Daily Credit Summary: July 29 - Range Day
Submitted by Tyler Durden on 07/29/2009 - 16:37Spreads were mostly tighter in the US today with HVOL outperforming IG (pushing ExHVOL wider) but HY continuing its rally (albeit with both IG and HY in extremely narrow intraday ranges of 3 and 25bps respectively). Indices generally outperformed intrinsics with skews mostly narrower (although not enough to warrant index arb expectations as we saw IG/HVOL9 underperforming IG/HVOL12 on further CIT/SLM/monoline weakness and suspected correlation book hedging) as IG underperformed but narrowed the skew, HVOL outperformed but widened the skew, ExHVOL intrinsics beat and narrowed the skew, XO's skew increased as the index outperformed, and HY outperformed but narrowed the skew.
Letter To Senator Charles Schumer - Ban Goldman's SIGMA X Dark Pool
Submitted by Tyler Durden on 07/29/2009 - 15:15Dear Senator Schumer,
You recently approached SEC head Mary Schapiro with some very valid concerns about Flash trading, and the potential for investor abuse by advance looks to select market participants ahead of the general order pool. We would like to provide some thoughts.
Fear Index Now Inverse To VIX
Submitted by Tyler Durden on 07/29/2009 - 14:09
As excess demand for portfolio insurance is at near record highs, the VIX has become irrelevant as an indicator of sentiment.
New York Fed On Shadow Banking
Submitted by Tyler Durden on 07/29/2009 - 13:40
Insightful paper from the New York Fed discussing such issues as (the permanent loss of) securitization, liquidity and leverage.
Weak Five Year Auction Interest, Substantial Drop In Indirect Bids
Submitted by Tyler Durden on 07/29/2009 - 13:19
- Yield 2.689% vs. Exp. 2.635%
- Bid/Cover 1.92 vs. Avg. 2.37 (Prev. 2.58)
- Indirect bids 36.7% vs. Avg. 45.94% (Prev. 62.87%)
- Allotted at high 31.16% (BBG)
Intraday VIX Divergence
Submitted by Tyler Durden on 07/29/2009 - 11:03
Once again, the VIX diverges from its underlying: as stocks continue their ramp up on JPY weakness, the VIX is holding its highs of the day (inverted scale). Someone remind us what is it again that the VIX was supposed to indicate?
NY Fed's Bill Dudley On The Economic Outlook And The Fed's Balance Sheet
Submitted by Tyler Durden on 07/29/2009 - 10:32"The Federal Reserve is taking on some interest-rate risk in terms of its balance sheet. The excess reserves have an overnight maturity. These liabilities are being used to purchase longer-term assets. In principle, if short-term interest rates were to move up very sharply, the cost of funding could eventually exceed the return on the Fed’s assets. The bigger our balance sheet, the greater the amount of interest-rate risk we are assuming."
Loans Versus Bonds Relative Value: Week of July 23
Submitted by Tyler Durden on 07/29/2009 - 10:11
The credit tightening squeeze is about to get silly. Indicative loans averaged a year to date tight of 461 bps while bonds were trading at 905 bps.
HFRXEMN Hits Low Point For 2009
Submitted by Tyler Durden on 07/29/2009 - 09:25
The HFRX Equity Market Neutral Index has hit a new low for the year. In other news, Goldman likely set to report record number of $100+ million trading days for the quarter.
NYSE Leaves Confidential Infrastructure Data Exposed
Submitted by Tyler Durden on 07/29/2009 - 09:07
"The information could allow an intruder to map the NYSE’s network architecture and determine what vulnerabilities exist in the system."
Paul Wilmott: "High-Frequency Trading May Increasingly Destabilize The Market"
Submitted by Tyler Durden on 07/29/2009 - 08:25Paul Wilmott: "Thus the problem with the sudden popularity of high-frequency trading is that it may increasingly destabilize the market. Hedge funds won’t necessarily care whether the increased volatility causes stocks to rise or fall, as long as they can get in and out quickly with a profit. But the rest of the economy will care."
Daily Highlights: 7.29.09
Submitted by Tyler Durden on 07/29/2009 - 07:52- Home Prices in US cities post monthly rise; consumer confidence declines.
- Japan stocks edge up amid corporate earnings, investors await US GDP data.
- Shanghai's index fell by 5% on disappointing corporate profits, lower commodity prices.
- US dollar mostly higher, gold falls in European morning trading.
- Akzo Nobel 2nd quarter net profit down 13 percent to $220M, shares rise on margins.
Frontrunning: July 29
Submitted by Tyler Durden on 07/29/2009 - 07:43- June Durable Goods down -2.5% on expectations of -0.5%
- Let's break up the Federal Reserve (WSJ)
- Americans rate Fed worst among 9 key agencies (SignOnSD, h/t Bob)
- CRE companies drooling at taxpayer generosity, plan to raise a whopping $3 billion via TALF in September, only $3.997 trillion to go (Bloomberg)
- China banks to slow lending with low targets (Reuters, h/t Gilgamesh)
Washington’s Gimmick For the Easily Sold- a Zero Hedge Glimpse at “Cash for Clunkers”
Submitted by Travis on 07/29/2009 - 04:54While some would debate they’ve bailed-out the auto industry enough, the United States government gets into the often gimmicky, very corny and highly questionable art of selling cars. With $1 billion on the table, it’s soon to be a new model year- and Uncle Sam wants… your shitty old car!
From GE Commercial Finance to Zero Hedge, With Love
Submitted by sacrilege on 07/28/2009 - 19:46GE Commercial Finance, Stamford Connecticut:
On behalf of the Zero Hedge staff, I want to take a minute to apologize for our filtering your 439 packets today at our firewall.
