1/X

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Predictive Analytic Models (PAM)
Robert P. Balan
Aug 30, 2023 10:46 AM

(Late post, busy trading yesterday)

EUROPE SESSION BRIEF:

LOOKING FOR A SHORT TERM TROUGH IN THE 10YR YIELD AND DXY; ONCE WE HAVE IT IDENTIFIED, WE OFFLOAD ALL POSITIONING THAT ARE IN PROFIT, AND THOSE AT RISK, IF THE 10YR YIELD AND DXY BACK-UP HIGHER

The old Fed Aggregate Model (weekly series, out of sample since May 2018) continues to suggest that the SPX should also be trending higher until the 3rd week of September.

However, there could be a mid-point kink lower befoe then, so we want to lighten up on long risk asset positioning sometime during the first week of September. Robert P. Balan
Aug 30, 2023 4:07 PM

This is the EWP schemata which are on the lookout for -- a final dip, followed by a significant retracement of the Yield decline since 27 August, possibly back to 4.17 - 4.175.

1/X
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Predictive Analytic Models (PAM)
Robert P. Balan
Aug 29, 2023 9:46 AM

EUROPE OPEN BRIEF:

DXY AGAIN LEADS THE RISK ASSETS; FALLING DXY PRIMES A RALLY IN EARLY EUROPE; THE 10YR YIELD IS AT THE CUSP OF BREAKING BELOW CRUCIAL SUPPORTS LEVELS -- COULD FALL HARD IF SUPPORT GIVES WAY; WE ADD MORE LONG RISK ASSETS ON THAT BASIS (LONG TN, SHORT DX)

(Late post; too busy trading yesterday)

The next major inflection point of the factors influencing high-frequency changes in risk asset prices happens during the 3rd week of September. From today until then, the 10Yr Yield should be on declining phase.

Precursors of, and factors influencing the changes in the 10Yr Yield, SPX, DXY, Gold, and GBTC -- all suggest falling yield over the next couple of weeks, or so until the 3rd week of September.

Treasury Bill Issuance, Total Public Debt, Treas Gen Account, O/N Reverse Repo (inv), Bank Reserves 2/X

Robert P. Balan
Aug 29, 2023 9:48 AM

The DXY falls sharply during early Europe trade, triggering a rally in risk assets (inverted in the chart below).


1/X
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Predictive Analytic Models (PAM)
Robert P. Balan
Aug 28, 2023 8:49 AM

PRE-EUROPE OPEN BRIEF:

DXY LEADS THE 10YR YIELD, EQUITY FUTURES, AND GOLD; WE EXPECT DXY TO FALL FURTHER -- WE ADD TO LONG GOLD, EQUITY FUTURES, AND SHORT DXY FUTURES POSITIONING; WE INTEND TO ADD MORE LABU IF/WHEN THE YIELD FALLS ALONGSIDE DXY

The inflation swap compensation rates' "model" suggest that the 10Yr yield should continue to roll over, and and fall further for at least another week or so until early September. 2/X

Robert P. Balan
Aug 28, 2023 8:49 AM

It looks like Yen weakness ends sometimes very soon . . . If this is true, then Gold will get a boost.

1/x

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Predictive Analytic Models (PAM)
Robert P. Balan
Aug 23, 2023 10:17 AM

EUROPE SESSION BRIEF:

OUR EVALUATION OF THE US LABOR AND EMPLOYMENT SITUATION SHOWS DATA HAS STARTED BECOMING LESS BENIGN, AND MEDIA REPORTS LIKELY TO TRIGGER MORE BOND AND EQUITY PROFIT-TAKING AHEAD OF THURSDAY INITIAL JOBS CLAIMS, AND FRIDAY'S JACKSON HOLE EVENT

Our high-frequency evaluation of the US labor and employment situation suggests that the still benign labor and employment data will start becoming less favorable.

And if media stories today showcasing the possible degradation of recent benign jobs report are correct, then Mr. Jay Powell will have less favorable employment situation to validate a higher-for-longer rate policy during the JHole event. 2/X
Robert P. BalanOwnerModeratorLeaderAug 23, 2023 10:18 AM

-- 500,000 jobs could disappear in dramatic revision of US government data: JPMorgan economist Daniel Silver predicts that the job market is 500,000 positions weaker than what the Bureau of Labor Statistics’ originally reported, meaning there are 40,000 fewer jobs pe…nypost.com/2023/08/22/us-…
NYpost.com

1/x

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Predictive Analytic Models (PAM)
Robert P. Balan
Aug 21, 2023 10:49 AM
(Late Post)

EUROPEAN SESSION BRIEF:

FURTHER 10YR YIELD AND DXY DECLINES ON PROFIT-TAKING, AHEAD OF JACKSON HOLE EVENT, ALTHOUGH YIELD TOPPING OUT REMAIN "CHAOTIC"; WE ADD LONG RISK ASSETS SENSITVE TO DXY AS DXY LEADS THE YIELD TO THE DOWNSIDE; COVARS MAY BE NOW REVERTING TO NORMAL

I am looking at the way pure T-Bill Issuance has screwed the entire liquidity process. The weird, variable covar between the Yield and SPX started when the Treasury massively issued T-Bills, and Bills alone (see chart below), as from May 29.

