Assessing The Bank Of Japan’s Latest Move
Make no mistake, there really was no getting this “right” for the Bank of Japan. When you’re monetizing the entirety of gross JGB issuance, buying up 60% of the ETF market, and rates are already negative, there’s not much you can do in the way of “shocking and aweing” the market. So they got “creative.”…
The Fed/BoJ Policy Matrix: Full Schematic
All you have to do to understand how nervous markets are ahead of Wednesday is have a look at how the major averages across the globe performed today. Everything is mixed from the US to Europe to Asia. There are lingering concerns that the market may be pricing the Fed decision wrong. Barclays thinks that’s…
“No We’re Not Crazy”: Two Banks Say Expect Fed Hike Tomorrow
It’s official. Barring a flash crash or a terrorist attack, we’ve seen the most spectacular fireworks show we’re going to see on Tuesday and it came from a the fire-breathing dragon that is Sen. Elizabeth Warren. This is a politician that makes Bernie Sanders look meek when it comes to lambasting Wall Street and boy,…
Mind The GAAP (Again)
Ok, so we pretty much covered everything worth mentioning regarding Monday’s session earlier. OPEC chatter notwithstanding, there’s really no good reason to do anything ahead of the Fed and the BoJ unless you think you have a pretty good read on the tone Yellen will strike in the presser and on what Kuroda intends to…
Bond Markets Are Feeling the Fear
Bonds are showing a higher volatility than the overall stock market. Let's see how this impacts the financial stocks and our current positions...
“Wait-And-See” Week Off To Aimless Start
Well, what can you say about Monday? We shot a terrorist, subsequently captured him, and GM got a key upgrade (USA! USA!). Other than that, it’s an aimless session. After a fast start, stocks drifted lower, then rebounded a bit, and then… you get the idea. The problem, apparently, is oil. Have a look: “They…
Previewing A Big Week: Fed, BoJ On Deck
Ok, so next week is obviously critical. We’ve got the FOMC and the BoJ and as we’ve tried to emphasize, the BoJ may actually be more critical than the Fed. The Fed has plenty of reasons to go “full-Brainard” as it were and forestall a second rate hike. They’ve got a weak non-manufacturing ISM number…
Irrational Complacency
Ok, so two things to wrap the week: bond yields and volatility. Both have been suppressed by central banks. Here’s what Citi said on August 30: “We have written recently on the distortionary effect of central bank action on asset prices. One of the most jarring manifestations of this is the persistently low implied volatility…
Deutsche Bank On The Brink, Refuses To Pay Department Of Justice
We’ve long documented the sad if sometimes comical demise of Deutsche Bank, the German behemoth that’s become synonymous with, how shall we say, “unscrupulous” business practices. The company replaced its co-CEOs last year including Anshu Jain, a man who a BaFin (that’s the German financial watchdog) once outed in a report as being a cheerleader…
Suddenly, Everyone’s Talking About VaR Shocks Again
We’ve talked quite a bit lately about systematic strategies and about the dangers they pose to markets. We’re talking here about CTAs (trend followers), risk-parity, and vol. targeting. We dodged a bullet around Brexit when it came to CTAs. Here’s why: (Chart: BofAML) What that shows is that CTAs weren’t forced to liquidate as aggressively…