FT Alphaville » Interest Rates http://ftalphaville.ft.com FT Alphaville - Market Commentary - FT.com Fri, 24 May 2013 21:30:09 +0000 en hourly 1 http://wordpress.org/?v=3.3.2 Are rates mispriced or are investors missing something? http://ftalphaville.ft.com/2013/02/22/1396292/are-rates-mispriced-or-are-investors-missing-something/ http://ftalphaville.ft.com/2013/02/22/1396292/are-rates-mispriced-or-are-investors-missing-something/#comments Fri, 22 Feb 2013 11:39:59 +0000 Izabella Kaminska http://ftalphaville.ft.com/?p=1396292 The disconnect we've noticed between commodity fundamentals and forward rates appears to be popping up in other asset classes as well.

Priya Misra, rates strategist at Bank of America Merrill Lynch, makes a very interesting point on Friday about what she sees in her sector.

Continue reading: Are rates mispriced or are investors missing something?]]> http://ftalphaville.ft.com/2013/02/22/1396292/are-rates-mispriced-or-are-investors-missing-something/feed/ 0 Stevens and the RBA hold the line http://ftalphaville.ft.com/2012/11/06/1247201/stevens-and-the-rba-hold-the-line/ http://ftalphaville.ft.com/2012/11/06/1247201/stevens-and-the-rba-hold-the-line/#comments Tue, 06 Nov 2012 11:50:52 +0000 Neil Hume http://ftalphaville.ft.com/?p=1247201 So Glenn Stevens likes the nags after all.

Well, sort of.

For the first time since he took the helm of the RBA in 2006, the governor did not tinker with interest rates on Melbourne Cup day (a public holiday across parts of the country).

Continue reading: Stevens and the RBA hold the line]]> http://ftalphaville.ft.com/2012/11/06/1247201/stevens-and-the-rba-hold-the-line/feed/ 0 A tale of two VaRs http://ftalphaville.ft.com/2012/10/18/1218491/a-tale-of-two-vars/ http://ftalphaville.ft.com/2012/10/18/1218491/a-tale-of-two-vars/#comments Thu, 18 Oct 2012 14:00:51 +0000 Tracy Alloway http://ftalphaville.ft.com/?p=1218491 Buried in Morgan Stanley’s decent third-quarter results (excluding the absurdity that is DVA of course) is this intriguing footnote:

Morgan Stanley’s average trading Value-at-Risk (VaR) measured at the 95% confidence level was $63 million compared with $76 million in second quarter of 2012 and $99 million in the third quarter of the prior year. The Firm modified its VaR model this quarter to make it more responsive to recent market conditions.

Continue reading: A tale of two VaRs]]> http://ftalphaville.ft.com/2012/10/18/1218491/a-tale-of-two-vars/feed/ 0 Now, that is one mighty fine interest rate sensitivity disclosure http://ftalphaville.ft.com/2012/08/20/1125121/now-that-is-one-mighty-fine-interest-rate-sensitivity-disclosure/ http://ftalphaville.ft.com/2012/08/20/1125121/now-that-is-one-mighty-fine-interest-rate-sensitivity-disclosure/#comments Mon, 20 Aug 2012 19:15:11 +0000 Lisa Pollack http://ftalphaville.ft.com/blog/?p=1125121 While interest rates are likely to stay low for some time yet, they can’t be that way forever. When rates finally go up, banks could be in a position to profit — provided their balance sheets are ready.

An investor could attempt to research which banks will be best placed for such a shift. For retail banks in particular, since their business models are not as diverse as investment banks, a handy disclosure to look for in financial statements would be net interest income sensitivity.

Continue reading: Now, that is one mighty fine interest rate sensitivity disclosure]]> http://ftalphaville.ft.com/2012/08/20/1125121/now-that-is-one-mighty-fine-interest-rate-sensitivity-disclosure/feed/ 0 Well, we were asking about ECB negative rates… http://ftalphaville.ft.com/2012/07/05/1072941/well-we-were-asking-about-ecb-negative-rates/ http://ftalphaville.ft.com/2012/07/05/1072941/well-we-were-asking-about-ecb-negative-rates/#comments Thu, 05 Jul 2012 14:13:08 +0000 Joseph Cotterill http://ftalphaville.ft.com/blog/?p=1072941

(That’s Lisa, at Thursday’s European Central Bank press conference)

Continue reading: Well, we were asking about ECB negative rates…]]> http://ftalphaville.ft.com/2012/07/05/1072941/well-we-were-asking-about-ecb-negative-rates/feed/ 0 How NOT to argue that derivatives are the devil’s spawn http://ftalphaville.ft.com/2012/06/13/1041931/how-not-to-argue-that-derivatives-are-the-devils-spawn/ http://ftalphaville.ft.com/2012/06/13/1041931/how-not-to-argue-that-derivatives-are-the-devils-spawn/#comments Wed, 13 Jun 2012 13:13:43 +0000 Lisa Pollack http://ftalphaville.ft.com/blog/?p=1041931 Every now and then, The New York Times takes a big ol’ swipe at derivatives for being evil and whatnot. That’s fine and well — and sometimes obligatory, particularly when it comes to certain structured products for which it’s hard to discern the benefit to anyone outside of a bank.