I am starting to think that once Treasury goes into Bond plus Bill Issuance again (as was the norm), the liquidity covars will snap back to normal.

If we get an SPX rally from here, as we expect, (SPX inverted in the chart above), that maybe indicate that the liquidity covars are reverting to normal (a big relief to all of us). Note that the Treasury has started to issue both Bills and Bonds/Notes. 2/x
Robert P. Balan
Aug 21, 2023 10:52 AM

The 5Yr 5Yr "model" suggests moderating pressures on the 10Yr Yield, which my see further declines until mid-September.

1/X
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Predictive Analytic Models (PAM)
Robert P. Balan
Aug 17, 2023 2:36 PM
(Late post)

PRE-NY OPEN BRIEF:

THERE'S DICHOTOMY BETWEEN THE FALLING DXY AND RISING 10YR YIELD; WE BELIEVE THE DXY WINS THIS ONE -- SHARP DXY DECLINES WE JUST SAW SUGGEST THE PRESSURE ON CHINA TO "DEFEND" CNY HAS PEAKED; A 10YR YIELD TOP FOLLOWS SHORTLY (AND HOPEFULLY, EQUITIES RISE AS CONSEQUENCE)

The fear of a China Treasury dump is what has been pushing up Yields and the DXY since last week. It is not the old FOMC statement that is doing it -- it is the fear that China will dump Treasuries to defend the CNY.

However, China never defended the CNY (except at the time when there was a massive outflow of domestic capital in the mid-1990s). But there is absolute no chance of that happening again -- there can never be again that kind of massive domestic capital outflow.

The PBoC and the SAFE have plugged all the large holes via which that can happen. No chance. There is very little credence to the speculation that Treasuries will be sold to "protect" the weak CNY. In fact, China is loving that weakness, although not too obviously, as a weak CNY also tends to scare away precious FDI.

And, oh, by the way, changes of the 10Yr yield lag behind the changes of China exports by 2 quarters (see chart below). The 10Yr Yield should fall, not rise. 2/X
Robert P. Balan
Aug 17, 2023 1:20 PM

The DXY, for once is leading the 10Yr yield -- rightfully so. If the US Dollar (DXY) weakens, then there little risk of the PBoC selling US Treasuries to try and prop up the CNY.

Assuming that China want to firm up CNY is a cockamamie idea foisted by the clueless -- China is always desirous of a weak CNY to bolster exports -- which is the only sector that is delivering results in China right now.

To believe that China will do something to damage that success now (if CNY strengthens) is downright inane.

1/X

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Predictive Analytic Models (PAM)
Robert P. Balan
Aug 15, 2023 11:58 AM

(Late post)

EUROPE SESSION BRIEF:

10YR YIELD SET FOR ANOTHER UPTICK, THEN PEAKS (PER THE MODELS) -- WILL ADD MORE LONG RISK ASSETS (EQUITY, CRYPTO ETFS, TMF) AND ADD TO GOLD GC LONG EXPOSURE; DXY IS LEADING THE SHOW -- ONCE DXY STARTS MAKING LOWER LOWS, WE ADD TO GOLD AND EQUITY EXPOSURES

The action of, and between, the 10Yr Yield and equity indexes are flipping back and forth, at the drop of a hat. This is what I was warning you about last week, when the topping out of the 10Yr Yield started . . . .we just have to hunker down until this chaos blows over.

2/X
Robert P. Balan
Aug 16, 2023 3:20 AM

We go by the output of the models, and we interpolate the data so the models can provide us optimized "daily data" (instead of weekly) . . . but in doing so, we need to allow a "wiggle room" of plus or minus two days.

Here is how the model looks like after NY Close yesterday:

1/X
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Predictive Analytic Models (PAM)
Robert P. Balan
Aug 14, 2023 10:14 AM

LATE EUROPE SESSION BRIEF:

THE 10YR YIELD AND DXY PROVIDING SOME CONFIRMATION THAT THE YIELD IS TOPPING OUT. FOR NOW, RISK… https://t.co/9uIhsRvKqQtwitter.com/i/web/status/1…
2/X

Robert P. BalanOwner
Aug 14, 2023 10:16 AM

The 10Yr yield is showing some weakness ahead of NY open -- the covar with risk assets looks solidly negative. So if Yield go lower (NY Close basis), the equities, Gold, TNs and Cryptos go higher.

