GLOBAL INVESTMENT STRATEGY, EXECUTION AND RISK MANAGEMENT FOR INSTITUTIONAL INVESTORS

Quick UK Rundown...

> Usual 2-day APF/supply hiatus will be spent looking abroad. What will the ECB do (if anything) and what will demand be like at today's 30yr tap after a lukewarm 10yr auction and a well-attended 20y-30y Fed buyback yesterday?

> We've got another round of 'GILTS CURVE ROULETTE' today. Yesterday we had a bull steepening led by 3y-5y for most of the day and Tuesday was a bit of position-squaring after a solid 41s tap.
> TODAY we're opening with a bullish bias (on light volumes) with the 10yr sector leading the way. The chart below shows it's been a LONG while since we've seen the 0E26-4T30-4H34 fly muster any momentum richer so this is worth keeping an eye on.

 

> Next week is the last 'real' supply week this FY with taps of the 0E24s and 1F54s on Tues and 0F35s on Wed. (1T49s tap Mar 23 closes out the month for conventionals).

> As noted yesterday, we like the 0R30-4H34 steepener here.
We also think the 1F54s are on the cheap side on a micro-basis and don't expect them to be tapped next qtr. Check out the 1Q41-1T49-1F54 fly - at its richest levels following the recent flattening move and 1T49s tap soon.

> Lastly, 0F35s have cheapened up on the curve enough to warrant some attention. They WILL be tapped next qtr (2-3X) after next week and the last 2 taps were mediocre at best. That said, UKT 35-50s is at its flattest at 17bps, almost 8bps flatter since Feb 24th, 3/4 of the 30-50s sprd move. A 'safer' steepener could be vs 1T49s, 0S46s or 3H45s where charts look the same, just a smaller gap.

            UKT 35-49s

           

> For those who want to stick with the flattener bias, the 4T30-0F35-1Q41 fly is back to +21bps (vs +22 wides) despite having an embedded flattening bias (short leg +35, back +14).

            30-35-41 fly cheap relative to 30-50s sprd

 

            More to come!

 

            Mark

 

 

 

 

Mark Funsch

 

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

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

E:             Mark.Funsch@AstorRidge.com

W:            www.AstorRidge.com

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

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

 

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

 

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

 

Astor Ridge LLP is regulated by the Financial Conduct Authority (FCA):  Registration Number 579287

Astor Ridge LLP is Registered in England and Wales with Companies House:  Registration Number OC372185

Astor Ridge NA LLP is a member of FINRA/SIPC:  CRD Number 282626

Astor Ridge NA LLP is a member of the National Futures Association (NFA):  Firm ID Number 0499303

Astor Ridge NA LLP is Registered in England and Wales with Companies House:  Registration Number OC401796

 

Quick ECB Mtg Preview:

> Riddle me this: How does the ECB keep EGB yields in check while their staff projections for inflation are revised higher, reflecting the sharp rise in inflation breakevens?

The answer is: They don't.

> The majority of the pundits we follow expect the ECB to maintain their 'benign neglect' PEPP policy that's been in place this year, promising to step in when needed but doing little in reality.

 

Nice chart borrowed from our friends at RBC:

 

> As we can see from the charts below, 2yr OATs B/Es have risen ~150bps since early Nov '20 to 91bps (from the lows) which still implies sub 1% inflation rates. Compared to the US's 2.64% reading, Europe's pretty tame. Even the 5y5y EUR inflation swap reading at 1.44%, while at its highest since mid 2019, is still well below levels that prevailed for most of '17-early '19. So, even if the staff forecasts say another 50bp will be tacked onto inflation in the next forecast horizon, that's not such a big deal on a global basis.

> What WILL be tough to justify, however, is the growing gap between core EGB yields and these inflation #s. The chart below of 5y5y inflation vs 10yr DBR yields shows DBR yields finally turning higher in 2021 (after ignoring B/E moves in 2020) but the gap is still a good deal wider than it was for most of the last 5yrs.

> If this inflation move is deemed justified by improving fundamentals and is demand-led, then the ECB should maintain their current stance and let nature take its course.

