November 23, 2011
JLN Interest Rates - http://www.jlninterestrates.com
Conversation Starter
Basel Committee on Banking Supervision: Basel III Counterparty Credit Risk - Frequently Asked Questions
The Basel Committee on Banking Supervision has received a number of interpretation questions related to the 16 December 2010 publication of the Basel III regulatory frameworks for capital and liquidity and the 13 January 2011 press release on the loss absorbency of capital at the point of non-viability. To help ensure a consistent global implementation of Basel III, the Committee has agreed to periodically review frequently asked questions and publish answers along with any technical elaboration of the rules text and interpretative guidance that may be necessary.
This document sets out the first set of frequently asked questions that relate to the counterparty credit risk sections of the Basel III rules text. The questions and answers are grouped according to the relevant paragraphs of the rules text.
See the full report here:
SIFMA Market Close Recommendations for US Thanksgiving Day Holiday
SIFMA Recommends Early Market Close on November 25 and a Full Market Close on November 24 for Trading of US Dollar-Denominated Fixed-Income Securities in the US in Observance of the Thanksgiving Day Holiday
New York, N.Y. — SIFMA has confirmed its previous recommendations for an early close at 2:00 p.m., EST, on Friday, November 25, and a full market close on Thursday, November 24 for the trading of US dollar-denominated fixed-income securities in the United States in observance of the Thanksgiving Day Holiday.
These recommendations apply to trading of US dollar-denominated government securities, mortgage- and asset-backed securities, over-the-counter investment-grade and high-yield corporate bonds, municipal bonds and secondary money market trading in bankers’ acceptances, commercial paper and Yankee and Euro certificates of deposit.
The early close will not affect the closing time for settlements.
SIFMA’s recommended early and full market closes are recommendations only; each member firm should decide for itself whether its fixed-income departments remain open for trading. All SIFMA recommendations are subject to change due to market conditions.
MarketsWiki likely to pass 16 million views this weekend
At over 15.9 million page views, MarketsWiki appears to be planning to sneakily roll over to 16 million views before Monday.
**CN: The JLN IR Newsletter is being distributed early this week, as the Thanksgiving holiday falls on Thursday. Happy Thanksgiving to everyone!
Lead Stories
Euro Zone Unlikely To Survive Intact, Say Top Economists
By Andy Bruce, Reuters
The euro zone is unlikely to survive its sovereign debt crisis in current form, according to a majority of leading economists and former policymakers polled by Reuters.
http://jlne.ws/uO4mMn
ECONOMIST: Bernanke Is Going To End Up Bailing Out All Of Europe
Business Insider
Federal Reserve Chairman Ben Bernanke's apologetic take on the Fed's negative role in causing the Great Depression may translate into a willingness to bail out Europe, writes economics blogger James Pethokoukis.
http://jlne.ws/uM27iK
Gross Says Europe Is Top Risk as Fink Sees Danger in German Ploy
BusinessWeek
Bill Gross, manager of the world's largest mutual fund, said Europe poses the biggest risk to the U.S. economy.
http://jlne.ws/u69nCZ
Fed's 2012 Stress Test Recipe: Half Of 2008 Plus A European Blowup
Forbes
Major U.S. banks are required to submit detailed capital plans to Ben Bernanke and the Federal Reserve on an annual basis, and the 2012 model requires a gut-check on just how much pain a firm can take if we get a repeat of the 2008 crisis with a European meltdown thrown in for good measure.
http://jlne.ws/v20ThH
World Bank: China faces Europe risk, soft landing possible
Reuters via Yahoo! News
TOKYO (Reuters) - China's economy faces growing risks from Europe's sovereign debt crisis and from debt held by local Chinese governments but it could engineer a soft landing by easing monetary policy, the World Bank said on Tuesday. In a semi-annual East Asia and Pacific economic update, the World Bank nudged up its 2011 growth forecast for China but expects growth to moderate from next year as ...
