GLOBAL INVESTMENT STRATEGY, EXECUTION AND RISK MANAGEMENT FOR INSTITUTIONAL INVESTORS

Spain and France vs Germany – 10s30s

 

Spain Fwds vs Germany…

 

France Fwds vs Germany

 

 

France vs Germany in fwds….

France 10s30s fwd is represented by
(YIELD[FRTR 1.5 05/25/50 Corp] - 0.4 * YIELD[FRTR 0 11/25/31 Corp])

Germany 10s30s fwd is represented by
(YIELD[ZR097974 Corp] - 0.4 * YIELD[DE0001102564 Corp])

 

One minus the other is
((YIELD[FRTR 1.5 05/25/50 Corp] - 0.4 * YIELD[FRTR 0 11/25/31 Corp])) - ((YIELD[ZR097974 Corp] - 0.4 * YIELD[DE0001102564 Corp]))

And represents the general widening of back end France fwds vs Germany –

none the less a duration matched expression of the box Fr/Ge 10s30s – is less vulnerable to generic credit widening

 

 

 

Germany: 10s30s, outright and vs swaps
here's regression weighted RXH2 vs UBH2

 

And vs swaps – the location suggests the steepener in bonds is better than in swaps –

I like this last one - - seems to gap cheap obvs when swaps suddenly  see back end receiving and I think there's always a lower limit to how flat bond curves can be –

but v long swaps genuinely have more convexity – as margined products you can gamma hedge those moves and capture the convexity – long bond markets are capped it seems in how flat they can get

 

 

Btp 10y & 50y vs 15-20y

My pick would be

+ik / -old 15y / +old 50y

weights as per regression on changes:

+1.3 / -2 / +0.7

cix:
(+2.0*yield[BTPS 2.25 09/01/36 Govt ]-1.3 * yield[BTPS 1.65 12/01/30 Govt]-0.7 * yield[BTPS 2.8 03/01/67 Govt])*100

 

Graph…

 

Forwards (skipping the 20y & 30y)

This is key – a lot of our Gilt practitioners are scratching their heads as to why Gilt 2035s have done so badly – but in a week we get a new jan 2032 and without QE (in UK for sure) the discount for

New ten years will go on being significant for years to come – hugely so – Such that the 2035s surf into an area of large issuance  at very cheap levels without the sustenance of QE

I think this is a key point – so much so that I would be short HC German 2034 and Low coupon 2035s

Have fun -

Anything else I can help with – Will is putting together our Web Page on the rolls – will start to get interesting next week

 

James

 

 

 

 

 

James Rice

 

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

US: 60 Rumson rd, rumson, nj 07760

Office: +44 (0) 203 -143 - 4178

Mobile: +44 (0) 7540-117705

Email:  james.rice@astorridge.com

Website:  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

 

 

US BREAKEVENS : WE HAVE BEEN HERE BEFORE WITH US BREAKEVENS FORMING A “TOP”, HOWEVER THIS MONTH IS LOOKING MORE LIKELY.

IF WE FINALLY DO ACHIEVE THE APPROPRIATE CLOSES IT WILL BE A MASSIVE STATEMENT AND THESE HIGHS WONT BE SEEN FOR MANY YEARS.

THE RSI DISLOCATIONS HAVE BEEN FORECASTING THAT FOR SOME TIME.

*** IT REALLY IS ALL ABOUT THIS MONTHS CLOSES BEING WEAK, IF THEY ARE BEWARE .***

 

 

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

 

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• •             This marketing was prepared by Christopher Williams, a consultant with Astor Ridge.  It is not appropriate to characterize this e-mail as independent investment research as referred to in MiFID and that it should be treated as a marketing communication even if it contains a trade recommendation. A history of marketing materials and research reports can be provided upon request in compliance with the European Commission’s Market Abuse Regulation.  Astor Ridge takes no proprietary trading risk, has no market making facilities, and has no position in any security we discuss in this e-mail.  The views in this e-mail are those of the author(s) and are subject to change, and Astor Ridge has no obligation to update its opinions or the information in this publication. If this e-mail contains opinions or recommendations, those opinions or recommendations reflect solely and exclusively those of the author, and such opinions were prepared independently of any other interests, including those of Astor Ridge and/or its affiliates. This publication does not constitute personal investment advice or take into account the individual financial circumstances or objectives of the those who receive it. The securities discussed herein may not be suitable for all investors. Astor Ridge recommends that investors independently evaluate each issuer, security or instrument discussed herein, and consult any independent advisors they believe necessary. The value of, and income from, any investment may fluctuate from day to day as a result of changes in relevant economic markets (including changes in market liquidity). The information herein is not intended to predict actual results, which may differ substantially from those reflected. Past performance is not necessarily indicative of future results. 
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• •             You should not use or disclose to any other person the contents of this e-mail or its attachments (if any), nor take copies. This e-mail is not a representation or warranty and is not intended nor should it be taken to create any legal relations, contractual or otherwise. This e-mail and any files transmitted with it are confidential, may be legally privileged, and are for the sole use of the intended recipient. Copyright in this e-mail and any accompanying document created by Astor Ridge LLP is owned by Astor Ridge LLP. 
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• •             Astor Ridge LLP is Registered in England and Wales with Companies House:  Registration Number OC372185
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• •             Astor Ridge NA LLP is a member of the National Futures Association (NFA):  Firm ID Number 0499303
• •             Astor Ridge NA LLP is Registered in England and Wales with Companies House:  Registration Number OC401796
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• •             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.
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• •             Chris

 

 

BOND UPDATE : A VERY SIGNIFICANT MONTH END GIVEN WE NEED TO CLOSE BOND YIELDS AT THE MONTHS LOWS!

YIELDS CONTINUE TO "GRIND" LOWER AND THE 30YR HAS "REMAINED" SUB ALL MOVING AVERAGES.

** NEXT WEEKS THANKS GIVING VOLUMES COULD ASSIST THE CURRENT MOVE**.

THIS REALLY IS A DIFFICULT TRADING SCENARIO GIVEN THE CURVE FLATTENING WHICH  "SUPPORTED" BOND YIELDS LOWER HAS NOW BASED, WHILST BOND YIELDS STILL LOOK LIKE FALLING. IF WE SEE THE US 30 YR BREACH THE SUMMERS YIELD LOWS IT WILL BE A BLOODBATH.

A VERY TRICKY PERIOD AHEAD.

 

 

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

 

• 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:
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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.
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• •            
• •             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

 

 

UK BREAKEVENS : WE ARE HALF WAY THROUGH THE MONTH AND WE ARE “STILL” BUILDING SOME LONGTERM “TOPS”, IDEALLY WE CLOSE THE MONTH AT THE RECENT LOWS.

THE DAILY 30YR IS SUB ITS 50 DAY MOVING AVERAGE 3.601 AND POISED TO BREACH THE 100 DAY 3.4564. ALL PARTS OF THE CURVE NOW LOOK READY TO STALL BUT A KEY SET OF CLOSES THIS MONTH!

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

 

• 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

 

 

Have a good week

 

James Rice

 

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

US: 12 East 49^th Street, Suite 10-125, NY, NY, 10017

 

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

 

 

BOND UPDATE : YIELDS CONTINUE TO “GRIND” LOWER AND ARE NOW CLOSE TO A MAJOR BREACH ESPECIALLY THE 30YR.

IT IS REASONABLY EARLY IN THE MONTH SO THE PROGRESS LOWER NEEDS TO BE STEADY AND MEASURED.

