BIS – Supervisory Guidance for Assessing Banks’ Financial Instrument Fair Value Practices – Final Paper
By Martin | February 9, 2010
BIS – Supervisory Guidance for Assessing Banks’ Financial Instrument Fair Value Practices
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By Martin | February 4, 2010
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Dollar rallies, hits 5-month euro high
By Martin | January 21, 2010
A looming slowdown in Chinese bank lending and uncertainty over the debt problems of some European countries, particularly Greece, pushed the dollar to a 5-month high against the euro Wednesday. The dollar tends to benefit from economic or corporate news that points to instability, just as stocks, commodities and emerging-market currencies trend lower for the same reason. The 16-nation euro slid to $1.4108 in late trading in New York from $1.4292 late Tuesday. It traded as low as $1.4081, its lowest point since last August. Read the rest of this entry »
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Obama to propose new limits on banks
By Martin | January 21, 2010
The White House wants commercial banks that take deposits from customers to be barred from investing on behalf of the bank itself—what’s known as proprietary trading—and said the administration will seek new limits on the size and concentration of financial institutions. Under the proposed rule, commercial banks would be prohibited from owning, investing in or advising hedge funds or private-equity firms. Administration officials said they also want to toughen an existing cap on bank market share. Since 1994, no bank can have more than 10% of the nation’s insured deposits. The Obama administration wants that cap to include non-insured deposits and other assets.
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Oracle darf Sun übernehmen
By Martin | January 21, 2010
Die Europäische Kommission genehmigte den Zusammenschluss am Donnerstag ohne Auflagen. Es drohe keine Einschränkung des Wettbewerbs im Europäischen Wirtschaftsraum.
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U.S. financial regulation reform proposals
By Martin | January 12, 2010
The U.S. Senate will renew efforts this month to overhaul financial regulation, basing much of its work on a bill offered by Democratic Senator Christopher Dodd, who announced this week he will retire at the end of 2010.
Like legislation approved on Dec. 11 by the U.S. House of Representatives, the Dodd bill proposes the biggest regulatory changes since the 1930s for Wall Street and the banks.
Below is a summary of the House and Senate proposals.
SYSTEMIC RISK:
HOUSE BILL
* House bill creates inter-agency Financial Services Oversight Council with staff drawn from existing agencies
* Council members include heads of Treasury, Federal Reserve, SEC, FDIC, others; Fed acts as council agent
* Council can recommend that existing agencies impose stricter standards on large, interconnected financial firms that could threaten economic stability or that are troubled
* Fed limits leverage of financial holding companies subject to stricter standards at 15-to-1 debt-to-equity ratio
* Fed sets minimum capital ratio for financial holding companies that are subject to stricter standards at 2 percent of tangible equity to total assets
* Fed can impose other leverage, capital, liquidity rules on firms, taking off-balance sheet activities into account
* Fed can prohibit firms subject to stricter standards from proprietary trading done in-house using firms’ own money
* Firms subject to higher standards face routine “stress tests;” must submit “living wills” on unwinding quickly
* Firms can be ordered to hold contingent capital, or long-term hybrid debt convertible to equity in emergencies
* Firms failing to comply can be ordered to restructure, curb executive pay, sell businesses or otherwise break up
* Treasury secretary must approve any order to divest more than $10 billion in assets; president, more than $100 billion
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Hedging Lufthansa Treibstoffkosten
By Martin | January 12, 2010
Der jährliche Treibstoffverbrauch des Lufthansa Konzerns lag im Geschäftsjahr 2008 bei etwa 7,9 Millionen Tonnen Kerosin. Er stellt für den Lufthansa Konzern eine wesentliche Aufwandsposition dar. Starke Veränderungen der Treibstoffpreise können somit das betriebliche Ergebnis erheblich beeinflussen. Lufthansa setzt deswegen eine regelbasierte Treibstoffpreis-Sicherung mit einem Zeithorizont von 24 Monaten ein. Ziel ist es, die Schwankungen der Treibstoffpreise zu verringern. Die Sicherungen erfolgen überwiegend in Rohöl, nach Möglichkeit ergänzt um die Preisdifferenz Kerosin zu Rohöl.
Bei der Treibstoffabsicherung bedient sich Lufthansa der üblichen Marktinstrumentarien wie Terminkontrakten und Optionen. Lufthansa sichert mit einem Vorlauf von 24 Monaten jeweils monatlich 4,8 Prozent der geplanten Menge in Brent-Collars bis zu einem Sicherungsgrad von 85 Prozent. Den Sicherungsgeschäften liegt also eine feste Regel zugrunde, sie bilden somit einen Durchschnittskurs der Rohölpreise ab. Die auf einen Zeitpunkt folgenden sechs Monate sind daher zu 85 Prozent gesichert.
Als ergänzende Maßnahme zur Risikoreduktion hat sich der Treibstoffzuschlag im Markt etabliert. Es ist jedoch ungewiss, in welchem Umfang sich der Zuschlag je nach Entwicklung der Treibstoffpreise und des konjunkturellen Umfeldes durchsetzen lässt.
Folgende Grafik stellt den Treibstoffaufwand nach Hedging unter Annahme verschiedener Ölpreisszenarien dar.
