GLOBAL INVESTMENT STRATEGY, EXECUTION AND RISK MANAGEMENT FOR INSTITUTIONAL INVESTORS

Trade ideas beneath in Italy, Spain, France & Germany

Call me for more details –

+44 (0) 203 - 143 - 4178

Some thoughts for the week ahead in Europe

Monday 4^th – Friday 8^th June

Next week’s Supply and stuff

Week Ahead	Next Week
Tuesday,  Jun 05	Monday,  Jun 11
{AT} Austria 2028 & 2023 €1.15 Bln in total	{US} 3y, 10y
{GE} GE long linkers 2030, 2046	Tuesday,  Jun 12
{UK} 2023, £2.75 Bln	{US} 30y, Nether 5y
Wednesday,  Jun 06	Wednesday,  Jun 13
{GE} Germany 5y	{IT} IT 3y & 7y
Thursday,  Jun 07	{GE} GE 10y
EUREX Jun futures Last trade	Thursday,  Jun 14
{SP} Spain 21s, 23s, 28s	{US} UK 7y
{FR} France 28s, 29s, 31, 36s - €8 - 9 Bln
Friday,  Jun 08
Italy ann. Supply dets for 13th

 

 

Italy – gonna try not to opine too much but….

• Liquidity is patchy as Var has sky rocketed
• Saw stops going off in the front end, implying a default style curve scenario
• Curve has restored itself to a crudely, single, exponential functional form
• 10s15s and 10s30s still looks relatively flat given the move

 

*Italian yields are adjusted by adding the difference between swap spread and z-spread – to coupon adjust (not inclusive of default scenario)

 

Italy Trade Idea – looking for a renormalisation of the 10s20s (steepener) or re-flattening in 2s10s

• Buy IKU8 Sep futures (CTD – btps 4.75% 9/28)
• & Sell BTSU8 2y futures (CTD – Btps 0.2% 10/20)
• Curvature weighted

 

Trade mechanics

• Buy €25k IKU8 Futures (238 contracts)
• Sell €18,75k Btps 4% 2/37 (12,5MM) & Sell €6,25k BTSU8 Futures (243 contracts)

 

Trade BBG CIX & History

200 * (YIELD[BTPS 4.75 9/28 Corp] - 0.25 * YIELD[BTPS 0.2 10/20 Corp] - 0.75 * YIELD[BTPS 4 2/37 Corp])

 

Risks

• Further dislocations cause the segments in the curve to become uncorrelated and the components move against the trade

 

Spain Trade Idea  - Spanish 7s 10s steepener ahead of 10y supply

• Spain - Buy 7yr vs 10y

 

Trade mechanics

• Buy €100k Spgb 2.15% 10/25 (135MM) vs Sell €100k Spgb 1.4% 4/28 (109MM)
• @ -39bp
• Currently @ -38bp
• Target -42bp

 

Trade BBG History

 

Rationale

• Unlike other euro tap points – the Spanish ten year trades has stayed rich as tapping increases its size
• The 7 yr rolls down the steep curve to the 5yr sector
• 7s 10s is give 8bp vs German Z-spread curve,
• 5s 7s is give 27bp vs German Z-spread curve – see graph

 

 

Risks

• A prolonged rally in the Spanish credit causes a generic flattening in the Spanish curve
• A flattening in the core markets may have a knock-on effect of flattening into the Spanish curve

 

France Trade Idea  - France 10s30s box vs Germany – Flattener in France vs Germany

• Flattener 10s30s France vs Steepener 10s30s Germany

 

Trade mechanics

• Buy €50k Frtr 2% 5/48 (20MM) vs sell OATU8 (382 contracts)
• Sell €50k Dbr 1.25 8/48 (19MM) vs Buy RXU8 (343 contracts)
• @ +28bp
• Target +24bp

 

Trade BBG CIX & History

100 * ((YIELD[FRTR 2 5/48 Corp] - YIELD[FRTR 2.75 10/27 Corp]) - 1. * (YIELD[DBR 1.25 8/48 Corp] - YIELD[DBR 0.5 8/27 Corp]))

 

Rationale

• France trades at 25% steeper than the German curve on average across tenors
• In the 30 yr segment its usually steeper
• At the moment the generic relative steepness of the generic curve in France is at a recent high – 39%

See graph below of ratio of generic 10s30s France divided by 10s30s in Germany

(RV0004P 30Y BLC Curncy - RV0004P 10Y BLC Curncy) / (RV0002P 30Y BLC Curncy - RV0002P 10Y BLC Curncy)

 

Risks

• France continues to steepen vs Germany
• Without an excess of Steepener (approx 30% more in the German leg) we don’t capture the full expression of the fact that France is proportionally steeper than Germany

German Trade Idea  - German Buxl CTD drop out trade

 

Trade idea from Mark Funsch

• Sell current CTD to Buxl (UBM8 contract) to buy New Ctd Dbr 2.55 7/44 OR Back month Buxl contract (UBU8)

 

Trade mechanics

• Buy €50k Dbr 2.5% 44 (18,3MM) vs Sell €50k Dbr 3.25 7/42 (18,2MM)
• Target entry +6.75bp, on my radar
• Currently @ +6.6bp

 

Trade History

 

Trade Rationale

• The Dbr 3.25% 7/42 have richened coming into the expiry of the Jun UB contract
• On a fitted curve, adjusting for coupon (by using z-spreads) the 42/44 spread looks steep – see graph

 

Risks

• The 42 continue to stay bid after the roll process
• A squeeze in the front month contract causes the 7/42s to outperform
• Further generic steepening in the German 10s30s curve will remove the ‘edge of this trade at the current level, relative to the generic shape of the curve

I hope you’ve survived this week and look forward to speaking

 

 

James Rice

 

image001.jpg@01D21F13.B69A4950">

UK: 14-16 Dowgate Hill, London ec4r 2su

US: 245 Park Ave 39^th Fl, New York NY 10167

 

Office:   +44 (0) 203 - 143 - 4178

Mobile:  +44 (0) 754 - 011 - 7705

Email:     James.Rice@AstorRidge.com

Web:       www.AstorRidge.com

 

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. 

 

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

 

 

                             

BONDS UPDATE :

THE YIELD DROP MAY PAUSE for a breather BUT A QUICK GLANCE BACK TO ALL MONTHLY AND QUARTERLY CHARTS CONITNUES THE LONGTERM YIELD LOWER CALL.

US 5yr STILL VERY MUCH LOOKING FOR LOWER YIELDS.

 

The GERMAN yield DROP MAY have gotten TOO oversold in the short-term BUT overall sub the 0.466 will be terminal.

US yield charts CONTINUE to HIGHLIGHT SIGNIFICANT RSI YIELD dislocations, i.e. WAY too OVERBOUGHT historically. This dislocation is most prevalent in the 2, 5 and 10 year area, those RSI dislocations transpose over ALL chart durations. 

US CURVES continue to frustrate despite the LOW RSI’s.

•  
• 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 4174
• Mobile:  +44 (0) 7980708683
• Email:     chris.williams@astorridge.com
• Web:       www.AstorRidge.com
•  
• •             I provide our research notification below for your convenience:
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• •             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.
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• •            
• •             Chris

 

Bottom line: Italy is driving a bull-steepening of the EUR curve in forward space, which makes the pricing of the reversal bear-flattening trade attractive via mid-curve options.

 

Trade:
Buy EUR 995mm 1m2y1y mid-curve payer atmf (k=0.264%)
Sell EUR 120mm 1m10y10y mid-curve payer atmf (k=2.03%)
Premium take out of 0.7bp (indicative mid)

 

Atmf strike at 176.6bp vs 179.8 spot.

 

Rationale: The recent explosion of Italy risk has driven a bull-steepening of the EUR curve in forward space, as the dampening of ECB rate hike expectations outpaces yield moves at the long-end. It is therefore reasonable to anticipate that any relaxation of the stress surrounding the Italian political situation will provoke a general sell-off in rates and a re-flattening of the curve.

