Il collasso delle materie prime, la regolamentazione finanziaria in Europa e negli USA

Oltre al flash crash del 6 maggio e alla "correzione" che i mercati azionari stanno attraversando si addensano le nubi sulle materie prime: secondo Barron's
 
WITH ALL THE ATTENTION FOCUSED on the so-called flash crash of May 6, there's been a nearly silent crash in commodities.
From copper to crude oil to corn, prices have been tumbling for the better part of a month.(...)
The commodities decline has been overshadowed by news of the European debt crisis, the oil-spill disaster in the Gulf of Mexico and the flash crash which caused a thousand points of fright in the Dow Jones Industrials a couple of weeks ago. But the slide in commodities has been picking up speed in the last week and, anomalously, has come against the backdrop of soaring gold, which hit a record price in dollars of $1,249 an ounce last week.
The proximate factor driving down commodities has been the rise in the dollar. "A strong dollar, all things being equal, equates to a weak commodity market. It has always been thus; it shall always be thus," writes Dennis Gartman, editor of the Gartman Letter, which is the first read in the morning for traders and investors around the globe.
In particular, Dr. Copper is looking sickly. "The metal with a PhD in economics," so named for its sensitivity to the global economy, is down more than 20% in the past month. Clusterstock.com headlined its chart of the day "Now This Is a Deflationary Collapse," which seemed no exaggeration as copper plunged 6.4% Monday.
Copper's slide joined other disquieting signs of slower global growth. Monday, the Shanghai Composite Index plunged over 5%, putting China's stock market into bear territory at more than 20% below its peak last year. (...) Traditionally, rising gold prices have pointed to higher commodity prices. Similarly, rising gold also has been associated to an increase in bond yields as well as a falling dollar.
In the last month, those historic relationships have been turned on their ear.(...)
That simplistic explanation leaves out the broader subtext of the debt deflation resulting from the austerity measures being enacted in Europe along with the impact of the multiple monetary tightening measures in China. In the U.S., meanwhile, the maximum effect from last year's fiscal and monetary stimuli may have been felt; tax hikes loom for next year and the Fed continues to mull how to shrink its balance sheet.
In the context of the deflationary impulses now being felt in the world's economy, the flight from commodities such as copper makes sense -- even as investors seek the haven of gold.

Il vento della deflazione rischia di affossare ulteriormente le borse. D'altronde il Wall Street Journal osserva ieri che l'inflazione USA è ai minimi da 44 anni, attestandosi allo 0.9% se si escludono l'energia e gli alimentari. Scrive il WSJ che
Europe, too, is grappling with weak or falling prices. That trend could exacerbate debt problems by affecting sales tax and other revenues governments need to close gaping budget deficits.
Spain, Ireland and Portugal all have reported drops in prices excluding food and energy, while annual core inflation in the 16-member euro zone slid to a record low of 0.8% in April.
Asian countries are experiencing much higher inflation rates. One reason is that by effectively tethering their currencies to the U.S. dollar, China and other major exporters expose their economies to the influence of U.S. interest-rate policy.(...)  Uncertainty about how effective China's inflation fighting methods will be has sent its stock market into the doldrums. The Shanghai Composite is down 21% this year as investors worry that the government will flub the effort to contain prices by overshooting or undershooting.
"There is risk of stagflation, lower growth rate with higher consumer prices later this year," said Jeremiah Feng, fund manager for HSBC Jintrust Fund Management Co., a mutual-fund company that caters to mainland investors.
Elsewhere in Asia, policy makers for the most part have taken only tentative steps to change the loose monetary policy implemented during the depths of the global financial crisis.
Australia has been the most aggressive, raising interest rates six times since October.
Malaysia and Singapore also have taken policy actions. Yet several prominent Asian economies, including Indonesia, South Korea and Taiwan, are operating with crisis-level interest rates while growth has bounced back to precrisis levels.

Vi segnalo due articoli interessanti sull'Economist appena uscito:

il primo analizza le proposte europee di regolamentazione di hedge funds e dei fondi di private equity: 
sulla regolamentazione degli investimenti "alternativi"  l'Economist ha numerose riserve:


But some of the AIFM proposals still look too draconian.
The parliamentary draft dangles the possibility of a “passport” that would enable authorised third-country funds to sell their wares throughout the EU. But it comes at a high price. Funds would not just have to satisfy the EU about the quality of their home regimes in areas such as money-laundering and tax, but their home supervisors would also have to ensure that funds comply with EU rules—a bit of regulatory over-reach that will not go down well in places like America. Worse still, the parliamentary draft appears to ban EU investors from placing money with offshore funds that do not meet European rules.
The second big area of contention concerns custodian banks—financial institutions that are responsible for keeping investors’ assets safe. Stung by the losses that European investors suffered at the hands of Bernie Madoff, perpetrator of the world’s biggest financial fraud, legislators want to increase custodians’ liability for the assets they look after. Pension funds and other investors fear they will be charged a higher premium by custodians as a resul.




il secondo il mercato delle obbligazioni governative:

The compression of bond yields over the past decade was another manifestation of the mispricing of risk as investors sought higher returns. “Many investors thought they were buying German bunds with a bit of free yield,” says one fund manager. “Now they realise they had bought a lot more of the lira and a lot less of the Deutschmark than they thought.” However, repricing is deeply destabilising. Most large holders of government debt are risk-averse. A fall in price is more likely to prompt a stampede than a calm appraisal of valuations.
That leaves the ECB in a quandary. In buying bonds of distressed countries it is, in effect, opening the emergency exits of a crowded theatre. Its hope is that in doing so it will make everyone feel safer and thus less likely to bolt at the first wisp of smoke. Yet the risk it faces is that in making an exit easier, more people will leave.(...)
A second dilemma is how far the ECB should allow interest rates to increase on the government bonds of countries such as Spain. Holding down borrowing costs will help make its fiscal adjustment easier, which should attract private capital. Yet unless yields widen there is little incentive for investors to hold its debt.
Germany’s bans on naked short-selling seem only to have heightened skittishness about owning European assets, as investors fret that hedging will get harder and rules tougher. The problem facing the euro zone is not speculative shorting of its countries’ bonds, but rather the reluctance of investors to buy them in the first place. Berating the markets that fund it is a very odd tack for any government to take.

I commenti negativi sulla mossa tedesca di vietare lo short selling sono numerosi: eccone qui uno, due e tre.

Infine ieri il Senato USA ha approvato un disegno di legge di riforma finanziaria piuttosto ampio: è un tema sul quale torneremo certamente in futuro, nel frattempo vi consiglio di leggere i contenuti sul Wall Street Journal

Ancora sul flash crash

Aggiornamenti sull'analisi e le conseguenze del flash crash del 6 maggio:

• Dal New York Times: la S.E.C. ha deciso di estendere i  circuit breakers a tutti i mercati, sperando che questo renda più improbabile il quasi-collasso del 6 maggio scorso. The circuit breakers will pause trading in those stocks for five minutes if the price moves by 10 percent or more in a five-minute period. The trial run will begin after a 10-day comment period and will last through Dec. 10, the commission said. The circuit breakers will apply both to rising and falling stock prices. But in a separate report, the S.E.C. and the Commodity Futures Trading Commission said that they had not been able to pinpoint the cause of the sharp market decline that shook investors and markets two weeks ago.(...)
  Generally, the agencies said, the drop was caused by traders stepping back from the market and refusing to buy or sell, in both the stock and futures markets. The government found that there was also a heavy reliance by investors on automated orders to sell at the market price once stock prices had declined by a certain amount. Further, there were different rules on different exchanges about when trading is automatically slowed or stopped.
  The agencies said they had found no evidence that the market decline was caused by so-called fat finger trading errors, or by computer hacking or terrorist activity. They added, however, “we cannot completely rule out these possibilities.” (...) the proposed individual circuit breakers announced Tuesday apply only to stocks in the S.& P. 500.
  The S.E.C. also said it intended to further review the role of the so called self-help mechanism, under which one exchange can refuse to route orders to another if it perceives that orders are not being filled quickly enough. That type of rerouting, around the most liquid markets and to markets where fewer investors were trading, was believed by the agencies to have exacerbated the decline on May 6. For example, as trading slowed on the Big Board because of circuit breakers, orders were routed around the exchange to smaller markets where prices quickly plunged. 
• Dal Wall Street Journal si mette in guardia sul rischio che i provvedimenti presi aumentino la volatilità anzichè diminuirla:
  Where would investors turn if stocks stopped trading?
  The answer may come soon, with U.S. regulators Tuesday announcing requirements for a five-minute trading halt on any stock that moves more than 10% within any five-minute period. Eventually, the rules also will apply to exchange-traded funds.(...)
  The sacrifice: Investors could lose liquidity in many shares when markets get rough. Credit Suisse's Portfolio Strategy Group estimates the regulations would have prompted on average about 40 daily halts among S&P 500 stocks in October 2008.
  The potential for such a freeze might lead more investors to consider stock-index futures. The S&P 500 futures contract continued trading May 6 when hundreds of stocks would have been halted under the new rules. More demand for futures could make such markets deeper, boosting revenue for exchange operator CME Group.
  But if many stocks stop trading, futures markets could face strain as liquidity-deprived investors turn there to sell. The result may be a futures-market plunge, pulling other stocks lower.(...)
  Unless rules are coordinated more closely across stock and derivatives exchanges, halts may merely divert volatility to instruments that continue trading. While circuit breakers should help, halting volatile individual stocks might not be enough to rule out another big swoon.
  

