Archive for March, 2016

Accounting for Swaps

Friday, March 11th, 2016

Via Bloomberg and hat tip to my friend Steve Liddy: Professor to Wall Street: You’re Doing Swaps Accounting Wrong 2016-03-11 10:00:00.2 GMT By Matthew Leising (Bloomberg) -- The world’s largest banks are incorrectly accounting for their swaps trades, locking up money that could otherwise be paid out as dividends to their shareholders, according to a bold new ...

Corporate Bonds

Friday, March 11th, 2016

Via Bob Elson at Bloomberg: IG CREDIT: Record High 10-Thursday Moving Average 2016-03-11 10:54:00.293 GMT By Robert Elson (Bloomberg) -- Secondary IG trading ended with a Trace count of $18.7b vs $20.8b Wednesday, $19.4b the previous Thursday. 10-DMA $18.8b; 10-Thursday moving avg $18.5b, a new record high back to March 2005 when the series began * Yesterday’s 10-Wednesday ...

FX

Friday, March 11th, 2016

Via Marc Chandler at Brown Brothers Harriman: Dollar Recovers Against Euro and Yen The euro and yen are giving back part of yesterday's gain, while sterling and especially the dollar-bloc currencies are firmer Global equities are finishing the week with strong gains Oil prices are firmer UK trade balance improved in January after revisions for ...

ECB and the FOMC

Thursday, March 10th, 2016

Via Stephen Stanley at Amherst Pierpont Securities: As the global financial markets continue to sift through the ECB’s actions today, I thought I would offer just a few observations on the ECB’s moves and in particular the implications, at the margin, for the Fed.  I am a U.S. economist, so I ...

New Toy

Wednesday, March 9th, 2016

Via Bloomberg: (Bloomberg) -- Citigroup Inc. is the latest Wall Street bank to try to make money off the declining liquidity in the debt markets by selling a type of derivative increasingly used to wager on corporate bonds. The U.S. lender has expanded its offerings of so-called total-return swaps to cover investment-grade debt over the past few ...

Debt Market Whipsaw

Wednesday, March 9th, 2016

Via WSJ: By MIN ZENG Updated March 9, 2016 8:00 p.m. ET 2 COMMENTS Whipsaw trading this week in Japanese government bonds is intensifying concerns that debt markets are vulnerable to a shock if global central banks wrong-foot expectations they will soon expand stimulus. The yield on the 30-year Japanese government bond surged to 0.72% ...

Ten Year Auction Preview

Wednesday, March 9th, 2016

Via Ian Lyngen at CRT Capital: We are optimistic about this afternoon's 10-year auction and expect non-dealer interest to be significant (average is 75% for this benchmark) and see the risks skewed toward a stop-through.  Tuesday's short-squeeze and strong repo demand suggests the auction liquidity will be used to cover positions ...

Rough Patch at Citibank

Wednesday, March 9th, 2016

Via the FT: Citigroup has set the stage for another batch of lacklustre financial results at the world’s biggest investment banks after warning of further declines at some of its most important businesses. John Gerspach, chief financial officer, forecast that revenues at Citi’s investment banking operation would drop about a quarter in ...

Aging Baby Boomer Alert:Fifth Beatle Dies

Wednesday, March 9th, 2016

Update: I think this NYTimes link does a better job of capturing Martin's influence on the Beatles. Via Bloomberg: Produced Elton John's best-selling tribute to Princess Diana Retired from studio recording in 1998, suffered hearing loss George Martin, the U.K. music producer, arranger and composer often described as the fifth Beatle for his work ...

What to Watch For Today

Wednesday, March 9th, 2016

Via Bloomberg: HAT TO WATCH: * (All times New York) * Economic Data * 7:00am: MBA Mortgage Applications, March 4 (prior -4.8%) * 10:00am: Wholesale Inventories m/m, Jan., est. -0.2% (prior -0.1%) * Wholesale Trade Sales m/m, Jan., est. -0.3% (prior -0.3%) * Central Banks * 10:00am: Bank of Canada overnight rate, est. 0.5% (prior 0.5%) * 3:00pm: Reserve Bank of New ...