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Primary dealers borrow $37 billion from Fed

Martin — Fri, 28 Mar 2008 14:43:43 +0000

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.

Sirri’s Testimony Concerning Municipal Bond Turmoil

Martin — Thu, 20 Mar 2008 16:48:45 +0000

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

Martin — Thu, 20 Mar 2008 16:00:38 +0000

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. (more…)

“Ein exponentielles Wachstum der Komplexität”

Martin — Fri, 08 Feb 2008 12:19:34 +0000

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.” (more…)

Definition of VaR

Martin — Wed, 30 Jan 2008 14:36:38 +0000

VaR is defined as the predicted worst-case loss at a specific confidence level (e.g., 95%) over a certain period of time

Clearstream führt System zur Handelssimulation ein

Martin — Thu, 17 Jan 2008 11:51:15 +0000

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. (more…)

Sharpe Ratio (Annualised)

Martin — Tue, 18 Dec 2007 17:06:09 +0000

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

Martin — Wed, 12 Dec 2007 21:58:47 +0000

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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Federal Open Market Committee Statement

Martin — Wed, 12 Dec 2007 20:51:03 +0000

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

Martin — Wed, 05 Dec 2007 12:28:04 +0000

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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