Due video dal Wall Street Journal e i rimedi alla crisi dell'eurozona

Analizzando il comportamento dei prezzi delle materie prime c'è chi vede un rallentamento dell'economia mondiale




Intanto per evitare il ripetersi del flash crash del 6 maggio si armonizzano i circuit breakers:



In questo articolo sul Wall Street Journal  John Cochrane discute i possibili rimedi della crisi dell'euro innescata dai timori di default sul debito della Grecia. Secondo Cochrane il megabailout non funzionerà e l'unica soluzione possibile è l'austerità fiscale (e dosi massicce di deflazione)



Last week the Greek bailout ballooned into a gargantuan 750 billion euro (nearly $1 trillion) debt stabilization fund, including a $39 billion line of credit from the International Monetary Fund. This coincided with the European Central Bank (ECB) announcement that it would immediately begin purchasing junk-rated Greek debt.
It won't work. The problem isn't liquidity, psychology or speculators. Germany and France simply cannot borrow or tax enough to cover Europe's debts and looming deficits. So, barring a fiscal and growth miracle, we will either see sovereign defaults (larger and more chaotic for having been postponed) or the ECB will have to print euros to buy worthless debt, leading to widespread inflation. Since inflation lowers the value of promises to state workers and pensioners, and also is easy to blame on others, it will be an especially tempting escape.
Notice who is missing: Greek bondholders are not being asked to miss a single interest payment, reschedule a cent of debt, suffer any write-down, take a forced rollover or conversion of short to long-term debt, or any of the other messy ways insolvent sovereigns deal with empty coffers. Those who bought credit default swaps lose once again.(...)
Greece got in to trouble when it tried to sell new debt to repay its maturing short-term debt, just as Bear Stearns and Lehman Brothers did. If Greece had sold long-term debt, there would be no sudden crisis. In all the talk of restructuring euro finances, nobody is talking about forcing governments to borrow long-term, nor of managing the crisis by forcing short-term debtholders to accept new long-term debt rather than cash.
Letting someone lose money on sovereign debt is the acid test for the euro. If not now, when? It won't happen in good times, nor to a smaller country. The sooner the EU commits, and other countries and their lenders come to terms with the fact that they will not be bailed out, the better.
The current course—ever-larger and less-credible bailout promises, angry German voters who may vitiate those promises, vague additional fiscal supervision (i.e. more of what just failed miserably)—is not the answer.
The only way to solve the underlying euro-zone fiscal mess (and our own) is to slash government spending and to focus on growth. Countries only pay off debts by growing out of them. And no, growth does not come from spending, especially on generous pensions and padded government payrolls. Greece's spending over 50% of GDP did not result in robust growth and full coffers. At least the looming worldwide sovereign debt crisis is heaving "fiscal stimulus" on the ash heap of bad ideas.

Brad De Long sui CDS nudi, sul futuro della social security negli USA e una lezione sulla crisi finanziaria.

Vi segnalo tre post di Brad De Long:

il primo analizza la questione della regolamentazione dei credit default swaps (CDS), soffermandosi sul dibattito in corso relativo all'opportunità (o meno) di vietare i CDS "nudi";

il secondo è una analisi del futuro della social security negli USA,

il terzo è semplicemente un'illustrazione della ripresa in corso nell'economia USA attraverso cinque grafici
(GDP e occupazione)

Infine vi ripropongo qui sotto una sua breve lezione sulla crisi finanziaria.

Sparare ai pesci in un barile: il parco buoi del nuovo millennio?

Un articolo sul New York Times di ieri aiuta a farsi un'idea di come si svolge oggi il trading ad alta frequenza (high frequency trading, HFT):


Depending on whose estimates you believe, high-frequency traders account for 40 to 70 percent of all trading on every stock market in the country. Some of the biggest players trade more than a billion shares a day. These are short-term bets. Very short. The founder of Tradebot, in Kansas City, Mo., told students in 2008 that his firm typically held stocks for 11 seconds. Tradebot, one of the biggest high-frequency traders around, had not had a losing day in four years, he said.
But some in Washington wonder if ordinary investors will pay a price for this sort of lightning-quick trading. Unlike old-fashioned specialists on the New York Stock Exchange, who are obligated to stay in the market whether it is rising or falling, high-frequency traders can walk away at any time. (...)
“The market structure has morphed from one that was equitable and fair to one where those who get the greatest perks, who have the speed, have all of the advantages,” said Sal Arnuk, who runs an equity trading firm in New Jersey.
High-frequency traders insist that they provide the market with liquidity, thus enabling investors to trade easily.
“The benefits of the liquidity that we bring to the markets aren’t theoretical,” said Cameron Smith, the general counsel for high-frequency trading firm Quantlab Financial in Houston. “If you can buy a security with the knowledge that you can resell it later, that creates a lot of confidence in the market.”
The high-frequency club consisting of 100 to 200 firms are scattered far from the canyons of Wall Street. Most use their founders’ money to trade. A handful are run from spare bedrooms, while others, like GetCo in Chicago, have hundreds of employees.
Most of these firms typically hold onto stocks for a few seconds, minutes or hours and usually end the day with little or no position in the market. Their profits come in slivers of a penny, but they can reap those incremental rewards over and over, all day long.
What all high-frequency traders love is volatility — lots of it. “It was like shooting fish in the barrel in 2008. Any dummy who tried to do a high-frequency strategy back then could make money,” said Manoj Narang, the founder of Tradeworx.

Intanto che si continua a investigare sul flash crash del 6 maggio, gli investitori che usano le stop-loss non hanno ancora finito di leccarsi le ferite: scrive il Wall Street Journal

Last Thursday's "flash crash" gave investors a crash course in the perils of stop-loss orders.
A stop-loss order is designed to protect investors by triggering a sale once a stock reaches a certain target. The trades are computer-activated and are based on criteria set up by the investor in advance. Many of them were triggered on May 6 as hundreds of stocks briefly plunged by 20% or more.
The problem? Because prices were falling so rapidly, the stop-loss trades couldn't be made quickly enough, and many people's shares were sold at prices far below their trigger price. Most of the stocks then rebounded quickly, making the episode all the more painful for the people who had been bounced out at the bottom.(...) stop-loss orders can be much more dangerous than their name would imply.
Even the term "stop-loss order" is widely misunderstood. That is because, technically, once a stock's price reaches the target, the stop-loss converts to a market order, meaning the trade is automatically executed at the market price.
For example, an investor who owns a stock trading at $50 could set up a stop-loss order at $40. But if the stock is falling quickly it could blow right through $40; it might next change hands for $30, $20 or even one penny, and that is where the trade would be executed.
(...) It's difficult to pin down how widely stop-loss orders are used and who uses them. Federal regulations generally prohibit brokers from placing stop-loss orders without first securing their clients' permission. The Securities and Exchange Commission is looking at the use and impact of stop-loss orders as part of its review of what caused the flash crash. "We believe it is critical to understand the causes and effects of this event," SEC Chairman Mary Schapiro said Tuesday in her prepared remarks before a congressional hearing, "so that we can work to ensure that it does not occur again."
Matt Billings, director of trading services for online brokerage Scottrade, suggests that investors add a "limit" to their stop-loss order, thus ensuring that a stock won't be automatically sold at an artificially low price.(...)
With a stop-limit order, traders typically enter two prices—a stop price and a limit price, or the lowest price at which the stock can be sold. People with stop-limit orders fared significantly better last week than those with regular stop-loss orders. (But a stop-limit order has risks, too: If a stock plunges and never comes back, a la Bear Stearns, the stock might not be sold at all.)


