BTFD/STFR Deja-Vu - check. Credit underperforming - check. USD higher -
check. Treasury Yields lower - check. Ask an equity guy how today was and you'll
likely get a shrug of the shoulders (unless he owns JPM or CHK); ask a credit
guy (if you can pull him away from the bar) and you'll get a very different
response. Investment grade credit markets were crushed today on the back of
pressure on JPM's hedge and unwind expectations - this was across pretty much
all the indices that are out there (with over 90 names in the IG9 index also in
the on-the-run IG18 index - the numbers simply reflect the series or portfolio
that is being referred to). This was the worst week in IG credit of the
year and lifted spreads to 4-month wides and at the same time (until
late in the day) high-yield and high-beta credit did not follow suit (very
unusual and very indicative of the dramatic positioning in the IG indices that
JPM has basically blown up). Treasury yields have now fallen for the 8th
week in a row - the longest streak since 1998! Away from pure equity
and credit, risk assets remained wildly unimpressed by the incredible 8
sigma rip-fest this morning in stocks as commodities all close lower
from yesterday day-session closes - though bounced to end around their European
open levels on the day (except for underperforming Copper). The USD leaked
higher all day with a small interruption thanks to CAD strength on their jobs
data this morning (AUD, EUR, and GBP all close at the week's lows). A horrible
end to an ugly week as S&P 500 e-mini futures ended very close to their
50DMA on above average volume though low average trade size (which we suspect
was dominated by algos in the rip this morning). The losses JPM faces from
today's index shifts are already large and with risk managers everywhere asking
their traders if they hold any of that 'trash', we suspect more selling and
unwinds are to come; and while JPM got all the press, Morgan Stanley is
now down year-to-date.
Treasury yields down for 8 weeks in a row - longest streak since 1998...
IG credit was destroyed and as we noted earlier - the rest of the credit complex can't just sit idly by and watch as its all relative-value and so into the close everything was rolling over...
IG credit longer-term...
Once again gold seemed to anchor equities as they tried to pull away but ended drifting back to reality again (red ovals) just like yesterday...
And while JPM got all the press, it is worth noting that Morgan Stanley is now red for the year...
but stocks oscillated and dipped-ripped-n-dipped again...
and finally - risk assets in general (as proxied by CONTEXT) - stayed far less sanguine and in the end equities rolled over and followed their message for the day
leaving ES with its lowest close in 2 months as VIX pushes back up towards 20%, and 30Y Treasury prices are now green again for the year!
YTD performance...
Charts: Bloomberg
Bonus chart: The 8-Sigma ripfest this morning (green arrow) - yellow band is 1 Sigma...
Treasury yields down for 8 weeks in a row - longest streak since 1998...
IG credit was destroyed and as we noted earlier - the rest of the credit complex can't just sit idly by and watch as its all relative-value and so into the close everything was rolling over...
IG credit longer-term...
Once again gold seemed to anchor equities as they tried to pull away but ended drifting back to reality again (red ovals) just like yesterday...
And while JPM got all the press, it is worth noting that Morgan Stanley is now red for the year...
but stocks oscillated and dipped-ripped-n-dipped again...
and finally - risk assets in general (as proxied by CONTEXT) - stayed far less sanguine and in the end equities rolled over and followed their message for the day
leaving ES with its lowest close in 2 months as VIX pushes back up towards 20%, and 30Y Treasury prices are now green again for the year!
YTD performance...
Charts: Bloomberg
Bonus chart: The 8-Sigma ripfest this morning (green arrow) - yellow band is 1 Sigma...
No comments:
Post a Comment