“Bernanke as the Inverse Volcker”

December 12th, 2014 11:34 pm

I use this gentleman’s work quite often and he is a friend and former colleague. Richard Gilhooly at TDSecurities has penned a thoughtful piece which will stimulate your brain. He suggests that we are seeing an unwind of the oil shock of the 1970s which pushed us into the inflationary spiral of that period. He wonders if we are witnessing the antipodean pole of that shock with this oil war following rapidly on the deflationary shock of the Great Recession and financial crisis.

Read and enjoy this piece by Richard Gilhooly of TDSecurities:

The 1970’s oil price shock gave rise to the inflationary decade that required remedial action from Volcker in the form of penally high interest rates and shock therapy, to change the mindset of the consumer and corporations. The Middle East used their oil weapon to make a statement on Israel and US support thereof, which led oil prices to soar and dramatically worsened an inflationary out-break that Nixon had attempted to address since 1971, with wage and price controls, while abandoning convertibility of the Dollar into gold in 1971. The second oil price shock at the end of the decade sealed the need for Volcker’s draconian monetary policy and set the scene for Central Bankers as inflation fighters over the next two decades.

Consider the 2000’s as the period of transition, from inflation fighters to soul searching through a conundrum on rates when policy appeared to lose its effectiveness as the Fed lifted rates 17 times, yet long rates remained low. It wasn’t until the deflationary shock of the financial crisis that Central Banks fully embraced their new role of inflation protagonists, a role that the BOJ belatedly but enthusiastically embraced, while the ECB has yet to be persuaded to take its first sip, but will likely find the effects intoxicating that it tries it several times.

During this deflationary period, when Central Banks have expanded their balance sheets as the private sector’s contracted, oil prices recovered with expansionary monetary policy from the $40 low at the height of the crisis. The prior peak of $150 and the ECB’s rate hike in 2008, were partly responsible for the downturn in adding pain to massive over-leveraging. Now, the situation is in reverse, with oil prices being driven lower by OPEC refusing to cut production in the face of over-supply, pressuring over-leveraged competitor producer’s and using huge reserves to remove high cost producers in order to ensure longer-term market share.

The policy amounts to the reverse of the 1970s oil price shock, which worsened an inflationary situation, while the current and recently announced policy shift argues for a massive deflationary shock when one has already been building in recent years. 2014 was the year of deflation creep, when QE from Japan had buttressed the US/UK effort and allowed Tapering, leaving Treasury yields at nominally high levels as the stealth deflation took hold and competitive devaluations became the quick answer over and above interest rate moves.

If OPEC continues to allow the price to drop, as a policy of long-term preservation, –with levels of $40 seemingly within the range of reasonable if demand has fallen to levels not seen since 2003–the opposite impulse of the 1970s shock would surely require a monetary response. It could be argued that Bernanke was the inverse-Volcker, but the latest shock, should it continue, falls on Yellen’s shoulders. And clearly Draghi faces a greater shock, while Abe’s policy of hitting 2% inflation is made all the harder with plunging oil prices to offset Yen devaluation, both moving a near equal magnitude of 50%.

TIPS

December 12th, 2014 11:10 am

Via Richard Gilhooly at TDSecurities:

The 2010 lows in 5yr Breaks are at hand, just 1bp away at 115bp, as 5yr real yields are making new highs and 5bp higher on the day, at 30bp real yield, while 5yr nominal yields are 5bp lower. Volumes are light, with 5yr Breaks 10bp lower on the day and even the 10yr break-even is getting hit hard, -8bp on the day, at 162bp. With 30yr nominal bond yields under 2.80% and around 7bp lower since 1pm yesterday, the next stop is at the 2.67% intra-day low from October 15th. The close in 10yr notes that day was 2.14%, having traded at 1.86% intra-day, and this morning is the first time we have traded through the 2.14% level since then. Bund yields are rallying to new historic lows in yield, at 63bp in 10yrs,leaving the Treasury-bund spread at 150bp and the limited room to rally further in Germany (with even JGBs at 40bp) naturally leaves the high-yielding US market as the market of choice to add duration.