The question is whether we'll get some showers or another Jan-Feb hurricane.

 

 

           

 

More to come…

 

Mark

 

 

 

 

Mark Funsch

 

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

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

E:             Mark.Funsch@AstorRidge.com

W:            www.AstorRidge.com

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

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

 

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

 

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

 

Astor Ridge LLP is regulated by the Financial Conduct Authority (FCA):  Registration Number 579287

Astor Ridge LLP is Registered in England and Wales with Companies House:  Registration Number OC372185

Astor Ridge NA LLP is a member of FINRA/SIPC:  CRD Number 282626

Astor Ridge NA LLP is a member of the National Futures Association (NFA):  Firm ID Number 0499303

Astor Ridge NA LLP is Registered in England and Wales with Companies House:  Registration Number OC401796

 

FX UPDATE : THE USD IS HOLDING AND IN SOME CASES BOUNCING SO IT IS TIME FOR BONDS TO FOLLOW SUIT. EVENTUALLY BONDS WILL GET THE MESSAGE AS TECHNICALLY THEY SHOULD RALLY.

TOO MANY GOOD LEVELS ARE HOLDING.

ALL CROSSES HAVE FALLEN SHY OF THE MAJOR "FREE AIR" LEVELS, KEY LEVELS HAVE HELD.

IF THE USD HOLDS THEN BOND YIELDS SHOULD 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.
• •            
• •            
• •            
• •             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

 

 

 

                Morning

 

                Movers & Shakers

                A quick run through of some of the bonds that have moved a lot – not necessarily new risk, but also taking stuff off that may have worked

France

Frtr Nov30 basis looking cheap

Straight yield spread vs OATA ctd Frtr May30

+7.1bp – switch futures into the value Nov30 – still feel it has to go off the run soon

 

                Also am seeing Frtr May28 cheapen – locally not quite enough in it – I'd go flat if short – it has a coupon which makes it a little cheaper than some of the richer 0% coupon bonds nearby

 

                But not quite buying it yet

Italy

 

1)
Moving High Coupon, non-deliverable Btps Feb33 back into Btps Sep33
On Z-spread…

 

 

            2)

            Selling old 5y Feb26 into the Jun26 – cheap as the current 5y without the tap risk and better coupon – curve steep

 

On Z..

 

 

Green Dbr Aug30 trading 4.5bp through the regular  Dbr Aug30 - rich

           

 

Buying non-deliverbale German Basis (2yr) , Dbr Feb23…

 

EUSA – swaps

15y cheap after al the issuance there…. Rcv the belly vs 10y and 20y

(2 * EUSA15 Curncy - EUSA10 Curncy - EUSA20 Curncy) * 100

 

 

Belgium

I really like HC Bgb 41s – but they have done really well, as there was hidden value in them there high coupons!

 

Taking a bit off and moving back up the curve into BGB low coupon 30y 2050s

 

 

Nether

– getting closer but not quite there to shortening up for very low give relative to swaps and for example Germany – Nether curve is always too flat – but at its extreme I love fading that
Selling Nether jul26 into Nether jan24 – still about a bp away from having strong. Intrinsic value vs other curves but starting to get intersting

 

On Z – sell nether jul26 to buy nether 1/24 – probably need another 0.5 – 1bp – to get involved

 

Same with -Nether 42 into Nether 33s or even Nether 31s – we're just a couple away from doing that same steepener vs other curves – you can almost beat the German curve – which seems to be where the Nether curve stops flatenning

 

Ireland

Irish 31s vs 33s is working slowly – am leaving that there as a steepener – with all the 15y issuance I think the irish 33s and 35s are having a delayed reaction and should keep cheapening vs 10y – on credit they're a touch rich and we have supply tomorrow in 10y and 30y tommorow – short ireland 33s or 35s vs receiving… - that's got a fistful of bp in it , is my sense

 

Should be +3-4bp over swaps not -1.5bp – but we respect history…

 

Have fun

Will & James

 

 

 

 

 

 

 

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 : US YIELDS “FINALLY” LOOK READY TO STALL! US 30YR YIELDS HAVE NOW SPENT 3 WEEKS FAILING THEIR MULTI YEAR 61.8% RET 2.4065.

