The T Report: Weekly Firewall Edition
Volatile or Not? It is strange to start a weekly update and not be sure whether the week was volatile or not. North American stock indices ranged from -0.4% for Nasdaq to 0.6% for the S&P. Not much to look at there. U.S. fixed income finished with small weekly gains. The 10 year treasury was […]
One Quick Firewall thought
The firewall should be helping Spanish and Italian bond yields the most, yet Spanish yields were higher across the board today, and Italian bonds 5 years and out were all weaker. If the firewall doesn’t help those bonds, why should it help the market so much? We saw in Greece, that switching who a country […]
The T Report: Garbage In, Garbage Adjustments, Garbage Out
It is hard to ignore the fact that this year is shaping up a lot like 2011 and 2010. I’m not a big fan of seasonal patterns, so what else could it be. Could it just be that all of our adjustments are a total mess? I understand why we attempt to “seasonally” and otherwise […]
DVA analysis from October 2011
Debt Valuation Adjustment by Dummies So on October 5th, Charlie Gasparino broke the story that Morgan Stanley was going to have a great quarter and in fact beat Goldman Sachs. That got us to wondering to how the MS CEO could be so confident and we decided it was likely because Morgan Stanley’s biggest asset […]
The T Report: The Check is in the Mail and other Lies
Somehow my frustration level is high today. Just feels like we are being lied to, and no one wants to question the lies. Spanish auctions were a big “success”. That was the story. It wasn’t surprising at all since everyone knew how closely the auction was being scrutinized. What they forgot to manipulate is the […]
The T-Report: T-Bill Day in Europe
Stock futures have had another interesting overnight session. They hit a 4 day low, breaking 1,360 but once again failed to break 1,358 which seems to be a pretty strong resistance level. Stocks then managed to climb as high as 1,373 and are trading off a little now. So another large move and we haven’t […]
Reading the Tea Leaves when there is No Tea
Everyone is trying to figure out what is going to happen next. Investors are looking clues and signals as to the next big move. The problem is that liquidity is so poor, moves that might normally signal a shift in sentiment or risk, are now just noise. We can look at 10 year Spanish yields. […]
Central Bank Rallies and Just How Big is IG9?
Nothing like having the first “central bank put” rally before the U.S. is even fully awake. Spanish 10 year yields got as high as 6.13% and then bounced back to almost 6.05%. That rally is ending already as there is no real indication of central bank intervention and liquidity is extremely thin. The 5 year […]
Fixed Income Allocation Update
In our initial Fixed Income Allocation strategy, we were mainly in cash with our long positions in high yield, leveraged loans, financials, and some inflation linked products. Since then, we adjusted the mix by at first selling some high yield to buy treasuries. We then moved out of treasuries, added back the high yield […]
Muppets vs IG9 Tranches & Bernanke Put vs Portfolio Insurance
Just a couple of quick thoughts but worth thinking about. Muppets vs IG9 Tranches While firms and possibly regulators are searching e-mails for the word “Muppets” and other less kind descriptions of clients, they should switch their attention to IG9 and tranches. Everything about this story seems strange. The alleged size of the positions. The […]
