quicksilver
Forumer storico
[ame="http://www.youtube.com/watch?v=zlfKdbWwruY"]YouTube - Where the Hell is Matt? (2008)[/ame]
Derivati USA: CME-CBOT-NYMEX-ICE BUND, TBOND and the middle of the guado (VM 69)
- Creatore Discussione masgui
- Data di Inizio
Fleursdumal
फूल की बुराई
ciao caVi , finalmente posso tornare a scrivere un pò 
giusto in tempo per un'altra piccola crisi 
giusto in tempo per un'altra piccola crisi
Fleursdumal
फूल की बुराई
gli avvoltoi sono eccitati
A bono-fide attack
Posted by Izabella Kaminska on Nov 23 16:00. There have been some frank denials of possible European contagion effects from the Irish fallout this week.
Among those suggesting as much have been (via Reuters):
For example, the spread between Spanish 10-year bonds and German 10-year bunds extended to its widest ever — surpassing its June record.
As Kathleen Brooks at Gain Capital noted; “Spanish spreads are now at a wider level than they were at the peak of the Greek debt crisis”.
Stefano Di Domizo at Lombard Street Research was bolder still, suggesting the current situation was developing into a European debt liquidity crisis with Spain and Italy occupying front-row seats.
As he noted:
The Iberian connection(s)
Posted by Joseph Cotterill on Nov 23 16:15. Notes from the search for exposure to Spanish bonds, this.
Timely, as 10-year issues are trading at a record spread (233bps at pixel time) to bunds, according to Bloomberg data.
Here’s an interesting chart from an investor presentation found while we were rooting around on the Spanish Treasury’s website:
At first sight, it appears as if French investors could be quite on the hook, doesn’t it? We jest — but this is what happened the last time France was entangled in Spain:
However the Tesoro presentation also carries more detail on a specific recent Spanish bond issue. This is the latest 10-year benchmark bond, auctioned in a €6bn sale during the previous heights of the sovereign crisis in July, for a yield of 4.85 per cent.
Flash forward to November, and it’s this 10-year bond — the October 31, 2020 issue — which is yielding at a record spread to bunds. Ahem.
It’s one bond, but it’s intriguing to note how different the exposure is here compared to the overall debt position of Spain (click charts to enlarge):
Spanish banks’ exposure is well-known, but the size of UK involvement looks particularly significant in this issue. What’s even more striking is that this is the very same Spanish auction that was famously (if you prefer, notoriously) supported by China’s State Administration of Foreign Exchange. We’re not sure how SAFE would be classified (Official Institution? Fund Manager?) but they must be represented.
One half-wonders if the Chinese kept the receipt.
___________________________
Meanwhile, in Portugal…
As far as the periphery’s various banking system are concerned, it definitely appeared as if Ireland’s was lurching back to the brink on Tuesday, with more worry over potential losses and deposit flights.
We’d note that banks’ use of ECB overnight liquidity has just bulged to €3.64bn, up from previous amounts of over €2bn. Ireland’s banks no doubt availed of a good chunk of that, but it’s worth noting Portugual’s banks are also fragile here.
Portuguese borrowing from the ECB sat at around €40bn last month, which is far below Irish banks’ €130bn. Some Portuguese banks, namely Millennium BCP and Banco Espirito Santo (BES), need liquidity more than others, though. As this chart from Deutsche Bank shows:
And for the record on Iberian exposure, Deutsche Bank also point out sovereign exposure for these two banks:
It’s all looking scarily interconnected, and not just within Iberia.
A bono-fide attack
Posted by Izabella Kaminska on Nov 23 16:00. There have been some frank denials of possible European contagion effects from the Irish fallout this week.
Among those suggesting as much have been (via Reuters):
RTRS – UNICREDIT CEO RULES OUT CONTAGION EFFECT FROM IRELAND ON ITALY
RTRS – BANK OF SPAIN’S ORDONEX SAYS EXPECTS MARKETS TO EVENTUALLY CALM AFTER IRELAND RESCUE PACKAGE
ECB’S GONZALEZ-PARAMO: SPAIN ISOLATED FROM CONTAGION
And yet all market indicators on Tuesday were suggesting exactly the opposite.RTRS – BANK OF SPAIN’S ORDONEX SAYS EXPECTS MARKETS TO EVENTUALLY CALM AFTER IRELAND RESCUE PACKAGE
ECB’S GONZALEZ-PARAMO: SPAIN ISOLATED FROM CONTAGION
For example, the spread between Spanish 10-year bonds and German 10-year bunds extended to its widest ever — surpassing its June record.
As Kathleen Brooks at Gain Capital noted; “Spanish spreads are now at a wider level than they were at the peak of the Greek debt crisis”.
Stefano Di Domizo at Lombard Street Research was bolder still, suggesting the current situation was developing into a European debt liquidity crisis with Spain and Italy occupying front-row seats.