**US 30YR YIELDS ARE “BACK” BELOW “ALL” MOVING AVERAGES! ALSO ALL EYES ON THE DAILY RSI’S AS THEY ARE BACK IN FOCUS.**

 

THIS REALLY IS A DIFFICULT TRADING SCENARIO GIVEN THE CURVE FLATTENING WHICH  “SUPPORTED” BOND YIELDS LOWER HAS NOW BASED, WHILST BOND YIELDS STILL LOOK LIKE FALLING. IF WE SEE THE US 30 YR BREACH THE SUMMERS YIELD LOWS IT WILL BE A BLOODBATH.

A VERY TRICKY PERIOD AHEAD.

 

 

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

 

• 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

 

 

UK BREAKEVENS : ALL EYES AGAIN ON THE 30YR UK MONTHLY CHART WE ARE ON THE VERGE OF BREACHING THE MULTI YEAR 61.8% RET 3.478, SUB THIS SHOULD BE A FREEFALL.

THE DAILY 30YR IS SUB ITS 50 DAY MOVING AVERAGE 3.5474 AND POISED TO BREACH THE 100 DAY 3.4481. THIS IS THE ONLY PART OF THE CURVE THAT LOOKS POISED TO STALL.

 

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

 

• 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.
• •            
• •            
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• •             I also direct you to our disclaimer on our email footer:
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Some thoughts – UKT dominating the vol in structures that I look at

 

James & Will

 

James Rice

 

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This marketing was prepared by James Rice, a consultant with Astor Ridge.  It is not appropriate to characterize this e-mail as independent investment research as referred to in MiFID and that it should be treated as a marketing communication even if it contains a trade recommendation. A history of marketing materials and research reports can be provided upon request in compliance with the European Commission's Market Abuse Regulation.  Astor Ridge takes no proprietary trading risk, has no market making facilities, and has no position in any security we discuss in this e-mail.  The views in this e-mail are those of the author(s) and are subject to change, and Astor Ridge has no obligation to update its opinions or the information in this publication. If this e-mail contains opinions or recommendations, those opinions or recommendations reflect solely and exclusively those of the author, and such opinions were prepared independently of any other interests, including those of Astor Ridge and/or its affiliates. This publication does not constitute personal investment advice or take into account the individual financial circumstances or objectives of the those who receive it. The securities discussed herein may not be suitable for all investors. Astor Ridge recommends that investors independently evaluate each issuer, security or instrument discussed herein, and consult any independent advisors they believe necessary. The value of, and income from, any investment may fluctuate from day to day as a result of changes in relevant economic markets (including changes in market liquidity). The information herein is not intended to predict actual results, which may differ substantially from those reflected. Past performance is not necessarily indicative of future results. 

 

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• More brutal moves this week, exacerbated by position unwinds
• Lagarde leading the dove-pack, saying that a move in the base rate is off the cards in 2022. BOE obviously wrong footed the market yesterday leaving rates unchanged. Message from the CBs is clear – they are going to do what they want. That said, who is going to buy all the bonds in Q1?
• Realistically, levels are pretty ambivalent right now. It's tempting to fade the rally in 30y Buxl, but with the supply drying up it's still going to be a wild ride into the Dec ECB meeting
• IK/Rx similarly not offering much here. With generic curves at 116 I don't think it's a fade until 110.00, and not least given the continued strength in credit and equities.
• So for now we will focus on supply:

 

 

Germany tapping the 8/31 on Wednesday in 3bn

 

• It's a cheap bond, but at the margin the 2/31 are cheaper in terms of pure RV, so we would need a more localized cheapening to be more interested.

 

 

 

• There is an argument to say that 10y looks good value based on the levels of forward rates, but  even vol weighted I think it is going to trade as a long end steepener, so not for the faint of heart.

