Next week is VERY busy for data in Europe and the US.

 

Supply in Europe is pretty tame, with a possible Austria syndication.

 

FOMC meeting on Wednesday.

 

Look for a BIG index extensions into Jan 31 with Spain and Italy likely to lead the charge given their big syndicated deals...

Please see attached.

Have a good weekend.

Mark

 

 

image009.jpg@01D28D1B.42BD95C0">

 

Mark Funsch

 

O:            +44 (0) 203 - 143 - 4177

M:            +44 (0) 789 - 996 - 4051

E:             Mark.Funsch@AstorRidge.com

W:            www.AstorRidge.com

UK:          14-16 Dowgate Hill, London UK EC4R 2SU

US:          245 Park Ave, 39^th Floor, NY, NY, 10167

 

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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Apologies for the late arrival – business meeting this am…

BBG: Airbus Calls Brexit Process a Disgrace, Threatens to Leave U.K.

BBG: No-Deal Brexit Risk Recedes as Calls Grow to Delay Divorce

BBG: We Might Have Found the Least-Hated Brexit Option

FT: Jeremy Corbyn’s popularity hurt by Brexit stance, poll finds

BBC: Brexit: May meets union leaders for talks

TEL: Labour plots to delay Brexit as Theresa May scrambles to save her deal with  new bid to woo Tory MPs

TEL:  Brexit latest news: Theresa May powerless to prevent delay if MPs back plan to extend Article 50, allies admit

TEL: Jacob Rees-Mogg urges Theresa May to shut down Parliament if MPs try to thwart Brexit

TEL: Remainers have sabotaged Mrs May’s hopes of a Brexit compromise

TEL: Is it time for us Leavers to call a truce with the Remainers?

Enjoy….

Mark

 

 

 

image009.jpg@01D28D1B.42BD95C0">

 

Mark Funsch

 

O:            +44 (0) 203 - 143 - 4177

M:            +44 (0) 789 - 996 - 4051

E:             Mark.Funsch@AstorRidge.com

W:            www.AstorRidge.com

UK:          14-16 Dowgate Hill, London UK EC4R 2SU

US:          245 Park Ave, 39^th Floor, NY, NY, 10167

 

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. 

 

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

 

 

Bottom line: The US curve has been set in a bear-flattening / bull-steepening dynamic with the short-end leading the way as all eyes are on the Fed. As a consequence straight bull-flatteners require an upfront premium as the volatility is high on short rates. This trade gives the bull-steepening exposure for a reduced cost by capping the potential upside on a steepening move (as well as discounting the potential for a shift to bull-flattening).

 

Trades:
6m 25bp-wide version:

Buy USD 1,070mm 6m2y1y mid-curve receiver spread a/a-25 (k=2.593% / 2.343%)

Sell USD 84mm 6m10y20y mid-curve receiver spread a/a-25 (k=2.974% / 2.724%)

For 0.1bp upfront premium (indicative mid)

 

Fwd curve strike at 38.1bp. Spot spread at 38.4bp

 

1y 50bp-wide version:

Buy USD 1,070mm 1y2y1y mid-curve receiver spread a/a-50 (k=2.613% / 2.113%)

Sell USD 84mm 1y10y20y mid-curve receiver spread a/a-50 (k=2.964% / 2.464%)

For 0.2bp upfront premium (indicative mid)

 

Fwd curve strike at 35.1bp. Spot spread at 38.4bp

 

Rationale: For some months, if not years, the USD curve has been driven by Fed expectations, and this is especially true in the rally which started at the end of last year. As a consequence the curve has an established bear-flattening/bull-steepening dynamic. The options markets are not unaware of this, and generally bull-steepeners require an upfront premium. One way to mitigate this cost is to trade off the upside of a significant rally, by using receivers spreads (as well has discounting the chance of bull-flattening). Hence these trades work best in a scenario where 25bp to 50bp are shaved off Fed expectations for the next year, rather than pricing in cuts.

