Sunday, April 29, 2012

German banks rein in exposure to Spain -

German banks rein in exposure to Spain - "Will Spain – where house prices have fallen more than 22 per cent from their peak, with analysts expecting worse to come – bring more pain? Figures published this month by the Bank for International Settlements show that German banks had $146bn of exposure to Spain at the end of 2011 – more than the banks of any other country. Some $53bn of the exposure is to Spanish banks, while a further $68bn is to the rest of the private sector"

End-December 2011
           Denmark France     Germany     Greece     Ireland      Italy       Japan       Mexico
Spain   1,951      115,162   146,096        292       4,696       26,939    21,691       540 ...

Saturday, April 28, 2012

FX Momentum trades

Forex momentum trade yields long-term gains - "Currency momentum strategies that buy or sell currencies according to whether they have risen or fallen over the previous month yielded annual returns of nearly 10 per cent between 1976 and 2010, according to the Cass study, which analysed 48 currencies against the US dollar. The paper, “Currency Momentum Strategies”, is due to be published in the Journal of Financial Economics."

'via Blog this'

Wednesday, April 18, 2012

Investment Bank Leverage

The FT reports on the rise in capital at investment bank Goldman.

Goldman Sachs: then and now - "Spookily, it is as if nothing has changed for six long years. But a financial crisis has come and gone since then and regulators are now throwing everything at banks. Of course, there is one huge difference between the two periods, but it is not to be found in the profit and loss account. Flip to the balance sheet and be astounded to remember that in 2006 Goldman was running on just $27bn of common shareholders’ equity. With exactly the same earnings today, that number is now two and a half times higher."

Monday, April 09, 2012

Hedge funds and leverage

Hedge funds keep a lid on leverage - "According to the UK’s Financial Services Authority, which in February published its annual survey of the global hedge fund industry, the average hedge fund currently uses leverage of about 2.5 times its capital – as it has done for the past three years.
Indeed, unlike prop desks, most hedge funds have to grapple with all too finite liquidity and financing – issues no manager has been able to ignore since 2008."

How the leverage has been reduced as pro trading transfers from investment banks to hedge funds.