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’Credit derivatives are getting younger these days
A year ago, Nicholas Vause of the Bank of International Settlements wrote about “Counterparty risk and contract volumes in the credit default swap market” and pointed out the relative increase in shorter maturity contracts.
Meet the credit derivative “end-users”
It’s a well understood fact that credit derivatives markets are primarily dealer-to-dealer. We do, however, hear that there are clients, or “end-users”, hiding somewhere. The Bank of International Settlements’ Quarterly Review,
BIStimates of the over-the-counter derivatives market
Depending on which way you want to look at it, over-the-counter derivatives either increased or decreased in size, as of mid-2011.
That’s according to Bank for International Settlements statistics that were released back in mid-November.
The epistemology of US banks’ European exposure
Can we really know anything about US banks exposure to Europe?
A familiar epistemological question, which is being asked again in the wake of MF Global’s demise and Jefferies’ circuit-breaking slide.
Operation sovereign debt net
From the ivory tower of academia has come a novel idea: why not just net away all those troublesome debt exposures?
For example, say Spain held Irish debt to the tune of €12bn and Ireland held €20bn of Spanish debt,
Inflation expectations: frequency and focal points
The importance of inflation expectations to central bank policy is well-understood.
Equally well-known is that there are different, sometimes conflicting measures of these expectations. Surveys of households will show different expectations than surveys of professional economists,
The BIS still doesn’t like low interest rates
Those low interest rate u-Zirpers at the BIS are back.
The Bank for International Settlements, often known as the central banker’s bank, seems to share little in common with its low interest rate-advocating cousins in places like the UK and the US.
Who’s selling Greek CDS, again
Because people still keep talking about this…
There appears to have been a massive amount of misunderstanding about recently published BIS statistics regarding US banks’ Greek exposures. The idea that US banks are on the hook for $32.7bn of CDS written on Greece was first expounded by the Street Light blog,
America’s very own, very different, peripheral exposure [updated]
Peripheral Europe — not just a European problem.
Statistics revealed by the Bank for International Settlements earlier this week showed European banks holding 64 per cent of reported foreign claims for troubled eurozone countries like Portugal,
Bis the burdensharing – new Greek exposure numbers
Something new from the Bank for International Settlements to mull over this Monday morning.
The BIS has released its Quarterly Review — and with it those infamous foreign claims numbers.
According to the new figures,
Who’s exposed to Japan?
So it begins.
The first research we’ve seen quantifying European bank exposure is out to Japan following last Friday’s terrible earthquake and subsequent nuclear problems is out.
It comes from BNP Paribas and it uses the dreaded BIS statistics (So FT Alphaville’s standard disclaimer about the numbers applies) to come up with aggregate figures.
‘Securitisation is not that evil after all’
Now there’s a title, from a new BIS working paper, to catch one’s eye.
In it, the authors tackle the issue of information asymmetry in the securitisation process — or the basic idea that the holders or creators of a security might have better information about the investment than potential buyers.
A call for a global independent central bank
Lorenzo Bini Smaghi, European Central Bank executive board member, has made a beautifully coherent argument for the need for a global independent central bank.
In a speech made on March 4 (via the Bank of International Settlements), he points out:
More and more macroprudential
In case you were unsure — macro-prudential is the new policy buzzword.
From a just-published working paper on the topic, by the BIS:
The term first appeared in the late 1970s, in a meeting of the Cooke Committee,
The Eurozone ‘Convergence Carry Unwind’
Or, winners and losers in Europe’s debt crisis.
Goldman Sachs’ global markets guys — Thomas Stolper and Constantin Burgi — have the details:
1. With Spanish bond yields briefly hitting new highs yesterday after the Moody’s announcement,
BIS > stress tests
Here’s more on those big BIS numbers on banks’ peripheral exposure, complete with a faint haughty whiff of ‘my banking statistics are better than yours’.
We merely think it’s a useful public service announcement.
Big numbers from the BIS
$2,281bn — Foreign exposures to Greece, Ireland, Portugal and Spain.
$107bn — Decline in foreign exposure to the above between April and June.
$81.1bn — German loans to Spanish banks at the end of Q2.
BIS wars over Ireland
If the European crisis has taught us anything, it’s that …
… BIS banking statistics are open to interpretation.
Last Thursday, the FT used BIS numbers from June to illustrate that Irish banks are among the most exposed to some of the other weaker eurozone nations.
Basel III — the analysts react
The FT Alphaville inbox is getting chock-full of analysts reacting to the confirmation of Basel III’s new rules revising bank capital ratios.
So here — in due fashion — is the best of the best for our readers.
Flipping the capital structure || erutcurts latipac eht gnippilF
Spotted late on Thursday — one massive change for banks’ capital structures appearing just on the horizon.
The Basel Committee published a 20-page consultative document on loss absorption in capital instruments — something that’s (finally) gaining some serious regulatory attention after the recent financial crisis.
Every 1% increase in bank capital = 0.19% lost in GDP, BIS says
The long-awaited interim reports of BIS’s macro-economic impact study are out.
They’re part of the Bank for International Settlements efforts to assess potential changes to financial regulation. Specifically,
Geriatric asset prices
BIS analyst Előd Takáts is worried about ageing. And not in a personal way, either.
In a caveat-heavy but very interesting Bank for International Settlements working paper, the economist seeks to investigate how ageing populations will impact asset prices — specifically,
Das Stressometer
CreditSights has created a sort of EU bank stressometer.
In their words, it seeks to “exploit” the additional disclosure on sovereign risk published in the CEBS-administered European bank stress tests.
Deutsche Bank plays the ‘good German’
So Deutsche Bank has decided to set a good example to its peers and play ball with Europe’s bank regulators — sort of. Amid European mutterings about German bank recalcitrance — i.e. the refusal by six German banks to publish their government debt exposure as part of European banking stress tests – Deutsche said on Monday it would publish full details of its sovereign holdings.
Refilling the punchbowl
Here’s a post-crisis financial milestone to ponder on Wednesday, courtesy of some fresh data on banking activity from the Bank for International Settlements.
As the BIS comments (emphasis ours):
A counter-cyclical Basel banking proposal
This looked bracing from the Basel Committee for Banking Supervision on Friday: proposals for a counter-cyclical capital buffer for banks.
But there’s a bit less than meets the eye.
Here’s some Basel jargon introducing the buffer,
It’s the BIS
One reason the BIS gold-swap story has courted some controversy is because, on the face of it, the Bank of International Settlements — being the central bankers’ central bank– is not supposed to lend to commercial banks.
Who’s the bank with the golden swap?
UBS precious metals analyst Edel Tully takes a stab at making sense of the mysterious BIS gold swap, revealed in headlines on Wednesday.
In particular, she attempts to determine which institution could possibly be behind it.
Some BIStoric gold swaps
Whether the Bank for International Settlements can, or wants to, sell its 346 tonnes of newly-acquired central bank gold is a matter of some debate.
But one thing everyone seems agreed on is that, as the FT notes,
346 tonnes of gold at the BIS …
… 346 tonnes of gold at the BIS, 346 tonnes,
You take one down, sell it around, 345 tonnes of gold at the BIS!
This little footnote — from BIS’s latest annual report — is currently making waves in gold markets: