Bund Tbond and the bernakka's und trikeko's injection VM199
- Creatore Discussione gipa69
- Data di Inizio
gipa69
collegio dei patafisici
Dopo la prima reazione emotiva positiva perchè la BCE ha seguito il mercato si stanno digerendo tutti i dati di oggi che dicono:
1)rallentamento economico nelle economie occidentali/giappone e non solo negli USA.
2)La Cina invece non rallenta e occorrono nuove msure monetarie per rallentarla
-consumi di prodotti finiti
+ consumi di materie prime
I Banchieri Centrali non sanno ancora bene cosa succede al mercato ed all'economia anche se sono moderatamente positivi
Per cui il mercato sta ripensando la prima reazione....
1)rallentamento economico nelle economie occidentali/giappone e non solo negli USA.
2)La Cina invece non rallenta e occorrono nuove msure monetarie per rallentarla
-consumi di prodotti finiti
+ consumi di materie prime
I Banchieri Centrali non sanno ancora bene cosa succede al mercato ed all'economia anche se sono moderatamente positivi
Per cui il mercato sta ripensando la prima reazione....
gipa69
collegio dei patafisici
Sep
6The carry trade and intervention risk
September 6, 2007 | Leave a Comment
While the baseline scenario for strategists at Merrill Lynch is one of no central bank intervention (60%), they see significant risk of intervention if extreme moves are seen in the carry trade in either direction - assigning a 30% probability to central bank action on a rapid unwind of the carry trade, and a 10% chance to intervention following a recovery of the carry trade to previous highs:
Our forecasts assume a gradual unwind of carry trades and protracted, but modest, JPY strength. This is unlikely to be environment where authorities deem intervention to be appropriate. However, there are two situations that could worry policymakers and justify a response.
Carry resumes
If carry trades recovery to their previous highs, intervention could take a number of forms. Authorities in Japan, Australia, New Zealand, Europe and Switzerland could attempt unilateral (either verbal or direct) intervention, with success dependent on whether monetary policy is aligned with FX policy. The ultimate end game for carry trades would be brought about by coordinated action.
Carry unwinds aggressively
In the event of a rapid carry trade unwind, Japan, Australia and New Zealand could attempt smoothing operations to slow the move, though probably not designed to generate a reversal. Coordinated action between these policymakers and possibly the US and Euro area are less likely, but possible, if carry unwind is viewed as being destabilizing to other asset markets.
Any move below USD-JPY 110 is likely to elicit a response from the Japanese, regardless if it is a quick move that occurs over a few weeks or a slow grind that occurs before November. Although previously content with some JPY strength, volatile moves or significant strength beyond exporters budget rate would be viewed as harmful to the economic recovery. Below 110 could generate the initial response with intervention operations becoming increasingly aggressive toward 106. These would be smoothing operations designed to alleviate downward pressure on USD-JPY, not to generate an outright reversal.
Source: ‘G10 intervention scenarios’, Merrill Lynch, 6 September
6The carry trade and intervention risk
September 6, 2007 | Leave a Comment
While the baseline scenario for strategists at Merrill Lynch is one of no central bank intervention (60%), they see significant risk of intervention if extreme moves are seen in the carry trade in either direction - assigning a 30% probability to central bank action on a rapid unwind of the carry trade, and a 10% chance to intervention following a recovery of the carry trade to previous highs:
Our forecasts assume a gradual unwind of carry trades and protracted, but modest, JPY strength. This is unlikely to be environment where authorities deem intervention to be appropriate. However, there are two situations that could worry policymakers and justify a response.
Carry resumes
If carry trades recovery to their previous highs, intervention could take a number of forms. Authorities in Japan, Australia, New Zealand, Europe and Switzerland could attempt unilateral (either verbal or direct) intervention, with success dependent on whether monetary policy is aligned with FX policy. The ultimate end game for carry trades would be brought about by coordinated action.
Carry unwinds aggressively
In the event of a rapid carry trade unwind, Japan, Australia and New Zealand could attempt smoothing operations to slow the move, though probably not designed to generate a reversal. Coordinated action between these policymakers and possibly the US and Euro area are less likely, but possible, if carry unwind is viewed as being destabilizing to other asset markets.