US 30YR YIELDS HAVE FAILED A KEY 61.8% RET 2.4065 ASSISTED BY A LOFTY RSI (PAGE 6).

US BOND AND SWAP CURVES CONTINUE TO “SCREAM” FOR A MAJOR FLATTENING GIVEN THE HISTORICAL RSI DISLOCATION. THE OTHER POINTER IS THE 102030 SWAP CURVES CONTINUES TO INDICATE THE 20YR IS “OUT OF LINE” WITH THE WINGS!

I HAVE INCLUDED THE FUTURES VOLUME CHARTS AS THEY HIGHLIGHT THE EXCEPTIONAL VOLUMES ROLLED, PRETTY MUCH INCREASED CTA SHORTS AS WELL DOCUMENTED.

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

 

 

STOCKS : SINGLE STOCKS REMAIN THE BIGGEST CONCERN AS MANY CLOSED WEAK. THIS TECHNICALLY REMAINS THE DRIVER FOR A BOND RALLY!

SINGLE STOCKS ARE THE BIGGEST CONCERN AS MANY OPENEND AT YESTERDAYS LOWS.

WE ARE FORMING SOME VERY LONGTERM TOPS!

THE SINGLE STOCKS ARE MORE OF A CONCERN AS THERE IS SO MUCH OF A MISREPRESENTATION IN SOME OF THE VALUATIONS.

THE MOVE LOWER IN BOND YIELDS IS PREDICTED TO BE VERY SIZEABLE SO THIS WOULD IMPLY THE SAME FOR THE STOCK SELL-OFF.

THE RUSSELL WEEKLY CHART HAS A VERY DISLOACTED RSI SIMILAR TO EARLY 2020.

"THE MOST WIDELY HELD STOCKS AT MUTUAL AND HEDGE FUNDS IN 4Q 2020 WAS MICROSOFT, AMAZON AND FACEBOOK". ALL OBVIOUSLY VERY OVER EXTENDED.

TESLA, AMAZON AND APPLE ARE WORTH MORE THAN THE FINANCIALS, ENERGYAND METALS SECTORS COMBINED.

 

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

 

 

 

 

Some things in Europe that we're looking at in the forthcoming week

 

 

 Thematically we're looking to trade the 'bounce' in FI – We do feel that the paradigm has changed and that the US economy will be allowed to run hot. So we think we'll see a very delayed reaction function from the FED and steeper forwards, further out the curve.

 

This is widely telegraphed – we're unlikely to find this theme for free – what we may find is the reverse, where the market reflects too much of the opposite. Specifically, if I can find forward curves that are very steep and then flat, it indicates an extreme outcome that's unlikely. Namely; Jacking rates sky high and then pausing. More likely this won't happen either and it presents itself as a spill-over from de-leveraging rather than feasible expectations

 

Trade

Buy Dbr 31

Sell Old Dbr 7y and Old Dbr 15y

 

Drop us a line for best issue selection

 

German forwards (actual, bond-specific)

*Bonds adjusted on yield to make them Par-Bonds equivalent as per BBG expo spline

 

 

So here's a great location where we can do the 7y3y or the 9y1y almost flat to the long term forwards – 10y5y and longer

 

It's telling us that the 10y point is oversold, which makes total sense as a liquidity point given the recent, rapid rise in yields

Cix: 200 * (yield[DBR 0 02/15/31 Govt]-0.6*yield[DBR 0.25 08/15/28 Govt]-0.4*yield[DBR 0 05/15/35 Govt])

 

 

Has it gone too far?...

