Wednesday, 17 March, 2021
YIELD MOVE: aside from the Fed, the growing inflation expectations etc, the CTA returns vs US10yr correlation continues suggesting the quants are very much back in the speculative end of the Treasury markets. ——————————————————————————-This message may contain confidential or privileged information. If you are notthe intended recipient, please advise us immediately and delete this message.The unauthorised use, disclosure, distribution and/or copying of this e-mail orany information it contains is prohibited.This information is not, and should not be construed as, a recommendation,solicitation or offer to buy or sell any securities or related financialproducts. This information does not constitute investment advice, does notconstitute a personal recommendation and has been prepared without regard tothe individual financial circumstances, needs or objectives of persons whoreceive it. Read More
Wednesday, 17 March, 2021
BoA (Cabana, Meyer): FOMC meeting – the Fed will reflect (1) improved SEP forecasts (2) more upbeat but still patient stance of policy. On net, we expect Fed communications to give a green light to higher rates & belly underperformance. Market focus will be on: SEP & dots, Powell tone, balance sheet, & administered rates: SEP & dots: revised forecasts will tell a more positive story. Fed median real GDP growth estimate in ’21 […] Read More
Wednesday, 17 March, 2021
Good Morning, See full details below….. But here is a selection recap…… (My ratings are 1-10 so 2/10 is 1ptEW) 1:20 – I think Bravemansgame has a very big shout, but I am very much afraid of Bob Olinger. At the moment, No Bet, but I am getting tempted, I must admit. 1:55 – Just sit back and watch. Hopefully we will see yet another Mulliins star in Monkfish, operating to the best of […] Read More
Monday, 15 March, 2021
NATWEST CTA positioning monitor * CTAs have started to buy the US Dollar. Both model signal and positioning are turning up from record low levels * JPY FX signal continues to drift lower, is outright bearish now. Specs have broadly been selling this year, net positioning close to neutral now, but lag bearish price momentum * Positioning lags max bullish model signals for AUD, CAD and NZD FX by large gap. More for AUD and […] Read More
Tuesday, 16 March, 2021
Philip Lane: ‘We have a unique initiative in Europe now — it is really quite something’ *ECB STILL HAS ROOM TO CUT THE DEPOSIT RATE, LANE TELLS FT *ECB TO MAKE SURE YIELDS REMAIN IN STEP WITH ECONOMY: LANE IN FT https://www.ft.com/content/2aa6750d-48b7-441e-9e84-7cb6467c5366 The ECB’s chief economist says the EU recovery fund has revised beliefs about the durability and resilience of the euro area Europe has borne the brunt of the economic fallout […] Read More
Tuesday, 16 March, 2021
Good morning. The wait is over and the action about to commence. The CHELTENHAM Festival certainly is, The Greatest Show On Turf, 28 races, spread over 4 days, most of which will probably be won by the Irish and 2 names in particular stand out (or did!), I wonder how many prizes will remain in the UK? All I have to do is find us enough winners, to give us a profit over the 4 days. Sounds easy, […] Read More
Tuesday, 16 March, 2021
The Fun Is Back at Last in This Week’s Fed Meeting: Macro Man (Bloomberg) — It’s kind of fun for the Fed to be relevant again, isn’t it? To be sure, Wednesday’s meeting isn’t a “live” one from the perspective of interest rate or QE policy; no one expects either one to be changed. But when forward guidance forms the vanguard of your policy armory, you have to deal with expectations — or at least […] Read More
Friday, 12 March, 2021
AFR – RBA brutally bashes bond bandits The market has failed to understand that the central bank’s quantitative easing program is here to stay. Christopher Joye https://www.afr.com/policy/economy/rba-brutally-bashes-bond-bandits-20210312-p57a3a ——————————————————————————-This message may contain confidential or privileged information. If you are notthe intended recipient, please advise us immediately and delete this message.The unauthorised use, disclosure, distribution and/or copying of this e-mail orany information it contains is prohibited.This information is not, and should not be construed as, a recommendation,solicitation or offer to buy or sell any securities or related financialproducts. This information does not constitute investment advice, does notconstitute a personal recommendation and has been prepared without regard tothe individual financial circumstances, needs or objectives of persons whoreceive it. Read More
Friday, 12 March, 2021
Some interesting twitter links: – Mike Green on value vs growth https://twitter.com/profplum99/status/1369995375151476736 – Alex Harfouche on SLR and implications for banks https://twitter.com/INArteCarloDoss/status/1370137494939918337 – Matt Klein on why inflation isn’t happening https://twitter.com/M_C_Klein/status/1370049411774963713 – A great podcast on the past, present and future of defense https://twitter.com/patrick_oshag/status/1369272486618103809 ——————————————————————————-This message may contain confidential or privileged information. If you are notthe intended recipient, please advise us immediately and delete this message.The unauthorised use, disclosure, distribution and/or copying of this e-mail orany information it contains is prohibited.This information is not, and should not be construed as, a recommendation,solicitation or offer to buy or sell any securities or related financialproducts. This information does not constitute investment advice, does notconstitute a personal recommendation and has been prepared without regard tothe individual financial circumstances, needs or objectives of persons whoreceive it. Read More
Friday, 12 March, 2021
How much higher could real yields rise? Real yields {GTII10 Govt <GO>} continue their trend pushing higher driven in large party by an unwind in positioning and the accompanying rising TIPS liquidity premium from depressed levels. Gaining some insight into how much further real yields could rise from here, in Feb rising liquidity premium contributed 19bps to the rise in the 10y real yield and ended the month at -0.39. This is still 57bps below […] Read More