Sunday night could be an interesting trade, with the re-election of Abe with an increased super-majority likely to take $/Yen higher at first blush. The question of buy the rumor, sell the fact could come into play as this outcome is widely expected. However, with Nikkei and Yen having corrected somewhat in recent days, some will want to use this outcome to position for next year as the election outcome appears favourable to more of the same policy.

FX

December 12th, 2014 7:30 am

Via Marc Chandler at Brown Brothers Harriman:

Dollar Consolidates as Oil Slide Continues

– Markets are reacting to the cuts in demand forecast by OPEC and IEA
– The decline in oil prices not only pushed down bond yields, but spurred sharp losses in the equity markets and a setback in the US dollar
– The main macroeconomic news today has come from China’s economic data and lending numbers
– Japan holds elections over the weekend
– India reports November CPI and October IP; Mexico reports October IP

Price action:  The US dollar is trading largely within yesterday’s ranges against the major currencies.  The Canadian dollar and the Norwegian krona are the main exception.  CAD is pushing lower still, with the greenback moving a little beyond CAD1.1550.  The main development today is the continued drop in oil prices.  The Norwegian krona is underperforming, with the dollar trading just under NOK 7.40.  The euro is trading just under $1.2450 and the pound just above $1.5700.  The dollar is back near ¥118.30 against the yen after trading as high as ¥119.60 yesterday.  The ruble continues its precipitous decline, down another 2% today against the basket.  MXN and IDR are also underperforming.  The MSCI Asia Pacific index was up 0.4%, with the Nikkei up 0.7%.  However, Euro Stoxx 600 is giving up yesterday’s gains, falling 1.5% near midday, while S&P futures are pointing to a lower open.  Oil is down again during the London morning, with WTI at $59.10 and Brent at $63.0.

