Daily commentary

We remain stronger on the day post the Fed's TALF announcement. This ABS centric program had always had one of the more positive taints of all the Fed programs.  At first glance, it seems to focus on "newly" or "recently originated" securitizations which could could hinder it's ability to help out the owners of the older more toxic deals.  Credit spreads were essentially unchanged on the announcement.

The Barclays Credit Index closed last night at +456bps.  The 3 month wides were +545 and the tights were +424.

New issue volumes remain muted due to volatility and earnings releases.  The only non FDIC deal on tap today is for Coca Cola (KO).

Secondary volumes were largely unchanged from January through February.  

Over the last few weeks,  lower quality credit has outperformed higher quality credit.  This is partially attributable to the banks (i.e. because of the FDIC wrap, they're considered higher quality [for now]).

Scanning JPMorgan's excellent cross asset class research, I noticed 2 equities that are 'underpriced' (if you believe CDS and equities are correlated).  CNA (should be ~$15) and MDT (should be ~$33) show up with high Z scores and healthy R squareds.