http://jlne.ws/tFVOxd
ECB funding demand surges as bank strains build
Reuters via Yahoo! News
FRANKFURT/LONDON (Reuters) - Euro zone banks' demand for central funding surged to a two-year high on Tuesday, and U.S. funds cut their lending to the bloc's banks, tightening a squeeze that looks unlikely to ease this year. Fast-spreading sovereign debt worries have left lending markets virtually frozen and the European Central Bank as the only available funding option for many banks. The ECB's ...
http://jlne.ws/uhcreW
Super Committee Punts Setting Up Bears With Great Field Position
Forbes via Yahoo! News
U.S. stock futures point to a sharply lower open on Wall St. Monday as the congressional supercommittee looks set to announce it was unable to reach a deficit-reduction. Deep differences of opinion over tax and spending reforms made it impossible to strike a compromise, and this defeat will mark another market-negative catalyst from our Federal government. A long impasse over the debt ceiling ...
http://jlne.ws/v54HHb
'Supercommittee'? Superbad
BusinessWeek
Washington fails yet again to reduce the deficit. This time, says Paul M. Barrett, only one party bears the blame
http://jlne.ws/s13Z6j
No deficit deal? No problem ... for Treasury bonds
Los Angeles Times
Treasury yields slid Monday despite the apparent failure of the congressional "super-committee" to come up with more than $1 billion in deficit cuts over the next decade.
http://jlne.ws/siBCTO
Pimco's El-Erian Says U.S. Economic Setting 'Terrifying'
BusinessWeek
Pacific Investment Management Co.'s Chief Executive Officer Mohamed A. El-Erian said U.S. economic conditions are "terrifying" as the nation struggles to recover from recession.
http://jlne.ws/vhq3hl
Congress Passes Budget Measure to Avert Government Shutdown
BusinessWeek
The U.S. Congress gave final approval to a $182 billion budget measure to keep federal agencies operating past tomorrow.
http://jlne.ws/uekcEM
Treasury Gets $12.2M from Warrants - Analyst Blog
Nasdaq
The Treasury Department reported on Friday that after selling the warrants of 17 banks, the department raised $12.2 million. These banks received government support during the financial crisis
http://jlne.ws/tiifZb
Federal Reserve ordering new round of "stress tests" for banks
CBS 19
The Federal Reserve is ordering a new round of stress tests for the nation's biggest banks.
http://jlne.ws/rHqYD8
Federal Reserve minutes reveal debate among members
CNN Money
At their last meeting, Federal Reserve members discussed volatile financial markets, Europe's debt crisis and MF Global's bankruptcy. But in the end, they made no changes to existing policy.
http://jlne.ws/rYBjbh
Federal Reserve officials may move to clarify interest rate policy
Los Angeles Times
Federal Reserve policymakers this month discussed how they could give businesses and investors more information about what might trigger an increase in interest rates, according to minutes of the Nov. 1-2 meeting, but the Fed held off making any changes.
http://jlne.ws/sQgql3
Federal Reserve has started talking about QE3
Nasdaq
Minutes of the Federal Reserve Open Market Committee meeting from November 1-2 have just been released with members urging "additional accommodation." This makes it more likely
http://jlne.ws/uglTEw
Retail groups file suit claiming Federal Reserve didn't follow law in setting debit card fees
Washington Post
NEW YORK - A coalition of retail groups sued the Federal Reserve on Tuesday, claiming the regulator ignored the law by setting too high a cap on the fees that banks can charge merchants for handling debit card purchases. The National Retail Federation and other groups claimed in U.S. District Court in Washington, D.C., that the Fed buckled under pressure from bank lobbyists when it set the cap ...
http://jlne.ws/ufbF2L
Can the U.S. Federal Reserve Help Save Europe's Banks?
http://jlne.ws/sFsnoE via Yahoo! News
The U.S. Federal Reserve has been pumping billions of dollars into the European banking system in recent weeks in an attempt to help stabilize the continent's financial crisis. And while the effort remains small, it is likely to grow in coming days as Europe's banks struggle to find lenders willing to help them service their dollar denominated debts.
