MACROCOSM: Quick Rates TECHNICALs > Charts Package
- Trump’s still driving market sentiment but stocks had a decent day and the rally in G-7 rates has shown signs of stalling amid profit taking. To be frank, we didn’t read Powell’s speech as dovish as some articles have implied, however, with the Beige Book and 6 FOMC speakers on the tapes between now and Friday, along with tomorrow’s ECB meeting, there will be ample fodder for some volatility.
- USTs…
TYU9 showing tell-tale signs of a stall that signals some consolidation into the payrolls data today and Friday.
UST 2-5s steepened back from the recent lows – which can be a double-edged sword. The chart below shows the bull flattening of 2-5s was more of a meander than a snap flatter as the market still didn’t believe the FED would cut rates but trade wars were bullish for USTs on a medium term basis. Notwithstanding our doubts, this re-steepening of the sprd is a reflection that the market thinks a rate cut could be sooner than thought – which was an easy bet to make given the carry dynamics of this steepener. The zero-two bps range has been solid resistance for most of the year and bears watching.
UST 5-10-30s fly remains at its richest levels, in line with 5y5y swaps. This bears watching as a barometer of overall USD rates sentiment…
UST-DBR 10yr Sprd > With the ECB meeting looming large tomorrow, one has to ask, ‘Who’s more dovish right now? The FED or the ECB?’. UST-DBR 10yr sprds have nose-dived since the last week of May to levels we haven’t seen in quite some time. From a tactical perspective, DBRs aren’t likely to be the primary beneficiary of renewed ECB stimulus measures, however, in our view, this spread has been stretched too far, too fast. Take a look at selling UST 10yrs into 10yr OATs or even SPGBs here.
- UK…
GBP has held off Armageddon for now as the leadership contest takes shape. Boris Johnson is still banging the ‘No-Deal is on the table’ Brexit drum which still has the market antsy. That’s made trading linkers the equivalent of a bomb-disposal unit and the curve rather whippy, especially in the long-end.
With the front-end of the GBP curve pricing in ~40% odds of a 25bps rate cut in the next 12 months, despite fears of GBP-driven inflation, we’re back to some very overbought levels on RSIs that have proven to be good location to lighten up on longs and enter into tactical steepeners/shorts.
UKT 1T49-4Q55 sprd has re-steepened sharply on the back of the rally and some selling of long linkers. There’s a tap of the 1T49s on Jun 25th which could put an end to this move…
- Eurozone…
SPAIN continues to trade well on balance with a rolling tide forcing the curve flatter. We advocated the SPGB 27-33s flattener a few weeks ago (which fell on deaf ears) and are now seeing signs of further extension beyond the 15/20yr point out to 30yrs. The audience for 30yr paper is different than the 20yr but if the pundits are right and the ECB announces a chance of renewed QE and/or an expansion of their per-issue limits from 33% to 50%, this 33-48 sprd will pancake.
Bunds are clearly into overbought territory and are rich on every metric we can think of. They’ve become more of a magnet for sister EGBs rather than a vehicle themselves.
FRTR 5/28s vs DBR 2/28s and SPGB 7/28s (60/100/40 split) has the OATs looking cheap, driven largely by the perma-bid in SPGBs. Buying the belly of this blend is a relatively low-beta fade of the ECB/periphs tightening.
So much for rates normalization in the short-end of Europe…!
More to come!
Mark
image009.jpg@01D28D1B.42BD95C0">
Mark Funsch
O: +44 (0) 203 - 143 - 4177
M: +44 (0) 789 - 996 - 4051
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This research was prepared by Mark Funsch. He is a consultant with Astor Ridge. A history of his marketing commentaries can be provided upon request in compliance with the European Commission’s Market Abuse Regulation. Astor Ridge takes no proprietary trading risk, has no market making facilities, and has no position in any security we discuss in this e-mail. The views in this e-mail are those of the author(s) and are subject to change, and Astor Ridge has no obligation to update its opinions or the information in this publication. If this e-mail contains recommendations, those recommendations reflect solely and exclusively those of the author, and such opinions were prepared independently of any other interests, including those of Astor Ridge and/or its affiliates. This publication does not constitute personal investment advice or take into account the individual financial circumstances or objectives of the clients who receive it. The securities discussed herein may not be suitable for all investors. Astor Ridge recommends that investors independently evaluate each issuer, security or instrument discussed herein, and consult any independent advisors they believe necessary. The value of and income from any investment may fluctuate from day to day as a result of changes in relevant economic markets (including changes in market liquidity). The information herein is not intended to predict actual results, which may differ substantially from those reflected. Past performance is not necessarily indicative of future results.