 

 

Regression using 6m first and then 3m of history: it is clear that the curve has become much more correlated recently, as the market consensus oscillates on Fed expectations (as exemplified by the 2y1y rate).

 

6 months of data:

Past 3m months:

 

This chart shows the payoff regimes for the 6m 25bp spread of receiver spreads overlaid with the scatter plot of the recent realized datapoints.

 

 

This pricing is possible due to the high skew on low-strike mid-curve receivers on 2y1y, compared to that on 10y20y.
Skew:
                                6m -25bp             1y -50bp                              

2y1y                       +5.3bp/y              +8.8bp/y

10y20y                  +2.2bp/y              +3.7bp/y

 

If we accept a beta of roughly 50% for 10y20y vs 2y1y, then the maximum payoff is 12.5bp for the 6m/25bp version, and 25bp for the 1y/50bp version. The payoff could be smaller or larger if the beta changes significantly.

 

Roll-down/ carry for the first 3 months of the trade (rolling down yield curve and vol surface):
6m/25bp, positive P&L rolldown of +0.7bp.
1y/50bp, positive P&L rolldown of +1.25bp.

As above, the risk to the trade is the market falling into bull-flattening. One scenario might be where the Fed issues concrete forward guidance, limiting the volatility at the short end, while the long-end rallies. The recent price action suggests this is not a consensus outcome, given the current link between equity sentiment and the Fed outlook.

I’d love to hear your thoughts!

 

Best

David

 

 

 

David Sansom

 

 

image001.jpg@01D21F13.B69A4950">

 

UK:         14-16 Dowgate Hill, London EC4R 2SU

US:          245 Park Ave, 39^th Floor, NY, NY, 10167

Office:   +44 (0) 203 143 4180

Mobile:  +44 (0) 7976 204490

Email:     david.sansom@astorridge.com

Web:       www.AstorRidge.com

 

This marketing was prepared by David Sansom, 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 Registered in England and Wales with Companies House:  Registration Number OC401796

 

Bottom line: The US curve has been set in a bear-flattening / bull-steepening dynamic with the short-end leading the way as all eyes are on the Fed. As a consequence straight bull-flatteners require an upfront premium as the volatility is high on short rates. This trade gives the bull-steepening exposure for a reduced cost by capping the potential upside on a steepening move (as well as discounting the potential for a shift to bull-flattening).

 

Trades:
6m 25bp-wide version:

Buy USD 1,070mm 6m2y1y mid-curve receiver spread a/a-25 (k=2.593% / 2.343%)

Sell USD 84mm 6m10y20y mid-curve receiver spread a/a-25 (k=2.974% / 2.724%)

For 0.1bp upfront premium (indicative mid)

 

Fwd curve strike at 38.1bp. Spot spread at 38.4bp

 

1y 50bp-wide version:

Buy USD 1,070mm 1y2y1y mid-curve receiver spread a/a-50 (k=2.613% / 2.113%)

Sell USD 84mm 1y10y20y mid-curve receiver spread a/a-50 (k=2.964% / 2.464%)

For 0.2bp upfront premium (indicative mid)

 

Fwd curve strike at 35.1bp. Spot spread at 38.4bp

 

Rationale: For some months, if not years, the USD curve has been driven by Fed expectations, and this is especially true in the rally which started at the end of last year. As a consequence the curve has an established bear-flattening/bull-steepening dynamic. The options markets are not unaware of this, and generally bull-steepeners require an upfront premium. One way to mitigate this cost is to trade off the upside of a significant rally, by using receivers spreads (as well has discounting the chance of bull-flattening). Hence these trades work best in a scenario where 25bp to 50bp are shaved off Fed expectations for the next year, rather than pricing in cuts.

 

 

Regression using 6m first and then 3m of history: it is clear that the curve has become much more correlated recently, as the market consensus oscillates on Fed expectations (as exemplified by the 2y1y rate).