 

 

Clearly for the past 3m of history, the effect of the crisis has been much more marked for the 2y1y rate than 10y10y.

 

 

This kind of dynamic favours conditional curve trades: in the near term, any flattening of the 2y1y/10y10y spread should go hand-in-hand with a sell-off in rates. Similarly a further steepening should see rates rally further, putting payer swaptions out of the money. Currently the implied vol on 1m2y1y is 51bp/y compared to 58bp/y implied on 1m10y10y, which allows a zero (negative) cost structure. The downside is the 3bp of negative roll on the flattener.

 

Risks: The main risk is an exogenous event (eg Trump / China) which drives global rates higher. In that scenario, longer rates could sell-off while short end expectations remain muted ie: a bear-steepening of the curve. Currently Italy is centre-stage, and I expect that to be the driver for the next month, which is the main reason for such a short expiry.

 

What do you think?

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

 

EXTRA UPDATE :  BONDS AND EURO ..

Yesterday is now proving to be a good day for long bond reduction, many HIGH RSI’s and UPSIDE Bollinger pierces in evidence.

 

 

Generally flatten up on MOST bond longs in EUROPE as the VAP (VOLUME AT PRICE) charts highlight an OBVIOUS  period of illiquidity looming!

BUNDS a big VOLUME gap between 159.80 to 164.15!

 

 

The BIG picture still remains LOWER yields over all as we are back in the channel.

• ** Peopleimage001.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 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

are NOT discussing the liquidity issues yesterday when many “SYSTEMS” were turned OFF! **

Equities YET to show their hand but MANY still highlighting LONGTERM failure.

The last few weeks have been tough, we have ground higher despite many long-term charts being PARTICULARLY negative, especially the US.

The RSI’s remain HIGH and people are now “COMFORTABLE” being LONG.

The long-term US charts remain very negative whilst EUROPE’s negative outlook has been negated. Europe’s daily RSIs MATCH the January selloff so there is still SIGNIFICANT scope for FAILURE.

US quarterly charts LOOK TERMINAL still.

The NASDAQ IS NOW close to EMULATING the 2000 DROP (see page 16).

As mentioned I still fancy an old fashioned stocks DOWN bonds UP and bonds are HOLDING.

• 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 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

 

• The EURO is teasing short-term support 1.1554 BUT the greater target remains 1.1250.
• **Chart 2 gives a very MAJOR clue as to how BAD the longer term EURO DEMISE might be.**

EURO daily LOW RSI

 

 

• USD strength from here is ONLY JUST THE START.
• USD EM has seen many BLOW OUT scenarios but a TOP might be in for USD RUB and USD TRY.

    USD CAD has been a major call and bounced well, it now

    looks poised for its next bout of CAD weakness.

• 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 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. 
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• •             Many thanks,
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• •             Chris

 

BONDS UPDATE : REDUCE positioning in Germany.

German yields MAY pause here before heading lower AGAIN. US playing catch up.

The GERMAN yield DROP MAY have gotten TOO oversold in the short-term BUT overall sub the 0.466 will be terminal.

 

Daily yield low

 

 

 

US yields have finally followed EUROPE.

US yield charts CONTINUE to HIGHLIGHT SIGNIFICANT RSI YIELD dislocations, i.e. WAY too OVERBOUGHT historically. This dislocation is most prevalent in the 2, 5 and 10 year area, those RSI dislocations transpose over ALL chart durations. 

MOST quarterly and monthly BOND YIELD charts are close to confirming a LONGTERM YIELD failure, in a similar fashion to some EQUITY markets.

1. **German 10yr yields could soon confirm a MAJOR STALL see page 17 & 18.**
2. Although we have revisited the YIELD highs in many cases the RSI should draw yields lower today.
3. (US 5yr and UK 10yr). ALL durations are stretched, quarterly, monthly, weekly and daily… this is RARE!
4. UK yields have a LOFTY RSI and UKTI POISED to bounce. UK 10yr all eyes on a continued breach of  1.382 (10yr Gilts).