  • Markets are reacting to the cuts in demand forecasts by OPEC and IEA.  Oil prices have fallen about 10% this week.  Brent finished last week near $69.10 and now is quoted around $63.25.  WTI finished last week just below $66 and now is just above $59.  This was driven by slowing of the Chinese economy coupled with increased output in the US (which reached a new high of 9.12 mln barrels a day in the week of December 5), and larger OPEC discounts.
  • Assuming one was an oligopoly, this is precisely the rational actor strategy:  Allow the price to fall to push higher cost alternatives out of the market.  We suggested that the channel for this might not simply be a drop in oil prices themselves, as powerful as that may be, but also through cutting the cheap funding, which was largely predicated on the purported value of the oil in the ground.  
  • This precipitous decline in oil prices hits the global economy as deflationary forces still threaten large parts of the world economy.  It has knocked down US 10-year yields.  After the constructive employment report, US 10-year yields finished last week near 2.30%.  Today they touched 2.11%.  And this despite continued robust data (see yesterday’s 0.7% rise in headline retail sales) and speculation that next week’s FOMC statement will delete or dilute the reference to “considerable period” as the next step towards preparing investors for a rate hike next year.  
  • The decline in oil prices not only pushed down bond yields, but spurred sharp losses in the equity markets and a setback in the US dollar.  The yen is the strongest currency this week, recovering a little more than 2.5%.  The New Zealand dollar is in second place, helped by a less dovish central bank.  The euro is about 1.2% higher on the week after recording new cyclical lows on Monday.  Sterling rose about 0.75% this week.  
  • On the other side, the Norwegian krone was the worst performer, dropping 3%, mostly following the central bank’s unexpected 25 bp rate cut.  The Canadian dollar lost about 1% this week as the market treated it like a petro-currency.  Weak commodity prices, slowing of China, and bearish comments from RBA Governor Stevens prevented the Australian dollar from sustained upticks over the course of the week, and it is off around 0.5% on the week.  
  • The main macro-economic news today has come from China.  Real sector data, including retail sales, industrial output, and fixed asset investment, were in line with expectations or a touch softer.  New yuan loans and aggregate social financing were stronger than expected.  Some see an increase as a sign that Chinese officials are using moral suasion.  However, the moral suasion could be in the form of the annual target, which Chinese financial institutions are still well short of achieving.  In order to reach the CNY1.8 trillion target for 2014, yuan loans have to rise by almost CNY950 bln in December.  
  • Generally softer than expected Chinese data has also contributed to the decline in oil prices. There are reports indicating a key policy-making meeting resulted in a cut in the 2015 growth target to 7.0% from 7.5%, which reinforced ideas that oil demand will slacken.  In addition, reports suggest that China, which had been building strategic (oil) reserves as prices fell, has stopped doing so.    
  • For the first time this week, the PBOC fixed the yuan lower, but the market selling pressure seen earlier this week appeared to abate.  HSBC preliminary manufacturing PMI is expected early Monday.  The consensus calls for a dip below the 50 boom/bust level, which would be the first such reading since May.
  • Japan holds elections over the weekend.  It is now widely expected that the LDP and Komeito coalition will retain its super-majority.  Many observers expect that this will reinvigorate Abenomics.  But the coalition has had a super-majority for the last couple of years, and the reforms that characterize the third arrow have simply not spurred much enthusiasm.  In fact, the success of the LDP and Komeito in the election is not to be confused with support for Abenomics.  Opinion surveys seem very clear that people are very divided over it.  
  • Import prices in the US fell 1.5% in November, the biggest decline in nearly 2.5 years.  There could be a knock-on effect on today’s PPI report. However, it is unlikely to be much of a market mover. Investors already appreciate that price pressures (and inflation expectations) in the US have diminished.  However, comments by the Fed’s leadership have been clear:  They intend to look past this temporary impact, and recognize the drop in energy prices as tantamount to a tax cut.
  • India reports November CPI and October IP later today.  The former is expected to rise 4.4% y/y, while the latter is expected to rise 2.5% y/y.  The fundamentals continue to improve, and falling inflation should allow the RBI to ease policy in Q1 2015, as Governor Rajan has hinted at.  The economy should accelerate in 2015 due to stronger domestic demand.  India has the benefit of having a large domestic market and does not compete with Japan in terms of export structure.  As such, India (as well as Indonesia) should perform well in the current slow global growth/weak yen environment.  For USD/INR, support seen near 62.00 and then 61.50, resistance seen near 62.50 and then 63.00.
  • Mexico reports October IP, expected to rise 2.5% y/y vs. 3.0% in September.  The central bank delivered a very dovish message last Friday on the economic outlook.  For now, we do not think Banxico will feel compelled to follow the Fed higher in terms of rates next year.  The new dollar auction mechanism was triggered Thursday, but USD/MXN continues to make new cycle highs today.  For this pair, support seen near 14.50 and then 14.00, resistance seen near 15.00 and then 15.50.

 

What to Watch for Today

December 12th, 2014 7:27 am

Via Bloomberg:

WHAT TO WATCH:
* (All times New York)
Economic Data
* 8:30am: PPI Final Demand m/m, Nov., est. -0.1% (prior 0.2%)
* PPI Ex Food and Energy m/m, Nov., est. 0.1% (prior 0.4%)
* PPI Ex Food, Energy, Trade m/m, Nov., est. 0.1% (prior
0.1%)
* PPI Final Demand y/y, Nov., est. 1.4% (prior 1.5%)
* PPI Ex Food and Energy y/y, Nov., est. 1.8% (prior 1.8%)
* PPI Ex Food, Energy, Trade y/y, Nov., est. 1.7% (prior
1.6%)
* PPI Ex Food, Energy, Trade y/y, Nov., est. 1.7% (prior
1.6%)</li></ul>
* 9:55am: UofMich Confidence, Dec. preliminary, est. 89.5
(prior 88.8)

Thirty Year Auction

December 11th, 2014 11:17 am

Via CRT Capital:

30-year Auction Outlook

** In our auction write-ups this week we mentioned that we were cutting out the verbiage to focus on the bullets and technical analysis. We heard nothing back in term of disliking this approach or, for that matter, liking it.  SO WE ASK, other than the cheatsheet do you need this sort of auction preview from us?  Do let us know. Thanks.

