CDS

One of the biggest threats to the financial system currently is neither Citi, nor Bank Of America, nor any other pure play bank. Over the past month the administration has made it clear that the U.S. would rather print ever more money (and funnel them directly to Citi's coffers) and potentially face default dangers, than allow another Lehman-type event. Right now, the biggest weakness, in my opinion, is the parent company of General Electric Capital, GE Corp, which incidentally is also the owner of such consistent market bottom callers as CNBC's Jim Cramer and Mark Haines.

Spreads were mixed in the US today with IG worse, HVOL improving, ExHVOL weaker (thanks to high beta short-squeeze), XO stronger, and HY selling off. Indices typically underperformed single-names (for the fifth day in a row) with skews mostly narrower as IG underperformed but narrowed the skew (to its tightest of 2009), HVOL outperformed but widened the skew, ExHVOL intrinsics beat and narrowed the skew (to almost zero), XO underperformed but compressed the skew, and HY's skew widened as it underperformed.

• Must Read: Steve Rattner investigated by SEC for NY pension fund kickbacks (WSJ)
• Mortgage cram-down stalls in senate, may be revised (Bloomberg)
• CDS blamed for role in bankruptcy filings (FT)
• An analysis of jobless claims in the week after Easter (

Such is the conclusion based on a Bloomberg article that notes that MGM Mirage is being pressured by none other than Icahn and Oaktree Capital.

Spreads were mixed in the US today (amid low volumes) with IG tighter, HVOL improving, ExHVOL weaker (as HVOL arb helped), XO stronger, and HY rallying. Indices typically underperformed single-names (for the fourth day in a row as index arb remains active) 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.

• The same old same old: Dick Bove upgrades GS to Buy from Hold
• The vanishing employment map (Mish)
• Steve Schwarzman worried about future of capitalism (Fortune)
• Fixed income group (yes, CDS is fixed income) lifts JP Morgan net (Bloomberg)
• Nouriel Roubini The
  

The past week was virtually dead in CDS trading, with a mere $14.6 billion in notional changing hands, however consisting of surprisingly robust 18,776 contracts. The prior week derisking in sovereigns reversed, and last week saw a $24 billion derisking in the space. All other sectors were significantly unchanged, with the exception of consumer services where $11.2 billion in protection was unwound.

Spreads were mixed in the US today with IG tighter, HVOL improving, ExHVOL weaker, XO stronger, and HY rallying (with single-names outperforming indices once again on low volumes). Indices typically underperformed single-names with skews widening in general as IG underperformed but narrowed the skew, HVOL outperformed but widened 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.

This is no way to build confidence that you are not headed for bankruptcy. The troubled PVC maker issued a press release earlier stating that it is withholding an interest payment:

The DTCC data will have to wait until tomorrow as apparently the good folks who keep track of $24 trillion in CDS notional needed a good Easter rest.

Another administration 180 degree turn: stress test results to be announced shortly (WSJ)
Goldman's next $28 billion public handout (NYT)

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.

Spreads were tighter in the US today as all the indices improved (with Series 12 at contract tights and outperforming the off-the-runs). Indices generally outperformed intrinsics 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.

As the GM and Chrysler bankruptcy is now a matter of weeks if not days (if one listens to CNBC "it is all priced in") I could not help but wonder just what the fallout of a bankruptcy would be on security holders in the structured realm. And any such consideration would have to take into account the potential fall out from the OEs but also within the entire supply chain (which few are talking about on prime time TV).

The Washington Post out with a good expose on the non roller coaster-based freefall for Dan Snyder's Six Flags.

The firm, which announced last week that its stock was being delisted from the New York Stock Exchange, faces a more than $300 million payment to preferred stockholders in August that the company says it cannot afford. Fitch Ratings recently warned that a "default is imminent or inevitable." Its shares ended the week worth 26.6 cents.