You should not use or disclose to any other person the contents of this e-mail or its attachments (if any), nor take copies. This e-mail is not a representation or warranty and is not intended nor should it be taken to create any legal relations, contractual or otherwise. This e-mail and any files transmitted with it are confidential, may be legally privileged, and are for the sole use of the intended recipient. Copyright in this e-mail and any accompanying document created by Astor Ridge LLP is owned by Astor Ridge LLP.
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Today's BREXIT BARRAGE... 'Extinction'?
BBG: Boris Johnson Warns Tories of ‘Extinction’ If Brexit Is Delayed
BBG: The Brexit Wrecking Ball Hits the High Street
BBG: No-Deal Brexit Stock Market Mess Will Be London’s Fault, EU Says
BBG: Tories to Choose New Prime Minister by Late July: Brexit Update
BBG: Stewart Swipes at Tory Rivals Johnson, Raab Over U.K. Tax Cuts
BBG: PM and President Set Up Future U.K. – US Clashes: Trump Update
FT: Boris Johnson adamant on no-deal strategy in first Tory hustings
FT: Tories impose last-minute rule changes on leadership poll
FT: Conservative leadership favourite Boris Johnson talks with Donald Trump
FT: Donald Trump sends mixed messages on US-UK trade deal
FT: Brexit and the lesson of D-Day
TEL: Call Andrea! Leadership hopeful Leadsom vows to hold regular phone-ins with public if elected PM
TEL: The only hope left for the next Tory PM is to call an election and go for a no-deal Brexit
TEL: The Queen personifies our national story. Now we need a Prime Minister who can do the same thing
TEL: British businesses need action, not talk, from the next prime minister
More to come…!
Mark
image009.jpg@01D28D1B.42BD95C0">
Mark Funsch
O: +44 (0) 203 - 143 - 4177
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This research was prepared by Mark Funsch. He is a consultant with Astor Ridge. A history of his marketing commentaries can be provided upon request in compliance with the European Commission’s Market Abuse Regulation. Astor Ridge takes no proprietary trading risk, has no market making facilities, and has no position in any security we discuss in this e-mail. The views in this e-mail are those of the author(s) and are subject to change, and Astor Ridge has no obligation to update its opinions or the information in this publication. If this e-mail contains recommendations, those recommendations reflect solely and exclusively those of the author, and such opinions were prepared independently of any other interests, including those of Astor Ridge and/or its affiliates. This publication does not constitute personal investment advice or take into account the individual financial circumstances or objectives of the clients who receive it. The securities discussed herein may not be suitable for all investors. Astor Ridge recommends that investors independently evaluate each issuer, security or instrument discussed herein, and consult any independent advisors they believe necessary. The value of and income from any investment may fluctuate from day to day as a result of changes in relevant economic markets (including changes in market liquidity). The information herein is not intended to predict actual results, which may differ substantially from those reflected. Past performance is not necessarily indicative of future results.
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EQUITIES SPECIAL UPDATE : If bond yields are TOO LOW then stocks should HOLD!
EQUITIES SPECIAL UPDATE : If bond yields are TOO LOW then stocks should HOLD!
Some 200 day moving averages have held already.
Frustration here is equities had only just started to stretch their legs but the rate call must be respected. We have reached many historical LOW RSI’s on the daily’s.
The BIG PICTURE remains lower similar to the yield call.
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EQUITIES-SPECIAL-UPDATE-If-bond-yields-are-TOO-LOW-then-stocks-should-hold.pdf**BOND UPDATE : ALL CHIPS OFF THE TABLE! ** YIELDS ARE “WAY” TOO LOW, EXIT ALL BOND LONG EXPOSURE AND LOOK FOR A MAJOR 5-30 FLATTENING. ITS BEEN A GOOD RUN BUT NOW RSI’s ARE OVER EXTENDED.
BOND UPDATE : ALL CHIPS OFF THE TABLE!