Nelle ultime settimane ho un po' trascurato le notizie sulle investigazioni in corso negli USA, che si sono estese ben oltre l'affaire Paulson-Goldman. Potete aggiornarvi ed approfondire le notizie a questo link del Wall Street Journal.

Chi è Ben Bernanke e perchè i tassi sono ancora così bassi? Taleb e il flash crash. Aggiornamento al 14 maggio 2010

Il New York Times dedica un lungo articolo al governatore della Fed Bed Bernanke.  
Intanto si levano voci autorevoli a favore di un rialzo dei tassi di interesse: scrive infatti il Wall Street Journal


Mr. Hoenig says that the Fed's very low interest rates in response to the most recent crisis were "understandable." Now, he says, "we've gotten through the crisis. We are not out of the woods, the economy isn't booming, but we are now in a position where we ought to be thinking about the long run. That's what central banks should do."
In that search for "long-run equilibrium" Mr. Hoenig says "zero is not sustainable." Instead, he thinks the Fed should move "towards a more normal monetary policy posture" as the economy allows. This, he explains, is "why I dissented. Because I think we need to be preparing. I can't guarantee the carpenter down the street a margin. I really don't think we should be guaranteeing Wall Street a margin by guaranteeing them a zero or a near zero interest rate environment."
Mr. Hoenig stresses that the idea is not to make a tight policy, "but to begin to move it back to a more neutral policy." He's particularly concerned that, in the current interest rate environment, "the saver in America is in a sense subsidizing the borrower in America." That's not a good long-term environment for markets. "We need a more normal set of circumstances so we can have an extended recovery and a more stable economy in the long run." (...)
All of this makes sense, but there is still the ugly fact that unemployment is near 10% and the economy is operating well below its capacity. Isn't that an argument for easy money?
"I certainly agree that there is a lot of slack in the economy," Mr. Hoenig says, though he reminds me that things have been picking up. More importantly, he argues that based on research he has seen, "output gaps [a measure of excess capacity in the economy] in most circumstances have not been particularly useful as a predictive tool. And in my own judgment, that's correct: In the '70s when we had a very long period of negative interest rates, we had what people referred to at the time as stagflation [inflation with little or no growth]. I think that's a possibility. It's every bit as much a possibility as whatever it is these individuals are talking about with this output gap."
Why? Because, he says, "we have a very, very accommodative policy, we have a very, very significant deficit, and we will have increasing pressures around that deficit and in funding that deficit." (...)
One way out of a sovereign debt crisis, I point out, is printing money. Will the Fed have pressure to do that in order to deal with the U.S. deficit?"Greece is a lesson for us," he warns, "in the sense that we shouldn't be so, if I may say, so arrogant to think that that couldn't happen to us or others. We're fortunate, we're a much bigger economy and we're the reserve currency." But U.S. deficits are not sustainable, he says. There could be pressure on the Fed to print its way out of the problem, Mr. Hoenig acknowledges, and "the outcome of that will be a very strong inflationary bias."
That is certainly a possibility. But if it happens the fault won't lie with one stubborn voice of dissent, crying out in Missouri.

Roberto Perotti sul Sole 24 Ore di ieri prende le difese della speculazione finanziaria:  
una missione non tanto facile in un paese come l'Italia. Spesso non sono d'accordo con Perotti
ma questa volta condivido la maggior parte delle sue considerazioni.


Nassim Taleb intervistato da Bloomberg parla del flash crash del 6 maggio scorso e di cosa ci trova di veramente preoccupante




Ecco l'aggiornamento al 14 maggio 2010

Gli USA non prenderanno l'influenza greca.

Sulle colonne del New York Times Krugman si sente in dovere di spiegare ai suoi lettori che gli USA non sono la Grecia (e neppure lo diventeranno). Scrive Krugman:



(...) America isn’t Greece — and, in any case, the message from Greece isn’t what these people would have you believe. So, how do America and Greece compare?
Both nations have lately been running large budget deficits, roughly comparable as a percentage of G.D.P. (...) we have a much lower level of debt — the amount we already owe, as opposed to new borrowing — relative to G.D.P. (...) we have a clear path to economic recovery, while Greece doesn’t.
The U.S. economy has been growing since last summer, thanks to fiscal stimulus and expansionary policies by the Federal Reserve.(...)
Greece, on the other hand, is caught in a trap. During the good years, when capital was flooding in, Greek costs and prices got far out of line with the rest of Europe. If Greece still had its own currency, it could restore competitiveness through devaluation. But since it doesn’t, and since leaving the euro is still considered unthinkable, Greece faces years of grinding deflation and low or zero economic growth. So the only way to reduce deficits is through savage budget cuts, and investors are skeptical about whether those cuts will actually happen.
It’s worth noting, by the way, that Britain — which is in worse fiscal shape than we are, but which, unlike Greece, hasn’t adopted the euro — remains able to borrow at fairly low interest rates. Having your own currency, it seems, makes a big difference.
In short, we’re not Greece. We may currently be running deficits of comparable size, but our economic position — and, as a result, our fiscal outlook — is vastly better.
That said, we do have a long-run budget problem. 

Si torna a invocare la creazione di un fondo monetario europeo.

Le banche centrali devono rimanere indipendenti dal potere politico: due articoli su questo argomento sul Wall Street Journal che potete leggere qui e qui.

Come cambierà l'eurozona? Le cause del minicrollo del 6 maggio e la definanzializzazione dell'economia secondo Taleb

L'Economist appena uscito dedica  un approfondimento al futuro dell'Europa dopo il superbailout: giustamente si osserva come le cause della crisi sono ancora tutte lì e si sia soltanto guadagnato tempo
(ma ce n'era bisogno, eccome!)


EUROPE’S €750 billion ($950 billion) plan to defend its single currency may have been received with euphoria, but it was born of despair. When euro-zone leaders gathered over the weekend of May 8th-9th they faced the sickening reality that the fear in southern Europe’s government-bond markets was spreading to its banking system and beginning to infect global credit markets. This plan was not just about preventing Greece’s sovereign-debt crisis spreading to Portugal and Spain. It was about stemming a growing financial panic that could have plunged the world economy back into the quagmire from which it has spent the past two years struggling to escape.
So European leaders were right to act (...) 
In the short term this massive show of financial firepower has worked. Bond markets have calmed; the odds of a cascading series of defaults have diminished. The temptation is to declare victory and move on. Yet the job is not even half-complete. This plan buys time, but it does not repair the fiscal and structural flaws that led the euro zone into this mess in the first place. Worse, it comes with risks attached that Europe urgently needs to deal with. (...)
Hardest of all will be finding the political will to curb profligacy. This struggle will become woven into the conflict that now tugs at the political fabric of Europe. (...)
The one thing that seems clear is that all this will lead to greater interference in countries’ politics (see article). But what sort exactly? (...) The scene is set for an ugly political battle over how to run Europe

Sempre dall'Economist vi segnalo un approfondimento sulle banche nei paesi emergenti e un articolo sul crash del 6 maggio scorso. Quest'ultimo è un tema che mi sta particolarmente a cuore, come avrete ormai capito. Scrive l'Economist:



BEFORE May 6th equities had been seen as that rare thing, a financial market that had continued to function unimpaired through the crisis. It took just 20 minutes to shatter that image.(...)
The search is still on for a specific trigger for what has become known as the “flash crash”.(...)
In the meantime Ms Schapiro is turning her attention to the fragmented structure and lightning speed of stockmarkets. Over the past few years trading has increasingly moved to new exchanges that allow transactions to happen more rapidly and more cheaply. In 2003 the New York Stock Exchange (NYSE) handled about 80% of trading volume of its listed stocks, but by the end of 2009, that share had fallen to 25% (see chart). A good chunk has gone to upstart electronic-trading platforms, such as Direct Edge and BATS, which execute trades in milliseconds.
Regulations have not kept up.(...)
Another factor was the sudden retreat by the “high frequency” firms whose algorithmic trading has come to dominate equity markets. In normal times they play a crucial role in providing liquidity. But unlike marketmakers, they are not obliged to do so during bouts of turbulence. Regulators think that some high-frequency traders switched off their programs when prices began to spiral, fearful that their trades would be cancelled because of the severity of the declines. Manoj Narang, the boss of Tradeworx, a hedge fund with a high-frequency trading business, says he shut off when he “noticed the prices were erroneous”, because he knew exchanges would cancel those trades (as they did).
How will regulators prevent another sudden lurch downward? The SEC has suggested a more rigorous, co-ordinated market-wide system of “circuit breakers”, which would require all exchanges to stop or slow trading for a few minutes if the market experiences a certain rate of decline. A stock-specific “circuit breaker”, which would do the same for particular shares, may also be enacted.
Reform will not end there. The struggle to make sense of the billions of trades executed on May 6th gives momentum to a proposal the SEC released in April to require large traders (those trading at least 20m shares or $200m a month) to register with it. This would make it easier for the agency to track high-frequency trading in the future. “Market orders”, which ask for a stock to be sold at the best available price without specifying a minimum—as opposed to “limit orders”, which set a floor—are also coming under fire. It only lasted minutes, but the flash crash will have consequences that last for years.

