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Jeremy

@JeremyWS

G10 & EM Macro … FX/Rates/Vol. https://xitter.cf/t.co/PRYnQS3xLl

 London
jwsmacro.substack.com
Joined April 2009
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Photo by Jeremy (@JeremyWS)Photo by Jeremy (@JeremyWS)Photo by Jeremy (@JeremyWS)Photo by Jeremy (@JeremyWS)Photo by Jeremy (@JeremyWS)Photo by Jeremy (@JeremyWS)Photo by Jeremy (@JeremyWS)Photo by Jeremy (@JeremyWS)Photo by Jeremy (@JeremyWS)Photo by Jeremy (@JeremyWS)
Greatest city in the world
Image from Jeremy (@JeremyWS)
Image from Jeremy (@JeremyWS)
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Global Rates Update #9: Perfect Storm - Energy trades live. Growth shows up lagged. The market struggles to price both simultaneously. - Macro stops became RV stops. Then we found France - The US consumer was stronger than we thought. The income revisions help explain the resilience - thoughts on Economic r* vs Financial r*. -G4 Central banks all looking to hike at a quarterly cadence -One long end yield, two stories. Good growth and bad fiscal get you to the same, higher yield.. jwsmacro.substack.com/p/glob…
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2yr BTP vs Germany. Market entirely broken. Credit risk percolating through this market fast.
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Bloodbath spills over into Italy today. 2y BTP absolutely destroyed. Spreads 20bp wider in the space of an hour. Dash for the safety of the Shatz.
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Image from Jeremy (@JeremyWS)
Jeremy (@JeremyWS) profile pictureJeremy
@JeremyWSSep 30
Lots going on in global rates right now. The sell off in OATs getting extreme now. Lagarde out effectively saying no ECB backstop to spreads. (At least here…) +limited ways to extinguish absent fiscal austerity (which seems hard!) France close to their “truss” moment now.
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Full 2023 redux for the 30y. Having broken the old highs, we’ve now run ~50bps higher. Reminder that QRA “saved” us last time… let’s see.
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@JeremyWSAug 18
US30y reminding me of the August of 2023. Drifted through the then cycle highs on the 3rd week… treaded water for a bit until absolutely moonshooting in October. As soon as we broke cycle highs, correlation of Equities to Bonds jumped to 1 until the price level cleared both.
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Image from Jeremy (@JeremyWS)
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Lots going on in global rates right now. The sell off in OATs getting extreme now. Lagarde out effectively saying no ECB backstop to spreads. (At least here…) +limited ways to extinguish absent fiscal austerity (which seems hard!) France close to their “truss” moment now.
Image from Jeremy (@JeremyWS)
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Chart is OATs v ESTR spreads. (rather than the usually cited France v Germany).. cleaner/purer look imho.
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**Small schadenfreude here as an Englishman watching French bonds burn to the ground, whilst Gilt ASWs near the years tights..**
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Uniquely punishing day in 10y EUR rates today… 2s10s 7 steeper, 10s30s 4 flatter… leading the fly to some ungodly Std. Dev fly move. Macro stopped on the outright move. So they liquidate the book, Including the RV trades… So the RV guys get stopped and the market breaks
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If there was any day for a “Leopold-like Liqudation local Low…” it was today.
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There are still people who don’t think the BoE will hike out there.
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@JeremyWSSep 1
Everyone’s favourite long (sonia) new lows for the year. 🤮 At least they’re not short puts this time around…
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U6u7u8 Euribor fly almost made it to 100 today! Wow Absolutely insane move (Post from May)
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Image from Jeremy (@JeremyWS)
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@JeremyWSSep 10
Well m7z8 worked out ok… Probably no better than just staying short but hey ho. Risk definitely did not enjoy pricing >3% in ESTR.
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Well m7z8 worked out ok… Probably no better than just staying short but hey ho. Risk definitely did not enjoy pricing >3% in ESTR.
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@JeremyWSSep 1
Easy part of the EUR rates repricing is now over.. Terminal rates on ESTR made it to 3% today finally. Further sell offs from here will only deteriorate risk, and be somewhat self suffocating. Don’t mind M7Z8 flats here, as well as some soft midcurve topside on Z8
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Image from Jeremy (@JeremyWS)
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Absolute scenes in EUR rates. 3.25% implied z7 estr! Curve immolating.
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Image from Jeremy (@JeremyWS)
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The big debate from warsh is “what is hot”? Yet he gives a hurdle of 2.8% 3m run rate as “fine” given the last 2 prints of Core PCE, that means >=0.31% Core PCE m/m is “hot” for Waller. The philosophical debate I talked in my last blog seems to be won by the momentum crew..
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Image from Jeremy (@JeremyWS)
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Oh and the “smart forecasters” are somewhere 0.16-0.19 core pce m/m right now. Hurdle has shifted meaningfully.
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Seems I never posted the link on Twitter last week. (All the more reason to subscribe via Substack, it’s free!) open.substack.com/pub/jwsmac…
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Everyone’s favourite long (sonia) new lows for the year. 🤮 At least they’re not short puts this time around…
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Easy part of the EUR rates repricing is now over.. Terminal rates on ESTR made it to 3% today finally. Further sell offs from here will only deteriorate risk, and be somewhat self suffocating. Don’t mind M7Z8 flats here, as well as some soft midcurve topside on Z8
Image from Jeremy (@JeremyWS)
Image from Jeremy (@JeremyWS)
Jeremy (@JeremyWS) profile pictureJeremy
@JeremyWSAug 28
The commodities that matter still all pushing their own local highs. Notably Food/Ags accelerating which is easily the most important. Pressure on EUR belly persists. 3% terminal in sight. Starting to game out scenarios of a 4% Bund 10y… (Chart: TTF, Wheat, QS Z6 futs YTD)
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The commodities that matter still all pushing their own local highs. Notably Food/Ags accelerating which is easily the most important. Pressure on EUR belly persists. 3% terminal in sight. Starting to game out scenarios of a 4% Bund 10y… (Chart: TTF, Wheat, QS Z6 futs YTD)
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Jeremy (@JeremyWS) profile pictureJeremy
@JeremyWSJul 22
The commodities that matter are all pushing new YTD highs (in Z6 contracts). Wheat \ TTF \ Gasoil Accidents getting closer by the day.
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Took a bit longer than I envisaged but finally 97.00 in ERU8, new cycle lows
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