Troubled mattress maker Simmons announced that it did not make it scheduled July 15th bond payment of $7.9 million. The company's bondholders who are hoping for some hail mary bailout as millions of unemployed people upgrade from a hard floor to a memory foam king size are due for a big surprise, even with the extended forbearance they have granted the company. One can hope that the "certain conditions" to be met by July 31 include a clause of 100% equity conversion as that is the only return hopeful investors may hope to extract from the company.

Highly informative C-Span interview with Janet Tavakoli to go with the morning coffee.

Look elsewhere for green shoots... and CNBC's favorite commodity - hope.
1.9 Million foreclosure filings in the first half, 889,829 in the second quarter, with 336,173 in June alone, bringing the second quarter total to the highest number since RealtyTrac has been following these data. And this all is happening while various foreclosure moratoria and other national and state mitigation efforts are still in play. One can just imagine the bottom really falling out of the market once California and others stop pretending they can control this accelerating train wreck.

Lately the topic of Goldman's VaR has taken on significant prominence, not least because as Zero Hedge disclosed yesterday, it hit a record high. The implications for this were large enough that even Bloomberg picked up on this story. Many readers raised questions of how is it even remotely possible for the company to have a VaR in the low-mid $200 MM ballpark, yet to post a record number of $100MM+ trading days in Q1; Zero Hedge is willing to wager that the upcoming 10-Q release will demonstrate another record number of $100MM+ days in the just closed quarter as well. How is that possible?

In the absence of anything else being even remotely relevant in today's market, here is some good bedside reading on this increasingly more pertinent topic.

CIT Group Inc. says it sees ‘no appreciable likelihood’ of U.S. government support in the near- term. Talks with the government over aid have ceased, the company said in a Business Wire statement.

"The Federal Reserve’s policy of Quantitative Easing is failing. The US budget is ludicrous, spending is out of control, spending promises are out of control, the world knows it - and we know it. For all the pundits who see the economy improving over the next year, we invite you to explain to us how this debt crisis will resolve itself without significant turmoil. We’ve tabulated the numbers above - and they do not lie. As we wrote this past January, welcome to 2009."

Some more insight from Themis Trading's Joe Saluzzi from a video clip with BNN earlier today. Also follows up on his earlier post about program trading in the context of AIG. The part about algorithms looking for bonuses and Lexuses is amusing but morbidly troubling.

For people who have forgotten what asset diversification looks like, do not look at this chart to be reminded. All asset classes over the past three days have ploughed higher, contrary to any possible logical argument. But such is our market.Cash out of bonds into everything else... inverse... rinse... repeat. One wonders just how much excess liquidity is trapped in the market.

Spreads were tighter in the US as all the indices improved (with HY outperforming IG even as IG saw its best close-to-close and open-to-close performance in over six weeks). Indices generally outperformed intrinsics with skews mostly narrower as IG's skew decompressed as the index beat intrinsics, HVOL underperformed but narrowed the skew, ExHVOL outperformed pushing the skew wider, XO underperformed but compressed the skew, and HY outperformed but narrowed the skew.

News Pending

Harley Bassman of Merrill's RateLab has been generous enough to share some of his most recent analytical work with Zero Hedge and its readers (attached). This is required reading for all who want to catch up with Harley's thoughts, culminating with the piece that Zero Hedge commented on over the weekend.

No, really. What's the point?