Primary dealers borrow $37 billion from Fed
By Martin | March 28, 2008
Investment banks and broker dealers borrowed more than $30 billion a day from the Federal Reserve’s discount window this past week, but showed only tepid interest in a separate 28-day lending facility from the Fed that got under way on Thursday.
The 20 primary dealers borrowed $37 billion from the discount window on Wednesday, $8.2 billion more than the previous week. For the entire week, loans to the 20 primary dealers averaged $32.9 billion a day, up $19.5 billion from the previous week.
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The banks borrowed an additional $75 billion from the other Fed program established this month to boost liquidity in the markets. In a new program that lets the big firms swap illiquid mortgage-backed paper for highly sought-after Treasurys, the Fed offered $75 billion to the banks. But the banks submitted bids totaling just $86.1 billion, for a low bid-to-cover ratio of 1.15.
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The stop-out rate in the auction was 0.33%, just eight basis points higher than the minimum 0.25% set by the Fed, another indication that the dealers had little urgency to participate, Crescenzi said. “That is a very tight implied spread between Treasury general collateral and private-label residential mortgage-backed securities,” Crandall said.
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Sirri’s Testimony Concerning Municipal Bond Turmoil
By Martin | March 20, 2008
The following is a speech by Erik R. Sirri, Director, Division of Trading and Markets, US Securities and Exchange Commission, before the Committee on Financial Services, US House of Representatives in Washington, DC.
Chairman Frank, Ranking Member Bachus and Members of the Committee:
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The Greenwich Global Hedge Fund Index returned 2.21% in February
By Martin | March 20, 2008
The Greenwich Global Hedge Fund Index (GGHFI) returned 2.21% in February, rebounding from January’s -2.79% worst return since 2002, Greenwich Alternative Investments has announced. Read the rest of this entry »
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“Ein exponentielles Wachstum der Komplexität”
By Martin | February 8, 2008
Ende Januar, nur eine Woche, nachdem die französische Bank Societe Generale zugeben musste, dass ein einzelner, unrechtmäßig operierender Börsenhändler Verluste in Höhe von 7,2 Milliarden Dollar angehäuft hatte, sagte der Chef der Bank von Frankreich einen erstaunlichen Satz: “Keine der Kontrollinstanzen innerhalb der Societe Generale scheint so funktioniert zu haben, wie sie sollte.” Read the rest of this entry »
Topics: OpRisk, market risk | No Comments »
Definition of VaR
By Martin | January 30, 2008
VaR is defined as the predicted worst-case loss at a specific confidence level (e.g., 95%) over a certain period of time
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Clearstream führt System zur Handelssimulation ein
By Martin | January 17, 2008
Deutsche Börse AG gab am Donnerstag bekannt, dass Sicherheitengeber bei Clearstream mit dem dynamischen Allokationssimulator CmaXDirect erstmals die Möglichkeit erhalten, ihre Handelsgeschäfte zu simulieren und aktiv zu verwalten. Vor der allgemeinen Markteinführung im ersten Quartal wird das System im Zuge der Pilotphase von sieben führenden Unternehmen getestet. Read the rest of this entry »
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Sharpe Ratio (Annualised)
By Martin | December 18, 2007
The Sharpe Ratio measures a fund’s return in excess of the risk free rate for a given period and divides this by the standard deviation of those returns. The Sharpe Ratio is a measure of how effectively a fundutilises risk. This means that the higher a fund’s Sharpe Ratio the better the fund’s historical risk-adjusted performance.
Formula:
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DJ Hedge Fund Strategy Performance November 2007
By Martin | December 12, 2007
Nur eine der sechs Hedge Fond Strategien, die vom Dow Jones Hedge Fund Indexes erfaßt werden erzielte im November Gewinne.
Equity market neutral war der beste Performer und die einzigste Strategie die im Gewinne erzielte.
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Topics: Hedge Fond | 2 Comments »
Federal Open Market Committee Statement
By Martin | December 12, 2007
The Federal Open Market Committee decided yesterday to lower its target for the federal funds rate 25 basis points to 4-1/4 percent.
Incoming information suggests that economic growth is slowing, reflecting the intensification of the housing correction and some softening in business and consumer spending. Moreover, strains in financial markets have increased in recent weeks. Today’s action, combined with the policy actions taken earlier, should help promote moderate growth over time.
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Troubled Company Index Makes Largest Jump Since September 2001
By Martin | December 5, 2007
Kamakura Corporation announced yesterday that its monthly index of troubled public companies showed the greatest one month increase since September 2001. The percent of public companies classified as troubled jumped 2.4 percent in November to 10.4 percent of the public company universe.
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