Monthly Archives: February 2010

Source: Bank of Greece, secondary market volume on the HDAT platform, total monthly nominal value in EUR (last datapoint: january 2010) // Continue reading →

Excerpt: Recent press reports mention one off-market swap operation and several securitisation transactions undertaken by Greek government in the period 2000-2001. When the European system of accounts (ESA 1995) was adopted, these kinds of operations were not usual practice for … Continue reading →

Paper by Piti Disyatat [BIS] A central proposition in research on the role that banks play in the transmission mechanism is that monetary policy imparts a direct impact on deposits and that deposits, insofar as they constitute the supply of … Continue reading →

Paper by Stephen G Cecchetti, M S Mohanty, and Fabrizio Zampolli The financial crisis that erupted in mid-2008 led to an explosion of public debt in many advanced economies. Governments were forced to recapitalise banks, take over a large part … Continue reading →

Paper by Jaime Caruana, General Manager of the BIS Abstract: This paper analyses systemic risk and considers appropriate policies to reduce it. It examines systemic risk as a negative externality in two dimensions: the cross-sectional and the time dimension. Policies … Continue reading →

Financial stability: 10 questions and about seven answers Obama Doesn’t ‘Begrudge’ Bonuses for ‘Savvy’ Blankfein, Dimon A Pox on Liquidity Derivatives Germany looks to build Greek ‘firewall’ AIG and Credit Default Swaps One in five US mortgages “underwater” in Q4 … Continue reading →

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 … Continue reading →

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 … Continue reading →

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 … Continue reading →

5 year CDS starts life at 19bps (via cmadatavision) // Continue reading →