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
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
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
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
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
BoA: expect no change at the ECB meeting although they look for much more clarity on the ECB’s definition of ‘favourable conditions’. They will also look for the ECB to provide reference levels and how the assessment of ‘favourable conditions’ vary over time. To cement the credibility of the message, BoA feels the ECB will need to show an increased rate of purchases. They also feel the ECB will highlight at this meeting that front end […] Read More
Alerts History * 11-Mar-2021 15:42:12 – ECB POLICYMAKERS AGREED ON MONTHLY PEPP PURCHASE TARGET AT MEETING: SOURCES * 11-Mar-2021 15:42:12 – ECB’S PEPP MONTHLY TARGET LOWER THAN 100 BLN EUROS, WELL ABOVE 60 BLN EUROS PURCHASED IN FEB: SOURCES * 11-Mar-2021 15:42:12 – ECB POLICYMAKERS DIFFER ON WHETHER RISE IN YIELDS NEEDS TO BE COMPLETELY UNWOUND: SOURCES ECB policymakers agree on bond purchase target, differ on yield level aim: sources – Reuters 11-Mar-2021 15:42:54ECB-POLICY/SOURCES (URGENT) […] Read More
Bit of a mixed story out there, few things standing out though: – Equities likely remain weak as dealer gamma exposure (GEX) remains less supportive and there are still signs of distribution (DIX) even as price is falling (https://squeezemetrics.com/monitor/dix?). E-Mini S&P futures market depth {NFCIAEQU Index GP <GO>} also suggests VIX still has a bias higher. These factors put a downward bias on indices, especially with a lot already in the price, leaving little room […] Read More
AFR: Bonds blow up equity market – again One final important lesson that can be drawn from the dramas of the last week has been the importance of liquidity. Or, put differently, the importance of not blindly chasing illiquidity risk to secure better returns. Credit Suisse has had to freeze US$10 billion of its managed funds that were astonishingly all invested in illiquid bonds issued by just one entity: Greensill. Greensill’s bonds were in turn […] Read More
Weekly supply monitor Europe EGB supply next week is scheduled from, among others, Germany (€4bn), Ireland (estimated €1.5bn) and Italy (estimated €9.5bn). There are €3.5bn of coupons, €13bn of redemptions and an estimated €11.4bn of ECB purchases next week. US The US Treasury will issue around $120bn across 3/10/30yr sectors next week. There are $1.2bn of coupons, $20.6bn of redemptions and estimated $20bn of UST QE purchases next week. UK The UK DMO will issue […] Read More
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