• 30-year auctions (new issues and reopenings) have been recently had mixed receptions; stopping-through three of the last six auctions for an average through-stop of 2.3 bp vs. a 0.7 bp average tail.

• Overseas accounts have been awarded more in recent 30-year Reopening auctions taking 14% during the last four vs. 12% at the prior four.  In addition, investment fund buying has jumped to 52% vs. 42% prior.

• There have only been five December 30-year auctions, three of which have tailed including 2013 and 2012.  The average tail is 2.9 bp vs. the average stop-through of 4.0 bp.

• Trading volumes have been decent so far this morning with 30s trading at 126% of their 5-day MA vs. 113% at recent auctions.  69% of the auction size has traded vs. a norm of 59%.  Strong volumes tend to correlate with short tails.

Technical Analysis:  Technicals are so so.  Momentum measures are well into rich, i.e. over bought areas, with stochastics vacillating somewhat making for a tepid bullish view.  With the most recent action 30s have achieved the 61.8% retracement of the move from Oct 15 to the Nov 7 range, which is about the most exacting sense of testing and holding resistance (the level is 2.837%).

Note that level also marked the start of the retreat, rejection, on Oct 15 and so is important. The next level would be the overnight yield low from Oct 16, 2.777% to 2.81%, a range that New York and Chicago hours didn’t see that day.  Immediate resistance comes at 2.89%, a thin volume area earlier this week to 2.91% and then high volume at 2.96+%.

We generally like what we deem corrective steepening ideas against 30s with the view that the flattening is, technically, overdone for now and we may encounter some FOMC relief next week encouraging people in flatteners to book profits.  We’ve talked about positions and here we think it’s important to note that the SMR  investor survey is 99.6%, the last short it’s been since the start of 2013 and Primary Dealer Holdings of 11+ year paper at just over $16 bn is near the isolated highs of early 2009 and May 2013.

In terms of curve ideas, we like 7s/30s steepeners to about 100 bp, 5s/30s to 130 to 138 bp, and 10s/30s to about 70-72.6 bp.

Market Analysis

December 11th, 2014 10:10 am

Via Richard Gilhooly at TDSecurities:

Bonds traded to a new low yield of 2.80% this morning before reversing on stronger than expected retail sales data and set-up for the 30yr bond auction. The curve initially flattened 2bp on retail sales as the bond held up, but supply at 1pm presented an opportunity to enter steepeners at better levels and under-write 30yr supply. Risk assets are on a stronger footing today, outside of emerging markets, where Russia and Brazil continue to see currency weakness and weaker equities. Comments from BOC Governor Poloz, that all Central Banks are preparing for Fed rate hikes, weakened the C$ while a surprise rate cut from Norway reflected concerns of a ‘severe downturn’ according to the Central Bank Governor.

The rebound in $/Yen added momentum after retail sales, already 70pips higher overnight as Nikkei gains were limited, extended back over 119 this morning. It is a foregone conclusion that Abe will win re-election on Sunday with a super-majority, so much so that there is barely any media commentary on the subject. The correction in $/Yen and in the Nikkei will likely be seen as an opportunity to reload as Abe has a mandate for reforms, but concerns ahead of the Greek vote later next week will likely continue to restrain a rebound in risk assets more generally.

With 30yr Germany under 1.50% this morning and just 10bp over 30yr JGBs, one could argue it reflects increased QE chances after the weak TLTRO uptake, but it also reflects ongoing deflation concerns as commodity prices generally reprice for weak demand and increasing supplies. That a basic commodity such as crude oil can reprice 42% in less than 6 months makes one wonder how such a mis-pricing could have persisted for so long, as the supply/demand imbalance has not shifted materially in a matter of just a few months.

