What does the current dry up in the wholesale funding market mean for cyclical assets?

Posted on 28. Jun, 2011 by Jean Jacques Ohana in Weekly Focus

Over the last three weeks, the wholesale funding market has considerably deteriorated on several accounts:

The USD, GBP and EUR 2 years swap spread has widened

The EUR/USD 1 Year Cross Currency Basis Swap, reflecting the price to exchange dollar for euro has started to rise, reflecting increased tightening in dollar funding.

Similarly, the Euro Dollar, Short Sterling [...]

Revisiting the anti-euro crisis portfolio

Posted on 22. Jun, 2011 by Steve Ohana in Weekly Focus

Despite the agreement reached on a “voluntary participation” of private creditors to the Greek debt refinancing, the solvency risk stays intact. Absent a comprehensive debt restructuring, the euro zone debt problem will not find a definitive resolution.
In this context, instability in the euro zone has resurfaced. The wave has started from OECD Sovereign debt and [...]

Short Dollar vs. Long Bonds: which theme will prevail?

Posted on 14. Jun, 2011 by Steve Ohana in Weekly Focus

Grouping Riskelia’s best recommendations by cluster of correlations help to clarify the most salient themes. As of today, two main themes emerge:

The short USD against European currencies and Asian currencies associated with a short yen positioning. This theme has been in action since August 2010 and has been rotating from AUD, CHF and emerging currencies [...]

The dollar demise and the equities drop: how long can it last?

Posted on 07. Jun, 2011 by Jean Jacques Ohana in Weekly Focus

During the last days, we have seen the emergence of a surprising pattern combining equities sell off and fall of the dollar against the euro, the Swiss franc and most emerging currencies.

Figure 1 shows the risky assets and the USD network of correlations. It shows indeed that many currencies (against dollar) have evolved independently of [...]