Jeremy

G10 & EM Macro … FX/Rates/Vol.

[Jeremy @JeremyWS]

Greatest city in the world

[Jeremy @JeremyWS]

US 2y rates have, rather quietly, posted their largest 1-day sell off for the year.

+19.5bps on the day, and the biggest move since Liberation day bounce.

Rather incredible that it came on a day where we printed *only* 0.3% Core CPI, and Waller (whose credibility has been universally shot) hinted at a 50bp discussion.

Incredibly quiet for such a large move to be honest.

H/t @BraxResearch

[Jeremy @JeremyWS]

@yourfavorito So good

[Jeremy @JeremyWS]

@jturek18 Same same but different w BoE. More acute shock and higher structural inflation… but because rates at 3.75 they’ve dragged their heels to eventually stop in to hikes much later

[Jeremy @JeremyWS]

@IyerC Was at that town hall this summer for an event. V sad

[Jeremy @JeremyWS]

@QualityChaoss Cleanest thing is to be trying to pin front end, and sell long end on rallies. Derives as a delta of 1s30s etc, but not sure I would pay that by itself.

[Jeremy @JeremyWS]

Global Rates Update #9: Perfect Storm

- Energy trades live. Growth shows up lagged. The market struggles to price both simultaneously.
- Macro stops became RV stops. Then we found France
- The US consumer was stronger than we thought. The income revisions help explain the resilience
- thoughts on Economic r* vs Financial r*.
-G4 Central banks all looking to hike at a quarterly cadence
-One long end yield, two stories. Good growth and bad fiscal get you to the same, higher yield..

https://t.co/rQJ7dsOVHd

[Jeremy @JeremyWS]

@QualityChaoss Thanks, had been pushing $ 3y2y 5y5y a few bit ago on exactly this. This Public stuff always a bit delayed, so locally am less sure.

[Jeremy @JeremyWS]

@W98AB @MayankSeksaria I’m sorry you feel this way

[Jeremy @JeremyWS]

@W98AB @MayankSeksaria Fugazi nonsense. You bought this bond in 2017 and you have lost money. Accounting is just for nerds. Reality is truth

[Jeremy @JeremyWS]

@W98AB @MayankSeksaria I can believe it on a single htm long bond, issued in 2017… Lost 32pts in value, made 10yrs of 3% coupon.

[Jeremy @JeremyWS]

@lore_testa_GM Yep bingo. pretty straightforward ones here imo.

Wrt to 0rz PS, not sure I see point in this kind of mkt… Rather stay in sacrificial & cheap CS, and stay long gamma & use it

[Jeremy @JeremyWS]

2yr BTP vs Germany. Market entirely broken.

Credit risk percolating through this market fast.

[Jeremy @JeremyWS]

@lore_testa_GM Yeh plenty of stuff and structures to do in those spaces.

Micro stuff all about Jan ECB gap or pin unch Oct.

[Jeremy @JeremyWS]

Bloodbath spills over into Italy today.

2y BTP absolutely destroyed. Spreads 20bp wider in the space of an hour. Dash for the safety of the Shatz.

[Jeremy @JeremyWS]

Lots going on in global rates right now.

The sell off in OATs getting extreme now.

Lagarde out effectively saying no ECB backstop to spreads. (At least here…)

+limited ways to extinguish absent fiscal austerity (which seems hard!)

France close to their “truss” moment now.

[Jeremy @JeremyWS]

@psxpsx0 I’m not French, but I agree with the sentiment. Unfortunately most do not , so we will not solve these problems.

[Jeremy @JeremyWS]

Lots going on in global rates right now.

The sell off in OATs getting extreme now.

Lagarde out effectively saying no ECB backstop to spreads. (At least here…)

+limited ways to extinguish absent fiscal austerity (which seems hard!)

France close to their “truss” moment now.

[Jeremy @JeremyWS]

@STIR_Trader_ France v England* and yes, they’re the rules

[Jeremy @JeremyWS]

Full 2023 redux for the 30y. Having broken the old highs, we’ve now run ~50bps higher. Reminder that QRA “saved” us last time… let’s see.

[Jeremy @JeremyWS]

US30y reminding me of the August of 2023.

Drifted through the then cycle highs on the 3rd week… treaded water for a bit until absolutely moonshooting in October.

As soon as we broke cycle highs, correlation of Equities to Bonds jumped to 1 until the price level cleared both.

[Jeremy @JeremyWS]

Chart is OATs v ESTR spreads. (rather than the usually cited France v Germany).. cleaner/purer look imho.