that no good options remain, writes the FT’s chief Washington correspondent.
Snap news
Breaking pre-market news on Monday,
- Transocean makes $1.43bn offer for Aker Drilling — statement.
- UK house prices show first year-on-year fall since September 2009 — report.
- Rockhopper Exploration announces significant reservoir extension;
FTfm on AV
Investors snap up real estate
Those fleeing the volatile bond markets are pushing up the price of real estate so high that yields are barely keeping up with inflation
LDI out of favour with firms
The pool of UK investment houses offering liability-driven investment strategies has fallen sharply in the last two years
Thorsten Michalik:
Further further reading
For the commute home,
- Tyler profiles two new FOMC nominees: Stein and Clarida.
- The wrong time for a recession.
- The NYT Magazine profiles Jeremy Grantham.
- Why did Kocherlakota dissent?
- Four days and roughly flat.
The weekender
This week on FT Alphaville,
- There was excitement over SocGen and gold.
- Grantham and Edwards were talkin’ bout a revolition.
- The Vix curve implied something very worrying.
- We introduced the Black Cod Index.
Are US banks turning Japanese?
An important question given struggling financial stocks, a stalling US economy, US public sector cuts and concerns over the impotence of QE3. Take your pick, really.
Fortunately it was also a question tackled Friday morning in a special conference call hosted by Nomura’s US banking analyst Brian Foran,
Cyprus debt placed on DeathWatch negative by S&P
Okay, we mean CreditWatch negative. But if US officials want to see a truly damning statement out of Standard & Poor’s they’d be minded to check out its Friday rationale for placing Cyprus sovereign credit ratings on CreditWatch negative.
The Fed’s secret QE equivalent
Anyone catch this from the New York Fed on Friday? It’s hugely important:
Beginning Monday, August 15, the New York Fed intends to conduct another series of small-scale reverse repurchase (repo) transactions using all eligible collateral types.
Short-selling fairies
Charts via short-selling information specialists Data Explorers, incorporating a gauge of securities lending in both the financials currently subject to the short-selling bans, and in their markets.
Compare and contrast:
That was the ECB bond-buying week that was
The RBS economics team did a good summing-up on Friday:
In the week so far of intervention in Italy and Spain, the ECB Securities Market Program has cost somewhere between Eur 11-16bn on our estimates.
US Markets Live transcript 12 Aug 2011
Markets Live chat transcript for the chat ending at 15:18 on 12 Aug 2011. Participants in this chat were: John McDermott Joseph Cotterill, FT Izabella Kaminska Rally Monkey JMRight, let’s try this again
A European collateral crunch
First, a chart from ICMA’s December 2010 European repo survey:
It’s newly relevant in August 2011. The clue lies in the share of repo collateral rated BBB- and below (in other words – rubbish assets on balance sheets).
US Markets Live starts at 10am New York time
That’s 3pm London time or 4pm in the land that short-selling forgot. It’s been quite a week so we’ll try and no doubt fail to make sense of it, while having an idle mull about this morning’s data releases,
Was the 30-year UST auction really that bad?
The 30-year US Treasury bond auction spooked the market on Wednesday, seeing yields fall massively on the long bond, because the yield achieved was 3.75 per cent versus a yield of 4.375 per cent in May.
[Competition] An Australian CPI basket
There’s a lot of talk about the “two-speed economy” in Australia these days, and occasionally one even hears “Dutch disease” mentioned.
Retailers are suffering. Those mining salaries might be impressive,
Markets Live transcript 12 Aug 2011
Markets Live chat transcript for the chat ending at 11:36 on 12 Aug 2011. Participants in this chat were: Neil Hume, FT bryce.elder NHMorning rabble NHor rather Bonjour
Stock market Richter scale
In the natural world a magnitude 9.0 earthquake equals widespread devastation.
If you equate standard deviations with the Richter scale, it looks like in 2008 we experienced something in the region of a 9.2 event.
Insiders are buying at fastest pace since May 2008
Everyone is selling and yet insiders have stopped offloading their equities and have begun buying instead. Buying at the fastest pace since May 2008, no less.
According to Trimtabs, an investment research firm,
Further reading
Elsewhere on Friday,
- Swiss to Join the EU – NOT!
- A failure of Keynesianism.
- It’s the sun what done it!.
- What can replace the dollar?
- The proper etiquette for market panics.
Pink picks
Comment, analysis and other offerings from Friday’s FT,
Dominique Moïsi: Burning cars in Paris and London
France in the autumn of 2005. England in the summer of 2011. Is history simply repeating itself? Today,
Snap news
Breaking pre-market news on Friday,
- Increased costs in Brazil weigh on steel maker Thyssenkrupp — statement.
- Sky Deutschland reports smaller than expected loss — statement.
- Sports Direct welcomes decision to close investigation into alleged anti-competitive conduct in the sports retail sector - statement.
Will the short-selling ban come up short?
After a day of speculation and disagreement ESMA on Thursday evening announced “harmonised regulatory action” to ban short-selling of financials in Spain, France, Belgium and Italy. As signs of weakness go,
Further further reading
For the commute home,
- Is there enough money to save the banks?
- The perils of Paulson.
- And old but still apt cartoon.
- Euthanasia of the rentier.
- France: a vicious circle in action?
- What Americans want.
30-year old WLTM $$$ ISO LTR
Heartbreaking. The FT’s Telis Demos points us in the direction of some barmy post-auction action in 30-year US Treasuries:
That’s the largest intra-day basis points move since 1987.
There was an abysmal auction of the long bonds earlier on Thursday.
Bonjour le singe rallye
Here’s one little chap whom is not upset by rumours of short-selling bans.
The S&P 500 was up 5.24 per cent at pixel time. It fell 4.40 per cent on Wednesday.
Swiss ‘capital preservation’
FT Alphaville has already talked about the risks associated with a government bond turning into a bit of a Giffen good. (Great Depression, ahem.)
A Giffen good is essentially one in which the traditional laws of supply and demand do not apply because there is no viable substitution option.