Dec 18. The ‘curve’ is all in front

–New lows in various yield curve measures on Friday, with 2/10 down to 51.5 bps.  Having rolled to March contracts, the new red pack to green pack euro$ spread settled just under 9 bps (8.875) and red to gold pack settled under 1/4% at 23.625.  Even using December contracts, these are new curve lows.  EDZ7 expires this morning and trades right at the 9837.5 strike.

–To put the flatness of the back end of the curve in perspective, with EDH8/EDH9 at 38.5, one could sell that and buy 4x red/green pack spread (2nd to 3rd year) at a credit of 3.0 (38.5 – 35.5).

–Rates edge higher this morning as stocks make new highs going into year end.  Bloomberg notes that the forward dividend yield on stocks is now below the treasury yield for the first time since 2011.

–CME Bitcoin futures started today.  Bitcoin trades around $19k currently.  According to CME website, just under 700 contracts have traded.

–On yesterday’s weekly note I added a chart from Bianco Research but had a typo in the website address.  The correct address is:

www.biancoresearch.com

or use
https://www.biancoresearch.com/?p=151196

Dec 17, 2017. First Messenger

In October of this year, astronomers in Hawaii sighted an object hurtling through space unlike anything they had ever seen.   Below, from NASA…

The first confirmed object from another star to visit our solar system, this interstellar interloper appears to be a rocky, cigar-shaped object with a somewhat reddish hue. The asteroid, named Oumuamua by its discoverers, is up to one-quarter mile (400 meters) long and highly-elongated, perhaps 10 times as long as it is wide.

Oumuamua varies in brightness by a factor of 10 as it spins on its axis every 7.3 hours. No known asteroid or comet from our solar system varies so widely in brightness, with such a large ratio between length and width.

These properties suggest that ‘Oumuamua is dense, composed of rock and possibly metals, has no water or ice, and that its surface was reddened due to the effects of irradiation from cosmic rays over hundreds of millions of years.

Pan-STARRS team dubbed it ‘Oumuamua (pronounced oh MOO-uh MOO-uh), which is Hawaiian for “a messenger from afar arriving first.”

Because of its odd shape and other qualities, some speculated that it was an interstellar alien spacecraft.  This week, the Break Through Listen project, (a search for extraterrestrial life funded by Russian billionaire Yuri Milner), focused the Green Bank Telescope in West Virginia on the object in an attempt to capture even the faintest radio transmissions before it slingshots away from Earth.  No signals were detected.

Even astronomical black swans fail to create a ripple of volatility.  It’s all just destined to collapse into a black hole.

Now, on to the markets.  The rocket scientists at a major TBTF US bank came up with an end of 2018 target on the SPX of 3000.  They considered interest rates across economic jurisdictions, global trade flows, the impact of technological advances.  There were bottom-up analyses of earnings per share, top down estimates of GDP.  Historical comparisons; odds assigned to possible unknowns.   All the data was run through the model.  They came up with a year end call of 3000 (versus Friday’s close of 2675).

I did a little of my own analysis, the results of which are on the chart below.  Ironically, I came up with the same result:

They use computers.  I drew a line.  They charge hundreds of thousands of dollars for research.  I do this stuff when I wake up early on Sunday morning.  HEY, how about a little brokerage for the effort before MiFid kicks in?

Speaking of valuable research, and NOT in a sarcastic way, below is a chart from Bianco Research.

( www.biancoresearch.com  chart used with permission, thanks JB)

Clearly, the curve continues to crash to new lows, with both 2/10 and 5/30 pressing on 50 bps (51.5 and 53.0 respectively).  The red/gold euro$ pack spread (2^nd to 5^th year) is half that, closing Friday just below 26.  Inflation figures and forward growth estimates just don’t seem to spur any premium in long end yields.  You know it, I know it, the Fed knows it.  In fact, while the infamous Fed quarterly projections ratcheted up 2018 growth to 2.5% from 2.1, and took unemployment down from 4.1 to 3.9%, the inflation forecast was left unchanged at 1.9%.  When the Fed first hiked from zero in 2015, the ten year yield was around 2.25%.  On Friday, after this week’s hike to 1.25-1.5% range, the yield closed at 2.35%.  The range in tens over the year was just over 50 bps, from 2.62 high to 2.06 low.

