tag:blogger.com,1999:blog-8554347448299984407.comments2023-05-13T09:43:33.746+01:00MacronomicsAnonymoushttp://www.blogger.com/profile/16670415818064368635noreply@blogger.comBlogger96125tag:blogger.com,1999:blog-8554347448299984407.post-66412379367937410272018-08-30T07:37:49.021+01:002018-08-30T07:37:49.021+01:00Great macro analysis.
It is expected that early ne...Great macro analysis.<br />It is expected that early next year should be a turning pointAnonymoushttps://www.blogger.com/profile/03610725091423572593noreply@blogger.comtag:blogger.com,1999:blog-8554347448299984407.post-61624351039239715332018-04-14T13:37:58.364+01:002018-04-14T13:37:58.364+01:00Martin - your missive, it doesn't get any bett...Martin - your missive, it doesn't get any better. Stagnant growth and wages + rising risk premia = accelerating stagflation. <br /><br />“You defeat defeatism with confidence. Confidence is contagious and so is lack of confidence, and a customer will recognize both.” - Saint VincentMr. Naybobhttps://www.blogger.com/profile/03141485178488436435noreply@blogger.comtag:blogger.com,1999:blog-8554347448299984407.post-36455030710540297432017-11-30T09:18:40.876+00:002017-11-30T09:18:40.876+00:00Thank you for sharing the article! Given your pred...Thank you for sharing the article! Given your predictions, would you recommend going long stocks or bonds in emerging markets (Russia, India)? How about gold vs bitcoin?!Anonymoushttps://www.blogger.com/profile/17031552500332010197noreply@blogger.comtag:blogger.com,1999:blog-8554347448299984407.post-23185659878178948282017-10-24T17:50:23.088+01:002017-10-24T17:50:23.088+01:00Not sure why the narrative is that there is "...Not sure why the narrative is that there is "no inflation". Look at housing. Look at healthcare. Look at food. Inflation there, in sectors that hit the consumer every single week/month, is astronomical. It's just that the "official" measurements being used are not accurate - but are used for a reason. Because without high asset prices, everything comes down. Hard. Any read of inflation that's actually connected to reality is ignored.Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-8554347448299984407.post-51647536728630331612017-09-26T07:06:51.260+01:002017-09-26T07:06:51.260+01:00Thank you for your deep analysis. How about the mo...Thank you for your deep analysis. How about the monopoly of US dollar - does it play a role in this conundrum!?Anonymoushttps://www.blogger.com/profile/17031552500332010197noreply@blogger.comtag:blogger.com,1999:blog-8554347448299984407.post-89786753809026237532017-07-12T22:02:07.829+01:002017-07-12T22:02:07.829+01:00Yes I think so. Particularly given the large MBS p...Yes I think so. Particularly given the large MBS portfolio.<br /><br />Best,<br /><br />MartinAnonymousnoreply@blogger.comtag:blogger.com,1999:blog-8554347448299984407.post-27440028920563925132017-07-12T08:21:54.995+01:002017-07-12T08:21:54.995+01:00looking at the last move higher in the MOVE it app...looking at the last move higher in the MOVE it appears that despite FED hiking cycle from 2004-2006, the MOVE went lower over the period, so you are saying its the unwind of bal sheet that will have the impact on rate vol.<br /><br />Need to be Michael Hooper and buy some CSD protectionAnonymoushttps://www.blogger.com/profile/13770477079201333027noreply@blogger.comtag:blogger.com,1999:blog-8554347448299984407.post-25014171990805451762016-07-28T18:30:57.084+01:002016-07-28T18:30:57.084+01:00Agree that AT1s are short gamma by design. This is...Agree that AT1s are short gamma by design. This is further exacerbated by holders that don't realize they hold an equity product and don't understand what it means to be 'short gamma'. I would highlight, however, that it remains less expensive to hedge the short gamma of the product than what you are paid to hold it. This has been true since inception and remains true today.<br /><br />Great post!Dustin Sugasahttps://www.blogger.com/profile/18367334471673943861noreply@blogger.comtag:blogger.com,1999:blog-8554347448299984407.post-18530870028662595862016-05-08T16:12:41.071+01:002016-05-08T16:12:41.071+01:00Hi Tim,
