CDS

Spreads were tighter in the US this week as all the indices improved. Indices typically underperformed single-names with skews mostly narrower (as curves steepened and high beta outperformed low beta) as IG underperformed but narrowed the skew, HVOL underperformed but narrowed the skew, ExHVOL intrinsics beat and narrowed the skew, XO underperformed but compressed the skew, and HY outperformed but narrowed the skew.

Spreads were tighter in the US as all the indices improved (as IG saw its tightest close in Series 12). Indices generally outperformed intrinsics (as it seemed index flows were getting ahead of themselves into the close) with skews widening in general as IG's skew decompressed as the index beat intrinsics, HVOL outperformed but widened the skew, ExHVOL outperformed pushing the skew wider, XO's skew increased as the index outperformed, and HY outperformed but narrowed the skew.

The Auto Task Force Car Czar formerly known as Steve Rattner has reported an overall net worth of between $188 million and $608 million. Obviously the former NYT reporter can relate to the UAW's loss of its healthcare benefits. Among his assets:

- Between $500,000 and $1 million in Goldman stock.
- Less than $1,001 apiece in Bear Stearns Cos., Citigroup Inc., and Lehman Brothers Holdings Inc.

The Auto Task Force Car Czar formerly known as Steve Rattner has reported an overall net worth of between $188 million and $608 million. Obviously the former NYT reporter can relate to the UAW's loss of its healthcare benefits. Among his assets:

- Between $500,000 and $1 million in Goldman stock.
- Less than $1,001 apiece in Bear Stearns Cos., Citigroup Inc., and Lehman Brothers Holdings Inc.

Spreads were mixed in the US with IG worse, HVOL wider, ExHVOL weaker, XO stronger, and HY rallying (although all indices were well off their intraday tights and in fact closed at intraday wides).

The latest data out of DTCC indicates that the volatility in the equity world is spreading to credit. Not only that, but last week the CDS market turned decidedly pessimistic, with over $215 billion in net CDS purchased, the highest amount in terms of net notional in over 2 months. Cumulative net CDS purchased since the start of April has ramped up to almost half a trillion dollars.

Spreads were tighter in the US today as all the indices improved (but were well off their tights by the close). Indices typically underperformed single-names with skews mostly narrower as IG underperformed but narrowed the skew, HVOL underperformed but narrowed the skew, ExHVOL intrinsics beat and narrowed the skew, XO underperformed but compressed the skew, and HY's skew widened as it underperformed.

Interesting observation, correlating the ratio of US to Japan CDS (especially with Japan CDS' tightening 7 bps while USA CDS was 2 bps wider) versus the JPY/USD (inverted axis). Is the sovereign risk trade trying to find other conduits for expressing relative risk in this environment where no sovereign risk seems to exist anymore as all countries are expected to print, print, print all their problems away.

Interesting observation, correlating the ratio of US to Japan CDS (especially with Japan CDS' tightening 7 bps while USA CDS was 2 bps wider) versus the JPY/USD (inverted axis). Is the sovereign risk trade trying to find other conduits for expressing relative risk in this environment where no sovereign risk seems to exist anymore as all countries are expected to print, print, print all their problems away.

Interesting observation, correlating the ratio of US to Japan CDS (especially with Japan CDS' tightening 7 bps while USA CDS was 2 bps wider) versus the JPY/USD (inverted axis). Is the sovereign risk trade trying to find other conduits for expressing relative risk in this environment where no sovereign risk seems to exist anymore as all countries are expected to print, print, print all their problems away.

Brand new development in the Porsche saga, and this one could easily be the last nail in the coffin of Porsche Capital Management LLC.

• Carmakers’ Woes May Cost Six Million Jobs, Union Head Says (Bloomberg)
• Mounting sadness behind the happy headlines (FT)
• Job losses push safer mortgages to foreclose (New York Times)
• In India, little demand for no frills car (

• CRE green shoot data point of the day: Recession turning malls into ghost towns (WSJ)
• Geithner calls for "very, very substantial" change to Wall Street pay (Bloomberg)
• Europe's worsening crisis (WaPo)
• Roger Altman leaves Evercore, BlackRock's Scholsstein takes over (

Spreads were broadly wider in the US as all the indices deteriorated (despite modest tightening all day from gap wider opening levels). Indices generally outperformed intrinsics with skews mostly narrower as IG underperformed but narrowed the skew, HVOL underperformed but narrowed the skew, ExHVOL outperformed pushing the skew wider, XO's skew increased as the index outperformed, and HY outperformed but narrowed the skew.