Archive - May 2009 - Story

I present some "theological" musings compliments of JP Morgan.

The Sun God

Spreads were tighter in the US as all the indices improved amid light volumes. Indices generally outperformed intrinsics with skews mostly narrower as IG's skew decompressed as the index beat intrinsics, HVOL underperformed but narrowed the skew (as it saw some modest index arb among high beta names), ExHVOL outperformed pushing the skew wider, XO underperformed but compressed the skew, and HY outperformed but narrowed the skew.

On today's release of housing numbers, Bloomberg reports more false positives on the economic recovery path. On the second straight month of pending home sales rising (up 3.2%), many are calling this the bottom, pretty much THE leading indicator that we are close to out of the woods. I mean, come on... housing got us into this mess, it'll get us out, right?

In an event that just as easily may not have occurred, Judge Gonzalez presiding over the boiling hot Chrysler bankruptcy, has sided with an objection of the Chrysler Non-TARP creditors (aka abominable hedge funds). The issue at hand was a request for a delay of the hearing on Section 363 bidding procedures from today until tomorrow at 2:30 pm.

After the CMSA, through the valiant efforts of one Chris Hoeffel, Managing Director at InvestCorp, got what it wanted in the TALF extension for CMBX from 3 to 5 years, but subsequently realized it is insufficient to package all existing loans and lower rated securities, it is now focusing on other, much more relevant aspects of the ongoing crunch in Commercial Real Estat

Matt Rothman of Barclays has released a new piece on U.S. Equity Quantitative Strategies, highlighting that the pain trend quants are experiencing is only getting worse.

Notable from the report:

Our ROQS quantitatively derived long-only risk controlled portfolio underperformed this month, trailing its Russell 1000 benchmark by 82 basis points. For the trailing 12 months, it has generated relative performance of +2.23%.

Matt Rothman of Barclays has released a new piece on U.S. Equity Quantitative Strategies, highlighting that the pain trend quants are experiencing is only getting worse.

Notable from the report:

Our ROQS quantitatively derived long-only risk controlled portfolio underperformed this month, trailing its Russell 1000 benchmark by 82 basis points. For the trailing 12 months, it has generated relative performance of +2.23%.

Matt Rothman of Barclays has released a new piece on U.S. Equity Quantitative Strategies, highlighting that the pain trend quants are experiencing is only getting worse.

Notable from the report:

Our ROQS quantitatively derived long-only risk controlled portfolio underperformed this month, trailing its Russell 1000 benchmark by 82 basis points. For the trailing 12 months, it has generated relative performance of +2.23%.

Always amusing getting three of America's richest men together, along with some more traditional "insights" from Charlie Munger. It is curious what the insurance policy for Fox was to have all three of them together at the same time, especially if they had to all fit in an elevator together on the way to the studio. Compliments of Fox Business News.

Cliff Asness, who runs quant fund AQR Capital, has distributed an opinion letter discussing the most relevant topic over the past few days that has gotten no MSM attention, namely the demonization of hedge funds. Cliff brings up the "other side" of the argument, which is actually quite relevant here, as soon the channeling of Main Street anger at Wall Street in general, and hedge funds in particular, under the baton of Barack Obama, will easily become a force too big to stop, and soon the populist monster that the president has created will jump off the Dr.

Finem Respice has snagged some more thorny tidbits on the scent trail of the former NYT reporter and current Czar Of Government Motors's negotiating tactics. As more dead bodies float to the surface, it appear that Perella Weinberg was merely one of the hedge funds on the receiving end of the "persuasive" tirades. This is, of course, to be expected, as there were in the end, more than one hold out, and if Mr.

Obama is really taking it to those greedy capitalist fatcats by ending "illegal overseas tax evasion." Foreign banks will be forced to send 1099 forms to the IRS for US depositors or else Obama "will assume they are sheltering money and act accordingly." And since there is currently a huge budget surplus, Obama has decided to spend some more of the extra cash collecting dust by hiring another murder (+/- 800) of highly competent IRS auditors.

Developing story per Dow Jones: Citi is "meeting with success" in persuading some investors who own preferred shares to convert them to common shares, according to Elizabeth McDonald from Fox Business News. The sovereign wealth funds of Singapore, Abu Dhabi and Kuwait are among those named in the report. Saudi billionaire Alwaleed bin Talal has also been involved in discussions, the report said.

Just when we thought the heat-seeking short squeeze in credit land may be subsiding, three new bonds rip tighter: old shorter max-pain name Neiman Marcus, whose bonds tightened by 540 bps, Graham Packaging which ripped by 550 bps and Huntsman Int'l which tightened by 425 bps. As in the last week, the rolling equity squeeze in unique stocks and sectors has caused comparable squeezes in corresponding highly-shorted credits.

Just when we thought the heat-seeking short squeeze in credit land may be subsiding, three new bonds rip tighter: old shorter max-pain name Neiman Marcus, whose bonds tightened by 540 bps, Graham Packaging which ripped by 550 bps and Huntsman Int'l which tightened by 425 bps. As in the last week, the rolling equity squeeze in unique stocks and sectors has caused comparable squeezes in corresponding highly-shorted credits.