Daily Credit Summary: August 12 - Bearish Breadth
Submitted by Tyler Durden on 08/12/2009 - 16:19Spreads were mostly wider in the US today as ExHVOL is the only index tighter thanks to HVOL's underperformance (with HY underperforming IG as the former broke above 800bps intraday). Indices generally outperformed intrinsics (as it appears single-name protection buyers were hedging with index protection) with skews widening in general as IG's skew decompressed as the index beat intrinsics, HVOL outperformed but widened the skew, ExHVOL outperformed pushing the skew wider, XO's skew increased as the index outperformed, and HY outperformed but narrowed the skew. IG opened gap at its wides and did leak tighter most of the day but intrinsics did not follow and the weakness in HY suggests that investors were looking at HY-IG decompression.
Closing Market Summary
Submitted by Tyler Durden on 08/12/2009 - 15:06
- IG Wider 0.5bps to 113.5
- HY Wider -7/16 to 89 7/16
- Stocks... closing at VWAP.
Afternoon Market Summary
Submitted by Tyler Durden on 08/12/2009 - 13:55IG12: 114bps + 1.5 bps (weaker)
IG12 intrinsics: +6 bps (much weaker)
HY12: 791bps + 10 bps (weaker)
HY12 intrinics: +31 bps (much weaker)
30 Year: 4.52%, +8 bps (weaker)
DXY: poundage
Equities: who cares, just feed more redbull to WOPR
Substantial Confusion Percolates On Volume Ramp
Submitted by Tyler Durden on 08/12/2009 - 13:38
Left Right Left Right Up Down Up Down A B A B Reset Start (Triangle Square for extra lives)
FOMC Minutes
Submitted by Tyler Durden on 08/12/2009 - 13:17QE Ending: "To promote a smooth transition in markets as these purchases of Treasury securities are completed, the Committee has decided to gradually slow the pace of these transactions and anticipates that the full amount will be purchased by the end of October."
The Feds & UBS Reach a Squeal of a Deal
Submitted by Travis on 08/12/2009 - 12:28Yeah, the Swiss... "Oh, they're neutral? right?" Haven't they always been? "They say nothing?" Well, maybe not then- but now, the Feds and UBS AG have reached a deal to squeal on some 52,000 potentially tax-evading Americans.
$23 Billion 10 Year Auction Results
Submitted by Tyler Durden on 08/12/2009 - 12:13
Results out: only $14.4 billion indirects tendered out of total $57 billion competitive. Of the $14.4 billion, $10.4 billion was allocated. Indirect bids 45.7% vs. Avg. 35.25% (Prev. 32.11%). Indirect bid-to-cover was 1.39. Overall bid-to-cover including highly motivated primary dealers was 2.49. Allocated at 3.734% high yield vs expected 3.708%.
IWM-SPY Unwind In Process?
Submitted by Tyler Durden on 08/12/2009 - 11:47
Crap stocks (RUT) outperforming quality (SPY) again. The early morning action was likely precipitated by some colorful index arbing.
CLSA's Jim Walker On Asia: The Game Is Up
Submitted by Tyler Durden on 08/12/2009 - 11:33"For 2009, and perhaps beyond, preservation of capital will again be the name of the game. Cash is king with a liberal helping of government securities in the portfolio as well - even at today's richly inflated prices. Our key message to investors is that the asset management game has now changed. Unfortunately, for those that believe we are still in the same economic world as was the case in the Greenspan era, the game is up."
Dollar Plummets
Submitted by Tyler Durden on 08/12/2009 - 11:20
The newly hired traders at the Federal Reserve proving their mettle.
Art Samberg In Trouble: SEC Has Issued Wells Notice To Pequot Alleging Insider Trading In MSFT In 2001
Submitted by Tyler Durden on 08/12/2009 - 10:56Developing story
Massive Early (Terminal) Squeeze Withering
Submitted by Tyler Durden on 08/12/2009 - 10:47
Someone threw in the towel this morning, and volume exploded. Subsequent to the initial exuberance volume has been retracing to average, and will promptly turn below average in the next few minutes.
A Sale is a Sale...
Submitted by Travis on 08/12/2009 - 10:27In what may just be a valiant effort to raise cash- JP Morgan is looking to unload some 23 office properties... They're selling. Not financing. I'm reading this as- "getting the f-out of Dodge..."
Taleb On The Other Perspective
Submitted by Tyler Durden on 08/12/2009 - 10:07Love him or hate him, he has been right before, and is very likely correct again. Pay particular attention to Nassim's claim on the impact of marginal buyers: exemplified all too well by the 10.8% decline in short interest in the second week of July and the resulting 9% squeeze in the S&P.