In my scientific research, I have come up with yet another theory on why the curve is flattening.   It’s embedded in the chart below:

Yes, that’s right.  The Greeks (with the help of the Russians) have engineered the flattening of the US yield curve by artificially suppressing the yield on the Greek ten year note, cutting it nearly in half this year from near 8% to just under 4% this week.  For now, we’ll ignore the inconvenient fact that the US economy is 100 times larger than Greece’s.  Look at the chart.  Lock step.

Obviously I’m just kidding.  It’s always good to remember that correlation is not equal to causation.  However, I will also note that the Greek ten year yield has now converged to China’s, and that Chinese long rates have moved in the opposite direction, going up rather than down.  Speaking of China, this snippet is from the Mises Institute:

Chinese growth of 6.5% per annum came with more than 14% annual growth in money supply. Total debt has quadrupled since the financial crisis, and official messages of “measures to curb indebtedness” have shown a different reality. China has added more debt in 2017 than the The European Union, the US, UK, and Japan combined. The IMF estimates debt as a proportion of Gross Domestic Product may rise from 235% to almost 300% by 2022.

This increase in debt would not be a concern if it yielded solid economic returns, but the latest figures show that more than 40%of the Hang Seng Index components are adding debt to repay interests, and China needs now four times more debt to generate the same growth as in 2007.

I think 2018 will be a pivotal year.  Trends of a flattening curve which threatens to invert, and rising equity markets are probably not compatible in the long term.  While there had previously been focus on Japan’s huge debt metrics, the situation in China is garnering more attention; a deceleration from rapidly expanding growth will reverberate globally.

 

_________________________________________________________________

	12/8/2017	12/15/2017	chg
UST 2Y	179.4	183.6	4.2
UST 5Y	214.5	215.4	0.9
UST 10Y	238.1	235.1	-3.0
UST 30Y	277.3	268.4	-8.9
GERM 2Y	-73.9	-71.6	2.3
GERM 10Y	30.7	30.1	-0.6
JPN 30Y	81.9	80.0	-1.9
EURO$ H8/H9	37.5	38.5	1.0
EURO$ H9/H0	13.0	12.5	-0.5
EUR	117.74	117.48	-0.26
CRUDE (1st cont)	57.44	57.33	-0.11
SPX	2651.50	2675.81	24.31
VIX	9.58	9.42	-0.16

 

https://solarsystem.nasa.gov/planets/oumuamua/indepth

http://www.independent.co.uk/life-style/gadgets-and-tech/news/oumuamua-alien-spacecraft-breakthrough-listen-stephen-hawking-latest-results-first-a8111506.html

https://www.space.com/39100-interstellar-object-oumuamua-alien-life-search.html

https://mises.org/wire/why-we-should-worry-about-china

http://www.alhambrapartners.com/2017/12/15/chart-of-the-week-ummmm/

Does growth and employment have anything to do with inflation?

–Final FOMC press conference for Janet Yellen, and true to form, the market bull flattened.  As an indication of just how valuable the Fed’s projections are, consider this:  2018 GDP is now projected 2.5%, up from the September dart of 2.1.  The unemployment rate forecast was trimmed to 3.9 from 4.1.  Yet the inflation projections were unchanged at 1.9 for both PCE and Core PCE inflation.  It’s pretty clear that even the Fed doesn’t believe in models linking growth and employment to inflation.  ECB up to bat today.

https://www.federalreserve.gov/monetarypolicy/files/fomcprojtabl20171213.pdf

–CPI was weaker than expected yesterday morning with Core +0.1 and only 1.7 yoy, down from 1.8.  Odds for a hike in March were lessened, with Feb/April Fed Fund spread falling 2.5 bps to 14.0.  The was quite a bit of call buying on EDH8 both before and after the FOMC.  For example, after the meeting +25k EDH8 9825/9837cs for 3.25. EDH8 settled +2.5 to 9824.5.  The largest trade of the day was a buyer of 200k EDG/EDH 9812.5 put calendar for 0.5.  Open interest shows a decline of 202k in the March puts and rise of 171k in the Feb; rolling the short puts forward.

–Ten year yield fell 4.5 to 235.6.  Red/gold eurodollar pack spread fell 2.625 bps to just under 31.0, near the multi-year low.  Implied vol declined with many ED straddles losing 1-1.5 bps.  More or less taking out the time value through year end…  The dollar fell, providing a bounce in precious metals.

–Dec midcurves expire tomorrow.  Retail Sales today expected +0.2; +0.3 excluding autos and gas.