 

6 months of data:

Past 3m months:

 

This chart shows the payoff regimes for the 6m 25bp spread of receiver spreads overlaid with the scatter plot of the recent realized datapoints.

 

 

This pricing is possible due to the high skew on low-strike mid-curve receivers on 2y1y, compared to that on 10y20y.
Skew:
                                6m -25bp             1y -50bp                              

2y1y                       +5.3bp/y              +8.8bp/y

10y20y                  +2.2bp/y              +3.7bp/y

 

If we accept a beta of roughly 50% for 10y20y vs 2y1y, then the maximum payoff is 12.5bp for the 6m/25bp version, and 25bp for the 1y/50bp version. The payoff could be smaller or larger if the beta changes significantly.

 

Roll-down/ carry for the first 3 months of the trade (rolling down yield curve and vol surface):
6m/25bp, positive P&L rolldown of +0.7bp.
1y/50bp, positive P&L rolldown of +1.25bp.

As above, the risk to the trade is the market falling into bull-flattening. One scenario might be where the Fed issues concrete forward guidance, limiting the volatility at the short end, while the long-end rallies. The recent price action suggests this is not a consensus outcome, given the current link between equity sentiment and the Fed outlook.

I’d love to hear your thoughts!

 

Best

David

 

 

 

David Sansom

 

 

image001.jpg@01D21F13.B69A4950">

 

UK:         14-16 Dowgate Hill, London EC4R 2SU

US:          245 Park Ave, 39^th Floor, NY, NY, 10167

Office:   +44 (0) 203 143 4180

Mobile:  +44 (0) 7976 204490

Email:     david.sansom@astorridge.com

Web:       www.AstorRidge.com

 

This marketing was prepared by David Sansom, 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 Registered in England and Wales with Companies House:  Registration Number OC401796

 

        Please send this to clients who you think are likely to trade with us on this… M

 

• The mere fact that there’s still ample fodder for my Brexit Barrage of news related to the continuing saga suggests that we’re not out of the woods yet by any means.

 

• That said, if you’ve been following recent developments, we can assume a handful of things right now:
  • An extension of Article 50 beyond Mar 29^th is becoming more and more likely given recent amendments tabled, with some suggesting a Dec 19 end.
  • Parliament is making progress in their efforts to  ‘hijack’ the Brexit process from Theresa May and Co to avoid a no-deal scenario.
  • Corbyn’s amendment to avoid a no-deal was construed as increasing the odds of a second amendment which was denied by his cabinet.
  • Rees-Mogg’s more conciliatory tone of the last couple days has an air of ‘just give us SOMETHING’ (an end date on the Irish backstop for ex) so we can vote on May’s deal since an imperfect Brexit would be better than no-Brexit at all.
  • Europe has 27 members who each have a voice in this mess and there are signs of discord among them which could put pressure on Ireland to soften their stance.  

 

• So, throw this in a blender and what’s the most likely scenario? A softer Brexit than the Eurosceptics wanted, some time between March and hopefully before the EU’s May elections with an outside chance of no Brexit at all. In other words, May’s deal with a couple clarifying tweaks.

 

• What does this mean for the MPC and by  extension, the gilts market? Well, a postponement of Article 50 would leave the UK economy in ‘limbo’ and could mean kicking the can for as long as they need. It also means that things aren’t likely to grind to a halt and from the MPC’s perspective, we won’t be in ‘Def-Con 5’ alert status. We’d read that as opening the door for a more hawkish stance from the MPC, rather than the ‘preparing for the worst’ position Carney has been suggesting. As of this morning’s open, the SONIA curve is pricing in a total of just 27 bps of rate hikes over the next 18 months. This is about 7bps higher than we had around Jan 9^th but still a rather dovish outlook for a country with record low unemployment and inflation levels still among the G-10s highest. In other words, if the Brexit scenario we highlighted above comes to fruition, the gilts/Sonia curves have some steepening to do.