Secondo CNBC news le nuove regole imposte dalla SEC saranno annunciate già lunedì prossimo ma
occorreranno 1-2 mesi per implementarle.

Il congresso USA cerca di capire come sia stato possibile il minicrollo di giovedì 6 maggio:



Nel crash di giovedì a cavarsela particolarmente male sono stati gli ETF: a quanto pare è colpa degli arbitraggisti che immettono ordini al meglio

Investors have learned to lean on exchange-traded funds for their dependable liquidity. For a few minutes last week, that support fell through.
Some 68% of the wild trades canceled after Thursday's market plunge were transactions involving ETFs, estimates Credit Suisse's Portfolio Strategy Group. That's far larger than the roughly 25% of daily trading volume ETFs typically represent.
Why did ETFs shock so many investors? One reason is that trading by arbitragers has kept some ETFs even more liquid than typical S&P 500 stocks. When an ETF contains a basket of U.S.-listed stocks, for instance, traders can profit by trading the fund until it converges with its underlying value. As a result of this deep liquidity, investors over time became confident enough to trade ETFs without putting price limits on their orders.(...)
The problem is that some investors had placed orders specifying quantity but not price. They got stuck with the best prices available—suddenly well below the price a short time earlier. That likely explains why iShares Russell 1000 Value fell from $60 a share to a few cents. Such trades were deemed erroneous and reversed, but many less-extreme transactions will stand.

 Infine ecco l'opinione dell'esperto mondiale di cigni neri sulla questione, ricostruita attraverso i suoi scritti da un redattore del Wall Street Journal: 


Philosopher and hedge fund adviser Nassim Taleb admitted recently to being bored with Wall Street.
“I am bored with finance and interested in worthier missions,’’ like climate change and medicine, the “Black Swan” author confesses on his website.
We wonder, though, if last Thursday’s flash crash might have piqued his interest again.(...)
Taleb says on his website that he’s not giving interviews ahead of the upcoming release of the updated, paperback version of “The Black Swan. So Deal Journal has been scouring Taleb’s voluminous writings, tweets, and media interviews looking for whether he gave any clues about the rationale behind his fund’s options purchase. Of course, there are none.
The causes of the flash crash may prove out one of Taleb’s more general theories about random events: “People underestimate the amount of luck and overestimate the amount of skills,’’ that determine the fate of market events, he said on the Econ Talk blog.
By Taleb’s logic, then, many of the proposals that are being bandied about today when the heads of the New York Stock Exchange and Nasdaq testify before Congress are not likely to help prevent another “flash crash.”
That is because measures such as circuit breakers and limits on high frequency trading give what Taleb calls the “illusion of control” over a complex, inter-connected market where black swans are inevitable.
We are not totally helpless, though, Taleb says. While we can’t prevent a black swan event, we can take steps to minimize its impact. Writing in April 2009 in the Financial Times, Taleb outlined 10 principles a “Black Swan proof world.” Many of his ideas have to do with reducing leverage, complexity and moral hazard in the financial system, but he also thinks that one of the biggest problems is that the stock market itself has taken on an over-sized role in the lives of ordinary people.

“Economic life should be definancialised. We should learn not to use the market as storehouses of value: They do not harbour the certainties that normal citizens require. Citizens should experience anxiety about their own businesses (which they control) not their investments (which they do not control),” he writes.

L'importanza della trasparenza nei mercati.

Beh il superbailout qualche effetto l'ha avuto: le borse sono rimbalzate e i prezzi dei CDS sul debito sovrano dei PIIGS sono diminuiti considerevolmente. Solo l'euro continua una malinconica discesa (ma a mio avviso i fondamentali la giustificano).

Il primo trimestre del 2010 è stato eccezionale per i trading desks di Bank of America, Citigroup, Goldman Sachs and JPMorgan Chase & Company che sono riuscite a guadagnare ogni giorno!

C'è un interessante articolo sul New York Times che sviluppa un parallelo tra il debito della Grecia e dei paesi più deboli dell'area euro e il debito USA (che si prevede raggiungere il 140% del GDP alla fine del prossimo decennio).

Infine vi segnalo l'editoriale del NYTimes dedicato alle misure necessarie per evitare il ripetersi di un minicrash come quello del 6 maggio. Scrive giustamente il NYTimes:


What could be worse than a 20-minute, 1,000-point drop in the stock market? A 20-minute, 1,000-point drop that defies explanation.(...)
What the experts could agree on is that differing rules among various exchanges about temporarily halting or slowing trading made the drop worse. In that light, regulators took the right steps earlier this week, to immediately revise marketwide circuit breakers that stop trading during a major decline and to draft similar rules for individual stocks.(...) Writing in March in Finance & Development, a journal of the International Monetary Fund, Randall Dodd highlighted three trading strategies in which the potential for instability may outweigh any efficiency gains:
¶High-frequency trading can match thousands of buyers and sellers a minute, creating bigger and more abrupt price changes than would otherwise be the case.
¶Flash trading occurs when buy or sell prices flash on a trader’s screen before becoming public, allowing the trader to act before others in the market have the information. The New York Stock Exchange has rightly outlawed flash trading. The S.E.C. has proposed to ban flash trades but has not yet finalized its rule. After last week, the agency should move quickly.
¶The S.E.C. also must move quickly to finalize proposed rules to regulate dark pools, electronic trading systems used by big investors to conduct large trades without going through a fully transparent exchange. That allows large transactions to occur without moving the market price, but it does so by selectively sharing market information, rendering publicly available information about prices unreliable.
Figuring out what went wrong is important but is only a first step in restoring investor confidence.

La croce sul mark-to-market. Come ti creo un cigno nero. Gli USA rallenteranno ma l'Europa rientrerà in recessione

Continua il dibattito sul mark to market e la necessità (o meno) di rivederne il funzionamento per evitare
l'aggravarsi delle crisi finanziarie: qui trovate un articolo su Forbes che discute una proposta in discussione al Senato USA.
Sempre sul fronte della regolamentazione secondo un articolo pubblicato ieri sul New York Times
la Securities and Exchange Commission imporrà l'adozione di misure uniformi di circuit breaking per impedire
il ripetersi di un crash come quello sperimentato giovedì scorso. Secondo il NYTimes



