Daily Credit Summary: August 4 - Divergence
Submitted by Tyler Durden on 08/04/2009 - 16:35Spreads were broadly wider in the US as all the indices deteriorated (with HY underperforming IG and wider for the first time in over a week) as IG closed at its wides in direct opposition to the S&P closing at its highs. Indices typically underperformed single-names (with the IG skew now the tightest during this contract but intrinsics holding at the 118bps support level) with skews widening in general as IG underperformed but narrowed the skew, HVOL outperformed but widened the skew, ExHVOL's skew widened as it underperformed, XO underperformed but compressed the skew, and HY's skew widened as it underperformed.
"Bankrupt" Jefferson County Did Not Buy REITs Today, Summons National Guard To Maintain Order
Submitted by Tyler Durden on 08/04/2009 - 15:58Oddly enough, Jefferson county which got into a dash of trouble buying some interest rate swap or another without reading the prospectus which despite guaranteeing perpetual appreciation distinctly said in the invisible print that total loss of principal is another side effect of transacting with Wall Street, has apparently been unable to participate in today's 175/75 L/S unwind which blew the REITs into the stratosphere and got Bob Pisani's panties in a bunch.
PIMCO Now Added As TALF Collateral Monitor By NY Fed, Will Dispense Objective, Unbiased Praise Of Any And All Collateral
Submitted by Tyler Durden on 08/04/2009 - 15:28"Trepp will focus solely on CMBS. PIMCO will perform a broader role which encompasses the entire TALF portfolio, including both mortgage-backed and non-mortgage-backed ABS. The collateral monitors will not establish policies or make decisions for the New York Fed, including decisions whether to reject a CMBS as collateral for a TALF loan or exclude loans from mortgage pools."
Clarification From Charles Schumer On Flash Ban
Submitted by Tyler Durden on 08/04/2009 - 14:44"We of course expect the SEC to follow its procedures for the implementation of this new rule, but there is every expectation the Commission will vote for it. The bottom line is, this practice will be eliminated."
-- Charles Schumer
ITG Shares Its Perspectives On Flash Trades With Zero Hedge
Submitted by Tyler Durden on 08/04/2009 - 14:20Zero Hedge recently discussed Implementation Shortfall (slippage) costs courtesy of empirical data made available by ITG. We are happy to share with our readers some of ITG's perspectives on the topic of Flash orders and Dark Pools.
Darrell Issa Goes After Rahm Emanuel, Hilarity Ensues And Epic Fail For The Chief Of Staff
Submitted by Tyler Durden on 08/04/2009 - 13:46"While [your] scare tactic may work in Chicago, it will not work to intimidate me or other Members of the United States Congress."
- Darrell Issa to Rahm Emanuel
These Are Not The VWAP Reversion Algorithms You Are Looking For
Submitted by Tyler Durden on 08/04/2009 - 13:17
I am broadcasting on all IP frequencies. I will be at 85 Broad everyday at midday, when the sun is highest in the sky. If you are out there—if anyone is out there—I can provide charts, I can provide
data, I can provide flagrant breaches of market integrity. If there's anybody out there in the SEC's enforcement division—anybody—please, you are not alone.
A Ramping Market On Disappearing Volume: Volume-To-Price Correlation of -.81!
Submitted by Tyler Durden on 08/04/2009 - 13:03
If you want to ramp the market, do so on low volume days when your strategy is the dominant marginal price maker. Enter Exhibit A.
Significant Intraday VWAP Dislocation
Submitted by Tyler Durden on 08/04/2009 - 12:34
One wonders what Linear Algebra and its Applications would have to say about this.
Guest Post: SEC Memo Says Guaranty Bank To Be Seized, Not Sold
Submitted by Tyler Durden on 08/04/2009 - 12:19In another case of the Feds proping up zombie banks, sources have reported that an SEC memo has stated that the FDIC will seize Guaranty Bank and it will not be sold as previously rumored.
Why Should GS And NYSE Stocks Be Nervous About The Flash Ban?
Submitted by Tyler Durden on 08/04/2009 - 11:13
Ignore the retracement, it is just the 19 year old momo quants "with no financial or business background" who are about to get a rude awakening in what happens when non-linear equations diverge from the stock market.
Breaking News: SEC Plans To Ban ‘Flash Trades’ That Give Advance Info To Certain Traders
Submitted by Tyler Durden on 08/04/2009 - 10:50Next up: SIGMA X and Dark Pools
Poll of the day: Where does Medallion close 2009?
Peter Schiff On The Phony US Economy
Submitted by Tyler Durden on 08/04/2009 - 10:39"Most of the forecasters out there can only see what's happening right now. That's why they are always so wrong. They could never connect the dots... Our phony economy is being propped up by the stimulus and artificially low interest rates, and all of that has to come to an end if we want to stop the dollar from collapsing."
Truer words have rarely been spoken.
Goldman Sachs Clarifies Its High Frequency Trading Practices
Submitted by Tyler Durden on 08/04/2009 - 10:00"In response to recent media stories on High Frequency Trading, we wanted to clarify our position to clients."
Personal Income Drops, Personal Saving Rate Slides From 6.2% To 4.6%
Submitted by Tyler Durden on 08/04/2009 - 09:35
The personal saving rate declined by over 1.6% in just a month. This is relevant as the consumer isn't levering up: savings exhaustion is likely coming at the expense of paper profits in Schwab and 401(k) accounts. Unless the Ponzi can be maintained in perpetuity, when the house of cards falls, the doulbe whammy from savings increase will have a dramatic adverse impact on the economy. Bottom line: another one-time plug to Q2 GDP.