Dec 13. Roll Tide

–Apparently there ARE limits to what the US public will vote for as Roy Moore snatched defeat from the jaws of victory in the Alabama Senate race.  They got a name for the winners in the world / I want a name when I lose /  They call Alabama the Crimson Tide / Call me Deacon Blues.

–No reaction in stocks which seem intent in closing out the year on new highs.

–Another Fed day as Janet Yellen coasts to the finish line.  Again, I would suspect that the change in projections will be a bump up in 2018 GDP to something like 2.3 from 2.1.  The 2017 projection for GDP was notched up in September from 2.1 to 2.4 while the 2018 projection remained locked at 2.1.  Yellen can either take a victory lap or warn about possible imbalances…maybe a bit of both.

–Both the 2yr and 5yr posted new high yields at 182.7 and 217.0, but there is absolutely no reach for puts.  In fact, the opposite occurred: There was a seller of 50k FVG8 115p to buy 117.25c, taking in 1 to 0.5 64’s.  Settles FVG 115p 5.5, 18d and 117.25c 4.5 with 14d.  Another large trade was a buyer of EDH8 9837/9850 c 1×2 for 0.5 (settle 1.0 and 0.25); appears to be rolling down from longs in 9850c, traded at least 60k.

–CPI today expected +0.4 with Core +0.2 and YOY Core 1.8.  By now everyone knows that Central Banks have a 2% currency depreciation target, I mean, inflation target.  And CB’s are typically quite confident that when inflation hits that magical target, that they can anchor it there.  However, Carney has some explaining to do as UK CPI came in over 3%.  Can we be sure it doesn’t happen here?  Does the thirty year bond at 2 3/4% compensate for even the small chance?

Dec 12. Tales from the Crypt(o)

–Extremely weak close in front end of Eurodollar curve in spite of a small terrorist bombing at a NYC subway.  Near contracts settled at new lows; interesting in light of Dec midcurve option expiration on Friday.   EDZ8 closed at new low settle of  9790 with 0EZ 9787.5p (1.75s) still having 353k in open interest.  Large early trade was +50k EDZ8/EDZ9 spread for 17. (Appears to be new, with OI +18k and +34k in the two contracts). Late in the day the spread was 17.5 bid; 18.0s.  This trade perhaps has added significance given the FOMC announcement Wednesday.   The Fed’s Projection materials from September show end of year FF rate at 2.1 for 2018, and 2.7 for the end of 2019, so that’s 60 bps.  In June, the projected spread was even wider: 2.1 and 2.9.  Just prior to the Sept 20 FOMC, EDZ8/9 was 18.  In June it was 22.5.  The recent high has been 25.  EDZ7/EDZ8 closed right at 50 bps.  At day’s end EDZ7 went 9840 offer, so 9837.5 puts are still in play.

Dec 11. A few notes

–(Reuters) – Chinese banks extended 1.12 trillion yuan ($169.27 billion) in net new yuan loans in November, well above analysts’ expectations and the previous month. M2 grew 9.1 in Nov, vs expected 8.9.  Outstanding yuan loans at the end of November grew 13.3 percent from a year earlier, faster than an expected 13 percent rise.

–Doesn’t appear to be much of a crackdown…

–(Bloomberg)  As for the quantitative easing that marks its 10th anniversary in the U.S. next year, Bloomberg Economics predicts net asset purchases by the main central banks will fall to a monthly $18 billion at the end of 2018, from $126 billion in September, and turn negative during the first half of 2019.

https://www.bloomberg.com/news/articles/2017-12-11/investors-told-to-brace-for-steepest-rate-hikes-since-2006

–Treasury auctions three and ten year notes today, and 30 yr bonds on Tuesday.  PPI and CPI on Tuesday and Wednesday.  FOMC announcement and press conference on Wednesday.

–Uneventful Friday except for weakness in EDZ7, which has slightly rebounded this morning to 9840.75.  The 9837.5p is still in play with one week left and 985k open

–A couple of week-over-week changes in ED straddles:  EDU19 9775 straddle, 51.5 ref 9779.5 on Dec-1, 49.5 ref 9778.0 on Dec-8.  3EU1 9762.5^ 44.0 ref 9759 in EDU21, vs Friday at  44.0 vs 9757.5.