The easy way is to look at the same cix vs swaps (in this case Z spread will suffice as a metric)

Cix: 2 * (SP208[DBR 0 02/15/31 Corp] - 0.6 * SP208[DBR 0.25 08/15/28 Corp] - 0.4 * SP208[DBR 0 05/15/35 Corp])

 

It is exaggerated

 

Current lvl: +4.6bp
Entry: here (33% risk) – we like this one

Add: +5.5bp (67% risk) where vs swaps it's truly got plenty of 'edge'

 

Supply:

7y (New) 27 April

10y taps March 24 and April 21

15y March 31 and April 28

 

Carry: Flat (@-5bp repo spread)

Roll: +0.3 bp /3mo

 

The regression on the two wings is low <0.1 using bonds with a longer history – we would expect this over periods when curvature is dislocated – but it is worth bearing in mind that the two spreads can be uncorrelated. And reconnection can happen when the forwards present an unlikely path for expectations

 

Same applies…

 

France

Buy Frtr Nov 2030

Sell Frtr Nov26 and Frtr May36

 

Curr Level: +5.5bp (50% risk)
Add Level: +6.75bp (50% risk)

 

Cix: 200 * (yield[FRTR 0 11/25/30 Govt]-0.5*yield[FRTR 0.25 11/25/26 Govt]-0.5*yield[FRTR 1.25 05/25/36 Govt])

It has edge to swaps..
cix: 2 * (sp210[FRTR 0 11/25/30 Govt]-0.5*sp210[FRTR 0.25 11/25/26 Govt]-0.5*sp210[FRTR 1.25 05/25/36 Govt])

Sp210 = spread to MMS

We're using this metric more and more in the swash out. Let's only select the structures that have moved above and beyond the generic moves in curvature

 

Supply:

Frtr 2030 after this week is a 45bln issue – we would expect this to go off the run soon – the prior 10y (Nov29) got to 40Bln in size

Short Tenor supply on the 18^th March, TBA 12^th March

 

European Union – EU sure bonds
Long 20y, Short 30y steepener

vs MMS

 

Supply expected soon: Tenor unknown

Graph:

EU 30y minus 20y vs MMS

cix: (SP210[EU 0.3 11/04/50 Corp] - SP210[EU 0.1 10/04/40 Corp])

 

 

On the Graph of yield spreads with Germany as the baseline, the heaviest inversion is in the Swap Curve – there are some very idiosyncratic reasons for this, that arise from receiving in the back end to the funding nature of the reset process

 

As loose boundary condition, we think the most inverted a Bond curve should be in long tenors is equal to that of the Swap curve.

 

            For any larger issuer, 20s30s generally stops forwards being inverted – because they all need to extend the maturity of their debt profile, to kick the recovery-can down the round in a low rate environment

 

            So we're just 8bp away from being as Flat as swaps and on a historical low, with the prospect of a supply announcement in EU coming soon – RFP sent last week

 

 

On Monday night, the Tesoro will announce next Thursday's 'Medio y Lungo' supply  - typically a regular 3y and 7y but the prospect of some longer issuance is always there – possibly 30y?

 

Buy old 20y Btps

Vs 15y and 30y

 

Level: -7.5bp

Target: -12.5bp

 

 

This week's new  Btps Green 25y did very well going from +12bp over the 20y to +9.75bp and from the chart it looks rich – notwithstanding green premium

 

On Forwards & Anomaly we now see 15y and 30y as rich and 20y (specifically the old 20y) as cheap

 

Graph of Cash-flow discounted anomalies in Italy

*Bonds adjusted on yield to make them Par-Bonds equivalent as per BBG expo spline and the fitted curve is subtracted

 

 

Bloomberg History

Cix: 2 * (YIELD[BTPS 3.1 03/01/40 Corp] - 0.5 * YIELD[BTPS 1.45 03/01/36 Corp] - 0.5 * YIELD[BTPS 1.7 09/01/51 Corp]) * 100

 

We see the Italian curve as slightly steep on regression so we have sympathy with buying a bullet and selling wings in the long end – which can be favoured by a flatter curve

 

Btps 10s30s on regression…

Slope: 0.76 (derived from regressing differences Mar30/Sep50 1y data)

 

 

 

Tuesday sees a tap of the Nether Jan27s – 2.5Bln

 

The bond looks very dislocated vs its predecessor Nether Jul26

 

Normally we would look at anomalies this tight as this but the spread minus the friction divided by the var suggest it still has potential if we work with a dealer

