Archive - Jun 2009

Some interesting facts to absorb.

The United States has not issued bearer securities since 1982, completing a process started in 1966. $7.5 million in Treasury securities were "mislaid" by one of the Federal Reserve banks in 1962, which started the move to book entry.

According to the Treasury, less than 1% of "Marketable Treasury securities" exist in bearer form. $134 billion is an interesting number suddenly- unless there is some nuance to "Marketable" here.

Spreads were mixed in the US with IG worse (seeming to set a 120ish support level), HVOL improving, ExHVOL weaker, XO stronger, and HY rallying (seemed like traders followed intrinsics - selling IG and buying HY as IG is rich and HY cheap to intrinsics).

For all the talk of money on the sidelines and other such gibberish, sentimentrader has put together a great chart based on Rydex fund data, indicating that traders had placed 2.4 times as much leveraged money in bull funds as bear funds: the highest level since November 2001. The data is comparable for the unleveraged ratio. If anyone still thinks that there are many bulls on the sidelines who have not entered the market, you can a) note the facts below or b) listen to Bob Pisani distort them.

For all the talk of money on the sidelines and other such gibberish, sentimentrader has put together a great chart based on Rydex fund data, indicating that traders had placed 2.4 times as much leveraged money in bull funds as bear funds: the highest level since November 2001. The data is comparable for the unleveraged ratio. If anyone still thinks that there are many bulls on the sidelines who have not entered the market, you can a) note the facts below or b) listen to Bob Pisani distort them.

For all the talk of money on the sidelines and other such gibberish, sentimentrader has put together a great chart based on Rydex fund data, indicating that traders had placed 2.4 times as much leveraged money in bull funds as bear funds: the highest level since November 2001. The data is comparable for the unleveraged ratio. If anyone still thinks that there are many bulls on the sidelines who have not entered the market, you can a) note the facts below or b) listen to Bob Pisani distort them.

Latest NYSE Program Trading data out. After a major ramp up the week before, total program trading dropped again to 28.3% of total NYSE volume, but still higher than the 52 week average. The 15 most active member firms traded 1.8 billion shares for principal accounts, compared to 1.9 in the prior week. The top principal trader as always is Goldman Sachs, with 795.7 million shares, higher than the 741.7 million from last week.

Latest NYSE Program Trading data out. After a major ramp up the week before, total program trading dropped again to 28.3% of total NYSE volume, but still higher than the 52 week average. The 15 most active member firms traded 1.8 billion shares for principal accounts, compared to 1.9 in the prior week. The top principal trader as always is Goldman Sachs, with 795.7 million shares, higher than the 741.7 million from last week.

The credit market is worse for the day at 124.5/126, +0.5bps wider, while equities are stuck doing their own thing as always. (although seems today 3.30 was the sell program activation moment for a change).

The credit market is worse for the day at 124.5/126, +0.5bps wider, while equities are stuck doing their own thing as always. (although seems today 3.30 was the sell program activation moment for a change).

Today's RH Donnelley CDS auction closed at an abysmal 4.875 final price (on top of the IMM). When will DTCC/JPM change the default recovery on bonds for the CDSW calc from 40 to 10? Why 10% - because, as the chart below demonstrates, that is what the weighted average CDS auction recovery has been for the past 8 months.

Today's RH Donnelley CDS auction closed at an abysmal 4.875 final price (on top of the IMM). When will DTCC/JPM change the default recovery on bonds for the CDSW calc from 40 to 10? Why 10% - because, as the chart below demonstrates, that is what the weighted average CDS auction recovery has been for the past 8 months.

No commentary.