Archive - May 2009

Innovative Quant Solutions out with a brief looking at the future of quant factors and whether it even makes sense to diversify these at all in 2009.

Innovative Quant Solutions out with a brief looking at the future of quant factors and whether it even makes sense to diversify these at all in 2009.

Innovative Quant Solutions out with a brief looking at the future of quant factors and whether it even makes sense to diversify these at all in 2009.

In his first note released in the post Sakwa world, Craig Schmidt continues to attempt to restore confidence in retail REITs. It would, after all, seem prudent to bang clients' heads into their desks until they see the light at the end of the tunnel (oncoming bullet train?) at a time when the only cash, and equity value, REITs can create is by raising expensive, dilutive equity in order to repay the cheapest form of capital (that of secured loans previously held by Mr. Schmidt uber parent, Bank of America).

Zero Hedge is launching a new daily bullet list of critical news items and highlights, which we hope will make the lives of traders and analysts easier.

• Government to get majority stake in GMAC, invests yet another $7.5 billion (Bloomberg)
• California falls deeper in budgetary crisis: major propositions voted down (Bloomberg)
• Japan economy collapses 15.2% in Q1 on export slide (Reuters and

If "Buy CDS" was the prior week's motto, this one's was "Do nothing, act busy, make many trips to kitchen." A paltry $6 billion in net CDS exchanged hands in a rerisking direction.

If "Buy CDS" was the prior week's motto, this one's was "Do nothing, act busy, make many trips to kitchen." A paltry $6 billion in net CDS exchanged hands in a rerisking direction.

And this time under a much more hospitable master. Dear Merrill - peace; the only thing Zero Hedge needs from you at this point is more documented REIT upgrades... And maybe the reason for Sakwa's departure. Amazing how much less rosier Rosie's reality is when you don't have green shoots breathing over your shoulder.

Spreads improved (tightened) across the board as all the indices rallied today (as a late day sell-off in stocks dragged a short-squeezed IG off its tights). Indices typically underperformed single-names with skews mostly narrower as IG underperformed but narrowed the skew, HVOL underperformed but narrowed the skew, ExHVOL intrinsics beat and narrowed the skew, XO underperformed but compressed the skew, and HY outperformed but narrowed the skew.

800 million shares priced at $10 a pop. Very timely upgrade by Goldman Sachs yesterday.

Steve Sakwa, whose work product Zero Hedge has not spared its praise for in the past, has left the building. The "top rated" REIT analyst, who gained prominence in the past 2 months for such great work as an upgrade of virtually all companies he covers, has departed for greener, although unknown, pastures. It is quite odd that Sakwa would leave the bank at a time when his group was generating more revenue than virtually any analyst/trading group on Wall Street.

Porsche, which last year thought its "hedge fund" division was smarter than all the actual hedge funds in the world and with the implicit complicity of the BaFin created the Volkswagen squeeze monster, might very soon be at the mercy of the same hedge funds it nearly guillotined.

As Zero Hedge expected a few short weeks ago, the Fed realized that its TALF revision 364.5 for CMBS was worthless, so today, after many deep thoughts on how to force feed U.S. taxpayers even more toxic garbage, the wise and grizzled Ben Bernanke issued TALF directive 364.6 and decided to extend the acceptance threshold to all past legacy CMBS loans as eligible for TALF.