The big market event last week was the sha...Hi Tim,<br />The big market event last week was the sharp reversal of the 10yr breakeven inflation rate, thanks to Fed speakers. After reaching a high of 1.72% last week, close to the upper channel of the last three years, it dropped to a low of 1.62%. The Fed is the primary driver of prices and spreads in credit. The fact that we did not have a "breakout" is showing that once again the Fed is failing in spurring inflation. There is therefore more downside potential for real rates which will be "bullish" for gold (see our post Gibson's paradox) and good for US long bonds (30 year). You can expect additional yield compression on the long end of the US curve. Deflationary headwinds are increasing again. That's what transportation and shipping have been telling us no matter what the Fed is trying to "spin". <br />Best,<br />MartinAnonymousnoreply@blogger.comtag:blogger.com,1999:blog-8554347448299984407.post-84191351369814797962016-05-07T17:09:32.395+01:002016-05-07T17:09:32.395+01:00Great stuff. While the b/e inflation rate is at th...Great stuff. While the b/e inflation rate is at the top of the channel, doesn't the expected yen weakness (and coincidental $ strength create its own deflationary headwind, regardless of the Fed's desires?shoelesshttps://www.blogger.com/profile/07834810780006373841noreply@blogger.comtag:blogger.com,1999:blog-8554347448299984407.post-39365475793816144662016-05-04T18:34:47.234+01:002016-05-04T18:34:47.234+01:00I guess you didn't spend your entire R&R w...I guess you didn't spend your entire R&R windsurfing the caribbean sea... Good readings and great writing. Stay tanned!Anonymoushttps://www.blogger.com/profile/02511904543229545638noreply@blogger.comtag:blogger.com,1999:blog-8554347448299984407.post-59642974229646928862016-04-04T11:35:45.705+01:002016-04-04T11:35:45.705+01:00From BAML - Liquid Insight - 18th November 2015:
&...From BAML - Liquid Insight - 18th November 2015:<br />"Buying 2y JGBs asset swapped to dollars: 2y UST +77bp (current: 2y UST+79) or Libor + 70bp (current: L+71bp)<br />The recent moves in the yen basis swap market have been stark and now present an attractive opportunity for dollar investors to create synthetic floating rate or fixed rate USD assets. Using the long route, this would involve (1) buying 2y JGBs; (2) asset swapping them into semi-annual Yen floaters; (3) using a 3s/6s basis swap to convert semi-annual cash flows to quarterly; (4) entering a cross currency basis swap to convert payments to a USD floater; and (5) this could be left as is for a floating asset, or, a receive fixed in US swaps against this would convert it into a fixed-rate US asset.<br />An alternative would be a fixed-for fixed cross currency basis swap that collapses the above five transactions into one trade." - source BAML<br /><br />Easy as 1,2,3...<br /><br />Best,<br /><br />MartinAnonymousnoreply@blogger.comtag:blogger.com,1999:blog-8554347448299984407.post-34147468448440307732016-04-03T15:02:11.947+01:002016-04-03T15:02:11.947+01:00Very interesting piece. I would be interested to k...Very interesting piece. I would be interested to know the exact mechanism by which foreign investors can earn "a 100bp spread by swapping dollars into yen to take advantage of negative JGB yields", thus boosting foreign holdings of JGBs. Intuitively, this does not make sense to me. This would also presumably be Yen-bullish? Anonhttps://www.blogger.com/profile/03389851401712556030noreply@blogger.comtag:blogger.com,1999:blog-8554347448299984407.post-84339458516927234372016-02-29T22:23:05.454+00:002016-02-29T22:23:05.454+00:00Great post! So what's the catalyst, strong yen...Great post! So what's the catalyst, strong yen kicks off more hedging, or liquidation of overseas assets by lifers who are getting crunched?Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-8554347448299984407.post-23919348428884280772015-11-20T19:24:25.537+00:002015-11-20T19:24:25.537+00:00Not yet in any specific report, but that is someth...Not yet in any specific report, but that is something we can easily look up.<br />Best,<br /><br />MartinAnonymousnoreply@blogger.comtag:blogger.com,1999:blog-8554347448299984407.post-68845886049255899952015-11-20T15:09:32.480+00:002015-11-20T15:09:32.480+00:00Have you come across a chart of HY EBITDA vs overa...Have you come across a chart of HY EBITDA vs overall SPX EBITDA?Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-8554347448299984407.post-89164694931641063662015-10-13T09:50:52.747+01:002015-10-13T09:50:52.747+01:00David Goldman from Reorient Group summed it up nic...David Goldman from Reorient Group summed it up nicely in his last piece: "Emerging market corporations, particularly in Latin America and Eastern Europe, played the global levered carry trade with their own balance sheets. In the past, hedge funds borrowed in cheap funding currencies and lent to high-interest venues in emerging markets. Quantitative easing made it possible for emerging market corporates to go directly to the capital markets and borrow cheap money themselves in dollars or euros and convert it into local currency. As soon as the Fed signaled a future rate rise, the dollar soared, and the nominal dollar value of world exports plunged—by 12% y-o-y as of July. Emerging market economies were squeezed and equities collapsed. As soon as the market concluded that the Fed wouldn’t do anything soon, EM equities bounced back."<br /><br />The biggest mug are the issuers courtesy of Fed's generosity, of course the buyers (mostly retail punters) will lose part of their shirt on this...while distressed players are already carving their knives!Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-8554347448299984407.post-72897586376837270172015-10-12T23:15:24.536+01:002015-10-12T23:15:24.536+01:00EM USD credit monster. Who is the bigger mug - The...EM USD credit monster. Who is the bigger mug - The issuer who will go under and default or the buyer who will lose all their investment?Polemichttps://www.blogger.com/profile/05985506596290073453noreply@blogger.comtag:blogger.com,1999:blog-8554347448299984407.post-87916802639444642702015-07-14T10:50:17.087+01:002015-07-14T10:50:17.087+01:00good point of view, here other point of view about...good point of view, here other point of view about Greek crisis https://www.patriotdirect.org/greek-crisis-surrender-financial-power-consequently-for-bailout/Anonymoushttps://www.blogger.com/profile/03925548018681019122noreply@blogger.comtag:blogger.com,1999:blog-8554347448299984407.post-55164808047185944272015-01-18T06:45:43.206+00:002015-01-18T06:45:43.206+00:00I hear an Everest fund died in the Swiss Avalanche...I hear an Everest fund died in the Swiss Avalanche. <br />The oldest one, if I'm not mistaken, is floating in Biscayne<br />Bay.<br /><br />MikeAnonymousnoreply@blogger.comtag:blogger.com,1999:blog-8554347448299984407.post-68170327538547618252014-12-20T15:55:02.461+00:002014-12-20T15:55:02.461+00:00Unlike the Tigers, China starts out with massive r...Unlike the Tigers, China starts out with massive reserves. It could keep its currency overvalued, hike domestic wages, and finance a current-account deterioration with reserves. The investment slump would be offset by higher consumption growth. China would need to run massive fiscal deficits to bail out (parts of) the banking system. <br /><br />The result: higher inflation, a sharp sectoral adjustment towards consumption, massive reserve disaccumulation, and perhaps a 3-4 year window to make the transition before reserves reach worrying levels. <br /><br />Flicking the wage switch would turn China into the source of wage inflation in the world. Corporate profits would deteriorate, even as some consumer goods exporters (and some commodities, including oil and gold) would benefit. Inequality would begin to fall as a result. <br /><br />A likely scenario? I'm not sure, but I do think they, unlike the Tigers, have the option to choose it. Diegohttps://www.blogger.com/profile/18084671738464414141noreply@blogger.comtag:blogger.com,1999:blog-8554347448299984407.post-41700137853575665762014-12-04T17:03:25.847+00:002014-12-04T17:03:25.847+00:00Sure Nikki, send me your e-mail address at tixilix...Sure Nikki, send me your e-mail address at tixilix72@gmail.com<br /><br />Regards,<br /><br />MartinAnonymousnoreply@blogger.comtag:blogger.com,1999:blog-8554347448299984407.post-18331474615562661782014-12-04T16:43:54.885+00:002014-12-04T16:43:54.885+00:00Is it possible to get a copy of the Nomura note re...Is it possible to get a copy of the Nomura note referred to? Anonymoushttps://www.blogger.com/profile/10003801467312475889noreply@blogger.comtag:blogger.com,1999:blog-8554347448299984407.post-85233579854255560442014-11-07T06:35:02.005+00:002014-11-07T06:35:02.005+00:00Nice one. Thanks a lot for sharing.Nice one. Thanks a lot for sharing.Anonymoushttps://www.blogger.com/profile/07819220188475388214noreply@blogger.comtag:blogger.com,1999:blog-8554347448299984407.post-78015974606758127582014-09-18T20:22:45.201+01:002014-09-18T20:22:45.201+01:00Excellent post. Right on the money!! I would agree...Excellent post. Right on the money!! I would agree that markets are not properly pricing risk. They are also not likely prepared for the Fed to raise rates.Anonymoushttps://www.blogger.com/profile/15804721516402393450noreply@blogger.com