1/X
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Predictive Analytic Models (PAM)
Robert P. Balan
Aug 11, 2023 12:22 PM

EUROPE SESSION BRIEF:

MODELS SUGGEST LAST UPTICK DAY OF THE 10YR YIELD, UNTIL ANOTHER UPTICK ON AUGUST 18, AND TOP OUT ON… https://t.co/s0mUr5wXOxtwitter.com/i/web/status/1…
2/x
Robert P. Balan
Aug 11, 2023 12:47 PM

This is what we expect the 10yy Yield to do after the PPI data today, and until early next week.

1/X
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Robert P. Balan
Aug 10, 2023 10:56 AM

PRE-NY OPEN BRIEF:

CPI DAY TODAY: 10YR YIELD AND DXY ARE FALLING AHEAD OF THE DATA, AND MAY SET REACH PROJECTED TARGETS PRE-CPI RELEASE; WE HAVE A RISING… https://t.co/zr4m9dfw4stwitter.com/i/web/status/1…
2/X

Robert P. Balan
Aug 10, 2023 1:20 PM

We have a bias for higher Yield after the CPI release based on our take of likely CPI read based on inlfaiton.linked swap rates and energy index.

But the mid-July cut-off may not fully show the rise in inflation expectations and energy… https://t.co/tsPZMQpBYOtwitter.com/i/web/status/1…

1/X
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Predictive Analytic Models (PAM)
Robert P. Balan
Aug 7, 2023 6:40 AM

PRE-EUROPE OPEN BRIEF:

SOMA COMPONENTS AND LIQUIDITY MEASURES SUGGEST THAT THE 10YR YIELD PEAKS AHEAD OF CPI DATA -- ALLOWING… https://t.co/uho2RdGYjktwitter.com/i/web/status/1…
2/x

Robert P. Balan
Aug 7, 2023 6:48 AM

If the 10Yr yield and DXY sustain a decline, Gold and Cryptos should rise. We will determine the exit levels for short Gold, TN and Crypto trades later going into the NY trade.

1/X
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Predictive Analytic Models (PAM)
Robert P. Balan
Aug 2, 2023 2:03 AM

Finally found a lull in the Bossman's schedule. Here are some updates on the models. The impact of the Systemic Liquidity… https://t.co/ZOJXYljlEltwitter.com/i/web/status/1…
2/X

(2) . . . and the old reliable, the Fed Aggregate Credit model is still outdoing any damn Net Liquidity models out there, including PAM's. Old Reliable suggests that a trough is almost at hand . . . cuidao! Don't overstay the short-side (at least in the near-term).

Parse… https://t.co/fdIKKlhhivtwitter.com/i/web/status/1…

1/x

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Predictive Analytic Models (PAM)
Robert P. Balan
Jul 21, 2023 5:26 PM

NY SESSION BRIEF:

THE 10YR YIELD DOWNSIDE PULLBACK LARGER THAN EXPECTED; LIQUIDITY MODELS ALSO FLAGGING A ONE DAY YIELD… https://t.co/5ZxalFEX4rtwitter.com/i/web/status/1…
2/X
Robert P. Balan
Jul 21, 2023 5:32 PM

TRADE NOTES & UPDATES:

(1) The PAM Net Liquidity Models adapted for the 10Yr Yield are flagging a possible one day pull back (NY Close basis), so we are taking steps to conserve significant profits from our short positioning -- we exit… twitter.com/i/web/status/1…

1/x

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Predictive Analytic Models (PAM)
Robert P. Balan
Jul 20, 2023 12:39 PM

PRE NY OPEN BRIEF:

THE 10YR YIELD IS AT THE CUSP OF A BREAKOUT THROUGH THE CRUCIAL 3.80 PCT LEVEL (PRE INITIAL CLAIMS DATA… https://t.co/q2g4e7aFAgtwitter.com/i/web/status/1…
2/X

TRADE NOTES & UPDATES:

(1) The 10Yr yield is at the cusp of breaking through the 3.80 pct resistance (pre Initial Claims data release today), which confirms (for us) that the long bond yield in set for another run-up higher, going into the FOMC policy decision on Wednesday,… twitter.com/i/web/status/1…

1/X

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Predictive Analytic Models (PAM)
Robert P. Balan
Jun 15, 2023 11:14 AM

EUROPEAN SESSION BRIEF:

NET LIQUIDITY LIKELY AT A TURNING POINT LOWER, AS O/N RRP TAKEUP LIKELY TO RISE FROM HERE PER PAM DEBT ISSUANCE MODEL; A NEGATIVE… twitter.com/i/web/status/1… 2/X
Robert P. Balan
Jun 15, 2023 11:50 AM

This is how the rest of the models look like today.