Officials from the Securities and Exchange Commission and the major stock exchanges agreed on Monday to immediately revise marketwide circuit breakers that temporarily halt stock trading in the event of a major decline, and to draft similar measures for individual stocks that will be applied uniformly across markets.
In a statement issued after their meeting, the S.E.C. said, “As a first step, the parties agreed on a structural framework, to be refined over the next day, for strengthening circuit breakers and handling erroneous trades.”
Neither the S.E.C. nor the Commodity Futures Trading Commission, which oversees trading in stock index futures and other derivatives, revealed any further information about their investigations into Thursday’s decline, in which the Dow Jones industrial average fell some 600 points in a few minutes.
(...) Nearly all of the exchange officials agreed that the differing rules among the various stock markets about temporarily halting or slowing trading in individual stocks worsened the decline on Thursday (...) The exchanges were directed to work together to come up with parameters for the new circuit breakers by sometime Tuesday, officials said. In particular, the group is seeking to simplify the marketwide circuit breakers that currently halt trading based on what time of day a decline occurs.
The exchanges participating in the meetings included the New York and Nasdaq exchanges, Bats Global Markets, Direct Edge, the International Securities Exchange and the Chicago Board Options Exchange. The CME Group and the Intercontinental Exchange, which trade futures contracts, also met with Mr. Gensler and later with Mr. Geithner.
Currently, trading in stocks, options and stock index futures contracts is halted for one hour if the Dow falls by 10 percent before 2 p.m. Eastern, or for 30 minutes if it falls that much from 2 to 2:30 p.m. After 2:30, there is no halt unless the market falls by 20 percent, in which case it closes for the rest of the day.
In addition, if the Dow falls by 20 percent before 1 p.m., trading is halted for two hours, or one hour if the 20 percent decline occurs between 1 and 2 p.m. After 2 p.m., a 20 percent decline closes the market for the rest of the day. And if the Dow falls by 30 percent, all trading is halted for the remainder of the day. Trading normally ends at 4 p.m.
“We want to have easier-to-understand circuit breakers,” said one participant in Monday’s meetings.
The exchanges also will try to formulate a uniform method of temporarily halting trading in an individual stock if it declines more than a certain percentage during the trading day. Currently, the New York Stock Exchange has such rules; its use of those rules on Thursday forced some trading to migrate to alternative, less liquid markets, a situation that regulators say they believe worsened the sharp decline.
Participants in the meeting on Monday also agreed to try to come up with uniform parameters for deciding when trades are deemed to be “clearly erroneous” and subject to cancellation. Trades in hundreds of stocks were canceled after Thursday, when some stock prices fell to as low as a penny.
Some of the exchanges decided to cancel trades made on Thursday in which a stock’s price fell by more than 60 percent in a short period. Regulators told the exchanges on Monday that they should come up with a uniform standard that investors would know could be applied before the trades were made.

Continua intanto la caccia al "colpevole" del minicrash del 6 maggio: il Wall Street Journal punta l'indice contro un ordine immesso pochi minuti prima del crash dall'hedge fund Universa, che specula sui "cigni neri" seguendo la lezione di Nassim Taleb (che tra l'altro è uno dei consulenti del fondo). Secondo il WSJ:

The trade wasn't out of character for Universa, which has about $6 billion under management. Mr. Taleb, who is an adviser to the firm and an investor, gained fame for "The Black Swan," a book that suggested unlikely events in the financial markets are far more likely than most investors believe.
Universa frequently purchases options contracts that will pay off if the market makes a sharp move lower. It posted big gains in the market selloff of late 2008 and launched a fund last year designed to benefit if inflation surges.
Through the trading desks at Barclays, Universa bought 50,000 options contracts, according to people familiar with the matter. The contracts would pay off about $4 billion should Standard & Poor's 500-stock index fall to 800 in June. It was at 1145 at the time of the trade.
Back in Chicago, the big trade appeared to have had an immediate ripple in the markets. The traders on the other side of the Universa trade were essentially betting stocks wouldn't post big losses. But to minimize the risk of losing money, they in turn needed to sell, according to traders. The more the market fell, the more the traders at places like Barclays had to sell to protect their own positions. This, along with likely dozens of other trades across the market, led to a cascade of selling in the futures markets.
As the trading volume soared, data systems across the stock market began to get clogged. At Barclays Capital, a market data feed that delivers data on "buy" and "sell" orders went down, although a backup system immediately went online without any impact to the firm.
As the turmoil unfolded, every second saw some 300,000 pieces of stock information—stock prices moves, trades—pour into Barclays's system. A normal peak is some 60,000 ticks a second, says Barclays Capital's head of electronictrading sales, Brian Fagen, who was monitoring the chaos in the market on his screens.
Large hedge funds were juggling huge positions as volume spiked. Two Sigma Investments LLC, a New York hedge-fund manager that engages in complex trading strategies, saw its highest-volume day since launching in 2001, according to a person familiar with the matter.
By 2:37 p.m., the overload seemed to have taken its toll on the NYSE's Arca electronic-trading system. At that point, its rival, the Nasdaq, owned by NASDAQ OMX Group Inc., detected what it felt was questionable information in the data. It sent out a message saying it would no longer route quotes to Arca.
This step—known as declaring "self-help"—doesn't happen often among the major exchanges. But in the coming minutes, the BATS exchange also stopped automatically routing orders to Arca. For a crucial set of players—high-frequency-trading hedge funds—all this turmoil was becoming too risky to handle. One fear that would prove all too real was that in the extreme swings, some trades would later be canceled, leaving them with unwanted positions.
Manoj Narang, whose Tradeworx Inc. firm runs a high-frequency trading operation in Red Bank, N.J., began to worry the extreme volatility could lead to painful losses in his fund.
At about 2:40, he and a small team of traders scrambled to close the positions held by the high-speed fund, which trades rapidly between stock indexes and the individual stocks in the index. Normally, it takes about a fraction of a second to unwind the trades because of the high-powered computers Mr. Narang uses. But as the market plunged, it took about two minutes—an eternity in today's computer-driven market. Tradebot Systems Inc, a large high-frequency firm based in Kansas City, Mo., was also seeing chaotic action in many of the securities it traded and decided to pull back from the market.
With the high-frequency funds either selling or pulling out of the market, Wall Street brokerage firms pulling back and the NYSE stock exchange temporarily halting trading on some stocks, offers to buy stocks vanished from underneath the market. Normally there can be hundreds of offers to buy the iShares Russell 1000 Growth Index exchangetraded fund, but at 2:46 p.m., there were just four bids north of $14 for a fund that had been trading at $51 minutes earlier, according to data reviewed by The Wall Street Journal.
Around 3 p.m., the selling pressure abated. Just as swiftly as the market fell, it recovered ground. One factor behind the swift recovery, traders say, were funds that use computers and formulas to sniff out bargains in the market. These funds swooped in on hundreds of cheap stocks, helping push the market higher.

 Secondo Nouriel Roubini nella seconda metà del 2010 l'economia USA rallenterà mentre probabilmente l'Europa ripiomberà in una recessione:

La struttura del bailout da 750 miliardi (dal New York Times)

Interessante l'editoriale del New York Times di oggi, dedicato al superpacchetto da 750 miliardi di euro approvato ieri dai leaders europei. Ecco come si conclude:

Meanwhile, the banks that caused much of this mess are getting all their money back. A more equitable approach would require the banks to pay at least part of the bill — writing down the debts of some European governments or extending their maturities into the future to allow battered European economies time to recover.
This lopsided distribution of costs is built upon a distorted narrative: profligate governments from Europe’s less responsible nations spent beyond their means and now can’t repay their debt. Except for Greece, that is not what happened.
In 2007, before the financial crisis, Spain had a budget surplus of 2 percent of G.D.P. Ireland had a balanced budget. Portugal’s deficit of 2.6 percent was well within the euro area’s accepted limits. Today their budgets are all deep in the red because the global collapse slashed economic activity, boosted unemployment and required a large-scale government response.
We understand why European governments are not demanding that the banks share the burden. Rescheduling Greece’s debt, or that of other governments, could weaken the balance sheets of European banks and make financial markets more unstable.
That’s the reason the Obama administration went so light on American banks. Still, Europe may not be able to solve its problems without bringing the bankers in to pay their share.

Il peccato originale dell'euro e il deficit democratico dell'europa.

