Monthly Archives: June 2016

Bank CDS in Focus – Credit Suisse and UBS Credit Default Swaps Post-Brexit

Sometimes a good graph saves a lot of words. That’s why I’m posting these. Normally I’m no fan of CNBC, as they overdramatize to keep viewers and sell advertising. But I really liked their graphs!image1

I just can’t imagine the moves in RBS, Barclays and Lloyds are justified.image2


Interesting about this one; GS has held up better than Morgan Stanley and BofA. So this isn’t about revenue from europe for US Banks. For the stock market it would be more pertinent to show leverage ratios or CET capital ratios of the banks versus the drop. I know I would be looking at the capital cushion when deciding whether to take aim at a bank.image4

Important addition:

CDS on June 27th (according to my source)

Credit Suisse Group
1Y = 111
5Y = 170
10Y = 202

1Y = 43
5Y = 82
10 Y = 121

Shows you that Credit suisse is double as dangerous as UBS. Or UBS is seen as really safe.

This one was aired later:


Makes me think we’re at or near the bottom!!!

SMI Future am 24. Juni 2016


Interessante Tatsachen:

  • Noch vor Börseneröffnung waren die besten Kaufkurse.
  • Innerhalb von 15 Minuten nach Future Handelseröffnung um 8.00 Uhr war bereits 1% korrigiert.
  • Innernhalb von 60 Minuten und  bei Akiten Handelseröffnung um 09.00 Uhr waren bereits 2% korrigiert.
  • Innerhalb von 90 Minuten waren 4% der Korrektur bereits wieder ausgepreist.
  • Innerhalb von 180 Minuten hat der SMI Future um fast 6% zugelegt, im Vergleich zur Eröffnung.


  • Um 8.10 Uhr versuchte ich telefonisch eine der Depotbanken zu erreichen; ich wurde nicht durchgestellt, bzw. der Anruf (von Handy und von Festnetz) wurde durch das Bank-Telefonsystem nicht durchgestellt, da überlastet.
  • Erst um ca. 8.12-8.14 Uhr via Email konnte ich einen Auftrag platzieren
  • Um ca. 8.17 erhielt ich die Email Bestätigung für das Buy Open.
  • Um die gleiche Zeit konnte ich die Bank telefonisch erreichen.
  • Um 10.05-10.10 habe ich die Future wieder geschlossen (Sell Close).


  • Eine Bank mit Möglichkeit zu elektronischer und telefonischer Futures-Auftragsaufgabe  wäre wünschbar.
  • Ich habe einen Teil des Futureskaufes limitiert, was rückblickend schade war (7350 Limite) und eine von einem Hedge Fond Manager namens Guy Spier gehörte Regel, versuchen den Kurs bei Auftragsaufgabe NICHT zu berücksichtigen (wobei er ein Value Investor ist, der immer viel langfristiger orientiert ist).
  • Da ich nicht aggressiv genug gekauft (die volle Size) habe, habe ich den Gewinn stark eingeschränkt (mein Risiko natürlich auch).

SMI – no recession priced


Looking at the above chart and comparing the current move to what we saw in 2008 and 2009 I believe the reaction so far is much too weak to signal a bottom.

It’s more likely to be a drawn out process of sideways without negative news, then down on actual impact of heavy handed EU reactions.

Should the EU make Britain a good deal, then we’re off to the races again. But I would not consider that most likely, even though it would be best for the world economy. Sadly it wouldn’t be good for socialist or left governments, which is why I am afraid we’ll see them hurt their countries.

Why free movement of people (leading to work hotspots and countries) has to be one of the cornerstones of the EU when modern economies that can network their offices, use robots, telecommute, telework, etc, is  beyond my comprehension. But that’s politics. The charts (graphic form of what people think), tells me they are not expecting anything really negative in Switzerland and see the index as a safe haven.

We’re in year 1 of 3 years of growth trouble, is my current feeling. Even if the central banks can and will put a floor in asset depreciation. I’m not convinced they have a magic wand to improve profitability and dividends. They can prop up bonds and give them fairy price levels. And the SNB can fight CHF strength. But the SNB can’t save the EU on it’s own.

Seeing opportunity when others see negative headlines; example a cat in Ermatingen (where my business is based)

The last few days the Thurgau has been hit by heavy rainfall leading to light flooding. Reading the papers you’d get the impression this was just a horrible time for everyone. But it’s not. I have not seen more kids playing along the lakefront in the last 4 years. The puddles or flooded road sections and gardens are an absoulte treat for them: Close to home, safe (more or less).