 

 

 

Portugal tapping 10/31 and 4/37 in 1bn

 

 

• Portuguese politics have left the issuer under pressure this week, and by all accounts this can continue into the new year (elections on 30^th Jan 2022)

 

• BBG story here: https://blinks.bloomberg.com/news/stories/R1YFRRDWRGG0

 

• Portuguese spreads to Spain remain rich, even if the have cheapened recently:

 

 

• On a more bond-specific basis the 34s are rich and off the run. No doubt there is a PEPP short to clear in the dealer market, but we see no value in them.
• The 31s on the other hand have had a decent cheapening. I would put the roll on above 15.5, but it would be for a quick correction as if we did get election related widening then it's most likely the 10/31 that would get sold
•  
• Portugal 10y roll:

 

 

 

Ireland tapping bonds on Thursday

• Bonds TBA Monday morning. If I had to guess I'd say 5/35s and possible the Green 3/31s?
• Ireland had a fantastic cheapening into the last supply, so fingers crossed we see the same again on Thursday.
• In the meantime for anyone still looking at short French structures then the recent richening of FRTR 5/30 has left us this little amuse-bouche:

 

Sell FRTR 5/30 -> IRISH 10/30 – levels could get even better into supply on Thursday

 

 

 

Last, but by no means least we have Italy on Thursday in 3y, 7y & longs

 

• As per the Q4 issuance program we will get a new 3y & 7y before year end. It makes sense given the outstandings that we will get the new 7y (2/29) next week, followed by the 3y in Dec.
• Best guess the size will be 4bn and assuming 2bn for the 8/24 (final tap) I think we probably only get an off-the-run long end bond

 

BTPS 2/29 pricing:

 

 

 

• Using a roll vs 7/28 of +10 basis points the 2/29 would appear pretty cheap in pure RV terms. Obviously all the on the run bonds have some discount, but I think this should put pressure on the 8/29 & 8/30 as we head into the pricing. IK also looks cheap here, so ahead of the auction I want to

 

 

• Sell 8/30 basis

 

 

• Sell 8/29 basis

 

 

 

• Then turn this trade into a fly closer to the auction. If the supply is sloppy then our shorts should steepen. If supply goes really well then even if we don't buy the new 7y we should see IK (Dec-28) correct richer. Obviously we need to see where the new 7y roll starts trading in WI anyway

 

BTPS 8/24

 

• It's cheap, and they are going to stop tapping it. Plus it should end up being a pretty small issue (sub15bn) I like the simple steepener 8/24 vs 2/25
• Granted the front end of Italy is a mess. The 23s distort everything and ALL the 24s are cheap.
• BUT the new 3y in Dec will be a 12/24 which will 1) Come with a discount like all the rest of the 3y paper and 2) Kinda has to pressue the 2/25 as the only low coupon bond in the area

 

 

 

Buy BTPS 8/24 vs BTPS 2/25

 

 

 

 

 

 

 

 

 

 

Will Scott

 

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This research was prepared by Will Scott.  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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US BREAKEVENS : IF UK BREAKEVENS FAIL THEN HERE WOULD BE A GOOD PLACE FOR THE US TO STALL, ESPECIALLY THE 30YR AS IT IS AGAINST 76.4% RET 2.3660 RESISTANCE.

 

ANOTHER MARKET THAT IS "POISED" TO MAKE A MASSIVE STATEMENT, WE ARE ON THE VERGE OF SOME MAJOR LONGTERM TOPS!

*** ALL EYES ON THE US 30YR AS IT CONTINUES TO TEASE THE 200 DAY MOVING AVERAGE 2.2258.***

 

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

 

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• •             You should not use or disclose to any other person the contents of this e-mail or its attachments (if any), nor take copies. This e-mail is not a representation or warranty and is not intended nor should it be taken to create any legal relations, contractual or otherwise. This e-mail and any files transmitted with it are confidential, may be legally privileged, and are for the sole use of the intended recipient. Copyright in this e-mail and any accompanying document created by Astor Ridge LLP is owned by Astor Ridge LLP. 
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• •             Astor Ridge LLP is regulated by the Financial Conduct Authority (FCA):  Registration Number 579287
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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.
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• •             Chris