Alf, great article as usual. I was wondering if real Fed's objective is QT rather than rate hikes. I have the feeling that the Fed is trying to be ready to be a buyer of last resort for Treasuries in case geopolitics warrant that, and cannot do that with such a bloated balance sheet and the situation in Ukraine is making it more difficult.
Hi Nino, I'd expect them to be broadly focused on tightening monetary conditions. Both hikes and QT serve this intent, and the pace of such tightening will be the most important factor for markets.
I would appreciate if you’d add a column of the size of position, in % of Book size or dv01 relative to book size, together with a gross % exposure so as to bring up the discussion of leverage and margin needs of such leverage, its costs.
On the GT10, was carry added in? Implementation would be via futures or cash bonds, etc?
Does anybody know of an easy way to check updates for that 5yr US Investment Grade Corporate CDS chart? I've looked but have yet to find it anywhere. Fed has a similar chart but the values in it are different. This really does seem to be an important measure to track during volatile times so any help would be appreciated!
As always Alf valuable analysis :). However I wonder if such macro liquidity studies make sense in bigger context of current environment (Russian war). I mean what if Russia defaults? Who is the ultimate bag holder of Russian bonds and what implication it can have on european credit creation?
Cool. I was trying to find some universally accepted definition of credit impulse (like money created by shadow banking through new mortgages issuance, new bond emissions by corporation, new loans by corporation and and potential fiscal stimulus).
Thank you for sharing your thoughts and inside as always Alf! From my end, I don't think central banks know where the strike price of their put is but the central bank put is very much NOT expired and ready to be exercised as they see fit.
The fact is that DM equities have become what Dr. Ben Hunt calls "political utilities" and therefore at some point DM central banks and fiscal authorities will at least attempt to manipulate DM equities as they see fit in order to push their political narratives (to the downside and the upside). Happy speculating my friends!
My pleasure! Awesome appearance with Jeff Snider and Emil by the way. I met Jeff at an investment conference in Toronto a few years back and was fortunate enough to shoot the shit over drinks. Would love to run into you one day and do the same!
Props for the transparency of the portfolio. You are like the opposite of Ackman.
There is only one way in my head: transparency and accountability.
If there isn’t PnL is much harder to be good! That part of the process we show others makes the process be profitable
Impeccable macro-analysis, and very enjoyably presented!
Thank you, Jakob!
Alf, great article as usual. I was wondering if real Fed's objective is QT rather than rate hikes. I have the feeling that the Fed is trying to be ready to be a buyer of last resort for Treasuries in case geopolitics warrant that, and cannot do that with such a bloated balance sheet and the situation in Ukraine is making it more difficult.
Hi Nino, I'd expect them to be broadly focused on tightening monetary conditions. Both hikes and QT serve this intent, and the pace of such tightening will be the most important factor for markets.
Thanks for this good enlightening :) Hans from Finland
My pleasure, Hans!
Much appreciated men! Every time I've read you it felt more like a lesson than anything else, great teachings! Cheers from Guatemala.
So happy I made it all the way to Guatemala! By the way, visited and loved it!
Hello Alf. This is so well-explained, that I just want to use the word brilliant. I truly love your mindset.
Wow Thierry, thanks!
I would appreciate if you’d add a column of the size of position, in % of Book size or dv01 relative to book size, together with a gross % exposure so as to bring up the discussion of leverage and margin needs of such leverage, its costs.
On the GT10, was carry added in? Implementation would be via futures or cash bonds, etc?
The closer to reality, if it isnt, the better.
Great work.
Nice Work Alf, Always an enjoyable read
Glad to read this!
Thanks so much Alfonso...this is brilliant. I heard you talking with George Gammon and then subscribed. You are doing a great job.
Thank you!
Very insightful and helpful, much appreciated Alf!
My pleasure, Spencer
Does anybody know of an easy way to check updates for that 5yr US Investment Grade Corporate CDS chart? I've looked but have yet to find it anywhere. Fed has a similar chart but the values in it are different. This really does seem to be an important measure to track during volatile times so any help would be appreciated!
Hi Chris! You could use this ETF to get a sense: LQDH.
It's Investment Grade bonds, interest rate hedged: so only credit spreads.
Thank you I will check that out. So with LQDH if I see a sharp decline begin that would be the tell?
Truely great and bite-sized analysis. Great work, cheers!
Thank you, Justin!
As always Alf valuable analysis :). However I wonder if such macro liquidity studies make sense in bigger context of current environment (Russian war). I mean what if Russia defaults? Who is the ultimate bag holder of Russian bonds and what implication it can have on european credit creation?
The pace of credit creation is one of the overarching macro inputs, but it shouldn't be the only one: you are right.
I think I'll post an article on Russia and the impact on global markets soon.
I'd like to see you talk more about gold within your macro-vision. Thanks for sharing - enjoyed the interview with Jeff and Emil!
Glad you are enjoying it!
How did you calculate that g5 credit impulse? I looked at the data from BIS and it seems to be delayed by a quarter or two.
Hi Adam! It's a prop metric I come up with aggregating about 18 different data sources :)
Cool. I was trying to find some universally accepted definition of credit impulse (like money created by shadow banking through new mortgages issuance, new bond emissions by corporation, new loans by corporation and and potential fiscal stimulus).
Thank you for sharing your thoughts and inside as always Alf! From my end, I don't think central banks know where the strike price of their put is but the central bank put is very much NOT expired and ready to be exercised as they see fit.
The fact is that DM equities have become what Dr. Ben Hunt calls "political utilities" and therefore at some point DM central banks and fiscal authorities will at least attempt to manipulate DM equities as they see fit in order to push their political narratives (to the downside and the upside). Happy speculating my friends!
Thank you for your usual insightful comment, Yelian!
My pleasure! Awesome appearance with Jeff Snider and Emil by the way. I met Jeff at an investment conference in Toronto a few years back and was fortunate enough to shoot the shit over drinks. Would love to run into you one day and do the same!