http://jlne.ws/vrzHBQ
Dodd-Frank Law May Hinder Crisis Response by Policy Makers
BusinessWeek
Federal Reserve Chairman Ben S. Bernanke and fellow U.S. policy makers may find themselves hampered in restoring financial stability should the European debt crisis spread to America.
http://jlne.ws/s7nsgz
MF Global missing funds may hit $1.2 billion
CNN
More than $1.2 billion in customer funds may be missing from bankrupt brokerage MF Global, nearly twice previous estimates, the trustee administering the firm's bankruptcy said Monday.
http://jlne.ws/s3qxmn
House calls Corzine to testify over MF Global
CNN Money
The House Financial Services Committee has called on former New Jersey governor and MF Global CEO Jon Corzine to give testimony about the widening scandal at the bankrupt brokerage.
http://jlne.ws/tU7zFS
MF Global customers get hope; Corzine asked to testify
Reuters via Yahoo! News
(Reuters) - Former customers of MF Global Holdings Ltd got some good news on Tuesday, as the bankruptcy trustee secured more assets and the CME Group Inc expanded a guarantee to speed the return of frozen funds. Meanwhile, Jon Corzine, who has been publicly silent since resigning as MF Global's chief executive on November 4, was asked to appear before Congress next month to explain how his ...
http://jlne.ws/u3zVXs
CME lifts MF Global guarantee to $550 million
Chicago Sun-Times
The Chicago future markets, under fire from traders for their response to the collapse of MF Global, Tuesday announced a stepped up effort to restore funds to the brokerage's customers.CME Group Inc. said it increased its financial guarantee to MF Global's bankruptcy trustee. The guarantee, previously $250 million, was increased to $550 million.The higher amount will allow the trustee to repay ...
http://jlne.ws/rKwS0Y
Goldman Sachs Sees Signs Of Disinflation: Bernanke's Cue For QE3?
Forbes
Recent data suggest disinflation is here, according to Goldman Sachs' chief economist Jan Hatzius. With disinflation possibly turning into deflation, Fed Chairman Ben Bernanke could be forced to unleash QE3 in coming months to combat falling prices and possibly a slowing economy that could be slipping into recession. Rising oil prices and extremely loose monetary, though, also feed the ...
http://jlne.ws/vpSYbt
U.S. sells 5-year debt at record-low yield
Market Watch
NEW YORK (MarketWatch) -- The Treasury Department sold $35 billion in 5-year notes on Tuesday at a yield of 0.937%, the lowest level on record and below where traders expected the sale to come. Bidders offered to buy 3.15 times the amount of debt sold, the highest since May and above the average of 2.82 times at the last four auctions. Indirect bidders, a group which includes foreign central ...
http://jlne.ws/vyWX3L
AIG Bailout Turns Contentious with Lawsuits Against U.S. Treasury
Yahoo! Contributor Network via Yahoo! News
The Washington Post reports former AIG CEO Hank Greenberg is suing the Treasury Department and the Federal Reserve Bank of New York for $25 billion. The company called Starr International, which owns 12 percent of AIG and is run by Greenberg, filed separate lawsuits Monday on behalf of AIG. The point is to recoup stock losses that have occurred since the federal government bought an 80 percent ...
http://jlne.ws/vIOaCA
France's AAA Status in Tatters as Yields Surge: Euro Credit
BusinessWeek
Investors aren't waiting for Standard & Poor's or Moody's Investors Service to strip France, Europe's second-biggest economy, of its top credit rating.
http://jlne.ws/vogn15
IMF warns Bangladesh on inflation
AFP via Yahoo! News
The International Monetary Fund urged Bangladesh on Monday to tighten monetary policy further to fight runaway inflation and warned that economic growth could undershoot the government's expectations.
http://jlne.ws/sRVzkY
Federal Housing Administration Could be the Next Housing Bailout
US News & World Report
A weak housing market and economy could mean more trouble for the government's mortgage insurer.
http://jlne.ws/rFeFBr
Thomson Reuters Launches World's First Islamic Interbank Rate
Thomson Reuters ONE Finance News via Yahoo! Finance
Thomson Reuters works with leading Islamic finance institutions and banks to provide objective and dedicated benchmark for Shariah-compliant short-term interbank funding in Islamic finance industry New ...