What has shifted is the Dollar index and perceptions of Fed hikes since July, when DXY moved from a low of 80 to a high near 90 on Monday. Rate hikes by the Fed will likely continue to be absorbed in DXY and dis-inflationary pressures will be transmitted to the US long before the first rate hike. For this reason, we continue to see nowhere for inflation break-evens to go but lower.

FX

December 11th, 2014 7:46 am

Via Marc Chandler at Brown Brothers Harriman:

Norges Surprises, TLTRO Disappoints

– There have been a number of surprise developments today, including the less dovish Reserve Bank of New Zealand and the 25 bp cut from Norway’s central bank
– Banks borrowed about 130 bln euros from the TLTRO facility – more than the first TLTRO, but less than half what was available
– In its weekly portfolio flow report, the MOF showed that Japanese investors took profits on foreign bonds
– The central banks of Korea, Indonesia, and Philippines all left their rates unchanged and Russia hiked rates, all as expected; the Brazilian central bank minutes were more interesting

Price action:  The dollar is mixed on the day, especially against the Scandies.  The Norwegian krone was the biggest mover after the Norges Bank surprise cut, falling nearly 1% against the dollar and driving the EUR/NOK cross above the 9.0 level for the first time since mid-2009.  In contrast, the dollar is falling against the Swedish krona, down to SEK 7.50.  The euro had already peaked just shy of $1.25 before the ECB’s announcement of a weak TLTRO takedown, and came off further on the news.  The euro recorded the session low near $1.2415 shortly after the news.  Sterling is lower at $1.5670 while the dollar rose to ¥118.50 against the yen, after making a low near ¥117.75 overnight.  In the EM space, COP continues to underperform, down 7.5% month to date.  This is second only to Russia, down 10.3% over the same period and down almost 1%today after the central bank hiked 100 bp.  ZAR and PHP are outperforming today.  The MSCI Asia Pacific index fell 0.8%, Stoxx 600 is down 0.4% near midday, but S&P futures are pointing to a higher open.