 

• Gilts have traded well since the start of October, due in part to Brexit-driven panic but the G-10 economic outlook has softened and equities have traded poorly. Trump’s shutdown and the agonizingly slow trade talks with China have the markets in suspended animation, however, technicals are showing signs that the bullish momentum in rates has bottomed and risk assets (like EGB peripherals) are performing better, despite the January deluge of new supply. 

 

• Here are a few charts:

 

Cable vs UKT 1F28s… Correlation between them has been solid since August but the gilts have lagged the bullish move in Cable. Only one of them can be right!

 

 

UKT 1F28s  bottoming formation

I

 

            3mo-10yr Gilts vs SONIA – Gilts a good deal flatter and richer than we were before things got ugly…  

       

 

      We advocated a UKT 1H26 into UKT 1F28s flattener into the last tap of the 28s. It worked like a charm, flattening from 21.5 to 18.8bps in a few day but we’ve since given back half that move and likely more to come if we’re right.

 

      1y1y SONIA vs UKT 1H26-1Q27 with SONIA shifted +40days… Correlation solid as one would expect. We like this micro-steepener as 1Q27 still look rich on the curve.

       

 

      I love this chart… Here’s the UKT 1H26-4Q27-1F28 fly vs 1F28 yields shifted +30days. We’ve been short the 4Q27s on this fly on and off since last summer but added most recently at about the +7.5-8.0bps level.  We can see that after the Sep delivery of the gilts contract, the 4Q27s lost their grip on the sector and as we progressed into Nov, the 1F28s were the primary driver of this fly. What this chart tells us is those who are hoping for a couple more basis points in this fly are really hoping for the 1F28s to catch fire again, NOT the 4Q27s to cheapen into falling out of the G M9 basket. Given our more bearish bias here, we’re advocating TAKING PROFITS on this fly here.

     

 

      I’ll call you to discuss…

 

      Mark

     

           

image009.jpg@01D28D1B.42BD95C0">

 

Mark Funsch

 

O:            +44 (0) 203 - 143 - 4177

M:            +44 (0) 789 - 996 - 4051

E:             Mark.Funsch@AstorRidge.com

W:            www.AstorRidge.com

UK:          14-16 Dowgate Hill, London UK EC4R 2SU

US:          245 Park Ave, 39^th Floor, NY, NY, 10167

 

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. 

 

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

 

 

EQUITIES SPECIAL :

I typically anticipated the next leg lower early, BUT that said watch stocks today.  MANY are re-testing their all-important 50 day moving averages.

This selloff isn’t over and the DAX has hit and failed its persistently reliable trend channel.

Trade ideas running and STILL time. 

Buy Dax      FEB 10400-10300 put spread @ 21.1  Now 8.0

Buy EStox   FEB 2900-2800     put spread  @ 12.7 Now  3.6

Buy Ftse     Mar 6600-6500     put spread @25.0   Now 23.5

Although no NEW monthly lows we haven’t rallied MUCH. It’s a matter of TIME before stocks head lower AGAIN!

Equities REMAIN very damaged goods! Europe is in a terminally bad way whilst the US is close to confirming the 10 year “RALLY” is over.

DAX page 2 remains OUTSIDE a significant and LONG STANDING channel.

Overall I still favour a MAJOR DROP and this weeks close is KEY. 

 

 

ASTOR RIDGE : Independent Ideas, Research, Liquidity, Anonymity and Trusted Experience.