http://jlne.ws/tmMpZA
TED Spread Hits Highest Level Since Crisis
Wall Street Journal Blogs
This shouldn't really shock you, but one measure of bank funding stress has hit its highest level going back to 2009.
http://jlne.ws/ts52AE
Events
Fourteenth Annual International Banking Conference
November 29 - December 1, 2011
Federal Reserve Bank of Chicago holds 14th International Banking Conference
http://jlne.ws/nTDrKO
7th Annual FIA Asia Derivatives Conference
November 29 - December 1, 2011
FIA looks at the futures and options industry in Asia
http://jlne.ws/vkOpsA
Fixed Income Markets 2012
January 24, 2012
Tabb Forum Looks At Changes Ahead And Staying Ahead In Fixed Incomes
http://jlne.ws/snQ3VO
Exchanges, Clearing Houses & MTFs
Eris Exchange Receives FOW Magazine Award for Innovation by an Exchange in the Field of Product Design
PR Newswire
CHICAGO and LONDON, Nov. 22, 2011 /PRNewswire/ -- Eris Exchange, a US-based futures exchange, today announced that it has received the 2011 FOW Award for Best Innovation by an Exchange in the Field of Product Design for North America. The award, which was announced at the FOW...
http://jlne.ws/rHg8Dt
NYPC Awarded "Best Innovation by a Clearinghouse, North America" by Futures and Options World, 2011
PR Newswire
NEW YORK, Nov. 17, 2011 /PRNewswire/ -- New York Portfolio Clearing, LLC (NYPC), the innovative new clearing platform for interest rate futures, today announced that it has been awarded "Best Innovation by a Clearing House, North America," by Futures and Options World (FOW), 2011. Walt...
http://jlne.ws/tAcQDH
Firms & Banks
AIG's Greenberg sues U.S. for $25 billion
CNN
The former head of the American International Group sued the U.S. government for $25 billion on Monday, claiming officials should have bailed out AIG instead of taking it over.
http://jlne.ws/vxpgy8
Pimco Launches Australian Bond ETF
ETF Trends via Yahoo! Finance
The newly launched exchange traded fund that Australian bonds provides investors with exposure to one of the more fiscally sound developed economies that also offers high returns. PIMCO Australia Bond ...
http://jlne.ws/vhM2Lb
Bank of America Settles Countrywide Fraud Claims With Calpers, Investors
Bloomberg
Bank of America Corp. (BAC) settled securities fraud claims by a group of investors including the California Public Employees Retirement System that opted out of a $624 million class-action settlement in 2010.
http://jlne.ws/rvwjTA
Bank of America tangles with Fannie Mae over loans
Boston Globe
Bank of America Corp. has told Fannie Mae it won't cooperate with the mortgage company's new stance on loan buybacks.
http://jlne.ws/tLUVQe
BofA default swaps hit new high
http://jlne.ws/szVxRO
First Midwest Bancorp sells $115 million in debt to repay TARP
Crain's Chicago Business
(Crain's) -The institution becomes the third Chicago-area bank to exit the federal government's bank bailout program.
http://jlne.ws/vj7N82
Citigroup May Need to Pay More to Keep SEC Deal, Lawyers Say
By Bob Van Voris - Bloomberg
Citigroup Inc., whose $285 million settlement with U.S. regulators over a collapsed collateralized debt obligation was faulted by a federal judge as too lenient, may have to pay more money to avoid admitting it did anything wrong, said lawyers following the case.
http://jlne.ws/vHPX4e
JP Morgan to buy MF Global stake in LME - sources
Douwe Miedema - Reuters
J.P. Morgan will soon announce it has bought a 4.7 percent stake in the London Metal Exchange (LME) from defunct U.S. brokerage MF Global, two people familiar with the situation said, making it the exchange's largest shareholder.
