Archive - Aug 2009

Spreads were broadly wider in the US as all the indices deteriorated (with HY12 underperforming IG and closing above 800bps for the first time in over two weeks). Indices generally outperformed intrinsics with skews widening in general (as we continue to see single-names leading the market wider and index hedges seemingly dominant) as IG's skew decompressed as the index beat intrinsics, HVOL outperformed but widened the skew, ExHVOL outperformed but narrowed the skew, XO's skew increased as the index outperformed, and HY's skew widened as it underperformed.

The big brain from RBS chimes in with highly abbreviated yet quite insightful perspectives once again

Another successful auction brought you by FRB NY. This topic has been in the blogs for a week. Does this answer the question, "Is the Fed intervening in the bond market?"

Someone really hitting the brakes with the Bollinger Band ceiling today. (Yeah, we agree it's stupid voodoo. Don't shoot the messenger). That's what happens when algos run amock on no volume and nobody will pile in except on down moves. In a word - about as pathetic trading as it gets.

Wild moves intraday in stocks and currencies, as Skynet plays three card monty with all the robot programs used by their biggest clients and Joe Sixpack.

The recent ruling in the GGP bankruptcy case may open the door for a vast universe of structured CRE entities to funnel into bankruptcy court, making lives for holders of assorted CMBS securities rather interesting, especially after the recent unprecedented run up on hopes of governmental bail outs in perpetuity. After all there is only $3 trillion in max pain: a mere week's output for the printing presses at full throttle.

Consumer Price Index – July Time: 8:30 am Forecast: 0.0% overall, 0.2% core

Industrial Production & Capacity Utilization – July Time: 9:15 am Forecast: 0.1% industrial production, 68.1%

University of Michigan Consumer Confidence – August Preliminary Time: 10:00 am Forecast: 68.5

And provides a convenient location for those impaired by the NYSE to demand monetary compensation.

Courtesy of Finviz, the ratio of insider buying to selling transactions is 10 to 136. Total transaction value: Buys: $60.1 million; Sells: $1,146 million. This compares with last week's buys for $13.4 million and sells for $1,042 million. Over $2.1 Billion in insider sales in two weeks.

• 4.54% high yield vs. exp. 4.556%
• 2.54 Bid-to-cover vs. Avg. 2.08 (Prev. 2.14)
• Indirect bids 48.1% vs. Avg. 33.21 % (Prev. 32.85%)
• 1.72 Bid-to-cover on indirects accepted to tendered
• Alloted at high 16.77% (BBG)

All Hail Octavia!
U.S. government stages fake coup to wipe out national debt

The FASB's rule mandating quarterly disclosure of Fair Value of toxic loans indicates that most financial firms are still very deep underwater. Case in point: Regions Financial, whose entire Stockholders' Equity would be in the red (and the firm would be in conservatorship at best) at this moment if the firm were to assign fair value to its loan book.

And the current week isn't shaping up much better. When will the pain for the gullible ones finally end?

Remember when the dollar bounced back after the "phenomenal" GDP numbers? Neither do we. But at least stocks are up. More of a cushion for after the "even more phenomenal" 30 Year auction results come out today.

Read on for some major exciting changes to market structure.