Archive - Apr 14, 2009 - Story

In a report released yesterday, it is somewhat gratifying that Merrill Lynch analyst Mary Ann Bartels agrees with Zero Hedge conclusions about possible near-term market volatility events as a result of quant fund deleveraging.

Estimated quant HF market exposure falling sharply

Intel posts $0.11 EPS on $7.1 Billion revenue, and $0.03 EPS consensus. Amusing tidbit from the press release, disclosing the tax rate for the quarter was just 1 percent, lower than the expectation of approximately 27 percent. No cash for Uncle Sam here. Assuming 27% tax rate, EPS would have been $0.08

Spreads were mixed in the US today with IG worse, HVOL improving, ExHVOL weaker, XO stronger, and HY selling off. Indices typically underperformed single-names with skews mostly narrower (as index arb remains active) as IG underperformed but narrowed the skew, HVOL underperformed but narrowed 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.

As lately the comments section has gotten heated, I was wondering if readers would be ok with moving to an outsourced comment forum such as Disqus which provides for a much better and fast-paced idea exchange. It will be a change from the existing format. If readers disagree will shelve the idea.

A recently released report from Goldman is making the rounds and is amping up the buying temperature for a perennial institutional favorite, the carry trade. Even Bloomberg has picked up the story and is running with the theme. They specifically call out two ZH favorites, the BRL and the AUD - however we think this move is really too early/too late, depending on how you look at it. 

This is kinda a huge deal... Peter Fisher, managing director of BlackRock (yes, that BlackRock), states in a Bloomberg interview that Goldman's first quarter trading profit is non-recurring in nature, and believes it was mostly due to AIG unwinds... It is a little shocking that BlackRock would have anything bad to say about the phenomenal resurrection of financial companies, and puts the huge "profit" in it's true light.

Dave is pissed.

More yellow weeds than green shoots in today’s data-flow

Not yet at the negative yields we saw in November, but if today's 4x oversubscribed one month bill auction is any indication, look for the yield to grind to zero if not lower very soon. To give Steve Liesman props where it is due, "This is panic buying!?"

State tax collections for the fourth quarter of 2008 declined by 4 percent from the same quarter a year earlier, according to a new report by the Rockefeller Institute of Government. After adjusting for inflation, combined state and local sales tax revenue declined more in October-December 2008 than in any quarter since 1959. Early figures for state tax revenues in the first quarter of 2009 show an overall decline of more than 12 percent compared to a year earlier, a further dramatic worsening of fiscal conditions nationwide.

IG credit is edging back wider today so far, as it seems the wave of protection sellers that caused us to gap tighter yesterday afternoon (albeit with a small recovery at the close) have flipped. This reinforces our view of a growing trend towards swing or channel trading in IG12 as there appeared plenty of interest in buying protection this morning. IG12 is about 6-7bps wider from its open and 5bps wide of last night's close.

Interesting note out of BofA:

Interesting post on GMInsideNews.com (hat tip PIGPEN)

Some additional views on VWAP, especially as relates to market averages (S.M. or otherwise) which many readers have claimed is the same. Well, it isn't. And the whole point of the technical moves over the recent declining volume period is just that: how viable are these marginal moves. Thoughts welcome (chart provided by creditresearch.com)

GM CHAIRMAN SEES NEEDING MORE GOVERNMENT CASH, DOW JONES SAYS
GM CHAIRMAN SAYS DELPHI MAY LIQUIDATE W/OUT MORE FUNDING

Market loving the incremental millions of unemployed. BO speaking loud words of reassurance and carrying no stick.

A massive squeeze in its entire graphic glory - Citi arbs getting destroyed, with an all time loss of $12 per arbitrage block (7.31 common short/1 preferred long). Question to traders out there: is Goldman stock loan/repo asking for your C shares back? Actually, don't answer... that was rhetorical. But some advice to middle/back office guys: if you get a call from 212-912-xxxx, don't pick...It's not good news.