Across the Curve

The Bank Of Japan Unleashes Chaos

"...even if we have the press release listing exactly what the BoJ was going to do, the market response to various policy mixes is such a coin-flip that it’s nearly impossible to prognosticate."

Dow Futures Slide Over 100 Points Despite Fed's Dovish Relent; Oil Drops On IEA Pessimism

After yesterday's torrid rally, which sent stocks higher the most in 2 months on the back of Lael Brainard surprisingly dovish comments, we have seen an unexpected profit-taking session overnight in ES, with US equity futures down 0.6%, driven largely by a renewed drop in oil prices which slid after the IEA said a surplus in global markets will last longer than initially estimated, persisting well into 2017 as reported previously.

"Get Ya Popcorn Ready" RBC Says: "Markets Are Paralyzed With Uncertainty" As "Spook Story" Arrives

"So here we go: BoJ ready to commit to go deeper negative rates and experiment with their curve, the Fed is seemingly locked-and-loaded on a hike as global growth rolls over, a deluge of supply into a suddenly wobbly rates backdrop, and a loaded-coil of synthetically low volatility across asset classes…as cross-asset correlations trickle back near multi-year/crisis extremes."

As Libor Blows Out To Fresh 6 Year Highs, A $28 Trillion Debt Question Emerges

while blowing out unsecured funding rates may no longer be a flashing red flag, a question has emerged as a lot of debt references Libor, debt ranging from household debt to non-financial business debt: some $28 trillion of it, to be specific, and just in the US. The question is just how concerned will the borrowers of said debt be once they get their next due balance.

Strong 10Y Auction Stops Through, As Foreign Central Bank Buyers Flood Right Back

Moments before today's auction printed just after 1.01pm Eastern, the When Issued was trading at 1.505%, virtually unchanged from last month's 1.504%, yet what a difference a month makes. Whereas last month the 10Y came with a high yield that tailed by 1.2 bps as Indirect bidders tumbled to the lowest since January 2015, today we have seen foreign central banks flood right back, as Indirects took down a whopping 72.2%, just shy of the all time high seen back in May when Indirects were responsible for 73.5% of the issue.

So What Did The ECB Buy? "In Short, Almost Everything"

"So what did they buy? In short, almost everything. The ECB bought “topical” credits such as VW, Glencore and EdF. They showed little concern with taking credit risk by buying a range of low-BBB names. They bought “high yield” credits such as Telecom Italia and Lufthansa. They bought corporate bonds from US, UK and Swiss companies, and ironically, the ECB’s most popular purchase has been Deutsche Bahn – an issuer where bond yields are the most negative."

Global Stock Rally Halted In Aftermath Of Latest French Terror Attack

The tremendous rally of the past 4 days that has sent global stocks soaring in recent days has finally been capped and European shares, S&P futures are all modestly lower following a deadly terror attack in Nice, France. Meanwhile Asian stocks rose as Chinese economic data beat estimates, with Q2 GDP rising by 0.1% more than the estimated 6.6% on the back of stronger housing data.

Global Stocks Surge On Rising Hopes Of Japan "Helicopter Money"

A quick headline search for the phrases "Japan stimulus" and "helicopter money" is all one needs to understand the very familiar reason for today latest overnight global stock rally, which has sent the USDJPY surging some more, in the process pushing the Nikkei higher by 2.5%, China up over 1% (with the help of some late FX intervention by the PBOC), European stocks up 1%, US equity futures up 0.5%, and so on, in what is a global wave of green on the back of the helicopter money which after Bernanke's visit to Japan, market participants are now convinced is just a matter of time.

Foreign Buyers Avoid Poor, Tailing 3Y Auction With Lowest Bid to Cover Since 2009

It had been an ugly day for bonds all day, with 10Y yields rising to day's highs moments ago, rising as much as 1.427%, and as such it was hardly a surprise that today's Treasury sale of $24 billion in 3 year paper was anything but impressive. In fact, it was downright ugly. The high yield of 0.765%, while a steep drop from last month's 0.93%, tailed the When Issued 0.761% by 0.4 bps.