Dec 10, 2017. A Nice Place to Visit

Rocky Valentine, a small time 1950’s gangster robbing a pawn shop is shot dead by police.  He awakens to find himself in a lavishly appointed suite where his guide, Mr Pip, is there to cater to his every desire.  Beautiful women surround Rocky as he gambles at the casino in impeccably tailored suits and never loses.  Whatever he wishes, the portly butler jots it in his notepad and it occurs.  But it all begins to wear thin. Rocky is bored by riches without effort and gambling without uncertainty.  Anxiously running his hands through his hair, he tells Mr Pip, “If I gotta stay here another day I’m gonna go nuts!  Look, I don’t belong in heaven, see?  I want to go to the other place.”  Mr Pip replies, “Heaven?  What ever gave you the idea you were in heaven, Mr Valentine?  This IS the other place.”  As Rocky futilely tries to open the apartment door, the bemused Mr Pip starts to laugh…

“A scared, angry little man who never got a break.  Now he has everything he’s ever wanted- and he’s going to have to live with it for eternity, in the Twilight Zone”  –From the 1960 episode, A Nice Place to Visit. https://www.youtube.com/watch?v=77ueTRaYTwg

When the market died in 2008/2009, the Central Banks came in to provide every comfort, and squelch every uncertainty.  Passive investing has made the lives of macro and value investors a living hell.  Stocks only rise, without even a 3% pullback. As noted in last week’s Z1 report from the Federal Reserve, Household Net Worth is at a new record $96.9T, having increased every year since 2008’s nadir of $56.2T.  Long dated interest rates are low, with the curve as flat as it’s been in a decade.  US equities are near record highs, at the high end of valuations according to many observers.  Volatility measures are low across markets.  Corporate spreads are extremely tight.  But these conditions can’t continue for eternity.

We are now entering the realm of balance sheet roll-off at the same time that new tax laws threaten to increase the deficit.  [Good piece on QT by Wolf Richter; link at bottom].  Swap spreads have rallied all year, notably since September, as the regulatory environment on banks is likely to be relaxed, and due to end of year demand for long dated assets by pension funds.  Since Sept 1, the ten year swap spread has gone from -5 to +1 (it was as low as -15 this year) and the thirty year has gone from -35 to -20.  So perhaps the extra treasury supply from QT and increased issuance can be easily absorbed. (Perhaps not).  There is also a pervasive bias (which we heard just this week from a wealth manager) that the government won’t allow long rates to increase appreciably.

Certainly, with data like Friday’s yoy Avg Hourly Earnings growth of just 2.5%, there doesn’t seem to be undue pressure on the Fed to continue tightening after this week’s upcoming hike.  The market is not reflecting a particularly aggressive Fed.  For example, in the first half, there is slightly more than one hike priced:  EDZ7 to EDM8 closed just above 30 bps and Jan’18 to July’18 Fed Fund spread closed at 28.5 (FFF8/FFN8).  Both of these spreads capture the March and June FOMCs.  Full year pricing is for two hikes: EDZ7/EDZ8 is 48.75 and Jan’18/Jan’19 FF is 46.  Spreads beyond that are very tight, with the red/green (2^nd year to 3^rd year on the Euro$ strip) closing at 12.375 bps, less than 1/8%.

While the Fed’s dot plot from September projects 3 hikes in 2018 to a FF target of 2.1%, and further tightening in 2019 to 2.7%, the market isn’t buying into it.  I don’t anticipate much change in projections at this week’s FOMC, though perhaps GDP for 2018 will be ratcheted up slightly from 2.1.

In terms of the flatness of the curve, I think the market has it wrong.  Two factors have recently accentuated the flatter bias.  One has been year-end pension demand for longer dated assets, and the other has been turn of the year pressure for funding.  This latter effect is clearly seen in the weakness of EDZ7 which pressed to new lows going into next Monday’s expiration.  As of Friday, there were 5 bps of convergence between EDZ7 and the 3month Libor setting, a huge difference with only a week to go.  EDZ7 settled 9840.25, and the now actively traded 9837.5 puts settled at 0.5, with 985k contracts still open.   Going into 2018, these factors will abate.  And while US wage inflation doesn’t appear to be accelerating, there are some other signs that prices may firm.  For example, Bloomberg notes that the Baltic Dry Freight index has surged 72% this year. “The United Nations’ Food & Agriculture Organization expects the world food bill to be the second-highest on record this year, driven by more expensive freight and rising demand for foodstuffs.” [link at bottom]  Note that PPI is released Tuesday, and CPI Wednesday morning, prior to the Fed announcement.  With QT and increased treasury issuance, along with the possibility of increasing prices, an inflation premium may well return to the long end in 2018.

