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 […]
The Weekly – Volatility is BACK!
Volatility is back. The S&P moved more than 1% on 4 of the 5 days, had the biggest down day of the year, and even the least volatile day was a 0.7% move. Back on April 5th, we saw a warning sign in the credit markets that the bid/offer spread for European CDX indices […]
What the TF? The real source of IG9 mispricing.
Okay, I can’t listen to anything more about IG9 10 years being “mispriced” or “distorted” or manipulated. Maybe it is, but let’s look at the facts. There are three distinct markets at work here, the CDX index market, the tranche market, and the single name CDS market. The fact is that IG9 10 year is […]
The T Report: Voldemort, Volcker, and Magic
Yesterday’s move seemed almost magical. Yellen spoke and the markets levitated overnight. Jobless claims were a big disappointment. Revisions hit the prior week’s number and yesterday’s number was much closer to 400k than to the almost mythical 350k the market had become used to expecting. The magic of BLS revisions have ensured that although numbers […]
One HY Bond’s trades on One Day
Blackrock announced a new platform to allow customers to trade bonds directly. It is not very detailed, but from what I know, it is targeting corporate bonds, and HY bonds in particular. There seems to be a lot of discussion of whether or not this is necessary, useful, or will succeed. I am not sure […]
The T Report: Yellen, Italy, and Volcker
A dull, but positive start to the day. Stock futures are above yesterday’s highs and credit is performing very well. The IG18 index is trading at 100.5 which tighter than it got at any time yesterday and seems to be the big outperformer so far. The Italian bond auctions seemed okay, at best, yet the […]