http://jlne.ws/stnUku
UBS, Credit Suisse Should Be Broken Up, Ex-UBS Chairman Says
BusinessWeek
UBS AG and Credit Suisse Group AG, Switzerland's biggest banks, should split off their investment banks to regain the trust of investors and clients, former UBS Chairman Peter Kurer said.
http://jlne.ws/u2VpgO
Jefferies CEO Weighing Future as Independent Firm
Charlie Gasparino - FOX Business
Exclusive: As he battles rumors that his firm will be next to fail, Jefferies CEO Richard Handler is weighing whether a sale to a larger player is inevitable.
http://jlne.ws/vGwZMs
Regulators
Kocherlakota Says Fed Focusing on Level of Unemployment May Be 'Dangerous'
Bloomberg
Federal Reserve Bank of Minneapolis President Narayana Kocherlakota said while U.S. unemployment is too high at 9 percent, central bank policies to target a level of joblessness could lead to a jump in inflation.
http://jlne.ws/t4rr1k
Bullard Warns More Stimulus Risks 1970s-Style Inflation
BusinessWeek
Federal Reserve Bank of St. Louis President James Bullard said additional monetary stimulus by the Fed risks fueling inflation similar to three decades ago.
http://jlne.ws/vxnIs0
Romer on Fed, U.S. Economy, Supercommittee Failure
Bloomberg
Nov. 22 (Bloomberg) -- Christina Romer, former head of President Barack Obama's Council of Economic Advisers and a Bloomberg contributing editor, talks about the minutes of the Nov. 1-2 meeting of the Federal Open Market Committee and the outlook for the economy and budget.
http://jlne.ws/ticEnV
Fed's Williams Says Fiscal Aid 'Badly Needed' for Growth
BusinessWeek
Federal Reserve Bank of San Francisco President John Williams called for fiscal aid for the economy, saying government actions beyond Fed easing are imperative for bolstering the recovery and reducing joblessness.
http://jlne.ws/thdhcz
Osborne Said to Favor Low-Rate Bank Loans for Credit-Easing Plan
BusinessWeek
U.K. Chancellor of the Exchequer George Osborne may propose a plan to channel low-cost loans to companies through commercial banks to spur economic growth, said a person with knowledge of the matter.
http://jlne.ws/toWGuO
Global News
South African Inflation Accelerates to Top of 6% Target on Weaker Rand
Bloomberg
South Africa's inflation rate rose to 6 percent in October as food and fuel prices increased, reducing chances the central bank will lower interest rates to support growth in Africa's largest economy.
http://jlne.ws/uuvIzn
German 10-year bond auction a "disaster"
Reuters via Yahoo! News
LONDON (Reuters) - A "disastrous" sale of German benchmark bonds sparked fears on Wednesday the debt crisis was beginning to threaten even Berlin, with the Bundesbank forced to dig deep into its pockets to ensure the auction did not fail. In one of the least successful debt sales by Europe's powerhouse economy since the launch of the single currency, the low returns offered -- just 2 percent ...
http://jlne.ws/vFD96z
London Banks Seen Rigging Rates for Decades Losing Credibility in Markets
Bloomberg
Every workday morning in London, at about 10 o'clock, representatives from 19 banks make a series of decisions that affect financial transactions around the world, from what homeowners pay on their mortgages to the underlying value of credit-default swaps and corporate bonds.
http://jlne.ws/skviJS
Credit Default Swaps as a Scare Tactic in Greece
International Herald Tribune
Behind the scenes, there appears to be some arm-twisting to persuade holders of Greek bonds to accept a restructuring deal.
http://jlne.ws/vDjDI3
Ontario vows to balance budget, despite spending
Reuters via Yahoo! News
TORONTO (Reuters) - The Liberal government of Ontario, Canada's industrial heartland, renewed its vow on Tuesday to eliminate its C$16 billion ($15.4 billion) budget deficit in six years, while also affirming some expensive spending promises made in the recent provincial election. In the Speech from the Throne, which opened the first session of the legislature since the October 6 vote ...
