The T Report: Planning, Carry, and Intervention

Posted by on May 24, 2012 in Uncategorized | No Comments

  The market continues to trade with extreme volatility. Yesterday’s decline was deep and painful, only to be followed by an equally vicious rally on rumors of a rumor. This morning has already seen Europe rally, fade, then rally again. The overall theme remains the same, with concerns about Europe being counterbalanced by hopes of […]

An Attempt to Decipher What the CDS Index Position Changes Might Mean

Posted by on May 23, 2012 in Uncategorized | No Comments

  Asides from the fact that this should be on an exchange, easier to figure out, and be daily here is a cut of what went on in CDS indices last week since suddenly people seem to care. On the Run Indices Index Type Gross Net Gross Chg Net Chg CDX.NA.IG.18    390,007,779,628 72,766,150,899 56,606,054,188 […]

The T Report: Central Bank Policy Remains Key

Posted by on May 23, 2012 in Uncategorized | No Comments

  The JPM situation continues to seem to settle down. In spite of wild rumors of massive losses, there is little indication that the losses have changed dramatically, and the available for sale portfolio that everyone seems to want to ignore seems in good shape and is there to be harvested. Whatever Mr. Dimon’s “tax […]

Weekly CDX Changes – First Impressions

Posted by on May 22, 2012 in Uncategorized | No Comments

  Raw data.     Today Last week   Index Type Gross Notional Net Notional Net Notional Change ITRAXX EUROPE 17    351,346,291,855 44,383,154,723 37,642,521,516 6,740,633,207 CDX.NA.IG.9    818,852,195,989 148,852,235,047 145,782,810,765 3,069,424,282 ITRAXX EUROPE 9    616,556,251,632 64,998,650,922 62,601,849,948 2,396,800,974 CDX.NA.HY.18    67,152,281,506 18,777,785,500 17,262,419,000 1,515,366,500 ITRAXX XOVER 17    72,022,637,823 9,133,363,275 8,629,557,282 503,805,993 CDX.NA.HY.10 […]

The T Report: Attack of the Killer E’s, Ease, and eeze

Posted by on May 22, 2012 in Uncategorized | No Comments

  E’s The ECB will be the driver as it is the only entity in Europe that can make money appear and lend to “banking” entities with wide latitude. The EIB is suddenly stepping up its involvement. Look for “infrastructure” projects to be announced throughout Europe. There will be a focus on the countries in […]

JPM: Some Thoughts and Good Sources

Posted by on May 21, 2012 in Uncategorized | No Comments

  So far only one other report that I have seen tries to explain why the loss may not have grown. The Citi report talks about some of it being reserved rather than recognized losses. That sounds at least in part believable. If they took a charge to reflect where it would trade in fair […]

The T Report: Germany wants to know if Ace, 2, 3, 4, 5 is a Good Hand?

Posted by on May 21, 2012 in Uncategorized | No Comments

  The policy responses and hints of policy responses are starting to come out. What will they be, how big will they be, and what will they accomplish remains to be seen, but the market is due to rally on almost anything. RSI, as a simple indicator of something being oversold or overbought has move […]

JPM: On 3rd and long, time running out, Jamie really took a knee?

Posted by on May 20, 2012 in Uncategorized | No Comments

  We have talking about what may or may not have happened at JPM for the past week, and by “we” I mean the entire market. We do not know the exact nature of their trades, but as far as we can tell from what we read and the rumor mill, JPM had a series […]

The T Report: Corporate Bond Chaos, ETF’s, and JPM’s “additional losses”

Posted by on May 18, 2012 in Uncategorized | No Comments

  Corporate bonds in the U.S. took a beating in the past 48 hours. The high yield market, which had been spared much of the carnage seen in the HY CDS markets, finally succumbed. This chart is key for a couple of reasons. First it shows that the 3 point drop this week and the […]

TFMkts: HY Bonds, ETF’s, and CDS

Posted by on May 17, 2012 in Uncategorized | No Comments

                                Lot of attention being focused on HYG and JNK today.  LQD also taking a beating (on a spread basis).  But the ETF’s have been massively outperforming CDS, which are actually stable today. There are CDS vs ETF trades going […]