One last small note about year-end funding.  There is a large conglomerate in China, HNA.  This company owns a 10% stake in Deutsche Bank and had bought a 25% stake in Hilton Worldwide Hotels in 2016.  According to BBG, HNA Group’s financing costs put it in the ranks of the world’s largest corporate debtors, and those financing costs are growing by the minute.  The company has been issuing short term, high interest rate debt, (8.875% for one year) though it claims those rates are simply due to ‘year-end tightness’.   According to a Dec 8 piece by BBG, HSBC will no longer pursue deals with HNA due to its huge debt load.  Beware of reverberations from China’s stricter stance on financial leverage; there’s potential spillover in global stock markets.

Bitcoin

I was going to skip any mention about bitcoin, but it’s simply impossible as futures contracts are about to be listed.  Clearing firms are understandably concerned about being involved: Friday’s range was over $3000 on one bitcoin, which would equate to a swing of $15.000 for a one lot on the CME contract.  There’s an amusing post on ZeroHedge over the weekend, saying that Bulgaria’s government now owns 213,519 bitcoins (approx. value of $3 billion) due to police seizure of an organized crime cache. [link at bottom]  The article suggests that the Bulgarian gov’t may become a natural hedger…but I would guess that other governments are salivating at the prospect of seizures as well.

One last bitcoin note/chart.  Idea lifted from theMacroTourist.com    Below is a chart of bitcoin and the Shanghai Comp.  The scales are, of course, much different.  But there was a time when China stocks were also parabolic.

 

_________________________________________________________________

	12/1/2017	12/8/2017	chg
UST 2Y	177.4	179.4	2.0
UST 5Y	211.6	214.5	2.9
UST 10Y	236.2	238.1	1.9
UST 30Y	275.7	277.3	1.6
GERM 2Y	-70.5	-73.9	-3.4
GERM 10Y	30.5	30.7	0.2
JPN 30Y	83.2	81.9	-1.3
EURO$ H8/H9	39.0	37.5	-1.5
EURO$ H9/H0	15.0	13.0	-2.0
EUR	118.96	117.74	-1.22
CRUDE (1st cont)	58.36	57.36	-1.00
SPX	2642.22	2651.50	9.28
VIX	11.43	9.58	-1.85

 

The Fed’s QE-Unwind is Really Happening

https://www.bloomberg.com/news/articles/2017-12-05/soaring-freight-costs-will-squeeze-traders-boost-food-prices?cmpid=BBD120517_MKT&utm_medium=email&utm_source=newsletter&utm_term=171205&utm_campaign=markets

http://www.zerohedge.com/news/2017-12-06/moment-market-broke-behavior-volatility-changed-entirely-2014

https://www.bloomberg.com/news/articles/2017-12-05/soaring-freight-costs-will-squeeze-traders-boost-food-prices?cmpid=BBD120517_MKT&utm_medium=email&utm_source=newsletter&utm_term=171205&utm_campaign=markets

http://www.zerohedge.com/news/2017-12-08/bulgaria-government-shocked-discover-it-owns-3-billion-bitcoin

https://www.bloomberg.com/news/articles/2017-12-04/hna-is-said-to-be-probed-over-reporting-of-deutsche-bank-stake

https://www.bloomberg.com/gadfly/articles/2017-08-31/hna-s-scandals-aren-t-the-problem

https://www.bloomberg.com/news/articles/2017-12-08/hsbc-is-said-to-step-up-scrutiny-of-china-s-indebted-hna-group

Dec 8. It’s a league game Smokey

–Employment report today with rate expected 4.1 and yoy Average Hourly Earnings +2.7%.  The Atlanta Fed’s wage growth tracker has been between 3.2 and 3.6% all year, last at 3.4.

–There was finally a slight steepening of the curve yesterday; likely profit taking from the lows in front of today’s data.  The ten year yield rose 4.4 bps to 237.2.  2/10 rose to 57.  Red/gold euro$ pack spread tacked on a bit over 3 bps, rising to 32.875. Red to green pack spread 12.875, green to blue 10, blue to gold 10.  Just a flat steady line.