Vi segnalo due articoli su La Voce che analizzano la storia e le prospettive future per la moneta unica europea:  nel primo Giancarlo Corsetti "analizza il peccato originale dell'euro":


Ironicamente, tra i vantaggi tradizionalmente attribuiti all’adozione dell’euro, si indica spesso il fatto che governi e privati dovrebbero essere al riparo dai problemi patrimoniali creati da fluttuazioni del cambio, particolarmente acuti come ci insegna l’esperienza delle crisi negli ultimi decenni. Basta vedere quanto è accaduto ai paesi latino americani e in altri mercati emergenti, dove, per una serie di motivi, sia i governi sia le imprese hanno difficoltà a indebitarsi nella propria valuta e quindi emettono titoli denominati in dollari. Nella letteratura economica, la patologia che “costringe” un paese a indebitarsi in valuta va sotto il nome di “peccato originale”. Un paese con il “peccato originale” è vulnerabile a crisi che si traducono in una caduta del cambio: invece di generare occupazione, un cambio debole genera fallimenti e difficoltà nel mercato del credito, che si trasformano in una caduta dell’attività economica.
Per molti anni, i paesi dell’area euro hanno preso a prestito emettendo titoli denominati nella “propria” valuta comune, a tassi bassi e con il beneficio di accedere a un mercato dei capitali europeo grande e liquido. La valuta comune sembrava produrre una difesa automatica dai problemi associati con il “peccato originale”, mettendo i grandi debitori al riparo dai movimenti del cambio. Ci stiamo ora rendendo conto che non è così.
Sfortunatamente, non esistono soluzioni semplici. Nei paesi che ora sono costretti a misure draconiane di correzione fiscale, una “svalutazione interna” avverrà anche senza misure politiche mirate, poiché il consolidamento fiscale avrà effetti deflativi sui prezzi: l’inflazione in questi paesi non solo sarà certamente più bassa rispetto alla media europea, ma sarà probabilmente negativa.
Qualunque sia la modalità di svalutazione interna, i problemi patrimoniali per i governi altamente indebitati, ma anche per famiglie e imprese, aumentano il rischio di strategie politiche che mettano l’intero fardello dell’aggiustamento macro e fiscale sulle spalle dei paesi deboli. Sarà difficile uscire dalla crisi senza una qualche forma di azione coordinata, che ad esempio subordini la svalutazione interna alla ristrutturazione del debito (il piano B su cui insiste Nouriel Roubini), o crei le premesse per un aumento della domanda (soprattutto di investimento) nei paesi in surplus. Entrambe le soluzioni sono politicamente spinose - la seconda perché si tratta del surplus commerciale tedesco. Ma un grande surplus commerciale corrisponde per definizione a uno squilibrio dell’investimento interno (troppo basso) rispetto al risparmio. Una ripresa dell’investimento e della spesa nell’area euro rimane una prospettiva di grande razionalità, non solo per l’Europa nel suo complesso, ma anche per i paesi forti. Rimane aperto il problema di come renderla possibile, in una situazione di logoramento fiscale diffuso dopo ventiquattro mesi di crisi e parecchie ombre sui segnali di ripresa.

 

Nel secondo Marco Pagano discute le prospettive future dell'euro: per recuperare la fiducia dei mercati

occorre dare segnali forti e coordinati che gli stati deboli dell’area dell’euro sono capaci di “mettere a posto” i propri conti pubblici, accettando un monitoraggio e una disciplina comunitaria molto forte sulle proprie finanze.
Ciò vuol dire limitare significativamente la sovranità fiscale degli stati membri, dopo aver già accettato di delegare quella monetaria alla Bce. Ma occorre andare ben oltre la fragile disciplina del trattato di Maastricht e del patto di stabilità, assoggettando direttamente le leggi di bilancio degli stati membri dell’Unione a limiti comunitari vincolanti e a istituzioni dell’Unione Europea che li facciano valere. Non è affatto cosa di poco conto: difficile da realizzare e politicamente dolorosa, come le dimostrazioni e i morti di Atene dimostrano. I governi e soprattutto i parlamenti nazionali saranno disposti a farlo? Se sì, allora da questa crisi l’Europa riemergerà più forte di prima, e procederà verso il completamento della sua struttura sovranazionale con l’introduzione graduale di istituzioni fiscali federali, ovvero la naturale controparte della Bce.
Potrebbe anche essere l’occasione per colmare finalmente il deficit democratico dell’Unione Europea, poiché è naturale che decisioni vincolanti di natura fiscale siano prese da organismi rappresentativi. In tal modo, i limiti alla sovranità fiscale nazionale avrebbero una legittimazione democratica sovranazionale, invece di essere visti come diktat di organismi tecnico-burocratici o di comitati di ministri degli stati membri. Se i paesi dell’euro avranno il coraggio di accettare questa grande sfida, non solo la fiducia tornerà sui mercati, ma questa crisi diventerà l’occasione di una svolta storica nella costruzione europea.

 

Ho paura però che sia ormai troppo tardi e che se le misure suggerite da Pagano (e ancor più gli interventi a sostegno degli stati più deboli e indebitati)  fossero davvero sottoposte al giudizio degli elettori verrebbero bocciate sonoramente.

La BCE comprerà obbligazioni governative e corporate. Cochrane, Cannata, Buffett, Goldman Sachs e le gioie del fallimento.

Proprio come ci aspettavamo: insieme al superbailout da 750 miliardi di euro (!! potete approfondire la sua composizione qui e qui) è arrivata la notizia che la BCE comprerà obbligazioni governative e corporate. Scrive il Wall Street Journal che:

The European Central Bank, in an aggressive move announced after European governments unveiled their latest response to a spreading sovereign-debt crisis, said it will buy European government and private bonds "to ensure depth and liquidity in those markets which are dysfunctional."
The Federal Reserve quickly joined with the ECB, agreeing to reopen a program employed during the 2008 financial crisis in which it lends U.S. dollars to the ECB in exchange for euro, allowing the ECB to lend dollars to European bankers starved for the U.S. currency. The Fed said it also would make dollars available to the British, Canadian, Japanese and Swiss central banks. (...)
The ECB decision to buy public and private debt came just three days after ECB President Jean-Claude Trichet said ECB officials "did not discuss this option" at their meeting Thursday. But the reaction of markets around the world—and the agreement of fiscal authorities to put substantial sums on the table—apparently changed the ECB's stance.
The ECB insisted the move won't affect the total amount of credit it provides to the euro zone. "In order to sterilize the impact of the above interventions, specific operations will be conducted to reabsorb the liquidity injected," it said. It also said that "in light of tensions" in European money markets it would open lend unlimited amounts for three months at a fixed rate at the end of May and June.(...)
Fed officials believe the swap program was one of its most successful interventions aimed at stemming a global crisis, when many banks overseas became strained for dollar funding. In their normal course of business, they borrowed dollars in short-term lending markets and used those dollars to finance holdings of long-term U.S. dollar assets, like Treasury or mortgage bonds. When those markets dried up, the swap lines helped to prevent overseas bank funding crises in 2008. Fed officials see the swaps as a low-risk program, because its counterparties in these loans are foreign central banks, and not private entities.

Già qualche settimana fa John Cochrane avvertiva come la Grecia potrebbe diventare il primo atto di una crisi del debito sovrano globale.
Autorevole esponente dei freshwater economists Cochrane è preoccupato da una possibile ripresa dell'inflazione e consiglia l'investimento nei TIPS (Treasury Inflation Protected Securities), le obbligazioni governative USA indicizzate all'inflazione.

Qualche giorno fa il Wall Street Journal ha dedicato un articolo a Maria Cannata, direttore generale del Tesoro incaricata delle aste dei titoli di stato.

Warren Buffett si è schierato in difesa di Goldman Sachs:

His support for Goldman came in a question-and-answer session at the annual meeting in Omaha of Berkshire Hathaway, the giant insurance and investment firm Mr. Buffett runs. Berkshire owns $5 billion of preferred stock in Goldman.(...)
In wide-ranging comments that spanned from Goldman to a proposed overhaul of financial regulation to Greece’s debt crisis, Mr. Buffett said the global economy had largely improved. That was reflected in Berkshire’s first-quarter results: $3.6 billion in net income, a sharp swing from the $1.5 billion loss it posted at the same time last year.
Still, what drew the most attention was Mr. Buffett’s full-throated support for Goldman. He drew upon some of the same points that Goldman has used in its own defense, including the sophistication of the investors the S.E.C. says were defrauded by Goldman’s lack of adequate disclosure in the deal. He said those investors should have conducted better due diligence. Of one investor, he said, “It’s hard for me to get terribly sympathetic when a bank makes a dumb credit bet.”
He also stood behind Mr. Blankfein. When asked whom he would select if Goldman needed to find a new leader, Mr. Buffett replied, “If Lloyd had a twin brother, I would vote for him.”
Mr. Buffett has a significant investment in Goldman. In 2008, during the depths of the financial crisis, Berkshire invested $5 billion in preferred shares. Those shares carry a 10 percent interest rate, meaning that Berkshire is earning about $500 million a year from its holdings. (Or as Mr. Buffett put it, $15 a second.)
Though Mr. Buffett said the S.E.C. lawsuit had not yet negatively influenced his opinion of Goldman, he said he would revise his thinking if new evidence came to light.
Mr. Buffett added that Goldman is a longtime adviser that “helped build Berkshire Hathaway” by selling them businesses for more than 50 years.
Mr. Buffett’s longtime lieutenant, Charles Munger, tempered his boss’s kind words. Mr. Munger, Berkshire’s vice chairman, said that there is a difference between behaving legally and behaving ethically — and that a business should not simply follow the former.
Mr. Buffett also weighed in on the financial regulation overhaul bill that is pending in the Senate, which include provisions that may force investors in derivatives contracts to add more collateral to their holdings. (Berkshire has lobbied against such provisions.) Mr. Buffett said that Berkshire was unlikely to be forced to “put up a dime” in additional money on its existing contracts, though he added that the firm would do so if required. 





