U.S. Productivity Growth Widens Lead Over Other Advanced Economies, Says Goldman Sachs 
U.S. Black Friday Online Spending Surges to $8.6 Billion, Boosted by Mobile Shoppers 
Bitcoin Smashes $93K as Institutions Pile In – $100K Next? 
Airline Loyalty Programs Face New Uncertainty as Visa–Mastercard Fee Settlement Evolves 
Asia’s IPO Market Set for Strong Growth as China and India Drive Investor Diversification 
Fed May Resume Rate Hikes: BofA Analysts Outline Key Scenarios 
Global Markets React to Strong U.S. Jobs Data and Rising Yields 
Moldova Criticizes Russia Amid Transdniestria Energy Crisis 
U.S. Stocks vs. Bonds: Are Diverging Valuations Signaling a Shift? 
Bitcoin Reserves Hit 5-Year Low as $2.15B Exits Exchanges – Bulls Quietly Loading the Spring Below $100K 
Wall Street Analysts Weigh in on Latest NFP Data 
How desperate the market currently is for relevant news was illustrated by the reaction to a meeting between the US President Donald Trump, Treasury Secretary Steven Mnuchin and Fed chair Jay Powell yesterday. The decisive headline for the market was that amongst other subjects the three had discussed the dollar strength and its effects on the industry. The US currency immediately eased in reaction to the news, despite the fact that it contained no new information.
The US Treasury curve has bearishly steepened, supported by increased optimism that the US and China are progressing toward signing Phase 1 of a trade deal, and a Fed that believes that the current stance of monetary policy is likely to be appropriate for the medium term. Over the period, 2-, 5-, 10-, and 30-year yields rose 5bp, 10bp, 11bp, and 10bp, respectively.
Though the experience of other insurance easing cycles and modestly long investor positioning suggest risks to higher yields, the Fed’s shift toward average inflation targeting and still-high recession risks limit the scope for rates to reprice: stay neutral on duration. We review the latest round of Fed reinvestment purchases. The fall in implieds has outpaced liquidity improvement, cover 3mx2Y shorts.
Trade Updates:
Take profits on short 3Mx2Y ATMF swaption straddles
Implieds have fallen across tails, outpacing the renormalization in liquidity
conditions, and our fair value model suggests the upper left no longer looks cheap
Cover short $500mn notional of 3Mx2YATMF straddles (notification date 1/27/20, maturity 1/31/22, ATMF strike @ 1.60%, premium 52.5c). This trade requires frequent delta rebalancing (Fixed Income Markets Weekly 10/25/19). P/L since inception: +3.6abp.
Stay received EUR/USD 3Mx3M OIS/OIS basis
Receive $50kDV013Mx3M(swapstart:12/09/19,swapend:03/09/20) EUR/USD OIS/OIS basis at -59bp; Fixed Income Markets Weekly; 9/6/19. P/L since inception: -14.4bp. Courtesy: JPM