 

Here's European Z-Spreads over Germany – with Eonia also (assumed zero z-spread value)

 

Trade

-Nether 26 +Nether 27

Vs small +oe/rx

 

 

 

                And to keep friction low we've looked at hedging it with 10% +OE/-RX

 

                100*((yield[NETHER 0 01/15/27 Govt ]-yield[NETHER 0.5 07/15/26 Govt ])-0.1*(yield[DBR 0 02/15/30 Govt ]-yield[DBR 0.5 02/15/26 Govt ]))

 

                Trade started to turn on Friday as the market noticed this anomaly after sifting through the wreckage of the last few weeks. It seems to have further to go based on its intrinsic value – no point looking at the history to tell what it's worth

 

                We're hoping to get this on back @  > +3bp over supply. But it does have intrinsic value all the way to 0bp which should give it a decent chance at normalising past the historical distribution. I feel I want to have some on

 

     

 

               

                Irish credit looks rich both var adjusted and in absolutes vs other Euro names

 

                Sell Irish 35s

                Vs buy France and Spain 15y

 

                Supply prospect – Ireland March 11^th - TBA

 

                cix: 100 * (YIELD[IRISH 0.4 05/15/35 Corp] - 0.5 * YIELD[FRTR 1.25 05/25/36 Corp] - 0.5 * YIELD[SPGB 1.85 07/30/35 Corp])

     

               

 

                We always look for fundamental, intrinsic value in our trades – before looking in the rear view mirror to see how it traded

 

                Firstly here's euro Credits with Germany as the baseline – the recent new 2036, 15y in Germany has accentuated how some Euro 15years now look rich

 

                Z-spread to interpolated Germany vs Credit Score (*credit score derived from both Rating and Outlook)

               

 

Now, normally we wouldn't advocate selling a smaller Issuer like Ireland that benefits from the capital key and small issuance. The Pepp reduces the variance in these smaller credits making them trade like better names. If we normalise the Spread to Germany by the spread volatility we can see if even after spread compression from Asset Purchase buying, the credit still looks rich…

 

 

 

 

               

 

 

                UK

 

                Long HC Ukt 32

                Short old ten yr and short HC 34s

 

                High coupons cheap in the steep curve – 32s ultimately the CTD

 

                200 * (YIELD[UKT 4.25 06/07/32 Corp] - 0.5 * YIELD[UKT 0.375 10/22/30 Corp] - 0.5 * YIELD[UKT 4.5 09/07/34 Corp])

     

 

                UKT anomalies using UK Zero curve build

 

                When we discount cashflows using a proper zero curve, rather than shifting Sonia (z-spread method) we get a much more accurate depiction and explanation of value in the UKT curve. Of course very few high coupons are genuinely rich and in fact some are glaringly cheap such as the UKT 32s – and their value is even greater in a steep curve

 

               

 

               

               

 

               

 

From Last week

 

                Long Dbr 35s

vs Short RX (feb30) and Short UB (aug46)

Continuation
Working – moving shorts towards Dbr 42

 

200 * (YIELD[DBR 0 05/15/35 Corp] - 0.5 * YIELD[DBR 0 02/15/30 Corp] - 0.5 * YIELD[DBR 2.5 08/15/46 Corp])

                                Long Dbr 35s

vs Short RX (feb30) and Short UB (aug46)
– curvature was added which we can see on this graph

 

Belgium 47s vs Buxl and Btps 44s
cix: 100 * (YIELD[BGB 1.6 06/22/47 Corp] - 0.8 * YIELD[DBR 2.5 08/15/46 Corp] - 0.2 * YIELD[BTPS 4.75 09/01/44 Corp])

Came in from high 20s

 

 

Ragb vs France
(YIELD[RAGB 0 02/20/2030 Corp] - YIELD[FRTR 2.5 05/25/30 Corp]) * 100

In slightly – vol adjusted we still prefer Austria as a credit vs France

 

 

 

                As always, have a fantastic week

 

                Will and James

 

 

 

 

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

 

 

 

Some things in Europe that we're looking at in the forthcoming week

 

 

 Thematically we're looking to trade the 'bounce' in FI – We do feel that the paradigm has changed and that the US economy will be allowed to run hot. So we think we'll see a very delayed reaction function from the FED and steeper forwards, further out the curve.