Avete mai pensato che c'è chi dai fallimenti ci guadagna, eccome!

Cos'è veramente successo giovedì 6 maggio?

Cosa è successo veramente giovedì 6 maggio?

Visit msnbc.com for breaking news, world news, and news about the economy

Qui trovate un breve pezzo dell'Economist sull'argomento,
qui un pezzo su zerohedge.com significativamente intitolato The day the market almost died (courtesy of high frequency trading), qui
e qui due articoli del Wall Street Journal ma mi pare che l'analisi migliore - benchè ancora largamente incompleta e insoddisfacente - dell'incredibile quasi meltdown del mercato azionario USA di giovedì scorso sia quella apparsa sul New York Times ieri. Scrive il NYTimes:

The initial focus of the investigations appeared to center on the way a growing number of high-speed trading networks interact with one another and with venerable exchanges like the New York Stock Exchange. Most investors are unaware that these competing systems have fractured the traditional marketplace and have displaced exchanges like the Big Board as the dominant force in stock trading.
The silence from Washington cast a pall over Wall Street, where shaken traders returned to their desks Friday morning hoping for quick answers. The markets remained on edge, as the uncertainty over what caused Thursday’s wild swings added to the worries over the running debt crisis in Greece.
In a joint statement issued after the close of trading, the S.E.C. and the Commodity Futures Trading Commission said they were continuing their review. And the two agencies indicated they were looking particularly closely at how different trading rules on different exchanges, which temporarily halted trading on some markets while activity in the same stocks continued on other markets, might have contributed to the problem. 

“We are scrutinizing the extent to which disparate trading conventions and rules across various markets may have contributed to the spike in volatility,” the statement said.
A government official who was involved in the investigation said regulators had moved away from a theory that it was a trading mistake — a so-called fat finger episode — and were examining the links between the futures and cash markets for stocks.
In particular, this official said, it appeared that as stock trading was slowed on the New York Exchange when big price moves started, orders moved automatically to other, electronic exchanges that did not have pricing restrictions.
The pressure in the less-liquid markets was amplified by the computer-driven trades, which led still other traders to pull back. Only when traders began to manually respond to the sharp drop did the market seem to turn around, said the official, who spoke on the condition of anonymity because the investigation was not complete.
On Friday evening, another government official directly involved in the investigation said that regulators had not yet been able to completely rule out any of the widely discussed possible causes of the market’s gyrations.
This official, who also spoke on the condition of anonymity, said that regulators had collected statistical and trading data from stock and futures exchanges, and had begun cross-analyzing that with trading reports from brokerage firms and large market participants. Regulators have also gathered anecdotal accounts of what happened from hedge funds and other trading firms.
The two major regulatory agencies — the Securities and Exchange Commission and the Commodity Futures Trading Commission — have generated multiple memos detailing what they have found and offering possible causes for the market events. Among the issues discussed in the memos, the official said, were the disparate rules that different stock exchanges have for dealing with large price movements on the same securities and how prices on futures markets and stock exchanges appeared to lead or follow each other’s movements down and back up.(...)
The absence of a unified system to halt trading in individual stocks led to bitter accusations between exchanges on Friday. Robert Greifeld, chief executive of Nasdaq OMX, appeared on CNBC to criticize the New York Stock Exchange for halting trading for up to 90 seconds in half a dozen stocks on Thursday.
“Stopping for 90 seconds in time of crisis is exactly equivalent to not picking up the phone,” Mr. Greifeld said.
A few minutes later, Duncan L. Niederauer, chief executive of NYSE Euronext, responded in an interview on CNBC, blaming Nasdaq’s computers for continuing trading while the market was in free fall.
“These computers go out and just find the next bid they can find,” he said.
Mr. Niederauer acknowledged the need to introduce circuit-breakers along the lines of those already in place on the Big Board, and his views were echoed by some chief executives of the new exchanges. 

Secondo molti la responsabilità di quanto è accaduto è dunque da ricercarsi principalmente  nell'assurda organizzazione dei mercati finanziari moderni (cioè dopo RegNMS negli USA (2005) e MiFid in Europa (2007)). Oggi negli USA ci sono circa 50 market venues dove trattare la stessa azione (e il volume degli scambi che avvengono sul NYSE è ormai ridotto a circa il  20% del volume complessivo). Tuttavia i  meccanismi di controllo (come i circuit breakers) non sono centralizzati, quindi se un market venue si ferma, gli order routers cercano liquidità in altre venues e se la liquidità non c'è il prezzo crolla. Il NYTimes torna oggi sull'argomento con un articolo.

Sempre il NYTimes ha pubblica un Op-Ed di Michael Durbin su come evitare che si ripetano tali episodi
(o crolli ancora peggiori): mi sembra che le considerazioni di Durbin siano largamente condivisibili. In particolare sono completamente d'accordo con la richiesta pressante di una maggiore trasparenza, che consenta l'identificazione degli agenti sui mercati: ho evidenziato in grassetto alcuni punti a mio avviso di fondamentale importanza

(...) Let’s start with the insider trading charge. Often, when an exchange operator receives an investor order and finds that another exchange has a better price, it will “flash” the order to a few select traders in its exchange a split second before sending it to market, giving those traders an opportunity to improve their price, too. When used properly, flashing ensures that investors trade at the best available prices. But that hair’s breadth of time also gives high-frequency traders an opportunity to make a tidy profit off what amounts to insider information. How? Rather than improve their price, the recipient of a flash can go to the other exchange, buy up all the assets at better prices, and force the original investor to trade with them at an inferior price.
We don’t allow trading based on private knowledge of pending business deals or court rulings, and we shouldn’t allow it in high-frequency trading, either. But that doesn’t mean we should ban flashing all together. Instead, to deter abuse, anyone who gets a preview of a trade, whether by phone or flash, should be required to register with an exchange and keep records of every negotiation.
A trickier problem lies with the software that handles the trades (...)  the rapid development of automated-trading software and the maddening complexity of even the most simple systems make the introduction of technological errors inevitable. While it’s true that electronic exchanges require trading software to be certified before it is used, there is no market-wide standard for testing the software and nothing to effectively stop a firm from trading with uncertified software.
Financial regulators should take a page from the Federal Aviation Administration and the National Transportation Safety Board and develop quality standards for trading software, as well as investigatory procedures that would allow the industry to learn from episodes like Thursday’s.
Finally, the Securities and Exchange Commission needs better access to the fire hose of data hitting the market each day. Because a great number of trades go through middlemen, regulators have no easy way of even knowing who the high-frequency traders are. With millions of trades made every day, this administrative hurdle means traders are essentially anonymous to regulators.
This opacity allows firms to reap benefits intended for nonprofessional investors. Many exchanges, for example, have rules that require them to fill orders from retail investors before those from pros. Anonymity allows professionals to masquerade as amateur investors and thus get their trades in faster.
But there’s an easy solution here as well: the Securities and Exchange Commission should require that everyone who originates a trade be identified. The commission is reported to be working on just such a rule, and it can’t come soon enough. Otherwise, it’s akin to asking someone to officiate a football game wearing a blindfold.


