Archive - Jun 8, 2009

Crazy day.

First: an updated 1 Year Treasury 1 yr Forward. Closed practically at the wides. Someone(s) just lost their job(s) over this.

Crazy day.

First: an updated 1 Year Treasury 1 yr Forward. Closed practically at the wides. Someone(s) just lost their job(s) over this.

Zero Hedge announced RIEF's MTD (under)performance on Friday. Now, an apologetic Simons is out, explaining wtf is going on with the worst performing quant fund of the year (give or take).

Fast fwd to 4:50 "There have certainly been threats made." by the administration.

Yet another confirmation of S-Rat's persuasive tactics.

Must watch interview with Indiana Pensioners' Richard Mourdock.

Spreads were broadly wider in the US as all the indices deteriorated (despite a big leg tighter towards the close which leaked back wider after the close). Indices typically underperformed single-names with skews widening in general 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's skew widened as it underperformed.

Developing Story. Liquidation for Chrysler after Fiat bounces asap?

Supreme Court Justice Ruth Bader Ginsburg put a temporary hold Monday on the deal to sell Chrysler to save it from collapse. Her order, however, simply gives her or the full Court more time to ponder whether to postpone it further, or allow it to go forward.

Down market got you feeling, well, down? JPM Red Bull (with or without coca plant additives) gives you (and the market) wings.

In other news, the Bberg SPY INDEX IOIA is now macro'ed to JPY.

Investors can not wait to sell mortgages so they can buy the brand new iPhone. Speaking of brand new, BB, if you are reading this, how about some fresh QE: after all what's a few trillion $ between friends. Mom and pop have to be buying this whole recovery story after all.

Another refreshingly objective piece from the San Fran Fed, this time dealing with the question of whether to expect a recovery in employment; the Fed comes out with what sounds like a resounding no.

Another refreshingly objective piece from the San Fran Fed, this time dealing with the question of whether to expect a recovery in employment; the Fed comes out with what sounds like a resounding no.

Another refreshingly objective piece from the San Fran Fed, this time dealing with the question of whether to expect a recovery in employment; the Fed comes out with what sounds like a resounding no.

Finally a market test valuation of Commercial Real Estate, which is not just hype and Merrill Lynch speculations. The Buffalo News reports that REIT Developers Diversified Realty is selling back 11 upstate New York shopping malls to the entity it originally purchased them from, Benderson Development Co., at a 30% discount to their 2004 purchase price.

The chart below demonstrates the 1 year forward level on the 1 Year treasury. Someone really just went all in on Bernanke's bluff. 2Y/1Y flatteners anyone? Wait, what's that? Every prop desk had a steepener on and was highly levered into it? Basis trade blow up deja vu anyone? Wait for opportunistic hedge funds to be ramping into the flattener and killing who knows how many props on the wrong side of the trade.

The chart below demonstrates the 1 year forward level on the 1 Year treasury. Someone really just went all in on Bernanke's bluff. 2Y/1Y flatteners anyone? Wait, what's that? Every prop desk had a steepener on and was highly levered into it? Basis trade blow up deja vu anyone? Wait for opportunistic hedge funds to be ramping into the flattener and killing who knows how many props on the wrong side of the trade.

The chart below demonstrates the 1 year forward level on the 1 Year treasury. Someone really just went all in on Bernanke's bluff. 2Y/1Y flatteners anyone? Wait, what's that? Every prop desk had a steepener on and was highly levered into it? Basis trade blow up deja vu anyone? Wait for opportunistic hedge funds to be ramping into the flattener and killing who knows how many props on the wrong side of the trade.