Daily Credit Summary: August 17 - Ch Ch Ch Changes
Submitted by Tyler Durden on 08/17/2009 - 16:39Spreads were broadly wider in the US as all the indices deteriorated (with HY underperforming IG once again as both reached 3-4 week wides but IG maintained a very tight range like stocks while HY slipped all day). Indices generally outperformed intrinsics with skews widening in general as IG's skew decompressed as the index beat intrinsics (HY-IG and IG hedge technicals holding IG back), HVOL underperformed but narrowed the skew, ExHVOL outperformed pushing the skew wider, XO's skew increased as the index outperformed, and HY's skew widened as it underperformed. (The HY-IG differential is a better indeication of risk aversion currently than IG since technicals are holding IG back and we note thios would imply a higher VIX and 950 S&P give or take - given empirical levels).
Robert Prechter On The Dollar
Submitted by Tyler Durden on 08/17/2009 - 15:33The founder of Elliott Wave International shares his perspectives.
High Yield Getting Reacquainted With Gravity
Submitted by Tyler Durden on 08/17/2009 - 15:30
HY 12 doesn't believe in this rangebound mumbojumbo - credit traders have to really earn their living. Speaking of, when will "liquidity providers" also get involved in this product and start trading amongst themselves.
SPY Tag Ends
Submitted by Tyler Durden on 08/17/2009 - 15:11
Is there any reason why markets are still open between 10am and 3:30pm?
Financials Losing Their Leadershipness
Submitted by Tyler Durden on 08/17/2009 - 14:43
No growthyness in the XFL... Or at least today. Hey, wasn't Guaranty supposed to have some press release or another today?
Sergey Aleynikov Seeks Dismissal Of Case
Submitted by Tyler Durden on 08/17/2009 - 13:54Bloomberg reporting that Sergey Aleynikov wants a dismissal of his criminal case. Whether or not Goldman, which woke the FBI at 3 am to get on the case stat, will agree with his view is a different view.
Fed July Loan Officer Survey - Crunch Continues
Submitted by Tyler Durden on 08/17/2009 - 13:11Too bad small and medium businesses aren't CCC-rated, 6x levered, recent LBOs: they would have no problem obtaining 7% financing. As it stands now, though, good luck.
Readers' Digest To File For Bankruptcy
Submitted by Tyler Durden on 08/17/2009 - 12:14In a jarring reminder that hope does not pay scheduled interest payments, Readers' Digest announced it is about to file for bankruptcy. And since bondholders don't accept hope in lieu of cash, the company announced that not only would it not make its $27 million coupon payment but that it would undergo a prearranged Chapter 11 process in which its secured lenders would end up owning the company concurrent with a 75% haircut in their holdings.
OMO vs USD
Submitted by Tyler Durden on 08/17/2009 - 11:16
Call it a pure coincidence, but the second the OMO closed at 11am, someone(s) sold a boatload of dollars. Stocks looking so much prettier since.
OMO vs S&P500
Submitted by Tyler Durden on 08/17/2009 - 10:38Due to popular demand, we present a chart overlaying the S&P500 and the Fed's Treasury OMO actions (not accounting for agency and MBS purchases).
Fed Buys $5.9 Billion Of Recently Auctioned 5 YearTreasuries
Submitted by Tyler Durden on 08/17/2009 - 10:21As part of today's $7 Billion Treasury OMO by the Fed, $5.9 billion of recently auctioned off 5 Years were purchased... And not a moment too soon - the liquidity is muchly needed.
Raymond James Discusses "Growthyness" Of REITs
Submitted by Tyler Durden on 08/17/2009 - 09:43RJ analyst Paul Puryear creates new words to describe his enthusiasm. Objectivity and OED butchering ensues, and even Mark Haynes is confused.
Janet Tavakoli "Talks Her Book" And Cashes Out
Submitted by Tyler Durden on 08/17/2009 - 09:24The author of Structure Finance And Collateralized Debt Obligations, and one of the few who actually understood the CDO problem and predicted it, has gone all cash.
CIT Completes Debt Tender Offer
Submitted by Tyler Durden on 08/17/2009 - 09:01CIT has averted bankruptcy by succeeding to get just above the requisite minimum of acceptances for its tender offer. The Offer expired at 12:00 midnight, New York City time, at the end of August 14, 2009. CIT is paying $875 for every $1,000 tendered as part of the offer.
July Capital One Charge-Offs And Delinquencies Worse Across The Board
Submitted by Tyler Durden on 08/17/2009 - 08:30Capital One just released its charge off data: the improvement that some had seen in the June data has promptly been erased and metrics are trending negative again. The net annualized charge-off rate increased to 9.83% in July from 9/73% in June. The 30 days + delinquency rate also went up to 4.83% from 4.77%. However, the worst deterioration was in Auto Finance Metrics, the annualized charge off rate increasing by over a third percent to 4.26% from 3.89%, and the 30 Days + delinquency rate moved north of 9 to 9.22% from 8.89%.