The 10Yr yield model is suggesting still lower Yield today/tomorrow, then higher yield thereafter. twitter.com/i/web/status/1…

1/X
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Predictive Analytic Models (PAM)
Robert P. Balan
Jun 14, 2023 1:11 PM

EUROPEAN SESSION BRIEF:

FOMC DAY: IF WE DON'T SEE THE SCALPERS IN BREAKEVEN BEFORE POLICY RATE DECISION TIME, WE WILL HEDGE LONG OR HEDGE SHORT, AS IS THE… twitter.com/i/web/status/1… 2/X
Robert P. Balan
Jun 14, 2023 2:32 PM

We expect the 10yr Yield to gravitate lower, to circa 3.75 ahead of the FOMC decision time. twitter.com/i/web/status/1…

1/X

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Predictive Analytic Models (PAM)
Robert P. Balan
Jun 2, 2023 2:01 PM

PRE NY OPEN BRIEF:

10YR YIELD AND DXY STILL SWINGING HIGHER_ THAT PUSHES UP EQUITY FUTURES FURTHER, AND HOPEFULLY, GOLD AND TN FUTURES LOWER; IT'S FRIDAY:… twitter.com/i/web/status/1… 2/X

This is how the models are looking like today:

Various Net Liquidity and SOMA models still looking positive further out, but we are coming close to the rim of what could be a plateau during first two weeks of June (from June 5/6 to June 14).

Same outlook, but this chart… twitter.com/i/web/status/1…

1/X
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Predictive Analytic Models (PAM)
Robert P. Balan
Jun 1, 2023 8:41 AM

EUROPE OPEN BRIEF:

THE 10YR YIELD IN PROCESS OF MAKING A TROUGH, BUT WE PUT THE BOUNCE THROUGH ITS PACES BEFORE COMMITTING TO NEW EQUITY FUTURES LONGS, AND… twitter.com/i/web/status/1… 2/X

Robert P. Balan
Jun 1, 2023 11:38 AM

We are not sure that we have seen the trough in the 10Yr Yield overnight . . . we would like to see more Yield data points from here.

FWIW -- we favor a downside resolution for the direction of the 10Yr Yield, as illustrated. Maybe we… twitter.com/i/web/status/1…

1/X
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Predictive Analyrtic Models (PAM)
Robert P. Balan
May 15, 2023 2:40 PM

NY OPEN BRIEF:

LOOKS LIKE THE NEGATIVE CORRELATION BETWEEN 10YR YIELD AND EQUITIES KICKED IN AGAIN AFTER THE YIELD BREACHED 3.50 PCT; IF THE DXY FOLLOWS… twitter.com/i/web/status/1… 2/X
Robert P. Balan
May 15, 2023 3:48 PM

Today, we are especially careful. The Liquidity models suggest we could a the first trough in a double bottom which spans May 15 to May 17.

We are not going to do short scalpers, given the output from the models. Instead, we are using… twitter.com/i/web/status/1…

1/x
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Predictive Analytic Models (PAM)
robert.p.balan
May 10, 2023 11:37 AM

EUROPE SESSION BRIEF:

CPI DAY: WE ASSUME THAT APRIL CPI WOULD COME IN "HOT" -- THAT MAY PUSH UP THE 10YR YIELD AND DXY, NOT GOOD FOR GOLD AND TN FUTURES; IT… twitter.com/i/web/status/1… 2/X
Predictive Analytic Models (PAM)
robert.p.balan
May 10, 2023 12:08 PM

If our CPI outlook is borne out, then these EWP outlooks from May 5 remain in play.

https://twitter.com/RobertPBalan1/status/1655587984287080457?s=20

twitter.com/i/web/status/1…

1/x
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Predictive Analytic Models
robert.p.balan
May 8, 2023 4:04 PM

NEW YORK SESSION BRIEF:

IT IS STILL A 10YR YIELD AND DXY PLAY TO 3.68 PCT AND 102.40, RESPECTIVELY; GOLD SHOULD FALL IN THIS CASE, BUT NOT TOO SURE HOW EQUITY FUTURES RESPOND TO ANOTHER… twitter.com/i/web/status/1… 2/X
Predictive Analytic Models
robert.p.balan
May 5, 2023 11:30 PM

This is the short term outlook we have for the DXY -- a rally back to circa 102.40 over the next few days. That may be driven by the 10Yr yield short term rise performance. twitter.com/i/web/status/1…