http://jlne.ws/vlCnfS
China To Fine-Tune Monetary Policy, PBoC's Hu Says
Nasdaq
http://jlne.ws/v9vZP8
BOE panel unanimously backed unchanged policy
Market Watch
FRANKFURT (MarketWatch) -- The Bank of England's nine-member Monetary Policy Committee unanimously backed the Nov. 10 decision to leave the key lending rate at 0.5% and the size of the asset-purchase program unchanged at 275 billion pounds ($429.6 billion), according to minutes of the meeting released Wednesday. The MPC in October expanded the asset-purchases, the centerpiece of its quantitative ...
http://jlne.ws/uuuvZQ
Kenya almost-doubles inflation target to 9 pct
Reuters via Yahoo! News
NAIROBI (Reuters) - Kenya's central bank changed another key policy aim by almost-doubling this fiscal year's inflation target to 9 percent, just weeks after being driven to make a huge rate rise to combat soaring inflation and save the plunging shilling. Tuesday's unveiling of the new target, for the year running July to June, followed months of trenchant criticism of the bank for not taking ...
http://jlne.ws/sa0kNm
Nigeria leaves benchmark interest rate at 12 pct
Reuters via Yahoo! News
ABUJA (Reuters) - The Central Bank of Nigeria (CBN) monetary policy committee (MPC) left its benchmark interest rate unchanged at 12 percent on Monday. The CBN moved the band it wants the local naira currency to trade in to between 150-160 naira against the U.S. dollar, compared with 145-155 naira to the dollar previously, due to prolonged naira weakness.
http://jlne.ws/tiGEQs
Sri Lanka denies devaluation at IMF request
AFP via Yahoo! News
Sri Lanka denied on Wednesday that it had devalued its currency at the demand of the International Monetary Fund to secure the rest of a $2.6 billion bailout.
http://jlne.ws/vv8uMD
Thai Central Bank Set To Cut Interest Rate: Capital Economics
Nasdaq
http://jlne.ws/rT82zk
Philippine Central Bank Reviews Policy On Reserve Requirements
http://jlne.ws/uENaBd
Russia Central Banker: Risk Of Major European Or US Bank Failure Near Zero
Nasdaq
http://jlne.ws/vW9KU1
Bank of Greece: Nation may be driven out of euro
Market Watch
LONDON (MarketWatch) -- The Bank of Greece said on Wednesday that the nation is in "the most critical period" in its post-war history and could potentially be driven out of the euro zone. Greece must focus all efforts on meeting the targets set in an October agreement, the central bank said. Otherwise, the nation may face "an uncontrolled downward trajectory that would undermine many of the ...
http://jlne.ws/tnsm8w
S.Africa September c.bank sentiment indicator dips
Reuters via Yahoo! News
JOHANNESBURG (Reuters) - The South African central bank's monthly economic indicator nudged lower in September, falling by 0.3 percent month-on-month compared with a 2.1 percent drop in August, the South African Reserve Bank said on Tuesday. The indicator, which collates data such as business confidence, job advertisements and the volume of manufacturing orders to gauge the economic outlook, has ...
http://jlne.ws/uY53r0
Turkish Central Banks Holds Key Rate As Expected
Nasdaq
http://jlne.ws/taBHY2
Disclaimer: The John Lothian, Environmental Markets, JLN Metals, JLN Managed Futures, JLN Interest Rates, JLN Options and JLN FX newsletters and blogs and MarketsWiki are products of John J. Lothian & Company, Inc. The opinions expressed in these publications are strictly those of their respective editors. They are intended solely for informative purposes and are not to be construed, under any circumstances, by implication or otherwise, as an offer to sell or a solicitation to buy or trade in any commodities or securities herein named. Information is obtained from sources believed to be reliable, but is in no way guaranteed. No guarantee of any kind is implied or possible where projections of future conditions are attempted. Security futures are not suitable for all customers.
Futures and options trading involve risk. Past results are no indication of future performance.
Nothing on any John J. Lothian & Company site should be considered an endorsement by any sponsor of any web site or newsletter content.
Copyright 2011 John J. Lothian & Company, Inc. All Rights Reserved.
Tidak ada komentar:
Posting Komentar