  • The markets have been subject to large moves in recent days.  Some, including the dollar, were counter-trend moves.  Some, like oil, were accelerations of the existing trends.  There have been a number of surprise developments today, including the less dovish Reserve Bank of New Zealand and the 25 bp cut from Norway’s central bank.  The markets are trying to stabilize, and the dollar’s correction appears to have exhausted itself.  
  • Banks borrowed about 130 bln euros from the ECB under the TLTRO facility.  It was more than the first TLTRO, but less than half what was available.  It underscores how far away the ECB is from achieving its intention of driving its balance sheet up by a trillion euros.  This is thought to be achievable only in an asset purchase program that would include sovereign bond purchases, which is extremely controversial by raising political, legal and operational challenges.  Note that about a week before the next ECB meeting, the European Court of Justice is to hand down a non-binding ruling on the legality of the OMT program.  
  • Peripheral European bonds were recovering from this week’s slides.  The modest participation kept bonds firm, though Greek bonds remain under pressure.  Samaras’ gambit to bring forward the presidential selection process means heightened political concerns.  Thus far, there is little contagion.
  • However, more immediately, attention will turn to the US consumer as November retail sales are reported.  The market will look past any softness in the headline that might be restrained by the drop in gasoline prices.  The component that excludes autos, gasoline, and building materials, which is used for GDP calculation, should be firm.  The 12- and 24-month averages are 0.3%.  The US may report its second consecutive 0.5% monthly increase and the third in four months.  
  • Norway’s central bank 25 bp rate cut to 1.25% is the main surprise of the day.  It sent the krone about 1% lower against the euro.  The Norges Bank cut its forecast for the non-oil economy to 1.5% from 2.25% in September.  It now sees rates remaining steady or lower until the end of 2016.  This leaves the door open to another rate cut if needed.  
  • The Reserve Bank of New Zealand produced its own surprise.  While not changing rates, the statement was more hawkish than expected; warning that a further increase in the official cash rate may be required at a later stage.  It sees output exceeding capacity.  The market had been leaning to a rate hike in late 2015.  The New Zealand dollar, which officials continue to regard as over-valued, extended its three-day rally to near $0.7870 after setting the low for the year near $0.7600 on December 9.   However, it ran out of steam and returned toward $0.7800.  Below there, support is seen near $0.7750.  
  • News that Australia’s unemployment rate ticked up to 6.3%, a new 12-year high heightened speculation that the Reserve Bank of Australia will cut rates early next year.  The details from the employment report were dour even though the headline of 42.7k new jobs topped expectations.  It was nearly all part-time jobs.  There were only 1.8k new full-time positions, and the number of full-time jobs reported in October was revised down to 27k from 33.4k.  
  • Japan’s Q3 GDP was unexpected revised to show a deeper contraction, and Q4 is not off to a strong start.  Earlier today Japan reported a 0.2% decline in its tertiary industry index.  Machine orders, which were expected to fall by 1.7%, instead plunged by 6.4%.  
  • In its weekly portfolio flow report, the MOF showed that Japanese investors took profits on foreign bonds.  It is the third consecutive week that Japanese investors did not buy foreign bonds (last week it bought JPY100 mln, which is really nothing for this time series).  Japanese buying of foreign stocks has also slowed considerably.  Consider that the four-week moving average was above JPY200 bln from late September through the end of October (when the GPIF announcement was made).  It now stands at less than JPY100 bln.  
  • The dollar’s recent drop against the yen was extended to slightly below JPY117.50 in early Asia.  It has since recovered to approach JPY119.00.  Support now is pegged near JPY118.50.  Recall that on December 14, Japan goes to the polls and is widely expected to result in Abe’s coalition holding on to its super-majority in parliament.  Initially it had looked like the governing coalition would lose seats, but the opposition has failed to impress.  It has not offered an alternative to Abenomics, which is not very popular in Japan.  Late in the day, the BOJ will report the results of its Tankan survey.
  • The central banks of Korea, Indonesia, and Philippines all left their rates unchanged, as expected.  Bank of Korea kept rates at 2.0%.  The market was a bit split with a few seeing a cut. We see the argument for further easing building as the yen weakens, but it’s not yet time.  JPY/KRW had been pushing lower to the lowest levels since early 2008, but has since risen modestly.  Rule of thumb is that Korean exporters like this cross above 10, and it’s getting closer to 9 instead.  Bank Indonesia kept rates at 7.75%.   Recall that the bank delivered a surprise 25 bp hike last month after fuel subsidies were cut.  We see their hawkish bias increasing as the weaker rupiah pushes inflation risks higher.  Philippines central bank kept rates steady at 4.0%.  Lower oil prices and slowing regional growth support our view that the tightening cycle is over for now.  Fundamentals remain solid, but there are already signs that exports and economic growth are already feeling some headwinds.  
  • The Russian central bank hiked rates by 100 bp to 10.50%.  This was what most had predicted, though many were calling for much more aggressive hikes.  Obviously the tumbling ruble played a big role in the decision, possibly the biggest role.  But inflation is running at a 9.1% y/y rate, despite the weak economy.  The move did little to support the currency, with the basket rapidly approaching 62.0 and USD/RUB breaking above 55, both making new all-time highs.
  • In Brazil, COPOM minutes were just released. The text refers to its last meeting, when it hiked rates by 50 bp, but sounded dovish.  One notable point was the discussion about the possibility of fiscal tightening, which suggests a more dovish inclination, almost as if the bank was looking for reasons to justify a shorter cycle.  Sure there will be some fiscal tightening, but it’s hard to believe it will be too strong, especially in 2015.
  • Also, Chile’s central bank meets and is expected to keep rates steady at 3.0%.  The central bank is likely on hold near-term as inflation moves further above the 2-4% target range, with the weak peso adding to price pressures. And Peru’s central bank meets and is expected to keep rates steady at 3.5%.  However, the market is a bit split.  Of the 19 analysts polled by Bloomberg, 6 see a 25 bp cut and 13 see no move.  Given the downside risks to the economy, we think the easing cycle is likely to continue in 2015.  Falling commodity prices remain a big concern for Peru.