–However, there’s a swirl of drama in the front end of the curve.  EDZ7 this morning prints 9840.75, edging ever closer to the 9837.5 strike with over 1 million in open interest.  But wait, EDZ7 could never break the strike with Libor indicating a rate 5 bps lower, could it?  So here we are, with futures indicating the libor setting should be higher, and libor rigging investigations still relatively fresh.  There are 1.6 million open in EDZ7.  As Walter from the Big Lebowski might say, “If you mark that frame an eight, you’re entering a world of pain.”

–Another trade which deserves honorable mention is the buyer Wednesday of USG 153 puts at 1’05 when USH was above 154.  Now in the money as USH slid 152-28; the puts rose to 1’46.

–In the bigger picture, if end of year pension buying is nearing an end, and inflation shows signs of acceleration due to wage growth, AND the Trump tax plan blows up the deficit, then there can only be one direction for long treasury rates going into the beginning of the year.

–Fed’s Z1 report came out yesterday.  Once again shows record household wealth.  But what was sort of interesting was the borrowing of the Federal Gov’t in Q3 $1.655.7T.  By contrast, Total business  sector borrowings were 751T and total Household including Mortgages was just 550.3T.  So the Federal Gov’t borrowed $354.3T more than the private sector.   Likely an anomaly as borrowings were probably high due to hurricane clean up.    But the rate of growth is also worth noting:  HH at 3.7%, Business 5.4% (of which the larger corporate sector was 6.4%) and Federal Govt +10.3% annual growth.  The last 2 qtrs of Federal gov’t growth were +3.6 and -2.6.  So when some analysts suggest that the new tax plan could blow up the deficit, it bears keeping in mind.

https://www.youtube.com/watch?v=t_TdCs9GA4w

 

https://www.youtube.com/watch?v=t_TdCs9GA4w

Dec 7. Diversity of themes

–Long end of market remains relatively firm. Ten year yield fell 2.8 bps to 232.8; 2/10 notched a new low at 52.6. Last Friday’s spike rally associated with the Trump/Flynn news was eclipsed in USH…but no so in TYH or shorter maturities.  On the bond rally there was an opportunistic put buyer: USG7 153p bought in size of 12k, mostly at 1’05.  This put settled 1’11 ref 154-02 with 40 delta.  The ten year swap spread finally went positive this month for the first time since Q3 2015.  The 30 yr swap spread is also at its highest level since Q3 2015, closing at -20 bps (low this year was in January at -52).  At least part of the move is credited to pension fund demand for the long end before year end.  While implied vol was firmer mid-day, after the bond put buyer was done, vols generally eased into the close.

–While copper stabilized after being thrashed on Tuesday, yesterday it was oil’s turn with CLF8 down 1.70 late at 55.92. I would also note weakness in Emerging Mkt index. EEM gapped lower yesterday and closed -1.35%.  In futures the same is reflected by MESZ7.

–EUR USD cross ccy basis indicates pressure for dollar funding at year end.  EDZ7 final settlement is one week from Monday on 18-Dec and there were still 5 bps of convergence to libor as of yesterday morning.  Heavy selling in EDZ7, though open interest didn’t change much (EDZ7 9842.5s).  Red/green euro$ pack spread (2nd year to 3rd year) closed at a new low of 12.125 bps.  EDM19/EDM20 closed at just 9.5 bps; back end of dollar curve is completely flat.

–Some large and interesting option plays yesterday.  Buyer of 40k EDJ 9825/9837c 1×2 for 0.5 with 0EH 9812/9825/9837/9850 c condor for 1.0.  The April call 1×2 would suggest no Fed hike in April.  In terms of the call condor, 0EH 9812/9825 c spd settled 1.25; probably can pay that this morning and omit selling the upper call spread at 0.25.   There was also a new buyer of 50k 0EM 9850c for just over 1 bp.  One participant termed them the ‘Jerusalem calls’ as Trump stirred the mideast pot with plans to move the US embassy to Jerusalem.

–One last note concerns ECB purchases of corporate paper.  It was widely reported yesterday that Steinhoff bonds of 2025 are sitting on the books of the ECB (from par) and plunged to 60 cents in the last couple of days.  Likely of no consequence to the portfolio, but it sharpens the focus on just what Central Banks should be buying…

 

Dec 6. Flatlining

• ABOUT:
  Former member of the CME specializing in interest rate options and yield curve strategies.

  The risk of loss in trading futures and/or options is substantial and each investor and/or trader must consider whether this is a suitable investment. Past performance, whether actual or indicated by simulated historical tests of strategies, is not indicative of future results.