 

This is widely telegraphed – we're unlikely to find this theme for free – what we may find is the reverse, where the market reflects too much of the opposite. Specifically, if I can find forward curves that are very steep and then flat, it indicates an extreme outcome that's unlikely. Namely; Jacking rates sky high and then pausing. More likely this won't happen either and it's there as a spill-over from de-leveraging rather than feasible expectations

 

Trade

Buy Dbr 31

Sell Old Dbr 7y and Old Dbr 15y

 

Drop us a line for best issue selection

 

German forwards (actual, bond-specific)

*Bonds adjusted on yield to make them Par-Bonds equivalent as per BBG expo spline

 

 

So here's a great location where we can do the 7y3y or the 9y1y almost flat to the long term forwards – 10y5y and longer

 

It's telling us that the 10y point is oversold, which makes total sense as a liquidity point given the recent, rapid rise in yields

Cix: 200 * (yield[DBR 0 02/15/31 Govt]-0.6*yield[DBR 0.25 08/15/28 Govt]-0.4*yield[DBR 0 05/15/35 Govt])

 

 

Has it gone too far?...

The easy way is to look at the same cix vs swaps (in this case Z spread will suffice as a metric)

Cix: 2 * (SP208[DBR 0 02/15/31 Corp] - 0.6 * SP208[DBR 0.25 08/15/28 Corp] - 0.4 * SP208[DBR 0 05/15/35 Corp])

 

It is exaggerated

 

Current lvl: +4.6bp
Entry: here (33% risk) – we like this one

Add: +5.5bp (67% risk) where vs swaps it's truly got plenty of 'edge'

 

Supply:

7y (New) 27 April

10y taps March 24 and April 21

15y March 31 and April 28

 

Carry: Flat (@-5bp repo spread)

Roll: +0.3 bp /3mo

 

The regression on the two wings is low <0.1 using bonds with a longer history – we would expect this over periods when curvature is dislocated – but it is worth bearing in mind that the two spreads can be uncorrelated. And reconnection can happen when the forwards present an unlikely path for expectations

 

Same applies…

 

France

Buy Frtr Nov 2030

Sell Frtr Nov26 and Frtr May36

 

Curr Level: +5.5bp (50% risk)
Add Level: +6.75bp (50% risk)

 

Cix: 200 * (yield[FRTR 0 11/25/30 Govt]-0.5*yield[FRTR 0.25 11/25/26 Govt]-0.5*yield[FRTR 1.25 05/25/36 Govt])

It has edge to swaps..
cix: 2 * (sp210[FRTR 0 11/25/30 Govt]-0.5*sp210[FRTR 0.25 11/25/26 Govt]-0.5*sp210[FRTR 1.25 05/25/36 Govt])

Sp210 = spread to MMS

We're using this metric more and more in the swash out. Let's only select the structures that have moved above and beyond the generic moves in curvature

 

Supply:

Frtr 2030 after this week is a 45bln issue – we would expect this to go off the run soon – the prior 10y (Nov29) got to 40Bln in size

Short Tenor supply on the 18^th March, TBA 12^th March

 

European Union – EU sure bonds
Long 20y, Short 30y steepener

vs MMS

 

Supply expected soon: Tenor unknown

Graph:

EU 30y minus 20y vs MMS

cix: (SP210[EU 0.3 11/04/50 Corp] - SP210[EU 0.1 10/04/40 Corp])

 

 

On the Graph of yield spreads, with Germany as the baseline the heaviest inversion is in the Swap Curve – there are some very idiosyncratic reasons for this that arise from receiving in the back end to the funding nature of the reset process

 

As loose boundary condition we think the most inverted a Bond curve should be in long tenors is equal to that of the Swap curve.