Comunque, com'è ovvio, c'è chi è riuscito ad approffittare del quasi-collasso del 6 maggio: 

By luck, savvy, lightning speed or all three, there was money — gobs of it — to be made from the bargains that came and went in an instant.(...)
“Somebody got Accenture at a penny. They’re ready to announce their retirement,” joked Daniel Seiver, a finance professor at San Diego State University.
For at least some of the winners, however, retirement may have to wait. On Friday, several large United States exchanges said that although their trading platforms functioned properly on Thursday, they were nonetheless canceling many trades made during the market’s Big Bounce.
Those cancellations applied only to company stocks that were affected directly by apparent malfunctions in computer systems that feed trades into the exchanges. Bets made on the periphery of the financial universe will stand.
Investors who owned gold or United States Treasuries, for example, saw big gains as global investors sought havens.
But even those gains were small compared with those won by options traders who had placed bets on an index that rises in value when volatility increases in American equity markets. “The guys who probably made the most money in this were options players,” said Larry Tabb, chief executive of the Tabb Group, a financial services consulting firm.
Another group of likely winners in the eye-blink rout were investors who had placed “limit orders” on certain stocks. These are orders to buy shares at a fixed price that is often well below where the stock is currently trading. As the selling accelerated Thursday in the computer-driven frenzy, those orders were filled at prices that might have once seemed implausible.
“There are a whole other group of folks who play this game,” Mr. Tabb said. “They put low limit orders into the market for this exact purpose — for when the markets go into free fall.”
Hedge funds, high-frequency traders and even individuals with an online trading account who had existing low limit orders in place could have snapped up bargains as the bottom fell out of the markets.
Unfortunately for those investors, the exchanges have rules in place to cancel or rescind any trades that are associated with erroneous or unusual trading activity.
“If there is an order that gets printed and it is so far away from the market that it was clearly wrong, the exchanges have the right to break it and, in fact, they do it fairly often,” Mr. Tabb said. “It just doesn’t happen with this magnitude.”
On Friday, the Nasdaq market said it would cancel all trades that had occurred in the 20-minute period between 2:40 p.m. and 3 p.m. on Thursday that were 60 percent higher or lower than the last trade at 2:40. “This decision,” the exchange noted on its Web site, “cannot be appealed.” 

Qui trovate un articolo dedicato alle transazioni cancellate e qui la lista delle azioni di cui sono state cancellate le transazioni.

All currencies are doomed! Il timore del contagio dalla Grecia al Giappone.

Secondo Marc Faber all currencies are doomed ma in questo momento la più debole è l'euro. Inoltre si preparano tempi duri anche per la Cina e l'unico investimento ragionevole sono i metalli preziosi..,






Intrade ha un contratto sulla probabilità che almeno un paese abbandoni l'euro come moneta nazionale entro il 31 dicembre 2010. In questo momento la probabilità stimata dal mercato è circa il 15%. Qui accanto trovate le probabilità stimate sulle scadenze più lunghe, fino al 31 dicembre 2014.


Secondo un commento apparso ieri sul Wall Street Journal 
la situaizone di tensione che si è venuta a creare sui mercati
sarà sufficiente a forzare la mano della Banca Centrale Europea:


Austerity takes time, and the market is in no mood to wait. With euro-zone debt, credit and currency markets now tumbling, investors may force the ECB unwillingly down the road of unconventional measures.
If the banking system is threatened, what are the policy options? Among the least controversial steps, the ECB might reinstate swap lines with the U.S. Federal Reserve to give European banks access to dollars. Or it could decide once again to provide long-term fixed-rate liquidity, in a reversal of its exit policy (...) the ECB may yet be forced, totally against its will, to buy government bonds, in the name of protecting the financial system. This would be disastrous in the long term: (...) the ECB would be monetizing budget deficits that the market had declined to fund. That would be hugely destructive, risking backdoor socialization of losses and inflation, and cause a political firestorm. Debt restructurings in Greece and elsewhere may be the only real way out. But in the near term, this would create a fresh banking crisis. The hope is to delay defaults until they can be afforded, although this is a liquidity bandage for a solvency wound.
The problem for the ECB is that the crisis that it dealt with successfully in 2007 and 2008 was within its domain of expertise: financial stability and the banking system. The government response has moved the crisis into the fiscal sphere, where the ECB has no power beyond continually reminding governments that austerity is needed. The market's need for a swift response may yet force the ECB over the divide.

Il New York Times dedica oggi un articolo al timore di contagio dalla Grecia e dall'Eurozona al Regno Unito, gli USA e il Giappone:

(...) “It’s not just a European problem, it’s the U.S., Japan and the U.K. right now,” said Ian Kelson, a bond fund manager in London with T. Rowe Price. “It’s across the board.”
The crisis is so perilous for Europe that the leaders of the 16 countries that use the euro worked into the early morning Saturday on a proposal to create a so-called stabilization mechanism intended to reassure the markets.
(...) Beyond Europe, the crisis has sent waves of fear through global stock exchanges.
A decade ago, it took more than a year for the chain reaction that began with the devaluation of the Thai currency to spread beyond Asia to Russia, which defaulted on its debt, and eventually caused the near-collapse of a giant American hedge fund, Long-Term Capital Management.
This crisis, by contrast, seemed to ricochet from country to country in seconds, as traders simultaneously abandoned everything from Portuguese bonds to American blue chips. On Wall Street on Thursday afternoon, televised images of rioting in Athens to protest austerity measures only amplified the anxiety as the stock market briefly plunged nearly 1,000 points.
“Up until last week there was this confidence that nothing could upset the apple cart as long as the economy and jobs growth was positive,” said William H. Gross, managing director of Pimco, the bond manager. “Now, fear is back in play.”
While the immediate causes for worry are Greece’s ballooning budget deficit and the risk that other fragile countries like Spain and Portugal might default, the turmoil also exposed deeper fears that government borrowing in bigger nations like Britain, Germany and even the United States is unsustainable.(...)
“Apparently systemic risk is still alive and well,” wrote Alex Roever, a J.P. Morgan credit analyst in a research note published Friday. With so much uncertainty about Europe and the euro, managers of these ultra-safe investment vehicles (money-market and short-term loans) are demanding that European borrowers pay higher rates. These funds provide the lifeblood of the international banking system. If worries about the safety of European banks intensify, they could push up their borrowing costs and push down the value of more than $500 billion in short-term debt held by American money-market funds.
Uncertainty about the stability of assets in money market funds signaled a tipping point that accelerated the downward spiral of the credit crisis in 2008, and ultimately prompted banks to briefly halt lending to one other.
Now, as Europe teeters, the dangers to the American economy — and the broader financial system — are becoming increasingly evident. “It seems like only yesterday that European policy makers were gleefully watching the U.S. get its economic comeuppance, not appreciating the massive tidal wave coming at them across the Atlantic,” said Kenneth Rogoff, a Harvard professor of international finance who also served as the chief economist of the International Monetary Fund. “We should not make the same mistake.”

Morningstar dedica due videointerviste al rischio di contagio: secondo Mohamed El-Erian di PIMCO

What's happening today is unambiguously deflationary for Europe. First we're going to see a lot more fiscal tightening in countries around Europe who will want to avoid what has happened to Greece. Second, we should expect banks to go into more of a rehabilitation mode and be less willing to extend credit. And thirdly, the private sector is likely to become more cautious and save more.
So for Europe as a whole this is a deflationary shock, which means that credit, both from the supply side and the demand side, will likely go down in the months ahead.

Secondo Rudolph-Riad Younes, manager at Artio International : 

The key starting point to understand is that there is not just one Greece. The whole planet is Greece. Every government you look at today, and you hide the name, they look like Greece, even worse.
From the U.S. to U.K .to Japan. I mean there are very, very few countries, maybe it could be counted on one hand, who you could say are reasonably solvent as governments. What happened is the market many times tends to ignore fundamental deviations.
Like, for example, valuation-wise you could see Nasdaq going to crazy valuation in the late '90s. Then, finally, people wake up and react to something they should have reacted to many years before.
Likewise, last year the markets rallied despite many fundamentals [that] were very ugly. And today the logic, this year, finally the market is trying to attack the weakest countries.

Today, the weakest countries are not the ones with the worst fundamentals, but are the ones who cannot print their own currencies. That's why you're seeing the pressure on Greece and spreading into the other southern European countries, named the PIGS for their first initial for the country names.
Then the next potential vulnerability is going to be in the U.K. Because today, although they can print their money, they're going to have a hung parliament. Therefore, the government might be very indecisive in the way they're going to tackle their deficit and budget problems. Therefore, we could see weakness there.
Ultimately, Japan could be after that and ultimately it's going to be the U.S. as well. Right now the focus is only on that region. It's not just Greece or southern Europe, it's global governments. That's why gold is the best solution so far.

Ecco perche in questo momento i migliori banchieri centrali sarebbero Totò e Peppino (grazie Antonio per il suggerimento!)