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BZH Macro Profile picture
@pauleluard
Oct 25, 2021 • 5 tweets • 2 min read • Read on X
Scrolly
Couple charts I think are interesting. First is that LA ports are unloading small ships and wait is now around a month to unload from anchoring.
Scarcity effect will continue for some time given that backlog.
1/x
We have the Survey of Professional Forecasters next month and the revisions are likely to pick up at least 10bp for 22 & 23.
That will go into the FOMC SEP.
2/x
We're pricing a lot for the Fed but there is still scope for front to steepen.
3/x
Rates positioning by the market is short but not max short. So we can still get some movement.
4/x
And the pricing of liftoff for the ECB is still "tame". I expect pushback (given Lane's transitory comments) but the risk is for the market to tell Lagarde differently.
Though short EURUSD makes sense (as market would then price a more aggressive Fed imo).
5/5

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More from @pauleluard

BZH Macro Profile picture
Apr 10, 2022
Regarding tonight’s french election.
A lot of market participants say “whoever wins, even Le Pen, Impact on economy will be small”.
I know the eco programs of candidates are not game-changing. But what if Le Pen changes the constitution to make French law above EU law?
And in an
Orban-like way she decides to upend the rule of law, leading the EU to block funds?
And without the “nextgen” dynamic and a franco-germain tailwind, can the ECB really hike 200bp?
There’s a lot of leniency here from market participants.
The TV debate will be ver important and
I’m not in Le Pen’s team but I can already think of ways for her to step over Macron.
He’s smart, knowledgeable and she’s not.
But he also has the appearance of someone for removed from people’s daily struggles (esp since the Gilets Jaunes crisis).
And his handling of crisis has
Read 5 tweets
BZH Macro Profile picture
Apr 6, 2022
I wanted to expand on the French Election risk as the feedback has been very positive on the scenario I highlighted.
TL/DR: I don’t expect Le Pen to win but one needs to be careful about priors (this is not 2017).
It’s important to reflect on how the campaign went:
1/x
Le Pen in early 2021 tried to “tone down” her far-right speech as the conservative party was in a vacuum. But she lost her edge and the regional elections as a result.
Zemmour saw an opportunity (he was just a TV pundit until then) and picked up the zeitgeist.
2/x
But his monotone anti-immigration and “women in the kitchen making babies” started to dim the public interest.
The conservative candidate (Pécresse) has had an unreadable campaign. Nobody really knows where to put her on the spectrum (center-right? Right-right?).
3/x
Read 19 tweets
BZH Macro Profile picture
Apr 4, 2022
Emmanuel Macron just had his meeting this weekend and raised the issue of his victory not being guaranteed.
It would be a huge blow to France, but the recent tightening of the second-round polls is starting to worry.
The main issue is of course the turn-out and the motivated
1/x
voters.
In 2017 we had a “Front Républicain”, which meant parties were calling to vote Macron to barrage Le Pen.
And 2.4m voters who didn’t bother to show up at the first round ended up voting Macron.
2/x
When making scenarios of the election transfer of votes from the first to the second round we can gamify the polls.
Using an element of vote transfers from 2017 we can estimate how those are now faring.
The “Gilets Jaunes” crisis has made some voters less likely to support
3/x
Read 8 tweets
BZH Macro Profile picture
Feb 14, 2022
Couple thoughts on how the pricing of central banks relates to the past.
Going to post some charts. Hopefully people won't be as snarky as @jeuasommenulle and understand I didn't get "matplotlib for dummies"for xmas.
1/x
First is a 2008 analogue; you think Japan wasn't gonna be forced to hike by the market like the ECB? Think again.
Plus some interesting thoughts on the co-drivers of USDJPY and FX-hedged bonds
2/x
Then a 1999 because that's the last 50bp hike by the Fed.
And yes the Fed bullied those guys who thought they could "corner the Fed to hike 50bp". Lick your wounds.
And you know the worst? equities didnt even collapse until way after they hiked.
3/x
Read 8 tweets
BZH Macro Profile picture
Jan 20, 2022
Getting a lot of questions about rates/fx correlations breaking, vols being elevated/low (@MG_Macro and @jturek18 esp)
So here are a few charts to think about it.
TL/DR: Rates vol is high, FX vol low-ish.
1/x
Looking at how 2Y Rates are priced vol wise in USD and EUR, you can see the vols are spectacular in EUR, but fwds are soft of low in both.
We have also exploded the forwards since the Sep FOMC.
I added a few FOMC for context of pre/post hiking cycles.
2/x
Now looking at FX there's been interesting decorrelation after the strong "buy USD" from last year.
And yes USDJPY looks like it should be a couple big figures higher, and USDCHF too, while EURUSD is roughly in line.
3/x
Read 5 tweets
BZH Macro Profile picture
Jan 10, 2022
Couple thoughts from this week-end.

The Fed communication hasn’t been crystal clear lately. Daly in particular I blame given her 180 between her mid-November speech (“we should not be hasty”) and he recent comments (“hike and QT”).
1/x
The NFP data has solidified the March hike probability. “Faster, Punchier, Longer” was my motto last year and we’re getting there.
The question now stems as to whether we can price more hikes this year or if we are already at the neutral pricing as implied by the SEP dots.
2/x
• There will be no January hike. The Fed has no interest in surprising the market. Last time it surprised was in March 2017.
• If we had more than 15bp priced ahead of the meeting 30 days ahead, they hiked. March FOMC is heading towards an inevitable hike.
3/x
Read 15 tweets

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