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LATEST COMMENTS, IDEAS & STRATEGIES |
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| | MANIC DEPRESSIVE |
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Comments (7/29/2010)
Spreads closed marginally tighter on the day with HY outperforming IG at the index level and credit notably outperforming stocks close-to-close. Significant intraday euphoria to dysphoria swings from open to ...
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| | VOLATILITY: BUILDING COMPLACENCY |
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Strategies (7/29/2010)
As the market muddles its way through the summer and earnings season, complacency within the short dated vol market led to a market-wide collapse of term structures. Interestingly, downside protection remains ...
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| | CDR COUNTERPARTY RISK INDEX @ MIDDAY JUL 29, 2010 |
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Comments (7/29/2010)
The CRI is improving today with all members trading tighter (less risky). The moves are generally muted with JP Morgan making the biggest improvement on a relative basis. The past week's improvement has sent ...
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| | AK STEEL CORP: STEELY NERVES |
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Trading Ideas (7/29/2010)
AK Steel reported strong 2nd quarter revenues this week as sales more than doubled since their nadir in 2009. With its CDS trading 3.75% upfront, selling protection is a solid play and will make for a fun ...
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| | DOWN DAY |
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Comments (7/28/2010)
Spreads widened modestly today with HY marginally underperforming IG as stocks slightly underperformed credit. FINLs underperformed non-FINLs as overnight FX moves combined with EU FINLs stalled the US open ...
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| | EQUITY OUTLOOK: FIREFLIES |
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Strategies (7/28/2010)
The rollercoaster ride that is 2010 continued this month as quarterly reports streamed in. Earnings euphoria was tempered by more sober economic data leading to outsized market moves in both directions. ...
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| | CDR COUNTERPARTY RISK INDEX @ MIDDAY JUL 28, 2010 |
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Comments (7/28/2010)
The CRI reverses course today and adds risk. All index members trade wider (more risky) although still substantially tighter than a week ago. Deutsche Bank is the biggest relative mover, approaching the ...
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| | MCDONALD'S 2-PART OFFERING LOOKS ATTRACTIVE |
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Comments (7/28/2010)
McDonald's Corp (A3/A/A) is launching a $750mm 2-part 10s/30s offering with guidance set at 10Y T+60bps, 30Y T+90bps. Clearly bond fund inflows are creating huge demand for corporate bonds; however, the ...
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| | UNION PACIFIC $500MM ISSUE OFFERS LITTLE UPSIDE |
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Comments (7/28/2010)
Union Pacific Corp (Baa2/BBB) is launching a $500mm 10.5-year offering with guidance set at T+105bps. We are not terribly excited about the issue and believe it is well timed given pent up demand for IG ...
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| | DAILY EQUITY UPDATE: JULY 28, 2010 |
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Strategies (7/28/2010)
The proportion of longs continues to grow in our credit-driven equity portfolio. We add a net 1 long and lose 5 shorts today. We close out our RIG long after only two days, given the 7% run up in its share ...
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| | CDR COUNTERPARTY RISK INDEX @ MIDDAY JUL 27, 2010 |
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Comments (7/27/2010)
The CRI keeps improving today as all index members shed risk. European members are leading the way tighter on proposed changes to capital rules. All index members have seen their CDS levels drop by over 10% ...
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| | DAILY EQUITY UPDATE: JULY 27, 2010 |
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Strategies (7/27/2010)
After briefly turning positive for the year, the S&P is back in negative territory. We add a net 1 long and 1 short to our credit-driven equity portfolio, and European longs remain a non-factor. Equities ...
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| | S'ALL GOOD |
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Comments (7/26/2010)
Spreads were tighter for the third day in a row today, outperforming intrinsics, and reaching back to their best closing levels since 5/13 as FDX's rosy outlook appeared to trump weak macro data as momentum ...
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| | DIRECTIONAL CREDIT: SUMMER DOLDRUMS |
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Strategies (7/26/2010)
Energy-related spreads turned a sharp course tighter this past month. Both the Energy and Utility sectors outperformed with close to every single IG spread trading tighter since late June. Today we look at ...
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| | VALERO ENERGY CORP |
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Trading Ideas (7/26/2010)
Valero Energy's CDS has been on a roll this month. After the company's CDS hit tights in April along with equity highs, both securities sold off with the rest of the market. Recently, Valero's CDS recovered ...
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| | CDR COUNTERPARTY RISK INDEX @ MIDDAY JUL 26, 2010 |
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Comments (7/26/2010)
The CRI continues to improve as all index members trade tighter (less risky). Average credit risk of index members dropped by 10% over the past week. European banks show marked improvement since a week ago, ...
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| | ALCOA 10-YEAR OFFERING LOOKS RICH |
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Comments (7/26/2010)
Alcoa (Baa3/BBB-/BBB-) is launching a 10-year offering with guidance set at T+325bps. In our last Bond report we noted recent high yield outperformance and (as Alcoa is on the cusp) it seems the company is ...
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| | DAILY EQUITY UPDATE: JULY 26, 2010 |
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Strategies (7/26/2010)
Overall equity vol continues affect performance in our credit-driven equity portfolio. Energy longs now outnumber shorts as three new longs enter today. While plenty of risk surrounds Transocean, the ...
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| | LESS STRESS, MORE UNCERTAINTY? |
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Comments (7/23/2010)
Spreads closed tighter today with HY handily outperforming IG though both saw smaller than average intraday ranges amid relatively quiet trading given all the hoop-la in Europe. IG and HY closed at their ...
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| | BONDS: DESTRESSED |
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Strategies (7/23/2010)
Mixed earnings, Bernanke's uncertainty, and the 'surprise' passing of EU stress test all combined to provide little directional bias for the market. With the specter of disinflation and sub-par growth looming ...
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