Archive - Jun 2009

Total Federal Reserve balance sheet assets for the week of June 17 of $2,053 billion consisting of:

• Schapiro says SEC to force more disclosure on "dark pools" (Bloomberg)
• Senate attacks role of Fed in Geithner reform (FT)
• George Orwell deja vu headline presented tonight compliments of Bloomberg: Yen Weakens as Signs Global Slump Easing Spur Demand for Yield (Orwellberg)

With quotes like "as opposed to the other commentators on CNBC, i think the banks are a great short here," this is a must watch video from TrimTabs' Charles Biderman.

Spreads were broadly wider in the US as all the indices deteriorated. Indices typically underperformed single-names (as we note some pre-roll activity is holding single-names in while macro players drive indices wider) with skews widening in general as IG underperformed but narrowed the skew, HVOL underperformed but narrowed the skew, ExHVOL outperformed pushing the skew wider, XO's skew increased as the index outperformed, and HY's skew widened as it underperformed (with rumors of another HY list today trying to take advantage of the large skew).

Our good friends at the CMSA (where alas Chris Hoeffel has recently passed on the baton of preexisting conflict to Patrick Sargent), have issued a lengthy missive in which they implore the administration to make sure it changes the rules so that not only do investors eat 90% of all CRE losses, but if possible to make it so Joe Sixpack actually pays for a little over 100% of the bill. Otherwise, the Commercial Mortgage Securities Association may actually have to mark its book to market and, we all know, that can't happen without a singularity erupting in the immediate subsequent moment.

The 4 or 5 computers that were trading with each other today all executed perfectly according to the "regress to VWAP" program. If you were a human (presumably, since only a few East Setauket machines do serious OCRing here), and you thought you had any edge trading this market, you were a fool. Play again though, and better luck tomorrow.

The 4 or 5 computers that were trading with each other today all executed perfectly according to the "regress to VWAP" program. If you were a human (presumably, since only a few East Setauket machines do serious OCRing here), and you thought you had any edge trading this market, you were a fool. Play again though, and better luck tomorrow.

The 4 or 5 computers that were trading with each other today all executed perfectly according to the "regress to VWAP" program. If you were a human (presumably, since only a few East Setauket machines do serious OCRing here), and you thought you had any edge trading this market, you were a fool. Play again though, and better luck tomorrow.

The spread between mortgages and the 10 year just exploded...

But not because anyone is buying the 10 year.

The spread between mortgages and the 10 year just exploded...

But not because anyone is buying the 10 year.

Total Federal Reserve balance sheet assets for the week of June 17 of $2,053 billion.

With quotes like "as opposed to the other commentators on CNBC, i think the banks are a great short here," this is a must watch video from TrimTabs' Charles Biderman.

After the good folks in the Deutsche Bank securitization group anticipated a 47% drop in NY housing prices in March, they have released an updated report discussing the future pain in the top 10 MSA, and the biggest outlier by a big margin, once again, is the New York-White Plains-Wayne NY-NJ MSAD.

After the good folks in the Deutsche Bank securitization group anticipated a 47% drop in NY housing prices in March, they have released an updated report discussing the future pain in the top 10 MSA, and the biggest outlier by a big margin, once again, is the New York-White Plains-Wayne NY-NJ MSAD.

Spreads were broadly wider in the US as all the indices deteriorated. Indices typically underperformed single-names (as we note some pre-roll activity is holding single-names in while macro players drive indices wider)with skews widening in general as IG underperformed but narrowed the skew, HVOL underperformed but narrowed the skew, ExHVOL outperformed pushing the skew wider, XO's skew increased as the index outperformed, and HY's skew widened as it underperformed.