MT GLOBAL MARKETS Weekly recap wk12 22Mar19 - thread 1/n

• RiskOFF week
• FOMC sensitive XXL,more dovish than expected,no hikes 2019,taper+stop QT
• Global flash M.PMIs further weaker
• massive yield rally, crushing $XLF $KBE
• Creditspreads wider
• JPY top
• VIX/VSTOXX +

2/n test screen

3/n update Global Markets YTD overview wk12

4/n update Global Markets general overview

wk , mth, YTD, YoY

5/n update Global Markets Momentum, Trends, possible Exhaustions

no surprise that some 10Y govvies getting flagged after this week

6/n update Global 10Y Govt Yields heatmap

• global recession on the skyline ? Very dovish FOMC and another round of weak (flash) M. PMIs led to this.
• Germany PMI crashed to 44.7 (80M low), 10Y Bunds now at negative yields again.

7/n update Global 2Y , 10Y , YieldCurves

• massive Front end Bull-flattening
• (not seen here) Long end (NOB) Bull-steepening
• S&P upgraded Portugal 1 notch
• Norway hiked 25bp (expected)
• I misjudged TRY CBRT BS/net reserves play (fell $6.3b) ahead of local elections

8/n update US swap curves

• 5s30s steepened further
• 2s10s revisiting last biz cycle lows
• 2s5s inverted to -12bp and that is lower now than previous two business cycles lows

9/n update RiskOnOff Monitor

• XLI XLU spread nosedives
• IYT DIA tanks
• ...

10/n update CDX / SPX correlation "model"

11/n ITRAXX Financials Sen & Sub spreads shot up

12/n recap flash M.PMI this week

• US 52.5 (growth, but 21M low)
• Europe 47.6 (71M low)
• Japan unchanged at 48.9 (=33M low)

13/n recap flash Europe M.PMI this week

• Germany tanked to 44.7 80M low
• France rejoined the <50 club
...
those flash numbers (US, DE, FR, JP) alone will bring the Global M.PMI index down by 0.4bp and the DM index by -0.6bp...the JPM Global index could break 50

14/n Germany M.PMI vs GDP

someone asked me why I think there is a 95% probability of a recession...

well, this nasty drop happened only 4 times in the last 2 decades. And I have my doubts it will suddenly stop and rebound. my 2cents

15/n so, if European business surveys keep nosediving, I can't see much sense, why creditspreads would substantially improve, maybe I 'm totally wrong, but those red lines should return South = wider spreads = poison for risk sentiment

16/n only solution is another massive round of global QE ?

17/n FOMC vs Mr.Market

• so, there it is.. the new fancy dot-plot. Once a qtr survey between delusional and scared officials. Now every EOY structure became a "x-mas-tree" as most members shifted dovish

• yet, everyone is still way "behind the curve" -look below

18/n this chart not to be taken too serious , but PBoC BS momentum doesn't really help either if that data is correct.

19/n update MRI MacroRiskIndicator "tongue-in-cheek-model"

• wider Creditspreads, lifted VIX made the index move lower.
• late cycle, still elevated, possibly and likely, but not guaranteed rolled over. it's a long process, don't hold your breath.

20/n update US dashboard

• Macro: flash PMIs US softer, Japan stayed weak, Europe got worse. Global/DM indices implied adjusted. Further yield inversions

• Technicals: RiskOff week. Ratios red, credit spreads wider, vola up, market soft, bonds rallied.

21/n COT CFTC report

this is a test, added AM and Commercials , maybe gets too confusing now.

22/n update VIX

• ah, it IS a new regime after all. ;-)

23/n SPX vs DJT

• "last stops taken out" was my post earlier this week
• Transportation rolled over
• neg RSI divergence
• super dovish FOMC
• softer PMIs
• further yield curve inversion 2s5s and also 3Ms10s !
• investors flogged into bonds

24/n NDX vs XLI / XLU

• not to be taken too seriously, tech is certainly very strong and leading. no question. Just thinking if we are witnessing a decoupling from RoW and how long will that last. Industrials vs Utilities vs Technology.

25/n USDJPY vs US05Y RiskOff move recently ... and possibly catching down more