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Brent aka Blacklion Profile picture
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3 Apr, 11 tweets, 3 min read
Time for the Fed Balance Sheet...Weekend Update Image
Sheet Assets experience a glitch in the matrix and decline $42.4B Image
Not to fear Treasuries added $21B ATH Image
Central Bank Liquidity Swaps increase the first time in months. +$1.7B Image
Mortgage Backed Securities continue their increasing maturity volatility (on sheet) as the portfolio expands. Down $62.2B this week. Image
REPO's no change Image
Sheet Liabilities contract $30.7B Image
Liabilities: Other Deposits down $136.4B Image
Treasury General Account surprisingly up $90B Image
Reverse Repos continue to be intriguing following last month's FOMC up $117.7B this week. Image
Fed Balance Sheet Summary Easter Weekend 2021
Sheet Assets⬇️
Treasuries⬆️🎉
Liquidity Swaps⬆️🧐
MBS⬇️
REPO🥱
Sheet Liabilities⬇️
Other Deposits⬇️
TGA⬆️
Reverse REPO⬆️🚀

• • •

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More from @BlacklionCTA

Brent aka Blacklion Profile picture
5 Apr
Easy Monday Notes:
•Fallout from Friday NFP
•PMI Final
•ISM Service Index, service hopefully strong as mfg.
•TBill Auctions
•POMO $12.8B Bills and short dated Notes
•FedSpeak: None🎉
I forgot to note Factory Orders also this morning, 10Eastern.
Factory Orders break the 9 month streak of increases. Image
Read 4 tweets
Brent aka Blacklion Profile picture
3 Apr
All measures of Construction Spending down slightly last week. The shock is Residential cooling off in light of limited inventory. ImageImage
This is a good measure of the stress in residential real estate. Also Mike is a good follow.
Read 4 tweets
Brent aka Blacklion Profile picture
3 Apr
Fed Policy Forecast🧵
This is a timeline and thread open to criticism (constructive please, not 'orange man bad'). I hope others will throw some rocks at this and we all are better for it.
*Fed doesn't raise before Q1 2023 earliest and AFTER QE tapers off.
2/J. Powell is focused on full employment that according to the Fed we DID NOT achieve post GFC. The new AIT regime allows inflation to run🔥so it averages 2% over some period. He is consistently dovish in this regard IMO.
3/The highest BLS employment is Feb20 - 152,523,000 so we need to achieve at least that before J.Powell begins tightening and included in that discussion is QE currently $120B+/month.
Read 11 tweets
Brent aka Blacklion Profile picture
20 Nov 20
1/The Fed released its Financial Stability Report for Nov 2020. It is always interesting to read the Fed's take on markets and its degree of self awareness. federalreserve.gov/publications/2…
2/Asset Valuations
-Asset prices have generally increased since May, and, when adjusted for low interest rates, valuation pressures appear roughly in line with their historical norms
Seems correct. When expected future cashflows are discounted at these rates, the PV isn't insane
3/Asset Valuations
-Asset prices remain vulnerable to significant declines, given a high degree of uncertainty around the course of the pandemic and the pace of the recovery
Lack of awareness that the Fed can be the greatest source of instability if they ease liquidity.
Read 7 tweets
Brent aka Blacklion Profile picture
19 Nov 20
Busy Econ Day:
-UI Claims, will it reflect new restrictions?
-Philly & KC Fed
-Existing Home Sales
-LEI
-EIA Nat Gas, late injection
-Benchmark TIPs Auction $12B Reopening, yesterday's 20yr was rough
-POMO: $3.6B 7-20's
-Bill & Note Announcements, Treasury's needs important
The EU merits attention today. Three (3) Bundesbank speakers and rumors of Madame LaGarde getting on the mic.
Philly Fed Mfg Survey down 6 points. Expect more weakness with NEast USA imposing new restrictions.
Read 5 tweets
Brent aka Blacklion Profile picture
18 Nov 20
#ZB_F was sitting at support, did the 20yr auction push it down?
#ZB_F not recovering and $NQ_F taking notice.
Read 4 tweets

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