YIELDS ARE “WAY” TOO LOW, EXIT ALL BOND LONG EXPOSURE AND LOOK FOR A MAJOR 5-30 FLATTENING. ITS BEEN A GOOD RUN BUT NOW RSI’s ARE OVER EXTENDED.
Going through the charts “one more time” it is FINALLY time to EXIT ALL BOND LONGS given YIELDS are too low.
**I don't think it is worth SHORTTING bonds just yet, ideally we need a day or 2 more to monitor equity performance here. **
This should present and opportunity to sell the US 5-30 curve given the stop is CHEAP.
Also recommend taking back the USFS 10-20 swaps idea from November (update coming).
Tough to say it, but many YIELD CHART RSI’s are VERY OVERSOLD, BOTH weekly and daily horizons. The US 30yr page 3 has additionally hit a worth while retracement.
We might need another day to confirm this thought but the evidence is strong it’s been a good run, that said if stocks head LOWER then re position long bonds again.
Also remember ALL CTA s have rolled and are long given ALL major spreads have sold off.
** Remember this is only “TIME OUT” in a bigger historical yield fall. **
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Today's BREXIT BARRAGE... "Big Trade Deal..."? Or more 'Fake News"?
And then came Trump…
BBG: Trump Spurs On Brexit in London Visit, Diving Into U.K. Politics
BBG: Trump’s State Visit – Turned Stress Test for the Special Relationship
BBG: President Sees Trade Deal If UK Loses Shackles: Trump Update
BBG: No Wonder Donald Trump Loves Brexit So Much
BBG: Brexit Bulletin: What About This Trade Deal?
FT: Liam Fox backs Jeremy Hunt in Tory Leadership race
FT: Would a trade deal with Trump boost Brexit Britain
FT: Theresa May to talk up potential for trade deal with US
FT: Tories set to debate rules for leadership election
FT: Conservatives put getting Brexit done before getting Brexit right
FT: Theresa May puts Brexit efforts on hold pending own departure
FT: Watch Matt Hancock and Rory Stewart on Brexit
TEL: UK retains top spot for foreign investors in Europe
TEL: Boris Johnson launches leadership campaign as rival Jeremy Hunt says he would allow no deal
TEL: Factories feel hangover from Brexit stockpiling
TEL: It’s high time we drained the swamp of our arrogant ‘new elite’
TEL: Foreign investment boom is building global Britain brick by brick
TEL: The maths of a trade deal with Trump do not add up
TEL: Boris Johnson has promised to make Brexit mean Brexit – he can’t wriggle out of it now
Enjoy!
Mark
image009.jpg@01D28D1B.42BD95C0">
Mark Funsch
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This research was prepared by Mark Funsch. He is a consultant with Astor Ridge. A history of his marketing commentaries can be provided upon request in compliance with the European Commission’s Market Abuse Regulation. Astor Ridge takes no proprietary trading risk, has no market making facilities, and has no position in any security we discuss in this e-mail. The views in this e-mail are those of the author(s) and are subject to change, and Astor Ridge has no obligation to update its opinions or the information in this publication. If this e-mail contains recommendations, those recommendations reflect solely and exclusively those of the author, and such opinions were prepared independently of any other interests, including those of Astor Ridge and/or its affiliates. This publication does not constitute personal investment advice or take into account the individual financial circumstances or objectives of the clients who receive it. The securities discussed herein may not be suitable for all investors. Astor Ridge recommends that investors independently evaluate each issuer, security or instrument discussed herein, and consult any independent advisors they believe necessary. The value of and income from any investment may fluctuate from day to day as a result of changes in relevant economic markets (including changes in market liquidity). The information herein is not intended to predict actual results, which may differ substantially from those reflected. Past performance is not necessarily indicative of future results.
You should not use or disclose to any other person the contents of this e-mail or its attachments (if any), nor take copies. This e-mail is not a representation or warranty and is not intended nor should it be taken to create any legal relations, contractual or otherwise. This e-mail and any files transmitted with it are confidential, may be legally privileged, and are for the sole use of the intended recipient. Copyright in this e-mail and any accompanying document created by Astor Ridge LLP is owned by Astor Ridge LLP.
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** PLEASE READ ** BOND UPDATE : YIELDS ARE TOO LOW and by tomorrow it will be confirmed!