 

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BBG: Brexit Bulletin: Unintended Consequences

BBG: U.K. Parliament Moves Closer to Stopping a No-Deal Brexit

BBG: Brussels Edition: The Other Plan B

BBG: There Actually Is a Brexit Consensus Among U.K. Voters

BBG:  EU Presses Ireland for No-Deal Brexit Border Plan, Source Says

BBG: How Brexit Could Spill Over Into EU Elections

 

FT: Europe can break the Brexit impasse (Bob Diamond)

FT: UK Brexit turmoil changes the tone of other EU opponents

BBC: Brexit: Delay is ‘most likely’ option, says former chancellor

BBC:  Brexit: Back to the backstop

TEL: Brexit latest news: Labour ‘highly likely’ to back plan to delay EU withdrawal

TEL: Brexit latest news: Eurosceptics urged to ‘swallow their pride’ and back Theresa May’s deal in order to save Brexit

Enjoy!

Mark

 

 

image009.jpg@01D28D1B.42BD95C0">

 

Mark Funsch

 

O:            +44 (0) 203 - 143 - 4177

M:            +44 (0) 789 - 996 - 4051

E:             Mark.Funsch@AstorRidge.com

W:            www.AstorRidge.com

UK:          14-16 Dowgate Hill, London UK EC4R 2SU

US:          245 Park Ave, 39^th Floor, NY, NY, 10167

 

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. 

 

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

 

 

 

 

From: GEORGE WHITEHEAD (ASTOR RIDGE LLP) At: 01/22/19 09:18:46

Subject: UK Index Linker 19th Dec 616 & 329..Now 604 & 3.21.More Tightening To Come

 

December 19th I pointed out UK Linker valuations ,especially Super-longs were stretched historically vs Equity Div Yd & on break evens the break even has narrowed to 3.215 & vs the FTSE100 div yd to 603,with the Treasury Funding minutes confirming the appetite for RPI debt has moved to 25 years I see the break even heading sub 2.90 & vs Equities back towards 550. Breakeven history back to 2014 below;

The history below FTSE100 Div yd vs UKTI 68 real yd:

This marketing was prepared by George Whitehead, 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

December 19th I pointed out UK Linker valuations ,especially Super-longs were stretched historically vs Equity Div Yd & on break evens the break even has narrowed to 3.215 & vs the FTSE100 div yd to 603,with the Treasury Funding minutes confirming the appetite for RPI debt has moved to 25 years I see the break even heading sub 2.90 & vs Equities back towards 550. Breakeven history back to 2014 below; The history below FTSE100 Div yd vs UKTI 68 real yd:

BBG: Brexit Bulletin: A Step to a Second Referendum 

BBG: Labour Calls for Vote That Could Trigger Brexit Referendum Rerun

BBG: May’s Brexit Plan B a ‘Disappointment,’ German Minister Says

BBG: May’s Brexit Plan B Still Keeps Her Dependent on Opposition Votes

BBG: U.K. Struggles to Deliver Services as Brexit Bites, Report Says

BBG: Brexit Is Making It Hard to Buy British Companies

BBG: May Won’t Rule Out Brexit Delay as U.K. Parliament Takes Control

BBG: Brexit Forces Equity, Foreign-Exchange Markets to Leave London

FT: Brexiters feel the heat as prospect grows of delay to EU departure

FT: Michel Barnier rebuffs UK attempt to renegotiate backstop plan

BBC: Brexit: MPs put forward rival plans to May’s deal

BBC: Brexit: Should Theresa May stick with her plan?

BBC: Brexit: Why are MPs putting forward amendments?

TEL: Jeremy Corbyn backs MPs’ plan to force a second referendum

TEL: A second referendum would be a disaster for Britain, but it’s where we’re heading

TEL: Sorry Leavers, but the managerial Deep State that runs Britain has officially killed off Brexit

 
 

image009.jpg@01D28D1B.42BD95C0">

 

Mark Funsch

 

O:            +44 (0) 203 - 143 - 4177

M:            +44 (0) 789 - 996 - 4051

E:             Mark.Funsch@AstorRidge.com

W:            www.AstorRidge.com

UK:          14-16 Dowgate Hill, London UK EC4R 2SU

US:          245 Park Ave, 39^th Floor, NY, NY, 10167

 

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. 

 

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