ber 26Sun day, Oc tober 27ay, October 26 - Linscomb & Williams
ber 26Sun d a Date Time
Event
Period Prior
6/25/2013 7:30 6/25/2013 8:00 6/25/2013 9:00 6/25/2013 8:00 6/25/2013 9:00 6/26/2013 7:30 6/26/2013 7:30 6/27/2013 7:30
Durable Goods Orders S&P/CS Composite-20 YoY Consumer Confidence House Price Index MoM New Home Sales GDP QoQ (Annualized) Personal Consumption Initial Jobless Claims
May Apr Jun April May 1Q T 1Q T 22-Jun
y, Oc
Libor Last Price Five day change Libor 1M 0.193 0.0005 Libor 2M 0.2328 0.00254 Libor 3M 0.27275 0 Cash Markets Fed Funds 0.09 0.03 TSY Repo O/N 0.05 0.02 Money Markets USD Swap 2 YR 0.5495 0.1185 USD Swap 5 YR 1.611 0.3809 USD Swap 10 YR 2.27265 0.3975 Volatility Vix Index 19.22 2.53 Commodities Copper Futures 309.25 -11.75 Gold Futures 1292.5 -97.7 WTI Crude Futures 93.60 -4.02 Natural Gas Futures 3.786 0.119 CRB Index 472.52 -5.1 Equity Indices SPX Futures 1582.5 -37.2 Dow Jones Futures 14700 -268 Rig Counts Baker Hughes Gas Count 349 -1 Baker Hughes Crude Count 1405 7 Baker Hughes Oil & Gas 1759 6 Swap Spread Rates USD Swap Spread 2 YR 19.35 3.65 USD Swap Spread 5 YR 22.85 4 US Treasuries US 2 YR Treasury 0.3514 0.0813 US 5 YR Treasury 2.4983 0.3447
Nader Adeeb VP, FX Trading
Bloomberg FXET: CADB SWIFT: CDBKUS44 [email protected] + 713-871-4061 www.cadencebank.com
FOMC: Created tremendous volatility in the global equity, FX, fixed income and commodity markets. Treasury yields catapulted to their highest levels since March 2012 and the CBOE SPX volatility index broke 20 the following day, spiking 25%. Bernanke admonished that the decision to end the asset purchase program is imminent and will be based largely upon a 7% unemployment rate. Some major market participants expect this tapering to occur as early as September 2013 and have created the clever neologism “Septaper.”
•
Gold: Plunged below $1300/oz. in the FOMC aftermath and has suffered a 23% decline this year, making it the worst performing year since 1981. Fueled by a series of interest rate cuts and QE, gold rallied from 2008 to 2011. Inflation is not an issue. Copper: Tested 7-week lows following the FOMC and HSBC Chinese Manufacturing Index. The index posted another sub-50 level, which indicates a contraction in the Chinese economy. In homage to Cliff Claven, did you know that the average car contains 40lbs of copper and a typical house contains over 400lbs of copper?
3.30% 10.87% 76.2 1.30% 454K 2.40% 3.40% 354K
tober 27ay, October 26 Sunday, October 27
Ken Hogan SVP, Head of FX
•
•
•
USD: Surged across the board in the wake of the FOMC’s tapering announcement. The ICE US Dollar Index, an average of exchange rates among the world’s major currencies, has appreciated nearly 2.2% since Wednesday morning. The most drastic moves have occurred against high carry/Emerging Market currencies. This week’s 5% depreciation in the Norwegian Krone made it the worst performing currency. In the short term, we look to next week’s durable goods orders and home prices for an indication of further USD strength.
•
US: Has Bernanke actually done enough to justify the need for “Tapering?” The real data says “No.” Velocity of money typically drops during a recession. But the US isn’t in a recession and the velocity of money has dropped to 50 year lows. In addition, 10-yr Treasury breakeven rates have ticked lower for the past 9-months. In light of this, the data suggest tapering is premature and deflation is the risk – not inflation.
