tag:blogger.com,1999:blog-34323687.post829744646645307667..comments2024-03-19T03:05:57.184+00:00Comments on Macro Man: Musing on the implications of a higher dollar LIBORMacro Manhttp://www.blogger.com/profile/12324967552369915949noreply@blogger.comBlogger17125tag:blogger.com,1999:blog-34323687.post-57656491566434474372016-07-27T14:19:03.065+01:002016-07-27T14:19:03.065+01:00is that true?is that true?Nicohttps://www.blogger.com/profile/06532015745155347229noreply@blogger.comtag:blogger.com,1999:blog-34323687.post-32833042339385500012016-07-27T08:04:15.308+01:002016-07-27T08:04:15.308+01:00Interesting Nico, Clinton used to import Columbia&...Interesting Nico, Clinton used to import Columbia's finest into Mena airport and I'm not talking about coffeeAnonymousnoreply@blogger.comtag:blogger.com,1999:blog-34323687.post-9154823333518300362016-07-27T06:01:13.435+01:002016-07-27T06:01:13.435+01:00Abe will announce details of a quarter trillion do...Abe will announce details of a quarter trillion dollar stimulus package on Wednesday afternoon, half of which is expected to be spent by national and local governments as well as cheap loan programmes offered to private-sector projects by semi-government financial institutions.<br /><br />Japan’s Nikkei share average has risen more than 2.5% on Wednesday afternoon, while the yen has fallen dramatically.<br /><br />Kuroda is up to bat on Friday!Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-34323687.post-9268178455495825782016-07-27T05:22:30.260+01:002016-07-27T05:22:30.260+01:00It's easy to get bearish now, for a trade but ...It's easy to get bearish now, for a trade but remember spoo s just made new highs. Can't just disregard that, at least while we are above old highs. <br /><br />Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-34323687.post-13757553274616570402016-07-27T02:25:34.917+01:002016-07-27T02:25:34.917+01:001-year dollar Libor is used as an index for adjust...1-year dollar Libor is used as an index for adjustable residential mortgages in the US. Would you expect this rate rise to last? If so, anyone still in an adjustable will be unpleasantly surprised come adjustment day.Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-34323687.post-11048260351914586242016-07-27T01:40:47.585+01:002016-07-27T01:40:47.585+01:00Nico - would you consider current mkts as being ma...Nico - would you consider current mkts as being max mindf*ck? Tell me I'm not alone.Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-34323687.post-59149071476181422192016-07-26T21:28:20.086+01:002016-07-26T21:28:20.086+01:00Surely higher rates is as good excuse as any not t...Surely higher rates is as good excuse as any not to go for higher rates.Coreynoreply@blogger.comtag:blogger.com,1999:blog-34323687.post-43489585387092502512016-07-26T16:38:31.920+01:002016-07-26T16:38:31.920+01:00anon1:26 & nico
http://www.marctomarket.com/2...anon1:26 & nico<br /><br />http://www.marctomarket.com/2016/07/european-banks-bad-loans-and-coverage.html<br /><br />Marc Chandler wrote a blog this morning on the european banks, complete with a nice graphic. FYIAnonymousnoreply@blogger.comtag:blogger.com,1999:blog-34323687.post-80949922883854712762016-07-26T15:43:28.938+01:002016-07-26T15:43:28.938+01:00@nico - good to see u back.
Good article today - t...@nico - good to see u back.<br />Good article today - the funding spreads have generally been a red herring in terms of predicting stress because of the ongoing balance sheet re-engineering at banks - plus, I would argue (as MM has to some degree) that if they meant much, euribor and not libor would perhaps be the epicenter.<br />Gotta love the setup where institutions are sitting fat and happy because their 'barbell' strategy of hedging their equity exposure by buying long bonds (at rates ranging from zero to zero) and precious metals at the same time has protected them so far. This has all the characteristics of a wiley coyote when people realize the reason those things are up is because they've been buying them in a thin market and for no other reason. Then, 5 seconds later they realize that equity protection is best not obtained by piling your portfolio full of correlation risk. Reminds me of the 'barbell' into oil and bonds in late 07 early 08.<br />Smartness and cuteness are not necessarily your friends in this game - something I learnt the hard way.washedupnoreply@blogger.comtag:blogger.com,1999:blog-34323687.post-35517452643467704622016-07-26T15:33:31.988+01:002016-07-26T15:33:31.988+01:00Don't even get me started on this Nico...makes...Don't even get me started on this Nico...makes me sick to my stomach.<br /><br /><br />nonrandomwalkerhttps://www.blogger.com/profile/17344465567895883633noreply@blogger.comtag:blogger.com,1999:blog-34323687.post-79748873717821542172016-07-26T14:26:09.683+01:002016-07-26T14:26:09.683+01:00anon 1:26
it's like going long Greek banks at...anon 1:26<br /><br />it's like going long Greek banks at 'extreme Bank Stock valuation' last year<br /><br />then they fell some<br /><br />a few years ago i wrote here that Italian banks were bankrupt - they still are<br /><br />on another note of cronism and debauchery please pass this along:<br /><br />https://www.youtube.com/watch?v=7LYRUOd_QoMNicohttps://www.blogger.com/profile/06532015745155347229noreply@blogger.comtag:blogger.com,1999:blog-34323687.post-50244295997995399602016-07-26T14:05:11.952+01:002016-07-26T14:05:11.952+01:00Very interesting comments MM & Co.