 

            For any larger issuer, 20s30s generally stops forwards being inverted – because they all need to extend the maturity of their debt profile, to kick the recovery-can down the round in a low rate environment

 

            So we're just 8bp away from being as Flat as swaps and on a historical low, with the prospect of a supply announcement in EU coming soon – RFP sent last week

 

 

On Monday night, the Tesoro will announce next Thursday's 'Medio y Lungo' supply  - typically a regular 3y and 7y but the prospect of some longer issuance is always there – possibly 30y?

 

Buy old 20y Btps

Vs 15y and 30y

 

Level: -7.5bp

Target: -12.5bp

 

 

This week's new  Btps Green 25y did very well going from +12bp over the 20y to +9.75bp and from the chart it looks rich – notwithstanding green premium

 

On Forwards & Anomaly we now see 15y and 30y as rich and 20y (specifically the old 20y) as cheap

 

Graph of Cash-flow discounted anomalies in Italy

*Bonds adjusted on yield to make them Par-Bonds equivalent as per BBG expo spline and the fitted curve is subtracted

 

 

Bloomberg History

Cix: 2 * (YIELD[BTPS 3.1 03/01/40 Corp] - 0.5 * YIELD[BTPS 1.45 03/01/36 Corp] - 0.5 * YIELD[BTPS 1.7 09/01/51 Corp]) * 100

 

We see the Italian curve as slightly steep on regression so we have sympathy with buying a bullet and selling wings in the long end – which can be favoured by a flatter curve

 

Btps 10s30s on regression…

Slope: 0.76 (derived from regressing differences Mar30/Sep50 1y data)

 

 

 

Tuesday sees a tap of the Nether Jan27s – 2.5Bln

 

The bond looks very dislocated vs its predecessor Nether Jul26

 

Normally we would look at anomalies this tight as this but the spread minus the friction divided by the var suggest it still has potential if we work with a dealer

 

Here's European Z-Spreads over Germany – with Eonia also (assumed zero z-spread value)

 

Trade

-Nether 26 +Nether 27

Vs small +oe/rx

 

 

 

                And to keep friction low we've looked at hedging it with 10% +OE/-RX

 

                100*((yield[NETHER 0 01/15/27 Govt ]-yield[NETHER 0.5 07/15/26 Govt ])-0.1*(yield[DBR 0 02/15/30 Govt ]-yield[DBR 0.5 02/15/26 Govt ]))

 

                Trade started to turn on Friday as the market noticed this anomaly after sifting through the wreckage of the last few weeks. It seems to have further to go based on its intrinsic value – no point looking at the history to tell what it's worth

 

                We're hoping to get this on back @  > +3bp over supply. But it does have intrinsic value all the way to 0bp which should give it a decent chance at normalising past the historical distribution. I feel I want to have some on

 

     

 

               

                Irish credit looks rich both var adjusted and in absolutes vs other Euro names

 

                Sell Irish 35s

                Vs buy France and Spain 15y

 

                Supply prospect – Ireland March 11^th - TBA

 

                cix: 100 * (YIELD[IRISH 0.4 05/15/35 Corp] - 0.5 * YIELD[FRTR 1.25 05/25/36 Corp] - 0.5 * YIELD[SPGB 1.85 07/30/35 Corp])

     

               

 

                We always look for fundamental, intrinsic value in our trades – before looking in the rear view mirror to see how it traded

 

                Firstly here's euro Credits with Germany as the baseline – the recent new 2036, 15y in Germany has accentuated how some Euro 15years now look rich

 

                Z-spread to interpolated Germany vs Credit Score (*credit score derived from both Rating and Outlook)

               

 

Now, normally we wouldn't advocate selling a smaller Issuer like Ireland that benefits from the capital key and small issuance. The Pepp reduces the variance in these smaller credits making them trade like better names. If we normalise the Spread to Germany by the spread volatility we can see if even after spread compression from Asset Purchase buying, the credit still looks rich…

 

 

 

 

               

 

 

                UK

 

                Long HC Ukt 32

                Short old ten yr and short HC 34s

 

                High coupons cheap in the steep curve – 32s ultimately the CTD

 