But it can all go awry when someone starts arguing against derivatives and just gets it wrong. It makes us do a sad, frowny face and then get incredibly frustrated.

Continue reading: How NOT to argue that derivatives are the devil’s spawn]]> http://ftalphaville.ft.com/2012/06/13/1041931/how-not-to-argue-that-derivatives-are-the-devils-spawn/feed/ 0 A glimpse of an economy post this crisis http://ftalphaville.ft.com/2012/06/13/1041891/a-glimpse-of-an-economy-post-this-crisis/ http://ftalphaville.ft.com/2012/06/13/1041891/a-glimpse-of-an-economy-post-this-crisis/#comments Wed, 13 Jun 2012 09:38:52 +0000 Paul Murphy http://ftalphaville.ft.com/blog/?p=1041891 Iceland, of course. Kitchen-sinked and cleaned-up, the Icelandic central bank has just decided to push up rates by 25 basis points to combat signs of inflation amidst “robust” domestic demand.

Statement:

Continue reading: A glimpse of an economy post this crisis]]> http://ftalphaville.ft.com/2012/06/13/1041891/a-glimpse-of-an-economy-post-this-crisis/feed/ 0 I see the periphery (sort of) in Treasuries…and convexity http://ftalphaville.ft.com/2012/03/15/924461/i-see-the-periphery-sort-of-in-treasuries-and-convexity/ http://ftalphaville.ft.com/2012/03/15/924461/i-see-the-periphery-sort-of-in-treasuries-and-convexity/#comments Thu, 15 Mar 2012 08:34:22 +0000 Joseph Cotterill http://ftalphaville.ft.com/blog/?p=924461 Real rates, to cut a long story short. Treasuries should be returning to trade inversely to equities, although stocks didn’t soar on the two days this week that bonds have slumped.

While eurozone sovereign debt did improve.

Continue reading: I see the periphery (sort of) in Treasuries…and convexity]]> http://ftalphaville.ft.com/2012/03/15/924461/i-see-the-periphery-sort-of-in-treasuries-and-convexity/feed/ 0 We want negative Treasury yields http://ftalphaville.ft.com/2012/02/01/863251/please-sell-us-negative-treasury-yields/ http://ftalphaville.ft.com/2012/02/01/863251/please-sell-us-negative-treasury-yields/#comments Wed, 01 Feb 2012 14:40:58 +0000 Joseph Cotterill http://ftalphaville.ft.com/blog/?p=863251 Interesting exchange in the latest minutes of the TBAC – Treasury Borrowing Advisory Committee, which brings together primary dealers and US Treasury officials… (Hat-tip Bondscoop)

The question was asked if it made sense for Treasury to permit bids and awards at negative interest rates in marketable Treasury bill auctions. DAS Rutherford [Matthew Rutherford, Deputy Assistant Secretary for Federal Finance] noted that there were operational issues associated with such a rule change, but that the hurdles were not insurmountable. It was the unanimous view of the committee that Treasury should modify auction regulations to permit negative rate bidding and awards in Treasury bill auctions as soon as feasible. Rutherford noted that any decision on this policy change would likely be made at the May refunding.

Continue reading: We want negative Treasury yields]]> http://ftalphaville.ft.com/2012/02/01/863251/please-sell-us-negative-treasury-yields/feed/ 0 Banking off the FOMC http://ftalphaville.ft.com/2012/01/27/853761/banking-off-the-fomc/ http://ftalphaville.ft.com/2012/01/27/853761/banking-off-the-fomc/#comments Fri, 27 Jan 2012 17:57:30 +0000 Cardiff Garcia http://ftalphaville.ft.com/blog/?p=853761 The obvious place to start when discussing the impact of Wednesday’s FOMC meeting on US banks is with the downward pressure on net interest margins that will result from the extended period of low rates.

A short, helpful note from Nomura’s Brian Foran breaks down the issue into various components, and we’ll present each in order.

Continue reading: Banking off the FOMC]]> http://ftalphaville.ft.com/2012/01/27/853761/banking-off-the-fomc/feed/ 0