BOND UPDATE : YIELDS ARE TOO LOW and by tomorrow it will be confirmed!
NOT something I have mentioned in a while BUT might be time to reduce BOND LONGS despite the new highs today!
Tough to say it, but many YIELD CHART RSI’s are VERY OVERSOLD, BOTH weekly and daily horizons.
The US 30yr page 3 has additionally hit a worthwhile retracement.
We might need another day to confirm this thought but the evidence is strong it’s been a good run, that said if stocks head LOWER then re position long bonds again.
Also remember ALL CTA s have rolled and are long given ALL major spreads have sold off.
** Remember this is only “TIME OUT” in a bigger historical yield fall. **
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Trade Radar: Monday 3rd June - James Rice Astor Ridge
Some trades on my Radar in European RV at the moment, starting with Italy
Italy –
Short IK Future (Sep), Long wings
- Ik futures (Sep) still look rich as a high coupon
- Going through delivery next Monday so repo is tight
- Have 33% of my size on now – don’t want to miss this one but be prepared to add
- Aug29 potentially richen as off the run end of July
200 * (YIELD[BTPS 4.75 09/01/28 Govt] - 0.4 * YIELD[BTPS 2.05 08/01/27 Govt] - 0.6 * YIELD[BTPS 3 08/01/29 Govt])
Italy
Long 7y short off the run 5y and 10y
+Jul26, -Nov24 and -Dec28
- Following the regular cycle of Italian supply, we have 7y supply next week on Thursday 13th June
- The on the run 5y and 10y trade cheap so in this instance we short slightly richer off the runs nearby
- The 7y sector has cheapened recently in response to the surprise Dec25 6y tap but still represents value
- Roughly flat carry, pick up in anomaly value
- Trade @+7bp looking for it to move back down to <+4bp
200 * (YL017[BTPS 2.1 07/15/26 Govt] - 0.5 * YL017[BTPS 1.45 11/15/24 Govt] - 0.5 * YL017[BTPS 2.8 12/01/28 Govt])
Italy
Mar25 / Mar26 steepener vs 2’s10s
Btps: +Mar25 / -Mar26
& 10% Btps Aug29 / -BTSA
- The curve in this small anomaly looks too flat given the context of other yields
- Generally I would expect the 1y Gap to move roughly in line with a 2s10s hedge
- Our trade represents the difference between this gap and the wider hedge
- Trade here, pay the structure at -3bp
- Generally exploits the very wide anomaly that 5s10s is too flat vs 2s30s
100 * ((YL017[BTPS 4.5 03/01/26 Govt] - YL017[BTPS 5 03/01/25 Govt]) - 0.1 * (YL017[BTPS 3 08/01/29 Govt] - YL017[BTPS 2.3 10/15/21 Govt]))
More to follow
James Rice
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This marketing was prepared by James Rice, a consultant with Astor Ridge. It is not appropriate to characterize this e-mail as independent investment research as referred to in MiFID and that it should be treated as a marketing communication even if it contains a trade recommendation. A history of marketing materials and research reports can be provided upon request in compliance with the European Commission’s Market Abuse Regulation. Astor Ridge takes no proprietary trading risk, has no market making facilities, and has no position in any security we discuss in this e-mail. The views in this e-mail are those of the author(s) and are subject to change, and Astor Ridge has no obligation to update its opinions or the information in this publication. If this e-mail contains opinions or recommendations, those opinions or recommendations reflect solely and exclusively those of the author, and such opinions were prepared independently of any other interests, including those of Astor Ridge and/or its affiliates. This publication does not constitute personal investment advice or take into account the individual financial circumstances or objectives of the those who receive it. The securities discussed herein may not be suitable for all investors. Astor Ridge recommends that investors independently evaluate each issuer, security or instrument discussed herein, and consult any independent advisors they believe necessary. The value of, and income from, any investment may fluctuate from day to day as a result of changes in relevant economic markets (including changes in market liquidity). The information herein is not intended to predict actual results, which may differ substantially from those reflected. Past performance is not necessarily indicative of future results.