• image001.jpg@01D21F13.B69A4950">

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

 

**US YIELDS TO “DROP” INTO THE LONG WEEKEND AND THIS BE THE YIELD HIGH predicted by the long-term chart RSI’s.**

I have mentioned European yields to head lower for some time and NOW it looks like the US is FINALLY ready to JOIN.

US yields have been a REAL tease BUT no real statement levels have been breached so am looking for a SHARP reversal NEXT week and for the NEXT FEW WEEKS. This could be a KEY set of closes this WEEK, stops on futures BELOW this week’s lows.

 

US 2yr expectation is significantly over optimistic!

 

 

US 5yr, this will be a decisive close if back in the channel 2.7874.

 

 

 

 

 

 

• 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 4174
• Mobile:  +44 (0) 7980708683
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•  
• •             I provide our research notification below for your convenience:
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• •             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

 

 

 

Technical CONFRIMATIONS : Bond yields lower, stocks lower and USD strength for some time to come!

Bond yields lower for the next few years, especially in Germany.

Equities to fail HERE today for the foreseeable future.

The USD to continue to strengthen.

Below are a few charts that should highlight these views.

 

I have been calling yields lower based on SEVERAL quarterly charts with GERMANY a special case.

Yields in the US remain HIGH but the RSI’s are historically over stretched and predict EXPECTATION on rate rises to be over exaggerated.

It does feel that US yields will only drop when positioning has to EXIT, rather than rate expectations changes.

 

 

USD STRENGTH FOR THE FORSEEABLE FUTURE

 

• The USD has a lot of scope to head higher having hit a HIGHLY RARE 200 period moving average on the monthly charts.
• Sadly the RSI fails to add more CONVICTION.

 

 

 

EQUITIES HAVE BEEN QUIET BUT SHOULD STALL TODAY.

 

• US equities have shown a LAME performance of late with many long-term charts highlighting TERMINAL TOP formations.
• Europe has had a sizeable recovery but the DAILY RSI’s remain OVERBOUGHT.

 

• 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 4174
• Mobile:  +44 (0) 7980708683
• Email:     chris.williams@astorridge.com
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•  
• •             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

 

 

Trade Idea – Sell Italy 10y to buy Double Old 10y

Trade Mechanics

Sell €100k Btps 2% 2/2028 to Buy  €100k Btps 2.2% 6/27

 

Levels

Currently: @ -10.2 bp, (1.3bp per quarter)
Entry:    @ -10.2 bp
Target:  @ -12 bp
Add: @ -9.5 bp
Stop @ - 8bp

 

 

Trade History

BBG

 

Rationale

• Italian 9y to 10y segment is as flat as stronger credit markets – despite being almost twice as steep on average (XY scatter of Italian yields vs Germany, gradient = 1.88)
• We have Italian supply next Wednesday (30^th May) in the 5y and 10y
• The move is a function of the recent widening in Italy – looking at the ratio of the gradient of It/Ge, it seems a reasonable point to start to fade that move (notwithstanding suppl)

Cix: (RV0005P 10Y BLC Curncy - RV0005P 2Y BLC Curncy) / (RV0002P 10Y BLC Curncy - RV0002P 2Y BLC Curncy)

• German 6 month 10y roll value +6.8bp, ≈ 1.1bp per quarter

France 6 month 10y roll value +6.6bp, ≈ 1.1 bp per quarter

• Small coupon mismatch – avoids buying the cheaper higher coupons, which carry greater default cost (trade cheaper in widening spread environment)
• On relative Z-Spread – here’s how it looks
  

 

 

Speak soon

 

James

 

 

James Rice

 

image001.jpg@01D21F13.B69A4950">

UK: 14-16 Dowgate Hill, London ec4r 2su

US: 245 Park Ave 39^th Fl, New York NY 10167

 

Office:   +44 (0) 203 - 143 - 4178

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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. 

 

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