Thread by @MacroTechnicals

MT GLOBAL MARKETS Momentum Weekly Recap wk41 as of 11Oct19 - thread 1/n

🎶 "All You Need Is <trade> Love"

• wow, what a RiskON week
• BREXIT deal potential
• China deal potential (ping-pong)
• FED QE not QE $60b T-Bill + longer running Repo facilities

2/n let's start with the EASE of hard BREXIT fear...

GBP saw massive short cover (+new longs), and given the added RiskOn theme which led to JPY weakness, GBPJPY like a rocket (gained +5.7% since Sep8th)

3/n Cable vola and RR jumped on a squeeze

4/n UK Gilt curve moved sharply Friday... and yields widened 26-31bp since Sep 8th bottom as reflation hope on BREXIT deal kicks in

5/n reflation hope from all corners last week... BREXIT deal, China deal and US bonds, German Bunds, UK Gilts futures dropped like a stone :

6/n that trade deal hope across the world lifted all stocks indices, especially German DAX as <the> export risk barometer, and of course FTSE250

7/n hence, German Car manufacturers saw massive gains during the week

8/n BREXIT deal hope also meant UK and Irish banks saw 12-22% gains and led the STOXX Bank sector

9/n GBP corporates bonds saw good demand and risk / spreads compressed

10/n trade deal hopes from European and China angles as well as the QE or not QE helping hand announcement from the FED led to a massive yield move in 10Y... US +24bp, CA +29bp, Europe 10-15bp, .... here the "heatmap" update wk41

11/n bear-steepening last week

12/n GBP top of the leaderboard last week, and JPY bottom on RiskOn mode.

Turkish lira suffering on the invasion and potential sanction thread.

13/n Turkish CB and bond market actually were on a lower trajectory, but this week's news evaporated everything else. RR spiked, USDTRY close to testing resistance again

14/n with RiskOn momentum from almost all corners of the world, Credit spread risk gauge obviously coming down as well.

15/n VIX , the major stock risk gauge basically collapsed, outright and the curve.

16/n back to the weekly Global Markets momentum sheet... Copper, Miners, Energy all got the trade hope boost, Gold/Silver and their miners bottom of the performance list.

17/n update Global Markets YTD as of wk41

18/n QE or not QE... this announcement and Powell's speech led to the typical FinTwat debates...

FED is trying to EASE some liquidity issues in a QUANTITATIVE way.

Yes, they don't purchase long dated bonds into the balance sheet. but the initial ST Repo issue is now prolonged

19/n this update has become bit useless now, as FED keeps changing every week.

Last Friday stand was the rolling Repo facilities slightly down to 164bln, but previous tweet above shows the latest announcement. Therefore, I won't continue this excel.

20/n Repo-squeeze was well explained by a few more knowledgeable people here on FinTwit.

Rates are under control.

SOMA is unchanged at 3.56T (but will increase via announced T-Bills)

REPO rolling currently 164bln and will continue via O/N and 2x weekly 14d terms into Jan2020

21/n Macro last week saw Japan leading index falling to 7Y low 91.7

New Zealand M.PMI unchanged at 48.4 (3rd month < 50) and production 46.2 7Y low

UK GDP slightly better than expected, but Ind Prod at 6Y low

22/n US preliminary University of Michigan consumer confidence came better than expected and last final survey

C = 113.4 (107.5) 108.5
S = 96.0 (92.0) 93.2
E = 84.8 (81.7) 83.4

improving, but didn't make new highs

23/n US JOLTS (Aug data) though came weaker than expected and last time and printed a 1.5years low

It's lagging (Aug) but nevertheless diverging from official unemployment rate (inverted scale of course)

24/n if history is any guidance or if this "time is different" will be known in the future.

US swap curves seem to have bottomed and trying their second re-steepening attempt.

FWIW, let's see

25/n oh yeah, Twitter highlighted the new Greece 3M bill at NEGATIVE rates. so I checked. LOLZ

26/n I mean, there are another 7Bln debt maturing in the remaining weeks of 2019 ... so, printing a slightly negative yield for 3M Greece debt ...they won't default of course, but it's still interesting

27/n ...and given the 3M new T-bill at negative rates, this chart and the funny wide bid-ask spreads on Greece yield curve makes it completely useless. LOLZ

28/n last but not least... had a quick noodles bowl in St Katherine Dock on a grey rainy day yesterday , perhaps the boat owner had Greece risk on board too since a while

29/end that's all.

happy Sunday.

good luck for next week.

cheers

@threadreaderapp unroll. danke