You should not use or disclose to any other person the contents of this e-mail or its attachments (if any), nor take copies. This e-mail is not a representation or warranty and is not intended nor should it be taken to create any legal relations, contractual or otherwise. This e-mail and any files transmitted with it are confidential, may be legally privileged, and are for the sole use of the intended recipient. Copyright in this e-mail and any accompanying document created by Astor Ridge LLP is owned by Astor Ridge LLP.
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*** PLEASE READ *** EQUITIES SPECIAL UPDATE : Mr Trump continues to be the focus adding Mexico into an already VERY FRAGILE environment.
EQUITIES SPECIAL UPDATE : Mr Trump continues to be the focus adding Mexico into an already VERY FRAGILE environment. So many stocks are now close to breaching major levels and thus forming MULTI YEAR tops. This with bond yields still predictively heading lower and much lower SOON.
People remain convinced any dips will be temporary but bond yield charts are predicting significantly lower yields, still. US equities will have further to fall given their performance post 2008 recovery.
** CHINA JUST CAN’T BOUNCE (SEE PAGE 16)! **
In many cases stocks are below all 50, 100 & 200 day moving averages.
I HAVE INCLUDED BOTH US AND CHINA SINGLE STOCKS TO HIGHLIGHT DOWNSIDE POTENTIAL, APPLE BEING A FAVOURITE CHART, PAGE 18. This stock could be interesting given the current Huawei dispute.
An interesting time, with a DOW chart forming a potential TRIPLE TOP, page 10.
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- • This marketing was prepared by Christopher Williams, a consultant with Astor Ridge. It is not appropriate to characterize this e-mail as independent investment research as referred to in MiFID and that it should be treated as a marketing communication even if it contains a trade recommendation. A history of marketing materials and research reports can be provided upon request in compliance with the European Commission’s Market Abuse Regulation. Astor Ridge takes no proprietary trading risk, has no market making facilities, and has no position in any security we discuss in this e-mail. The views in this e-mail are those of the author(s) and are subject to change, and Astor Ridge has no obligation to update its opinions or the information in this publication. If this e-mail contains opinions or recommendations, those opinions or recommendations reflect solely and exclusively those of the author, and such opinions were prepared independently of any other interests, including those of Astor Ridge and/or its affiliates. This publication does not constitute personal investment advice or take into account the individual financial circumstances or objectives of the those who receive it. The securities discussed herein may not be suitable for all investors. Astor Ridge recommends that investors independently evaluate each issuer, security or instrument discussed herein, and consult any independent advisors they believe necessary. The value of, and income from, any investment may fluctuate from day to day as a result of changes in relevant economic markets (including changes in market liquidity). The information herein is not intended to predict actual results, which may differ substantially from those reflected. Past performance is not necessarily indicative of future results.
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- • You should not use or disclose to any other person the contents of this e-mail or its attachments (if any), nor take copies. This e-mail is not a representation or warranty and is not intended nor should it be taken to create any legal relations, contractual or otherwise. This e-mail and any files transmitted with it are confidential, may be legally privileged, and are for the sole use of the intended recipient. Copyright in this e-mail and any accompanying document created by Astor Ridge LLP is owned by Astor Ridge LLP.
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- • Astor Ridge LLP is regulated by the Financial Conduct Authority (FCA): Registration Number 579287
- • Astor Ridge LLP is Registered in England and Wales with Companies House: Registration Number OC372185
- • Astor Ridge NA LLP is a member of FINRA/SIPC: CRD Number 282626
- • Astor Ridge NA LLP is a member of the National Futures Association (NFA): Firm ID Number 0499303
- • Astor Ridge NA LLP is Registered in England and Wales with Companies House: Registration Number OC401796
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***** PLEASE READ **** MULTI ASSET UPDATE : Bond yields, LOWER STILL despite some oversold daily situations. Equities on the VERGE of a free MAJOR fall given some SINGLE STOCKS broken already.
MULTI ASSET UPDATE : Bond yields, LOWER STILL despite some oversold daily situations.
Bond yields : Most long-term yield charts have significant room to head lower once we have worked off some of the OVERSOLD daily RSI’s.
Equities on the VERGE of a free MAJOR fall given some SINGLE STOCKS broken already.
EQUITIES : Mr Trump has muddied the waters and that has left many stocks on a NEGATIVE TACK for once. Sadly we await the Chinese response but many SINGLE STOCKS are terminally damaged already.