What to Watch for Today

December 11th, 2014 7:38 am

Via Bloomberg:

WHAT TO WATCH:
* (All times New York)
Economic Data
* 8:30am: Retail Sales Advance, Nov., est. 0.4% (prior 0.3%)
* Retail Sales Ex Auto, Nov., est. 0.1% (prior 0.3%)
* Retail Sales Ex Auto and Gas, Nov., est. 0.5% (prior
0.6%)
* Retail Sales Control Group, Nov., est. 0.5% (prior 0.5%)
* Retail Sales Control Group, Nov., est. 0.5% (prior 0.5%)</li></ul>
* 8:30am: Import Price Index, m/m, Nov., est. -1.8% (prior
-1.3%)
* Import Price Index, y/y, Nov., est. -2.6% (prior -1.8%)
* Import Price Index, y/y, Nov., est. -2.6% (prior -1.8%)</li></ul>
* 8:30am: Initial Jobless Claims, Dec. 6, est. 297k (prior
297k)
* Continuing Claims, Nov. 29, est. 2.344m (prior 2.362m)
* Continuing Claims, Nov. 29, est. 2.344m (prior 2.362m)</li></ul>
* 8:45am: Bloomberg U.S. Economic Survey, Dec.
* 9:45am: Bloomberg Consumer Comfort, Dec. 7 (prior 39.8)
* 10:00am: Business Inventories, Oct., est. 0.2% (prior 0.3%)
* 12:00pm: Household Change in Net Worth, 3Q (prior $1.390t)
Central Banks
* 7:45am: Bank of Canada’s Poloz speaks in at Economic Club of
New York, followed by news conference
Supply
* 11:00am: U.S. to announce plans for auctions of 3M/6M bills,
5Y TIPS
* 1:00pm: U.S. to sell $13b 30Y bonds in reopening

Overnight Data

December 10th, 2014 8:29 pm

Via Robert Sinche at Amherst Pierpont Securities:

For those who follow Central bank decisions…Thursday will bring policy announcements from the Central Banks of Switzerland, S. Korea, Chile, Peru, New Zealand, Philippines, Indonesia, Norway, Russia and Serbia. The one to watch appears to be RUSSIA, with the BBerg consensus now expecting a full 100bp tightening to 10.50% as inflation rises even more rapidly than expected, likely to exceed 9% by yearend.

AUSTRALIA: Employment data for November, with significant volatility over recent months. The BBerg consensus expects a +15K rise in employment but a rise in the UR to 6.3% from 6.2%.

CHINA:  Over the next week the November data on bank Loans and Aggregate Financing will be released, with Financing Activity weaker over the summer, opening downside risks to growth. The PBOC appears to be trying to encourage personal borrowing and spending while restraining public investment, particularly by local governments. A weak outcome for November would support easing by the PBOC, perhaps as early as this weekend.

INDIA: Over the rest of the week the November data on Exports and Imports should be released; YOY export growth fell to a disappointing -5.0% in October.

JAPAN: The BBerg consensus expects the Tertiary Activity Index to fall -0.2% in October, with a larger downside risk after a +1.0% gain in September. The Bberg consensus expects Machine Tool Orders to fall -1.7% MOM, bringing the YOY change to -0.3%.

RUSSIA: Gold and FX Reserve data for the week ended December 5, which should fall meaningfully as there was large intervention last week; Reserves were $420.5bn as of Nov 28.

