Papers => FRBNY

Central Bank Dollar Swap Lines and Overseas Dollar Funding Costs

Is the International Role of the Dollar Changing?

Macro Risk Premium and Intermediary Balance Sheet Quantities

Performance Maximization of Actively Managed Funds

Repo Market Effects of the Term Securities Lending Facility

Posted by jck on February 5th, 2010 at 12:00 pm    0 Comment

Links

Bernanke’s Exit Strategy: Tighter Reserve Requirements
US mortgage sector braced for end of Fed help
End of TALF Means Bond Spreads Five-Fold Wider
IMF would help Greece if asked -Strauss-Kahn
Plan to cut mortgage principal pitched to Congress
NYSE To Change Regular Session Closing Procedures Feb. 22
Moody’s warns US of credit rating fears
US could save by cutting public sector pay
Record volumes for sovereign CDS
Credit trading bounces back for Deutsche Bank

Posted by jck on February 4th, 2010 at 1:29 pm    0 Comment

Scariest Chart EVER: Loss Severity, Subprime First-Lien

This chart shows the loss severity for subprime first-lien mortgage loans in the tri-state area (New York, New Jersey, and Connecticut). Loss severity is defined as the average size of a loss if one occurs. A loss occurs when a foreclosed home sells for less than what the borrower owes to the mortgage lender. The amount of that loss includes the costs to foreclose and liquidate, as well as taxes and declines in property value. This report uses all securitized nonprime mortgage loans from First American CoreLogic’s Loan Performance data set.


Source: Fed U.S. Credit Conditions

Posted by jck on February 2nd, 2010 at 9:25 pm    39 Comments

Google CDS => AAA

5 year CDS starts life at 19bps (via cmadatavision)

Posted by jck on February 2nd, 2010 at 4:24 pm    5 Comments

Empty Creditor Claim

Good read:
Goldman halted market-making on YRC after empty creditor claim

Posted by jck on February 1st, 2010 at 2:33 pm    0 Comment

Links

Insurance Market Aims to Build ‘Longevity Swaps’
TARP Inspector Says Rescue to Cost Taxpayers Less Than Expected
SIGTARP Quarterly Report to Congress
White House projects record deficit this year
The Ring of Fire
Zhu Min, a man worth listening to
Bank of England fears new crisis as quantitative easing ends
In Defense of Home Bias
How to trade: butterflies cause cascading margin calls
FSA’s Lord Turner signals crackdown on carry trade
ioinet™ v2: New Advances in the Search for Liquidity in a Fragmented Market
Monkeys, Candy and Cognitive Dissonance

Posted by jck on January 31st, 2010 at 11:00 pm    0 Comment

Quotes of the Day

‘There’s a growing recognition the dispersion of credit risk by banks to a broader and more diverse group of investors … has helped make the banking system more resilient”. So said the International Monetary Fund’s Global Stability Report in 2006.

“Improved resilience may be seen in fewer bank failures,” the IMF predicted. “Consequently, the commercial banks may be less vulnerable today to credit or economic shocks”.

“Obviously, if the unwinding of the various imbalances were to signal lower-than-expected growth, markets would react more sharply; but there is little evidence from the above analysis to suggest that the expected or likely market corrections in the period ahead would lead to crises of systemic proportions.”

Zhu Min, a man worth listening to
Global Financial System Resilience in the Face of Cyclical Challenges
The Influence of Credit Derivative and Structured Credit Markets on Financial Stability

Posted by jck on January 31st, 2010 at 1:05 pm    0 Comment

Fed’s MBS Program

Q. What happens to the proceeds from maturing securities and prepayments ?

A. The Manager of the System Open Market Account has said that the System’s holdings of securities will tend to decline gradually after the completion of the asset purchase programs, reflecting maturing issues and prepayments on holdings of MBS. The Manager noted that the Committee would likely wish to discuss in detail its policy for reinvesting the proceeds of maturing issues and prepayments; he proposed, as an interim approach, continuing the practice of NOT reinvesting the proceeds of maturing agency securities or MBS prepayments. Meeting participants supported that interim approach pending further discussion at future meetings.

note: answer is excerpt from f.o.m.c. minutes

Related:
US MBS: End To NY Fed’s MBS Program Being Closely Followed

Posted by jck on January 28th, 2010 at 10:37 pm    1 Comment

Variability in Nucleus Accumbens Activity Mediates Age-Related Suboptimal Financial Risk Taking

Paper by Gregory R. Samanez-Larkin, Camelia M. Kuhnen, Daniel J. Yoo, and Brian Knutson

As human life expectancy continues to rise, financial decisions of aging investors may have an increasing impact on the global economy. In this study, we examined age differences in financial decisions across the adult life span by combining functional neuroimaging with a dynamic financial investment task. During the task, older adults made more suboptimal choices than younger adults when choosing risky assets. This age-related effect was mediated by a neural measure of temporal variability in nucleus accumbens activity. These findings reveal a novel neural mechanism by which aging may disrupt rational financial choice.

Posted by jck on January 28th, 2010 at 7:13 pm    2 Comments

Links

Banks pull out of PRDC market
Greek 5-year CDS hits record high at 395 bps – CMA
Germany FinMin: Rumors Of Greece Bailout ‘Absolutely Wrong’
ECB and other central banks decide to discontinue the temporary swap lines with the Federal Reserve
Volcker has the measure of the banks
The Latest AIG Story

Posted by jck on January 28th, 2010 at 2:30 pm    0 Comment





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