                200 * (YIELD[UKT 4.25 06/07/32 Corp] - 0.5 * YIELD[UKT 0.375 10/22/30 Corp] - 0.5 * YIELD[UKT 4.5 09/07/34 Corp])

     

 

                UKT anomalies using UK Zero curve build

 

                When we discount cashflows using a proper zero curve, rather than shifting Sonia (z-spread method) we get a much more accurate depiction and explanation of value in the UKT curve. Of course very few high coupons are genuinely rich and in fact some are glaringly cheap such as the UKT 32s – and their value is even greater in a steep curve

 

               

 

               

               

 

               

 

From Last week

 

                Long Dbr 35s

vs Short RX (feb30) and Short UB (aug46)

Continuation
Working – moving shorts towards Dbr 42

 

200 * (YIELD[DBR 0 05/15/35 Corp] - 0.5 * YIELD[DBR 0 02/15/30 Corp] - 0.5 * YIELD[DBR 2.5 08/15/46 Corp])

                                Long Dbr 35s

vs Short RX (feb30) and Short UB (aug46)
– curvature was added which we can see on this graph

 

Belgium 47s vs Buxl and Btps 44s
cix: 100 * (YIELD[BGB 1.6 06/22/47 Corp] - 0.8 * YIELD[DBR 2.5 08/15/46 Corp] - 0.2 * YIELD[BTPS 4.75 09/01/44 Corp])

Came in from high 20s

 

 

Ragb vs France
(YIELD[RAGB 0 02/20/2030 Corp] - YIELD[FRTR 2.5 05/25/30 Corp]) * 100

In slightly – vol adjusted we still prefer Austria as a credit vs France

 

 

 

                As always, have a fantastic week

 

                Will and James

 

 

 

 

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 : US 30YR YIELDS PERSIST IN FAILING THEIR 50 DAY MOVING AVERAGE BUT REALISTICALLY IT WILL BE A STOCK LED MOVE. THE FLATTENING CURVE SHOULD ASSIST BONDS TO RALLY.

US 30YR YIELDS HAVE FAILED A KEY 61.8% RET 2.4065 ASSISTED BY A LOFTY RSI (PAGE 6).

US BOND AND SWAP CURVES CONTINUE TO "SCREAM" FOR A MAJOR FLATTENING GIVEN THE HISTORICAL RSI DISLOCATION. THE OTHER POINTER IS THE 102030 SWAP CURVES CONTINUES TO INDICATE THE 20YR IS "OUT OF LINE" WITH THE WINGS!

I HAVE INCLUDED THE FUTURES VOLUME CHARTS AS THEY HIGHLIGHT THE EXCEPTIONAL VOLUMES ROLLED, PRETTY MUCH INCREASED CTA SHORTS AS WELL DOCUMENTED.

 

 

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

 

 

STOCKS : THEY REMAIN IN “GRAVE DANGER” AND POISED TO HIT THE “FREEFALL” BUTTON, EVENTUALLY THIS WILL FILTER INTO BONDS!

SINGLE STOCKS ARE THE BIGGEST CONCERN AS MANY OPENEND AT YESTERDAYS LOWS.

WE ARE FORMING SOME VERY LONGTERM TOPS!

THE SINGLE STOCKS ARE MORE OF A CONCERN AS THERE IS SO MUCH OF A MISREPRESENTATION IN SOME OF THE VALUATIONS.

THE MOVE LOWER IN BOND YIELDS IS PREDICTED TO BE VERY SIZEABLE SO THIS WOULD IMPLY THE SAME FOR THE STOCK SELL-OFF.

THE RUSSELL WEEKLY CHART HAS A VERY DISLOACTED RSI SIMILAR TO EARLY 2020.

“THE MOST WIDELY HELD STOCKS AT MUTUAL AND HEDGE FUNDS IN 4Q 2020 WAS MICROSOFT, AMAZON AND FACEBOOK”. ALL OBVIOUSLY VERY OVER EXTENDED.

TESLA, AMAZON AND APPLE ARE WORTH MORE THAN THE FINANCIALS, ENERGYAND METALS SECTORS COMBINED.

 

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