As he noted:
Speculative attacks are now targeting Spanish and Italian bonds, which could hardly be defended given the ECB’s timid bond purchases. With buy-side demand likely drying up, dealers are capitulating on their Bonos and BTPs-packed books, which could trigger a new liquidity squeeze in EA govvies. We recommend hedging the risk of an escalating EA debt crisis via EUR/USD 3m5y conditional tighteners via 25bp OTM receivers (exploiting the recent jump in USD gamma)
Despite market rumors (and a lot of headlines in the news) of large bond purchases by the ECB, just over €0.7bn were bought as part of the ECB’s SMP last week, arguably still way off the size warranted to take some pressure off EA government bond markets. As we have pointed out several times recently, the ECB does not seem to have many bullets left on its SMP, which was originally engineered to address illiquidity risk in bond markets. Again, the Germans are not happy with the program, as Bundesbank’s Weber does not miss to remind us every time he opens his mouth (as recently as Friday last week he remarked that “the ECB’s bond purchases should be stopped sooner rather than later”).
Those likely are the reason why bond markets’ focus is now likely to move towards the big targets, i.e. Spain and Italy, whose bonds are very unlikely to be defended by the ECB with enough conviction to have a major effect.
And if a liquidity crisis in bonos and BTPs was to take hold, Di Domizo says the two countries are particularly badly placed to deal with it:Despite market rumors (and a lot of headlines in the news) of large bond purchases by the ECB, just over €0.7bn were bought as part of the ECB’s SMP last week, arguably still way off the size warranted to take some pressure off EA government bond markets. As we have pointed out several times recently, the ECB does not seem to have many bullets left on its SMP, which was originally engineered to address illiquidity risk in bond markets. Again, the Germans are not happy with the program, as Bundesbank’s Weber does not miss to remind us every time he opens his mouth (as recently as Friday last week he remarked that “the ECB’s bond purchases should be stopped sooner rather than later”).
Those likely are the reason why bond markets’ focus is now likely to move towards the big targets, i.e. Spain and Italy, whose bonds are very unlikely to be defended by the ECB with enough conviction to have a major effect.
Because of the Spanish high deficit and the Italian high debt, the two countries look particularly exposed to the case of liquidity drying up again in secondary markets (like in May/June this year).
Normally, dealers absorb large quantities of Bonos and BTPs in their books, ensuring primary bond markets run smoothly. However, the recent fall in bid-to-cover ratios suggests they are now increasingly unhappy doing so, as their books are already burdened with a lot of Spanish and Italian government paper which they are likely struggling to offload in the secondary market.
We doubt buy-side demand for such paper is strong enough to offset increasing supply at the moment, which means dealers’ books are set to get heavier going forward. Although the last thing dealers’ want is to crowd out the remaining demand from bond investors, they are now likely capitulating on their positions, sending Bonos and BTPs yield spreads wider. Bid/ask spreads would also move wider, in turn causing trading volumes to fall, just as it happened earlier this year.
If that’s not contagion … what is?Normally, dealers absorb large quantities of Bonos and BTPs in their books, ensuring primary bond markets run smoothly. However, the recent fall in bid-to-cover ratios suggests they are now increasingly unhappy doing so, as their books are already burdened with a lot of Spanish and Italian government paper which they are likely struggling to offload in the secondary market.
We doubt buy-side demand for such paper is strong enough to offset increasing supply at the moment, which means dealers’ books are set to get heavier going forward. Although the last thing dealers’ want is to crowd out the remaining demand from bond investors, they are now likely capitulating on their positions, sending Bonos and BTPs yield spreads wider. Bid/ask spreads would also move wider, in turn causing trading volumes to fall, just as it happened earlier this year.
The Iberian connection(s)
Posted by Joseph Cotterill on Nov 23 16:15. Notes from the search for exposure to Spanish bonds, this.
Timely, as 10-year issues are trading at a record spread (233bps at pixel time) to bunds, according to Bloomberg data.
Here’s an interesting chart from an investor presentation found while we were rooting around on the Spanish Treasury’s website:
At first sight, it appears as if French investors could be quite on the hook, doesn’t it? We jest — but this is what happened the last time France was entangled in Spain:
However the Tesoro presentation also carries more detail on a specific recent Spanish bond issue. This is the latest 10-year benchmark bond, auctioned in a €6bn sale during the previous heights of the sovereign crisis in July, for a yield of 4.85 per cent.
Flash forward to November, and it’s this 10-year bond — the October 31, 2020 issue — which is yielding at a record spread to bunds. Ahem.
It’s one bond, but it’s intriguing to note how different the exposure is here compared to the overall debt position of Spain (click charts to enlarge):
Spanish banks’ exposure is well-known, but the size of UK involvement looks particularly significant in this issue. What’s even more striking is that this is the very same Spanish auction that was famously (if you prefer, notoriously) supported by China’s State Administration of Foreign Exchange. We’re not sure how SAFE would be classified (Official Institution? Fund Manager?) but they must be represented.
One half-wonders if the Chinese kept the receipt.
___________________________
Meanwhile, in Portugal…
As far as the periphery’s various banking system are concerned, it definitely appeared as if Ireland’s was lurching back to the brink on Tuesday, with more worry over potential losses and deposit flights.
