Quants Hoping For Resistance Break Out On No Volume
Submitted by Tyler Durden on 06/24/2009 - 13:57Deja 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
Submitted by Tyler Durden on 06/24/2009 - 13:43The 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.
Moody's: Credit Card Charge Off Rate Highest In 20 Years
Submitted by Tyler Durden on 06/24/2009 - 13:13Hi-fi quants are like pigs in a trough today, driving the market on horrible new home sales numbers just as State Street is back to its usual antics and (or as a result of which) Fidelity disclosing no IWM borrow available. In the meantime, Moody's has released its Credit Card Index update: charge off rates for May have now surpassed 10%. From the report:
Mortgage Rate And Home Sales Weakness Accelerates
Submitted by Tyler Durden on 06/24/2009 - 12:57Jim 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
Submitted by Tyler Durden on 06/24/2009 - 12:57Jim 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
Submitted by Tyler Durden on 06/24/2009 - 12:57Jim 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)
Submitted by Tyler Durden on 06/24/2009 - 12:31The 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.
Latest DTCC CDS Update (Week Of June 19)
Submitted by Tyler Durden on 06/24/2009 - 12:31The 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.
Is Raiffeisen Bank Bankrupt?
Submitted by Tyler Durden on 06/24/2009 - 12:16Zero Hedge discussed a few months ago the fact that the ratings agencies consider distressed exchange offers essentially equivalent to an event of default.
Daily Highlights: 6.24.09
Submitted by Tyler Durden on 06/24/2009 - 12:04- 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.
Frontrunning: June 24
Submitted by Tyler Durden on 06/24/2009 - 11:49- State Street, which is underweight bonds, sees Treasuries at 4.5% in 6-12 months (Forbes) [State Street is also underweight shorting]
The Relationship Between Bonds And CDS Spreads
Submitted by Tyler Durden on 06/24/2009 - 03:31As 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.
Overalottment: June 23
Submitted by Tyler Durden on 06/24/2009 - 02:51- Chinese increasingly overdue on credit cards (MarketWatch)
- Japan exports plummet: 40.9% decline year over year, extends worst slump since WWII (NYT)
- Citigroup raises base salaries by 50% (Bloomberg)
- Ikea plans to halt investment in Russia (
Second Budget Hotel Bankruptcy In One Week, CRE Getting Monkeyhammered
Submitted by Tyler Durden on 06/24/2009 - 00:32First it was Extended Stay, which filed for bankruptcy last week (and whose unexpected filing may make life for CMBS participants very complicated as the law of unintended consequences strikes again). Today, it is budget hotel chain Red Roof Inn.
What Is Spooking Auto Supplier CDS?
Submitted by Tyler Durden on 06/23/2009 - 22:24Or maybe the correct question is "what wasn't" especially for the past 3 months... I touched earlier upon the pain that is still to be unleashed upon the autosuppliers when I discussed the Visteon CDS auction. However, it seems the credit market is already on top of this. A brief observation of the CDS (and to an extent the equity) levels of TRW and American Axle indicates that over the past week something has really spooked longs in the names.
