Tag Archive: Duration

Sam Bankman-Fried FTX’ed Up

2022-11-17

You can listen to the audio version of this article here. Last week the cryptocurrency exchange FTX, which was recently valued at $32 billion, imploded. While the tragedy continues to play out, let’s summarize what has happened so far: FTX is a cryptocurrency exchange, co-founded by Sam “SBF” Bankman-Fried. FTX enables customers to make leveraged bets (as high as 20 to 1) on cryptocurrencies.

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Weekly Market Pulse: What Now?

2022-04-05

by Joseph Y. Calhoun

2022-04-05

The yield curve inverted last week. Well, the part everyone watches, the 10 year/2 year Treasury yield spread, inverted, closing the week a solid 7 basis points in the negative. The difference between the 10 year and 2 year Treasury yields is not the yield curve though. The 10/2 spread is one point on the Treasury yield curve which is positively sloped from 1 month to 3 years, negatively sloped from 3 years to 10 years and positively sloped again...

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Weekly Market Pulse: The Cure For High Prices

2022-03-31

by Joseph Y. Calhoun

2022-03-31

There’s an old Wall Street maxim that the cure for high commodity prices is high commodity prices. As prices rise two things will generally limit the scope of the increase. Demand will wane as consumers just use less or find substitutes. Supply will also increase as the companies that extract these raw materials open new mines, grow more crops or drill new wells.

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Swiss National Bank: Composition of Reserves (Assets) and Investment Strategy

The Q1/2016 update on the SNB investment strategy and its assets. The Swiss National Bank is a passive conservative investor. As opposed to other investors, the exposure in currencies is as important as the strategic asset allocation according asset classes (bonds, equities, cash, real estate). The importance of currencies is one reason why the SNB is often called a hedge fund, the second the volatility of gains and losses.

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SNB Q2/2013 Composition of Reserves

2013-08-02

by George Dorgan

2013-08-02

We regularly publish the SNB asset structure by currency, rating & duration, they might be a template for the tactical asset allocation in these dimensions (CHF certainly excluded) for other fixed income and/or rather conservative asset managers. here the newest data Total Balance Sheet and Liabilities The total balance sheet size decreased from 511 bln. …

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SNB Q1 Results: Bottom-Fishing Cheap Yen, Increases Equity Share with Gains and Margin Debt

2013-04-30

by George Dorgan

2013-04-30

We regularly publish the SNB asset structure by currency, rating & duration, they might be a template for the tactical asset allocation in these dimensions (CHF certainly excluded) for other fixed income and/or rather conservative asset managers. Composition of SNB Forex Reserves, Q1/2013 With the strong results of 11.2 billion francs, the SNB reduced the …

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Composition of SNB Reserves Q4, 2012, Yield on Investment

2013-03-07

by George Dorgan

2013-03-07

We regularly publish the SNB asset structure by currency, rating & duration, they might be a template for the tactical asset allocation in these dimensions (CHF certainly excluded) for other fixed income asset managers. Moreover we publish the yield on investment. Composition of SNB Forex Reserves, Q4 2012 The Swiss National Bank (SNB) saw …

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Trade Like a Central Bank: Buy EUR/USD at 1.24 and sell at 1.30! .. SNB

2012-10-31

by George Dorgan

2012-10-31

Composition of SNB Forex Reserves, Q3 2012 The Swiss National Bank (SNB) reduced the share of euros in the third quarter substantially from 60% in Q2 to 48% in Q3 and increased dollar and pound positions. The SNB bought 80 billion euros or more when the common currency was trading around 1.24$, especially at the end of …

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Did the SNB Front-Run ECB Decisions Far Ahead of Hedge Funds?

2012-10-30

by George Dorgan

2012-10-30

We think that the Swiss National Bank invested far more in Italian and Spanish bonds than analysts like Standard and Poor’s expected and was able to front-run ECB decisions. This new style of hedge funds, formerly called “central banks”, can refinance at zero percent and is able to show a lot better performance than the …

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Is Standard and Poor’s a Rating Agency or a Rumor Agency ?

2012-10-01

by George Dorgan

2012-10-01

Standard and Poor’s critique of the Swiss National Bank, Part 2, extracts from our full report As many readers of our blog know, we are not the best of friends with the current Swiss National Bank (SNB) policy: we recently published a paper claiming that the SNB will go bankrupt and …

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SNB Results: SNB poised for 10 billion CHF quarterly profit

2012-07-26

by George Dorgan

2012-07-26

jordan vs. ackermann was it a pyhrrus Victory ? snb results q2/2012

On July 31st the Swiss National Bank will publish interim results for the second quarter 2012. Already now we offer an estimate to our readers. Our estimate does not cover the central bank’s Forex trading results, they are difficult to estimate. A central bank is not a day trader, therefore the influence should be limited. …

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The other risk for the SNB: Will German Bund yields double ?

2012-06-20

by George Dorgan

2012-06-20

In the latest post we started discussing the implications of a German euro exit for the Swiss National Bank, this time we will look on another risk: The rising German Bund yields.

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