64 Comments
Mar 8, 2022Liked by Alfonso Peccatiello (Alf)

Props for the transparency of the portfolio. You are like the opposite of Ackman.

Expand full comment
author

There is only one way in my head: transparency and accountability.

Expand full comment

If there isn’t PnL is much harder to be good! That part of the process we show others makes the process be profitable

Expand full comment
Mar 7, 2022Liked by Alfonso Peccatiello (Alf)

Impeccable macro-analysis, and very enjoyably presented!

Expand full comment
author

Thank you, Jakob!

Expand full comment
Mar 7, 2022Liked by Alfonso Peccatiello (Alf)

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.

Expand full comment
author

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.

Expand full comment
Mar 9, 2022Liked by Alfonso Peccatiello (Alf)

Thanks for this good enlightening :) Hans from Finland

Expand full comment
author

My pleasure, Hans!

Expand full comment
Mar 9, 2022Liked by Alfonso Peccatiello (Alf)

Much appreciated men! Every time I've read you it felt more like a lesson than anything else, great teachings! Cheers from Guatemala.

Expand full comment
author

So happy I made it all the way to Guatemala! By the way, visited and loved it!

Expand full comment
Mar 8, 2022Liked by Alfonso Peccatiello (Alf)

Hello Alf. This is so well-explained, that I just want to use the word brilliant. I truly love your mindset.

Expand full comment
author

Wow Thierry, thanks!

Expand full comment
Mar 8, 2022Liked by Alfonso Peccatiello (Alf)

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.

Expand full comment
Mar 8, 2022Liked by Alfonso Peccatiello (Alf)

Nice Work Alf, Always an enjoyable read

Expand full comment
author

Glad to read this!

Expand full comment
Mar 8, 2022Liked by Alfonso Peccatiello (Alf)

Thanks so much Alfonso...this is brilliant. I heard you talking with George Gammon and then subscribed. You are doing a great job.

Expand full comment
author

Thank you!

Expand full comment
Mar 8, 2022Liked by Alfonso Peccatiello (Alf)

Very insightful and helpful, much appreciated Alf!

Expand full comment
author

My pleasure, Spencer

Expand full comment
Mar 7, 2022Liked by Alfonso Peccatiello (Alf)

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!

Expand full comment
author

Hi Chris! You could use this ETF to get a sense: LQDH.

It's Investment Grade bonds, interest rate hedged: so only credit spreads.

Expand full comment
Mar 9, 2022·edited Mar 9, 2022

Thank you I will check that out. So with LQDH if I see a sharp decline begin that would be the tell?

Expand full comment
Mar 7, 2022Liked by Alfonso Peccatiello (Alf)

Truely great and bite-sized analysis. Great work, cheers!

Expand full comment
author

Thank you, Justin!

Expand full comment
Mar 7, 2022Liked by Alfonso Peccatiello (Alf)

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?

Expand full comment
author

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.

Expand full comment
Mar 7, 2022Liked by Alfonso Peccatiello (Alf)

I'd like to see you talk more about gold within your macro-vision. Thanks for sharing - enjoyed the interview with Jeff and Emil!

Expand full comment
author

Glad you are enjoying it!

Expand full comment
Mar 7, 2022Liked by Alfonso Peccatiello (Alf)

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.

Expand full comment
author

Hi Adam! It's a prop metric I come up with aggregating about 18 different data sources :)

Expand full comment
Mar 7, 2022Liked by Alfonso Peccatiello (Alf)

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).

Expand full comment
Mar 7, 2022Liked by Alfonso Peccatiello (Alf)

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!

Expand full comment
author

Thank you for your usual insightful comment, Yelian!

Expand full comment

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!

Expand full comment