Quants Hoping For Resistance Break Out On No Volume

Deja vu all over again: failed green shoot, no volume, high beta break out, one or two brokers gunning the SPY (here's looking at you 85 Broad): the tried and true script over the past 3 months seems to have a little life left in it still, with all rational cash players sitting on the sidelines as always, doing Starbucks breaks every hour and waiting for the release of RenTec's results indicating Medallion made double the combined negative "return" of REIF and RIFF (and JPM torn between trading for the latter and its own Highbridge).

Lenders Set To Scuttle Continental - Shaeffler Merger; Lawsuits Will Follow

The second most favorite German soap opera on Zero Hedge (just after the Volkswagen - Porsche melodrama) looks set for a second season. Bloomberg reporting that lenders who hold half of Conti's humongous €11 billion debt load will do all they can to prevent the merger. It's funny it took lenders only about a year to get their case of buyer's remorse sufficiently well crystallized.

Mortgage Rate And Home Sales Weakness Accelerates

Jim Cramer was spot on with calling the housing bottom. Oh wait - he was dead wrong again about this as he is about everything else: downward prior revision and lower than expectations. At least he is consistent at batting 0: almost as good as someone batting 1000.

Mortgage Rate And Home Sales Weakness Accelerates

Jim Cramer was spot on with calling the housing bottom. Oh wait - he was dead wrong again about this as he is about everything else: downward prior revision and lower than expectations. At least he is consistent at batting 0: almost as good as someone batting 1000.

Latest DTCC CDS Update (Week Of June 19)

The name of the game last week was the roll, with the expiration of the June contract leading to over $300 billion in Matured Transactions. New protection creation was delayed into the roll and this week will likely see a comparable pick up in new protection purchasing. Approximately $200 billion in net notional exposure was removed from the system, however with $300 billion accounting solely to terminations, implies there was a net $100 billion purchasing offset that was not roll related.

Daily Highlights: 6.24.09

• Asian markets recover modestly ahead of FED announcement; Europe up slightly.
• Fed weighs whether economic revival programs should be slowed amid improvement.
• Oil drops below $69 in Asia as investors mull US dollar, inflation.
• Japan’s Nikkei rises 40.71, or 0.4 percent, to 9,590.32 as of the close in Tokyo.
• The US and the EU have filed complaints that China limited its raw material exports.
• U.K. economy will see a "sluggish" recovery from the recession, according to the OECD.
• The U.S.
  

The Relationship Between Bonds And CDS Spreads

As many readers have been requesting data on both intro and intermediate CDS topics, I am posting a paper on one of the most fundamental credit derivative concepts: how to equate CDS pricing levels with those of cash bonds. As new concepts emerge, more explanatory information will be provided. Enjoy the paper - compliments of Maiden Lane I.