Last July, the US Treasury Department finally issued its official report detailing its account of what happened on October 15, 2014. The statement was co-authored by staff at the Board of Governors of the Federal Reserve System, FRBNY, the SEC, and CFTC, as if the government were going overboard trying to prove its word the end of the matter. As [...]
It isn’t just that oil prices are falling, that is only one dimension of the full oil spectrum concentrating in the spot market. The more interesting and important information is contained within the whole WTI futures curve. As “dollar” funding pressure has built up since the front month peak on June 8, it has steepened the curve into deeper contango; [...]
Oil prices fell again today and it seems that gasoline is now on everyone’s mind. As noted last week, I don’t think that is the reason for the price action except in that it tells a very different story than the one in the media about “stimulus” hope. The significance of crude and gasoline is the difference in narratives and [...]
With no clear direction from any of the Asian influences, it isn’t surprising to see more listlessness in everything from stocks to bonds. The Dow was up, the NASDAQ down, and the S&P 500 somewhere in between. The 10-year UST that had looked primed for receding back into the 1.60’s (for yield) bounced back to around 1.55% and steady at [...]
The Chinese yuan fell again in Monday Asian trading, breaking below 6.70 for the first time. Not surprisingly, the tone to broad early trading in Europe and the US was slightly negative on what would be negative “dollar” factors. I have surmised for some time that Japanese banks have been the primary “dollar” supply for Chinese “dollar” needs, so it [...]
On June 3, the May payroll report was released shocking convention by its “unexpected” weakness. It was, and so far remains, the worst headline number since 2009. Because the suggestion of a far weaker labor market than policymakers have been claiming undermined their whole economic narrative, “markets” immediately reversed course and bid as if there would be no rate hikes [...]
As an apparent consequence of post-Brexit uncertainty, the effective federal funds (EFF) rate moved up from 38 bps in “yield” to 40 bps, and then even 41 bps on June 27. That rather tame reaction is due to the fact that there is nobody aside from primarily GSE leftovers trading in federal funds. That the market rate moved even 3 [...]
In a regime where math acts as money, there are a few major potential chokepoints where shifts in math can become systemically important difficulties. In 2008, the most visible example was in repo haircuts, but the most devastating to the financial system certainly fixed income (MBS, in particular) correlation. The system could not survive rising correlation because nobody was prepared [...]
The real nature of liquidity is not what you see today but what we might find when the going gets tough. Though it is an intangible concept (not that that hasn’t kept economists from trying to quantify it), we can reasonably assume that if overall liquidity today appears impaired under relatively benign conditions, it will be significantly worse as malignancy [...]
It was a nice diversion while it lasted, I suppose. From the moment of the unfortunate murder of the British MP, funding markets, in particular, had been furiously “selling dollars” to get back some of the pound that was falling as Brexit had gained momentum. Media commentary talks about it as if that were the whole topic – it never [...]
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