US CURVES : As highlighted the KEY focus is the US 5-30, does it FLATTEN if so then bond yield should rise similar to March 2019.
FX : This has been a relatively quiet area given the USD and EURO have had limited movement. The EURO remains a long-term bearish view.
EM FX : The latest USD pop has limited the EM performance flagged previously.
OIL and GOLD : Oil now looks to have topped whilst gold is very sideways.
ASTOR RIDGE : Independent Ideas, Research, Liquidity, Anonymity and Trusted Experience.
- UK: 14-16 Dowgate Hill, London EC4R 2SU
- US: 245 Park Ave, 39th Floor, NY, NY, 10167
- Office: +44 (0) 203 143 4174
- Mobile: +44 (0) 7980708683
- Email: chris.williams@astorridge.com
- Web: www.AstorRidge.com
- • I provide our research notification below for your convenience:
- •
- • Research Unbundling:
- •
- • Astor Ridge does not provide independent research. We have no dedicated or paid strategists, research portals, or research subscriptions. However, you may receive unsolicited marketing communications from our Introducing Brokers from time to time, which may refer to specific trade recommendations. These recommendations are based solely on the opinion of the author, and are not official research recommendations of Astor Ridge.We have considered guidance from ESMA, and any written material from our Introducing Brokers that might fall within the scope of the rules will be provided for free, and made publicly available on our website, to any EU Investment firm that registers for it.
- •
- • If you are a MiFID firm and do not agree with our approach, and instead believe that you must pay for written commentary or trade recommendations, then Astor Ridge will accept payments determined by you.
- •
- •
- •
- • I also direct you to our disclaimer on our email footer:
- • This marketing was prepared by Christopher Williams, a consultant with Astor Ridge. It is not appropriate to characterize this e-mail as independent investment research as referred to in MiFID and that it should be treated as a marketing communication even if it contains a trade recommendation. A history of marketing materials and research reports can be provided upon request in compliance with the European Commission’s Market Abuse Regulation. Astor Ridge takes no proprietary trading risk, has no market making facilities, and has no position in any security we discuss in this e-mail. The views in this e-mail are those of the author(s) and are subject to change, and Astor Ridge has no obligation to update its opinions or the information in this publication. If this e-mail contains opinions or recommendations, those opinions or recommendations reflect solely and exclusively those of the author, and such opinions were prepared independently of any other interests, including those of Astor Ridge and/or its affiliates. This publication does not constitute personal investment advice or take into account the individual financial circumstances or objectives of the those who receive it. The securities discussed herein may not be suitable for all investors. Astor Ridge recommends that investors independently evaluate each issuer, security or instrument discussed herein, and consult any independent advisors they believe necessary. The value of, and income from, any investment may fluctuate from day to day as a result of changes in relevant economic markets (including changes in market liquidity). The information herein is not intended to predict actual results, which may differ substantially from those reflected. Past performance is not necessarily indicative of future results.
- •
- • You should not use or disclose to any other person the contents of this e-mail or its attachments (if any), nor take copies. This e-mail is not a representation or warranty and is not intended nor should it be taken to create any legal relations, contractual or otherwise. This e-mail and any files transmitted with it are confidential, may be legally privileged, and are for the sole use of the intended recipient. Copyright in this e-mail and any accompanying document created by Astor Ridge LLP is owned by Astor Ridge LLP.
- •
- • Astor Ridge LLP is regulated by the Financial Conduct Authority (FCA): Registration Number 579287
- • Astor Ridge LLP is Registered in England and Wales with Companies House: Registration Number OC372185
- • Astor Ridge NA LLP is a member of FINRA/SIPC: CRD Number 282626
- • Astor Ridge NA LLP is a member of the National Futures Association (NFA): Firm ID Number 0499303
- • Astor Ridge NA LLP is Registered in England and Wales with Companies House: Registration Number OC401796
- •
- •
- • If there is anything else you require from us to continue receiving our market communications, or prefer a different medium for access (e.g. publicly available password protected access on the Astor Ridge website), please do let me know.
- •
- • Otherwise, if you are more comfortable to deem consent by simply acknowledging receipt of this email, and continuing our trading relationship under our updated terms of business below, without registering your disapproval, we are happy to proceed on that basis.
- •
- • Many thanks,
- •
- • Chris