For quite a long time I obsessed over November 20, 2013. It was a day that for the vast majority of humanity was like any other, nothing too far out of normal and certainly nothing that would seem to mark it for remembrance. But in my realm of yield curves and interest rate swaps, the things that tell us a [...]
The TIPS market corollary to interest rate case impatience is overhyping any round number that might in isolation appear to confirm the bias. To reiterate the mistaken assumption: if you believe that economic growth just happens, then given how much time has passed since that was true or apparent you have to believe each long end selloff is the one [...]
I thought he might wait awhile longer given how things have played out. I guess not. Bill Gross, the former “bond king” at PIMCO, was back to advertising his position that the great bond bull market of the past quarter century is finished. In a tweet from his new employer Janus (h/t ZeroHedge) it seems there is no level for [...]
There is no change to the risk budget this month. For the moderate risk investor the allocation to bonds is 50%, risk assets 45% and cash 5%. The extreme overbought condition of the US stock market persists so I will continue to hold a modest amount of cash. There are some minor changes within the portfolios but the overall allocation [...]
The Treasury Borrowing Advisory Committee (TBAC) was established a long time ago in the maelstrom of World War II budgetary as well as wartime conflagration. That made sense. To fight all over the world, the government required creative help in figuring out how to sell an amount of bonds it hadn’t needed (in proportional terms) since the Civil War. A [...]
FRBNY’s December 2017 Primary Dealer survey results aren’t yet published, so we will have to wait a few days for the collection of those banks’ economists to tell us what they think their own traders likely won’t do. It’s a mess in that situation, but one as old as the crisis. Nevertheless, Economists for some reason still occupy prime slots [...]
The economy ended 2017 with current growth just slightly above trend. In general the reports of the last two weeks of the year were pretty good with housing a standout performer going into the new year. We are still trying to get past the impact - positive and negative - from the hurricanes a few months ago though so it [...]
One final note for 2017 with regard to the long end of the Treasury curve. It may seem as if the interest rate fallacy would combine with specific bouts of illiquidity to create falling yields during them. That is not always the case, and, in fact, a lot of times the opposite does occur. Take October 15, 2014, for example. [...]
The economic data over the last two weeks continued the better than expected trend. Some of the data was quite good and makes one wonder if maybe, just maybe, we are finally ready to break out of the economic doldrums. Is it possible that all that new normal, secular stagnation stuff was just a lack of animal spirits? Is it [...]
The Federal Reserve’s Empire State Manufacturing Index fell slightly in its December 2017 estimate. At +18, that’s down from 19.4 in November and a high of +30.2 in October. It’s also nowhere near the low for the year, a -1.0 recorded back in May. This particular PMI is potentially noteworthy for what appears to be a replicating cycle. In a [...]
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