Ölpreisszenario Lufthansa Konzern
Stand 11. März 2009
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Arbitrage Spreads On Pending Mergers & Acquisitions
By Martin | January 7, 2010
3Com Corp. (COMS), Hewlett-Packard Co. (HPQ)
Premium offered: $0.36 or 4.77%
Acquirer: HPQ
Target: COMS
Offer per share: $7.90 cash
Value of outstanding common equity: $3,098,143,000
Target share price: $7.54
Acquirer share price: $52.04
Expected closing: 1st Half 2010 4/1/2010
Annualized gain: 20.75%
Note: Deal has been approved by the boards of both companies. The U.S. SEC
has reportedly opened an investigation of COMS option activity ahead of the
merger annoucement. The investgation is focused on illegal profits through
the use of advance knowledge of the deal.
Affiliated Computer Services Inc. (ACS), Xerox Inc. (XRX)
Premium offered: $0.53 or 0.88%
Acquirer: XRX
Target: ACS
Offer per share: 4.935 share and $18.60 per share
Value of offer per share: $60.86
Value of outstanding common equity securities: $5,942,214,664
Acquirer share price: $8.56
Target share price: $60.33
Expected closing: First Quarter 2/14/2010
Annualized gain: 8.41%
Note: Xerox has agreed to assume ACS’s $2B in debt and issue $300M of
convertible stock to ACS’s class B shareholders. Xerox also expects to sell
between $2B adn $3B in bonds to finance the acquisition. Directors of both
cos approved the deal as chairman of ACS plans to resign after the merger.
ACS and Xerox, resolving a shareholder lawsuit, agree that ACS Chariman
Deason won’t be forced to vote any of his shares of ACS in favor of the deal
if ACS gets a higher offer and withdraws its recommendation for the Xerox
acquisition and won’t complete deal until all Class A shareholders agree.
Xerox completed a $2 billion debt offering to cover part of ACS’s senior
credit facility. Shareholders of both cos will vote on the merger on Feb. 5.
Airvana (AIRV), SAC Private Capital
Premium offered: $0.05 or 0.66%
Acquirer: SAC Private Capital
Target: AIRV
Offer per share: $7.65 stock
Value of outstanding common equity: $478,737,000
Target share price: $7.60
Acquirer share price: N/A
Expected closing: By End of 1Q 2/12/2010
Annualized gain: 6.58%
Note: Airvana’s Board of Directors and Special Committee have approved the
deal.
Allied Capital Corp. (ALD), Ares Capital Corp. (ARCC)
Premium offered: $0.31 or 8.01%
Acquirer: ARCC
Target: ALD
Shares offered per share: 0.325 shares
Value of offer per share: $4.24
Value of outstanding common equity: $760,248,158
Acquirer share price: $13.06
Target share price: $3.93
Expected closing: First Quarter 2010 2/14/2010
Annualized gain: 75.95%
Note: Upon closing of the deal, ARCC shareholders will own about 65% of the
merged company and ALD holders 35%.
Allion Healthcare Inc. (ALLI), H.I.G. Capital LLC (Private)
Premium offered: $0.01 or 0.15%
Acquirer: H.I.G. Capital
Target: ALLI
Offer per share: $6.60 cash
Value of outstanding common equity: $176,022,000
Target share price: $6.59
Acquirer share price: N/A
Expected closing: First Quarter 2010 2/14/2010
Annualized gain: 1.46%
Note: H.I.G will repay ALLI debt of $79M as part of the merger pact.
Amicas Inc. (AMCS), Thoma Bravo LLC (Private)
Premium offered: -$0.07 or -1.29%
Acquirer: Thoma Bravo
Target: AMCS
Offer per share: $5.35 cash
Value of outstanding common equity: $190,995,000
Target share price: $5.42
Acquirer share price: N/A
Expected closing: 1Q 2010 2/14/2010
Annualized gain: -12.24%
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Handelsblatt, Kommentar : Ratingagenturen : Aufseher zementieren die Macht der Ratings
By Martin | January 5, 2010
Dazu haben insbesondere die internationalen Eigenkapitalregeln für Banken, im Fachjargon Basel II, beigetragen. Die Bonitätsnoten bestimmen, mit wie viel Kapital eine Bank den Besitz von Krediten und Wertpapieren unterlegen muss. Vor allem bei komplexen, also verbrieften, Wertpapieren ist dieser Weg praktisch alternativlos. Verankert in zahllosen Anlagerichtlinien und Verordnungen für Fonds und Versicherer legen Ratings auch für die meisten anderen Finanzmarktakteure fest, welche Wertpapiere käuflich sind und was ein Ladenhüter bleiben muss.
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Die Hauptschuld daran trägt die Politik. Erst hat sie die Ratings durch gewinnorientierte Firmen zum festen Bestandteil der Finanzmarktaufsicht gemacht. Und nun unterlässt sie jeden ernsthaften Versuch, Alternativen auszuloten.
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Tokyo bourse to launch high-speed trading system
By Martin | January 3, 2010
Tokyo Stock Exchange to pick up speed with new trading system in 2010
The Tokyo Stock Exchange will launch a new high-speed trading system Monday, scrapping an antiquated, glitch-prone platform for one that aims to compete with major global rivals.
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which can process trades in five milliseconds. That is 600 times faster than the two to three-seconds required until now, and roughly on par with its counterparts in New York and London.
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With the upgrade, the exchange hopes to lure traders who use automated computer programs to make rapid and frequent transactions. Algorithmic trading, commonly used by institutional investors like pension funds, accounts for the majority of equity trading in the U.S. and Europe but has been slow to catch on in Asia.
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