Any move below USD-JPY 110 is likely to elicit a response from the Japanese, regardless if it is a quick move that occurs over a few weeks or a slow grind that occurs before November. Although previously content with some JPY strength, volatile moves or significant strength beyond exporters budget rate would be viewed as harmful to the economic recovery. Below 110 could generate the initial response with intervention operations becoming increasingly aggressive toward 106. These would be smoothing operations designed to alleviate downward pressure on USD-JPY, not to generate an outright reversal.
Source: ‘G10 intervention scenarios’, Merrill Lynch, 6 September
quicksilver
Forumer storico
f4f ha scritto:
prego
ad esempio anche quella di oggi è sul quel tenore
CRISI SUBPRIME: Fed immete liquidita' per 16 mld usd
MILANO (MF-DJ)--La Fed ha immesso sul mercato liquidita' per 16 mld usd con un p/t a 7 giorni. La domanda e' stata pari a 58,2 mld usd. red/est/zav
gipa69
collegio dei patafisici
Carry trade to resume, says Dresdner Kleinwort
September 6, 2007 |
Analysts at Dresdner Kleinwort believe the carry trade still has legs over the medium to long term:
The JPY carry trade is far from dead. While renewed spells of risk aversion related to credit and equity markets may partly reverse the recent gains, the structural factors favouring JPY weakness – large net savings, declining home bias among Japanese investors, both corporates and retail (Ms Watanabe), demographics as well as the JPY’s strongly negative carry – will never be far below the surface. Consequently, corrections in the JPY crosses should soon be met by renewed buying interest and we recommend buying EUR/JPY on dips. On a 3-6M time horizon EUR/JPY should return back towards the 164 area. USD/JPY fair value is estimated around USD/JPY 114, while the carry trade is around 1 trillion USD.
Additional points of interest from the note:
- The recent JPY short-covering rally was the result of the general rise in risk aversion on the back of turmoil in equities and credit markets.
- … the IMF concludes that volumes are more likely to be at the lower end of the USD 100bn – 2trl range.
- today’s situation differs significantly from 1998: 1) The “long side of the carry trade seems to be spread across a number of currencies”1; 2) While the carry trade in 1998 was mainly used by leveraged/total return funds to finance risky positions it is nowadays being used by a broader range of investor groups; 3) The structural arguments for the JPY funded carry trade has been strengthened during the past decade due to continued low growth/returns in Japan (one consequence is the increasing size of the Uridashi bond market for Japanese retail investors). All this suggests that a repetition of the 1998 collapse in the JPY crosses is rather unlikely today.
- … today’s global investor base is much more diverse than it was at the end of the nineties… Sovereign Wealth Funds in Asia and the Middle East as well as a growing number of private investors in the EM space in general remain cash rich even at times of current market turmoil and see market corrections as buying opportunities.
- Japanese investors remain far more risk averse than their G7 peers with 51% of all financial assets held as cash and deposits (which are overwhelmingly domestic in orientation) – compared to a G7-ex Japan average of 26%. With financial assets of roughly USD 13trl, a more “normal” asset allocation would free up to USD 3trn for investment into securities and insurance assets.
- Using the 2009 asset allocation of Japan’s Government Pension Fund as a guideline (17% foreign assets in 2009) this could result in an additional overall outflow of USD 510bn. … the above estimate is only a conservative guesstimate and the overall investment into foreign assets – taking into account all investor classes – will probably be considerably higher.
- Japan’s home bias is the highest within the developed world with the exception of US in the case of bond investments. Given these findings, and combining them with the expected underperformance of the Japanese economy due to demographics, the need for Japanese investors to reduce their home bias is obvious.
- This rapid aging is only likely to constrain Japan’s potential growth, especially relative to other countries in the G7 and also in EM – and therefore investment return – all other things equal.
- … even the most hawkish of analysts who envisage a more robust growth outlook than we do still look for the overnight rate to be no higher than, say, 1.5-1.75% a year from now.