What is normally sand and therefor beach volleyball is now water volleyball. (life gives you lemons, make lemonade mindset)


The following photos (I took on the afternon/evening of June 20th 2016) are a good example of what an independent asset manager is; like the cat an opportunistic hunter who seeks a chance to profit no matter what circumstances pop up. The cat either found a dead frog or maybe a drowned mouse or other small rodent. A cat is always in the mindset: If something interesting comes along, I’ll take a look. – I think that’s not bad advice for anyone watching the capital markets too.

cat0_ermatingen cat2_ermatingen cat1_ermatingenca3_ermatingen

Credit Suisse Group soon Speculative Grade

It’s my job to protect my customers interests. That’s why I follow credit ratings on where they have their money. Now Credit Suisse is looking more and more like a gamble not worth taking:

Investment Grade S&P Moodys
Minimal CR AAA Aaa ZKB, Schwyzer KB, Aargauische KB, Zuger KB
Very Low CR AA+ Aa1 St. Galler KB, Baselllandschaftliche KB, Schaffhauser KB, Graubündner KB, Luzerner KB
AA Aa2 Julis Bär, Pictet & Cie, Basler KB
AA- Aa3 Raiffeisen, Vontobel
Low CR A+ A1 Berner KB, BCV, Migros Bank, UBS AG
A A2 Credit Suisse AG, Migros Bank
A- A3 UBS Group, Clientis, Cembra Money Bank, Baloise SoBa
Moderate CR BBB+ Baa1 Credit Suisse Group AG (S&P)
BBB Baa2
BBB- Baa3 Credit Suisse Group AG (Moody’s)
Speculative Grade BB+ Ba1
BB Ba2
BB- Ba3
B+ B1
B B2
B- B3
CCC+ Caa1
CCC Caa2
CCC- Caa3
CC Caa1

SNB: Credit Suisse and UBS need to take action

From the SNB Stability Report

At the end of the first quarter of 2016, both big banks were fully compliant with the initial TBTF2 phase-in requirements, which come into effect on 1 July 2016. To meet the corresponding look-through requirements by the beginning of 2020, however, the big banks need to take action – particularly in meeting the leverage ratio requirements and the gone-concern requirements. As regards risk-weighted going-concern requirements, by contrast, both big banks are already almost fully compliant.

However, it is likely that RWA will increase in light of the measures drawn up by the Basel Committee. This expected RWA increase has, as far as possible, been factored into the calibration of the TBTF2 requirements.

[…] Moreover, the Basel Committee has confirmed the 3% minimum requirement for the Basel III leverage ratio and is considering the introduction of a higher leverage ratio requirement for G-SIBs. The reforms are due to be completed and published by end-2016.

[…] First, the big banks’ loss potential relative to their capitalisation continues to be substantial, both when measured on the basis of the losses experienced in the last financial crisis and according to the adverse scenarios applied by the SNB. The highest loss potential results from the US recession scenario, followed by the euro area debt crisis scenario and the emerging market crisis scenario. Second, while leverage ratios at both Swiss big banks have improved by international standards, their Basel III Tier 1 leverage ratios are currently still below the average for large globally active banks.

and further on:

Substantial loss potential
According to SNB stress tests, the big banks’ loss potential under the adverse scenarios is still substantial. The highest loss potential results from the US recession scenario, followed by the euro area debt crisis scenario and the emerging market crisis scenario. In general, the loss potential stems primarily from loans in the US and Switzerland, counterparty exposure from derivatives and securities financing transactions, and equity and bond positions. Irrespective of the scenarios considered, losses can also result from operational and legal risks.


My view:

So it is only a question of time before action needs to be taken and a euro area debt crisis (Brexit and more exits…) would cause high loses relative to capitalisation.


SNB definitions:
Euro area debt crisis

The debt crisis in the euro area re-escalates. Sovereign risk premia for southern euro area member states rise abruptly, resulting in widespread financial and banking stress. Confidence declines and a deep recession spreads across Europe, originating from the southern member states. Stress in the euro area banking sector and financial markets also spills over to the US and Switzerland, triggering a fall in share prices and a widening of corporate spreads. Against this backdrop, the normalisation of monetary conditions is postponed further. The severity of the scenario is guided by the global financial crisis in 2008/2009, but is centred on acute banking stress in the euro area. The recession in Switzerland is deeper than in 2009 and leads to a sharp drop in Swiss real estate prices, in both the residential and commercial sector. The scenario is similar to the euro area debt crisis scenario in last year’s Financial Stability Report.


Baseline scenario
Under the baseline scenario, economic conditions for the Swiss banking sector improve. Economic growth picks up moderately in the euro area, but unemployment stays high in many member states. In the US, growth continues to be robust. Growth in China slows further and some major emerging markets remain in recession. In Switzerland, the recovery continues and unemployment begins to decline slowly after peaking in the second half of 2016.