GERMANY: The BBerg consensus expects the final November CPI to be confirmed at 0.5% YOY (EU Harmonized measure).

FRANCE: The BBerg consensus expects the November EU Harmonized CPI measure to be reported at 0.5%, unchanged from October, with lower energy prices opening the potential for a slight decline.

ITALY: The BBerg consensus expects October IP to have rebounded +0.3% MOM, leaving the YOY decline at -1.4%.

Merrill Lynch on Diverse Topics

December 10th, 2014 8:06 pm

Via Merrill Lynch Research;

Summary
  • We continue to look for wider spreads in 2015, but yesterday our 2015 spread target for HG of 140bps was reached.
  • HG excess returns have now turned negative for the year (-3bps).
  • Clearly there is a price to be paid at the back end of extraordinarily easy monetary policy.
  • 2015 arriving early. The biggest risk to our bearish outlook for wider credit spreads in 2015 is that the re-pricing happens already in 2014. We continue to look for wider spreads in 2015, but yesterday reached our 2015 spread target for high grade corporate bonds of 140bps. With today’s continued sell-off, as stocks dropped 1.6% on the $2.30 further decline in oil, HG spreads now stand at 142bps, well off the tights of 106bps from late June. Other milestones include that with today’s move wider HG excess returns have now turned negative for the year (-3bps), meaning that the entire 7.34% total return ytd comes from the risk free part of yields. In high yield credit spreads are now just 13bps off the wides of 534bps seen during last year’s taper tantrum, and way off the tights of 335bps reached in June this year. There are multiple reasons for this spread widening in credit during the second half of this year including rate hiking risk and concerns about liquidity, lower oil prices and heavy supply volumes.
  • The Fed’s zero interest rate policy was the main factor behind driving credit spreads toward post-crisis tights this summer. Thus it makes sense that concerns about the expected end to the Fed’s zero interest rate policy next year is the main culprit behind much wider spreads in the second half of this year. Investors are likely concerned about liquidity because the Fed is about to tighten financial market conditions, leading to outflows from credit. A good part of the decline in oil was driven by the stronger dollar – again partially a by-product of expected change in the Fed’s monetary policy stance. Heavy supply volumes were driven by unusually low yields. There is no doubt that certain asset classes can benefit tremendously from an extraordinarily easy monetary policy stance. However, clearly there is a price to be paid at the back end of such policy. – Hans Mikkelsen (Page 4)
  • Healthcare spending boosts tracking. The Census Bureau’s Quarterly Services Survey (QSS) for 3Q bumped up our 3Q GDP tracking estimate to 4.2% qoq saar from 4.0% qoq saar before the data. Our 0.2pp revision comes from higher healthcare services spending than the Bureau of Economic Analysis (BEA) initially estimated. There is considerable uncertainty around the magnitude of this revision, but we will learn more when the BEA releases the third and final estimate of 3Q GDP in late December.Lisa C. Berlin (Page 5)
  • It’s that time of the year. The US budget deficit narrowed to $56.8bn in November 2014 from $135.2bn in November of last year. The Congressional Budget Office (CBO) had expected a modestly larger deficit of $59bn, making this report in-line with expectations. Total receipts accounted for $191.4bn in November 2014, up $9.0bn from $182.5bn in November 2013. The gain was largely driven by the improving economy. Individual income tax receipts were up $3.2bn, employment tax receipts were up by $3.1bn, and corporate income tax receipts were up $2.1bn. Total spending was the main driver behind the substantial narrowing. Spending declined $69.4bn to $248.3bn in November 2014 from $317.7bn in November 2013. This was largely driven by a reduction in Medicare spending of $35.5bn. There were a number of other large drivers. Spending on income security declined $19.8bn, spending on national defense dropped $11.4bn and veterans benefit outlays decreased by $11bn. According to CBO, the decline in the deficit was largely the result of timing shifts this year relative to last year.Lisa C. Berlin (Page 5)