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illiquidity

The Shortest Intuitive Leap

By |2016-05-11T16:10:04-04:00May 11th, 2016|Bonds, Commodities, Currencies, Economy, Federal Reserve/Monetary Policy, Markets, Stocks|

It was an impressive rebound from the doldrums of February 11. Stocks managed to get back nearly even, as the S&P 500 closed above 2,100 on successive days April 19 and 20. Since then it has been more of a struggle; sideways to slightly lower. Gold has remained near and above $1,250 while funding markets and UST’s have been bid [...]

Quarter End Repetition

By |2016-03-31T17:54:59-04:00March 31st, 2016|Currencies, Economy, Federal Reserve/Monetary Policy, Markets|

It is quarter end, so illiquidity irregularity is to be expected except that it isn’t irregular really. Eurodollar futures have been heavily bid for three days in a row now, leaving four consecutive up days for the first time since the liquidations. And because I am a sucker for fractal behavior, repo markets proved that quarter end is still what [...]

Potential Connections

By |2016-02-03T16:59:30-05:00February 3rd, 2016|Currencies, Economy, Federal Reserve/Monetary Policy, Markets, Stocks|

You simply cannot act as a money dealer when the money you are dealing is highly suspect. I am not writing about money in the true sense, such as any tangible form that falls under property laws of custody and bailment, but rather the wholesale “money” that is derived under the much looser and unconstrained terms of financial laws and [...]

Acceleration

By |2015-12-14T11:47:02-05:00December 14th, 2015|Bonds, Currencies, Economy, Federal Reserve/Monetary Policy, Markets|

There isn’t much commentary needed here, as the prices and yields indicate everything relevant and important. I would only add that seeing August 24, October 15 and now the change (in acceleration) in December all add up to something different than the FOMC’s whatever influence. There is no monetary policy reason for the August 24 global liquidations to show up [...]

Very Disturbed: Selloff Accelerates and Spreads

By |2015-12-09T17:01:00-05:00December 9th, 2015|Bonds, Currencies, Economy, Federal Reserve/Monetary Policy, Markets|

This belongs with the last post on the highly “disturbed dollar” but I felt it deserved its own separate piece to feature downstream of funding. Given the liquidity backdrop describing a broad range of extraordinarily disconcerting prices and liquidity rates, the selloff picking up pace in junk is anticipated. Even still, the nature of the crash and that it is [...]

A Very Disturbed Global ‘Dollar’

By |2015-12-09T16:40:24-05:00December 9th, 2015|Currencies, Economy, Federal Reserve/Monetary Policy, Markets|

The problem with exchange rates is that they don’t always tell us anything about what everyone seems to think. In fact, the more wholesale financial exhibitions in a particular currency, the less traditional interpretations conform. In many ways, this is very much like transitioning between classical physics in the Newtonian, deterministic paradigm into quantum physics’ often strange and seemingly incoherent [...]

Dead Money US$; The OIS Disappearance

By |2015-04-28T17:06:16-04:00April 28th, 2015|Economy, Federal Reserve/Monetary Policy, Markets|

In taking the lessons of OIS in 2007-08 to analysis, the immediate approach would be for skepticism about OIS in isolation right from the start. To that end, LIBOR-OIS suggests absolutely nothing out of the ordinary by itself. That is particularly odd since we know without any doubt that there have been severe liquidity problems at numerous points since QE3 [...]

Dead Money US$; The OIS Transformation

By |2015-04-28T16:55:27-04:00April 28th, 2015|Economy, Federal Reserve/Monetary Policy, Markets|

In looking last week at some stress mechanics of the interbank markets I intentionally left out one piece, the Overnight Index Swap. OIS is often viewed as another measure of liquidity risk, keyed off matched maturity LIBOR, to give us a sense of order and good function. There is an OIS rate for every major currency regime, predicated and cued to [...]

Incoming April 15

By |2015-03-31T17:19:14-04:00March 31st, 2015|Bonds, Economy, Federal Reserve/Monetary Policy, Markets|

Usually references to April 15 are reserved for income taxes, but in this case that preference may be superseded. Recognizing the illiquidity pattern of the “rising dollar” means being vigilant toward the next expected instance. If October 15 was an “event” followed by January 15 in succession, then it is reasonable to at least anticipate conditions for April 15. To [...]

Razor Thin ‘Dollar’ And the FOMC’s Statement

By |2015-03-24T14:54:18-04:00March 24th, 2015|Bonds, Currencies, Economy, Federal Reserve/Monetary Policy, Markets|

Credit and funding markets have been pretty much defined by “dollar” behavior for most of March in the same manner that defined December and early October. At the outset, it looked as if credit markets had turned the “other” way with interest rates rising and some of the downstream “markets” no longer under such steady pressure. The culmination of that [...]

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