Obviously t...Very interesting comments MM & Co.<br />Obviously the price action in Libor/Eurodollar begets the question of funding stress within the global banking system, in a muted way though - but also how much higher and for how long before it becomes a problem?<br />Please correct me if I am wrong, but the effect of the money market fund "solvency" might create a funding gap for CDs & CPs which might ultimately push US$ corporate spreads wider?<br />I reckon that the Fed has its hand tied over any significant hike nor normalisation because of the very large wall of refinancing over the upcoming 3 years.<br />Thus, if corporate spreads are pushed higher by way of regulation, that wall of worry might turn into a slaughter house within the zombie junk yard....<br />Food for thoughtsSPCTRnoreply@blogger.comtag:blogger.com,1999:blog-34323687.post-38463538466377653622016-07-26T13:43:33.183+01:002016-07-26T13:43:33.183+01:00I expect lower recoveries on Italian loans. Unsec ...I expect lower recoveries on Italian loans. Unsec has been around 10% historically, sec around 30%. Depending on the location of the borrower the workout takes between 3 and 7 (some say even 10) years which burdens recovery rates. Some banks claim higher rates because their loans are collateralized but what this collateral is worth in the first place and what it yields at an auction (assuming they are not the only ones trying to liquidate some farmhouse in Tuscany) are entirely different points.Eddienoreply@blogger.comtag:blogger.com,1999:blog-34323687.post-65886733979596643332016-07-26T13:26:32.960+01:002016-07-26T13:26:32.960+01:00Thinking of going long Italian Bank shares, possib...Thinking of going long Italian Bank shares, possibly before the stress test of Friday. While Italian growth will continue to be sluggish (exp for 2017 are below 1%) current Bank Stock valuation looks extreme, especially from a P/B ratio point of view (around 0.4-0.5 for the biggest ones). While some of those NPL will redeem at zero, looks hard for me to see an average recovery ratio below 40% for the whole loan portfolio. Any strong view against or in favor? Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-34323687.post-53006413510391421212016-07-26T11:37:34.147+01:002016-07-26T11:37:34.147+01:00Thanks for a thoughtful analysis. Also, LB's c...Thanks for a thoughtful analysis. Also, LB's comment re concerns over the health of banks seems reasonable - indeed, it could be characterised as being far too polite to said institutions.<br /><br />MM's thoughts re PMs seem to sit nicely with the technicals. Looking at gold:<br /><br />1. Monthly: this month's spike failed to clear important resistance in the high 13s/low14s, precisely nailed the 382 of the entire bear run, bounced off a downtrend line connecting the 2011 and 2012 highs, and failed to hold above a declining 5OMA (for what that's worth).<br /><br />2. Weekly: currently perched just above chart support, a declining 200MA (for what that's worth), and the 236 of the runup from last December's low.<br /><br />3. Daily: sitting at chart support just above the 50 retrace of the post-Brexit runup and close to the trendline from the May low.<br /><br />All that + commercial positioning suggests a pause would refresh, and a runup in USD real rates at the short end could indeed be the catalyst.Error404noreply@blogger.comtag:blogger.com,1999:blog-34323687.post-53343912935390019542016-07-26T10:22:07.012+01:002016-07-26T10:22:07.012+01:00Interesting analysis, and important in a NIRP/ZIRP...Interesting analysis, and important in a NIRP/ZIRP world. LB also wonders whether some small component of higher LIBOR reflects a tiny bit of concern about the health of the banks themselves. The major US banks are in good shape as far as the balance sheets are concerned, but there may be a few tiny concerns about regional banks with loans in the energy space?<br /><br />In other news, which will likely dominate today's price action.... regular readers will know that LB [and MM among others] have been promoting the idea of a stronger dollar for some time, and LB has been short CADUSD and USO as crude oil weakens once again. For the last few days we have also been long JPY after a little bit of knife catching. Today brings a strong surge (aka face-ripper) in the yen on a Buy The News reaction / to Japan's new stimulus program, which seems to consist to some extent of recycling already announced programs.<br /><br />http://www.marketwatch.com/story/yen-surges-against-dollar-other-rivals-as-japan-stimulus-plan-falls-short-2016-07-26<br /><br />Given the relationship between USDJPY and Spoos, today may be a relatively rough day for US equities. In Europe, the banks are falling again, with the stress test results due on Friday. DBK is off almost 4% this morning. Certain commenters here, including LB and Mr Beach, will likely be in a good mood. 12y-o HFM remains on Bae-cation, however.Leftbackhttps://www.blogger.com/profile/07728096415928915882noreply@blogger.comtag:blogger.com,1999:blog-34323687.post-80587026116447060592016-07-26T10:18:43.594+01:002016-07-26T10:18:43.594+01:00...wider usd cross currency basis- occam's raz......wider usd cross currency basis- occam's razor?Anonymousnoreply@blogger.com