Source: FX Navigator, Dresdner Kleinwort, 5 Septemeber
September 6, 2007 |
Analysts at Dresdner Kleinwort believe the carry trade still has legs over the medium to long term:
The JPY carry trade is far from dead. While renewed spells of risk aversion related to credit and equity markets may partly reverse the recent gains, the structural factors favouring JPY weakness – large net savings, declining home bias among Japanese investors, both corporates and retail (Ms Watanabe), demographics as well as the JPY’s strongly negative carry – will never be far below the surface. Consequently, corrections in the JPY crosses should soon be met by renewed buying interest and we recommend buying EUR/JPY on dips. On a 3-6M time horizon EUR/JPY should return back towards the 164 area. USD/JPY fair value is estimated around USD/JPY 114, while the carry trade is around 1 trillion USD.
Additional points of interest from the note:
- The recent JPY short-covering rally was the result of the general rise in risk aversion on the back of turmoil in equities and credit markets.
- … the IMF concludes that volumes are more likely to be at the lower end of the USD 100bn – 2trl range.
- today’s situation differs significantly from 1998: 1) The “long side of the carry trade seems to be spread across a number of currencies”1; 2) While the carry trade in 1998 was mainly used by leveraged/total return funds to finance risky positions it is nowadays being used by a broader range of investor groups; 3) The structural arguments for the JPY funded carry trade has been strengthened during the past decade due to continued low growth/returns in Japan (one consequence is the increasing size of the Uridashi bond market for Japanese retail investors). All this suggests that a repetition of the 1998 collapse in the JPY crosses is rather unlikely today.
- … today’s global investor base is much more diverse than it was at the end of the nineties… Sovereign Wealth Funds in Asia and the Middle East as well as a growing number of private investors in the EM space in general remain cash rich even at times of current market turmoil and see market corrections as buying opportunities.
- Japanese investors remain far more risk averse than their G7 peers with 51% of all financial assets held as cash and deposits (which are overwhelmingly domestic in orientation) – compared to a G7-ex Japan average of 26%. With financial assets of roughly USD 13trl, a more “normal” asset allocation would free up to USD 3trn for investment into securities and insurance assets.
- Using the 2009 asset allocation of Japan’s Government Pension Fund as a guideline (17% foreign assets in 2009) this could result in an additional overall outflow of USD 510bn. … the above estimate is only a conservative guesstimate and the overall investment into foreign assets – taking into account all investor classes – will probably be considerably higher.
- Japan’s home bias is the highest within the developed world with the exception of US in the case of bond investments. Given these findings, and combining them with the expected underperformance of the Japanese economy due to demographics, the need for Japanese investors to reduce their home bias is obvious.
- This rapid aging is only likely to constrain Japan’s potential growth, especially relative to other countries in the G7 and also in EM – and therefore investment return – all other things equal.
- … even the most hawkish of analysts who envisage a more robust growth outlook than we do still look for the overnight rate to be no higher than, say, 1.5-1.75% a year from now.
Source: FX Navigator, Dresdner Kleinwort, 5 Septemeber
gipa69
collegio dei patafisici
E' l'ultimo commento poi vi lascio fare.....
The main risk facing short-term bears is the fact that they have so much company. For example, the following chart shows the enormous increase in the number of shares sold short by the US public during the July-August stock market correction. Data released over the next two weeks will undoubtedly reveal that there has since been a substantial decline in the number of shares sold short, but the point is that there was a sufficient stampede towards the bearish side of the fence during the first half of August to create a sustainable low.
Our view is that the August low will be breached during October, but probably not by a wide margin.
The main risk facing short-term bears is the fact that they have so much company. For example, the following chart shows the enormous increase in the number of shares sold short by the US public during the July-August stock market correction. Data released over the next two weeks will undoubtedly reveal that there has since been a substantial decline in the number of shares sold short, but the point is that there was a sufficient stampede towards the bearish side of the fence during the first half of August to create a sustainable low.
Our view is that the August low will be breached during October, but probably not by a wide margin.