We’d note that banks’ use of ECB overnight liquidity has just bulged to €3.64bn, up from previous amounts of over €2bn. Ireland’s banks no doubt availed of a good chunk of that, but it’s worth noting Portugual’s banks are also fragile here.
Portuguese borrowing from the ECB sat at around €40bn last month, which is far below Irish banks’ €130bn. Some Portuguese banks, namely Millennium BCP and Banco Espirito Santo (BES), need liquidity more than others, though. As this chart from Deutsche Bank shows:
And for the record on Iberian exposure, Deutsche Bank also point out sovereign exposure for these two banks:
It’s all looking scarily interconnected, and not just within Iberia.
f4f
翠鸟科
ciao caVi , finalmente posso tornare a scrivere un pò
giusto in tempo per un'altra piccola crisi
vero
se scrivo 'benturnàt' , pare ironico
quicksilver
Forumer storico
questi dati non vanno per niente bene, pessimi e ammissione implicita che il QE non funziona
Fed taglia stime Pil Usa, rivede al rialzo tassi disoccupazione
- 23/11/2010 20:49:46
WASHINGTON, 23 novembre (Reuters) -
La Fed ha rivisto in forte ribasso le previsioni per la crescita economica del prossimo anno e il tasso di disoccupazione a livelli significativamente più alti, secondo i verbali della riunione del 2-3 novembre della Federal Open Market Committee diffusi oggi.
La Fed vede l'inflazione a lungo termine all'1,6-2% contro l'1,7-2% stimato in precedenza, il tasso di disoccupazione al 5-6% contro il 5-5,3% precedente, e mantiene la stima del Pil al 2,5-2,8%.
Per il 2011 la banca centrale americana stima il Pil Usa al 3-3,6% dal 3,5-4,2%, per il 2012 al 3,6- 4,5% dal 3,5-4,5%, per il 2013 al 3,5-4,6%.
Le stime sulla disoccupazione sono state riviste per l'anno prossimo all'8,9-9,1% dall'8,3-8,7%, per il 2012 al 7,7-8,2% dal 7,1- 7,5%, per il 2013 al 6,9-7,4%.
Per quanto riguarda l'inflazione core, la Fed la vede allo 0,9-1,6% per il 2011 contro lo 0,9-1,3% stimato in precedenza, all'1-1,6% per il 2012 contro l'1-1,5%, e all'1,1-2% per il 2013.
Fed taglia stime Pil Usa, rivede al rialzo tassi disoccupazione
- 23/11/2010 20:49:46
La Fed ha rivisto in forte ribasso le previsioni per la crescita economica del prossimo anno e il tasso di disoccupazione a livelli significativamente più alti, secondo i verbali della riunione del 2-3 novembre della Federal Open Market Committee diffusi oggi.
La Fed vede l'inflazione a lungo termine all'1,6-2% contro l'1,7-2% stimato in precedenza, il tasso di disoccupazione al 5-6% contro il 5-5,3% precedente, e mantiene la stima del Pil al 2,5-2,8%.
Per il 2011 la banca centrale americana stima il Pil Usa al 3-3,6% dal 3,5-4,2%, per il 2012 al 3,6- 4,5% dal 3,5-4,5%, per il 2013 al 3,5-4,6%.
Le stime sulla disoccupazione sono state riviste per l'anno prossimo all'8,9-9,1% dall'8,3-8,7%, per il 2012 al 7,7-8,2% dal 7,1- 7,5%, per il 2013 al 6,9-7,4%.
Per quanto riguarda l'inflazione core, la Fed la vede allo 0,9-1,6% per il 2011 contro lo 0,9-1,3% stimato in precedenza, all'1-1,6% per il 2012 contro l'1-1,5%, e all'1,1-2% per il 2013.
Fernando'S
Forumer storico
il mercato conferma lo Short de "Il Prudente" e permette all'indice di bucare all'ingiù la trend line rossa
accompagnandolo per mano nelle profondità dell'abisso ribassista
...perdonate la pomposità ma è che ho in portafoglio put su dax e mib
e pure, come già dissi, put sul bund
..insomma sono andato a put ..ane
http://www.investireoggi.it/forum/il-prudente-vt2583-67.html
accompagnandolo per mano nelle profondità dell'abisso ribassista
...perdonate la pomposità ma è che ho in portafoglio put su dax e mib
e pure, come già dissi, put sul bund
..insomma sono andato a put ..ane
http://www.investireoggi.it/forum/il-prudente-vt2583-67.html
quicksilver
Forumer storico
ma porca di quella....
stamattina stanno rimuovendo una canna fumaria in eternit (amianto) da una casa qui vicino, e il vento tira dritto dritto vero casa mia!!! ma vaffa...
stamattina stanno rimuovendo una canna fumaria in eternit (amianto) da una casa qui vicino, e il vento tira dritto dritto vero casa mia!!! ma vaffa...
gipa69
collegio dei patafisici
Fernando'S
Forumer storico
chiudi tutto e vattene a spasso
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