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MT GLOBAL MARKETS Weekly recap wk11 15Mar19 - thread 1/n

MOMENTUM
• RiskON week (Powell Put)
• Creditspreads tighter
• VIX crushed
• 93% global stocks up
• 90% US sectors pos
• 75% global FX gained vs USD
• JPY weaker across the board
• Bonds mixed
2/n update Global Assets YTD ranked
3/n update overview table

changes 1wk, 1mth, YTD, YoY
4/n update Momentum, Trends & Exhaustion scores
5/n update FX matrix weekly & monthly momentum
6/n update Global 10Y Govt yields heatmap

• new 52wk lows US, CA, PT (!?!?), AU, NZ

• Hungary continues to stick out, back to 3.30, new 52wk high
7/n update Global 2Y, 10Y, YldCurve ...

• US,CA small bull flattening
• Europe mixed
• NZ new 52wk curve low , now 44bp
8/n update US swap curves "late biz cycle view"
9/n update US yieldcurve [fwd] vs VIX

• calm period before another storm
• new regime "higher lows" in impl vola is still intact and will most likely be.
10/n update European CreditSpreads

• dumped lower = RiskOn mode continues , ITRAXX Main (IG) and CrossOver (HY) as well as both Financial Indices Sen & Subs don't reflect any stress momentum
11/n update US Credit Spreads sectors

• mixed, but overall no significant stress or RiskOFF signals momentum. Some trends are still intact, a few are neutral
12/n update RiskOnOff ratios/spread monitor

• hardly great momentum , mixed actually. trends have not reversed.
• $XLI / $XLU tho has new downside momentum
13/n update CDX / SPX corr model

• rebound is still ongoing, not the overall big trend.
14/n update VIX

• made those "new regime" lines last week, and got it right up my face.

• Powell put in place, but despite that, I really can not see IV going back into single digit territory
15/n update VIX term structure

• next week rollover
• RiskOn visualised in the current contango curve as well as changes over time.
• implied moves for next week (as a snapshot) narrowing... [keep pressing the beachball under water...]
16/n update US MRI Macro model

• UoM flash data improved, as well as tighter credit spreads and lower impl vola all contributed and lifted the [still stretched late cycle overbought] "tongue-in-cheek-model"
17/n update US dashboard

• while the global macro picture continues to deteriorate [which led to global dovish central banks again], momentum last week again positive

• US Govvie and Swapcurves 2s5s stay inverted,further out FF futures pricing in small possibility of rate cut
18/n next week FED FOMC

• 98.7% no move
• 0.00% 10th rate hike in 2019

btw :
Central bank action next week:
• US, Brazil, Thailand, Philippines, Switzerland, Taiwan, Indonesia, Norway (expect hike), England, Russia... FX algo parties ?
19/n sneakpeak slide of my planned Fixed Income / Bonds / Credits / Macro weekend Seminar Workshop.
20/n COT report wk11

• HF positioning
• trends / exhaustions
21/n that’s all folks...

happy #StPatrickDay 🍻

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