Event
Period Prior
6/25/2013 7:30 6/25/2013 8:00 6/25/2013 9:00 6/25/2013 8:00 6/25/2013 9:00 6/26/2013 7:30 6/26/2013 7:30 6/27/2013 7:30
Durable Goods Orders S&P/CS Composite-20 YoY Consumer Confidence House Price Index MoM New Home Sales GDP QoQ (Annualized) Personal Consumption Initial Jobless Claims
May Apr Jun April May 1Q T 1Q T 22-Jun
y, Oc
Libor Last Price Five day change Libor 1M 0.193 0.0005 Libor 2M 0.2328 0.00254 Libor 3M 0.27275 0 Cash Markets Fed Funds 0.09 0.03 TSY Repo O/N 0.05 0.02 Money Markets USD Swap 2 YR 0.5495 0.1185 USD Swap 5 YR 1.611 0.3809 USD Swap 10 YR 2.27265 0.3975 Volatility Vix Index 19.22 2.53 Commodities Copper Futures 309.25 -11.75 Gold Futures 1292.5 -97.7 WTI Crude Futures 93.60 -4.02 Natural Gas Futures 3.786 0.119 CRB Index 472.52 -5.1 Equity Indices SPX Futures 1582.5 -37.2 Dow Jones Futures 14700 -268 Rig Counts Baker Hughes Gas Count 349 -1 Baker Hughes Crude Count 1405 7 Baker Hughes Oil & Gas 1759 6 Swap Spread Rates USD Swap Spread 2 YR 19.35 3.65 USD Swap Spread 5 YR 22.85 4 US Treasuries US 2 YR Treasury 0.3514 0.0813 US 5 YR Treasury 2.4983 0.3447
Nader Adeeb VP, FX Trading
Bloomberg FXET: CADB SWIFT: CDBKUS44 [email protected] + 713-871-4061 www.cadencebank.com
FOMC: Created tremendous volatility in the global equity, FX, fixed income and commodity markets. Treasury yields catapulted to their highest levels since March 2012 and the CBOE SPX volatility index broke 20 the following day, spiking 25%. Bernanke admonished that the decision to end the asset purchase program is imminent and will be based largely upon a 7% unemployment rate. Some major market participants expect this tapering to occur as early as September 2013 and have created the clever neologism “Septaper.”
•
Gold: Plunged below $1300/oz. in the FOMC aftermath and has suffered a 23% decline this year, making it the worst performing year since 1981. Fueled by a series of interest rate cuts and QE, gold rallied from 2008 to 2011. Inflation is not an issue. Copper: Tested 7-week lows following the FOMC and HSBC Chinese Manufacturing Index. The index posted another sub-50 level, which indicates a contraction in the Chinese economy. In homage to Cliff Claven, did you know that the average car contains 40lbs of copper and a typical house contains over 400lbs of copper?
3.30% 10.87% 76.2 1.30% 454K 2.40% 3.40% 354K
tober 27ay, October 26 Sunday, October 27
Ken Hogan SVP, Head of FX
•
•
•
USD: Surged across the board in the wake of the FOMC’s tapering announcement. The ICE US Dollar Index, an average of exchange rates among the world’s major currencies, has appreciated nearly 2.2% since Wednesday morning. The most drastic moves have occurred against high carry/Emerging Market currencies. This week’s 5% depreciation in the Norwegian Krone made it the worst performing currency. In the short term, we look to next week’s durable goods orders and home prices for an indication of further USD strength.
•
US: Has Bernanke actually done enough to justify the need for “Tapering?” The real data says “No.” Velocity of money typically drops during a recession. But the US isn’t in a recession and the velocity of money has dropped to 50 year lows. In addition, 10-yr Treasury breakeven rates have ticked lower for the past 9-months. In light of this, the data suggest tapering is premature and deflation is the risk – not inflation.
