Macro Trader

차트 한번 쭉 돌려볼까.

Bottom-line: 최근 발표되는 경제지표들이 경기침체 우려를 잠식시켜주고 있지만, 국채 수익률 곡선에서 투자자들은 의문을 가지기 시작함. 일반적으로 경기침체를 앞두고 뒤집혔던 국채 수익률 곡선이 다시 가파르게 회복하는 모습을 보이기 때문, 특히 최근 중앙은행 인사들이 강한 어조로 추가 금리인상을 강조했음에도 단기 금리가 아닌 장기 금리 위주로 상승했기 때문임. 이런 국채 수익률 움직임은 빠르면 올 여름 경기침체를 예고하며, 중앙은행의 금리인하에 대한 잘못 된 평가를 할 가능성을 남김. Recession fears have abated in recent weeks with a mini-slew of buoyant economic data. But the yield curve may have something different to say. Certain parts of the curve tend to steepen first ahead of a recession, and have been doing so since mid-January. This is all the more notable given it has not re-flattened in the face of a more hawkish Fed. This recent steepening would put the next recession as early as the summer, leaving interest-rate futures mispricing the depth and timing of the Fed’s cutting cycle.

혹시 알고 있니? 금요일 PCE.

Bottom-line: 전세계 채권의 매도 속에 중국 채권이 이를 피할 수 있었던 것은 지급준비율이나 대출우대금리를 통한 완화적 정책이 있을 것이란 기대 덕분이었음. 그러나 가까운 시일 내 중국이 완화적 정책을 내놓지 않을 것으로 예상되는 가운데 기어코 채권 거래자들이 이를 수용하고 매도에 나서기 시작함. 지난 달 역외 펀드들은 채권의 순매도자로 전환했으며, 향후 추가적인 채권 매도 압력이 있을 수 있음. The selloff for China 10-year bond futures is gathering pace as traders give up on the hope of any near-term policy easing, making yuan debt more vulnerable to negative external forces. China bonds had been avoiding the brunt of the global bond selloff on the lingering hope there would be another RRR easing or a lowering of the LPR. However, the narrative from China’s media has shifted and the LPR was held steady again this week. Moreover, the PBOC’s big injection of liquidity last week suggests the central bank is focused on surgical fixes for tight money markets, rather than offering a blanket easing with fiscal policy firmly in expansionary mood. Meanwhile, offshore funds flipped back to being net sellers of China’s bonds last month. The downward pressure from Treasuries may now fully engulf China debt as the reality bites that more domestic easing is very unlikely.

In a Nutshell: 헤지펀드의 행동은 새로운 정보에 반응이 빠르며, 시장 예측보다 대응의 영역에 가까움을 볼 수 있음.

South Korea’s Early Trade Data Show Export Slump Persisting. 🤦🏻‍♂️

Bottom-line: 비트코인이 작년 8월 이후 처음으로 25,000달러 수준을 회복 한 뒤 기술적 저항에 부딪혀 있음. 지난 해 4분기 경기가 경착륙할 것이란 우려에서 올해 경기가 착륙조차 하지 않을 것으로 시장 기대가 급격히 바뀌면서 위험자산들이 일제히 가격에 힘을 받고 있음. 여전히 약세를 뒷받침하는 의견도 많기 때문에 강세론과 약세론 사이의 핵심적 대결은 현재의 25,000달러 수준을 기술적 분기점으로 둘 가능성이 높음. The $25,000 level for Bitcoin is emerging as a key technical hurdle for the token’s partial bounce from last year’s crypto rout. Bitcoin scaled that level on Feb. 16 for the first time since August but has struggled to stay above it. The largest digital coin advanced 2% on Monday to fluctuate just around the $25,000 mark. “With the market swapping the ‘hard landing’ narrative of the fourth quarter last year to one of ‘no landing’ in the first quarter of 2023, speculative assets have been well supported, including Bitcoin,” Tony Sycamore, market analyst at IG Australia Pty, wrote in a note. At the same time, skeptics contend US economic resilience will just end up with higher-for-longer borrowing costs that will undo the sanguine mood. The crypto sector also faces a US crackdown after the collapse of the FTX exchange. The bull-bear tussle for now is being fought out around $25,000 for Bitcoin.

Bottom-line: 지난해 9월부터 시작 된 달러 약세가 중앙은행의 강경한 발언과 시장 기대 형성으로 단기 강세를 보이고 있음. 그러나 달러의 방향을 가늠하기 좋은 장기 추세 지표는 달러 약세가 올해 8월까지 이어질 수 있음을 시사함. 해당 지표는 10년물과 3개월물 실질금리의 차이로 만든 실질수익률 곡선임. Leading indicators highlight that the dollar selloff, which began last September, likely has further to go. This month’s rally has been (ostensibly) prompted by reinvigorated Fed hawkishness, but longer-term indicators that lead turns in the dollar well have not altered their trend. The real yield curve is one of the best ones, and pointed to the coming peak in the dollar in late August. The curve (defined here as real 10y vs real 3m) is still trending lower, indicating the primary downward trend in the dollar is still intact.

Bottom-line: 자본시장에 투자금이 손쉽게 풀리던 시대, 자금 조달과 투자에 널리 사용되던 방법 중 하나가 불행의 중심이 되고 있음. 이자, 세금, 감가상각을 제외하기 전의 수익을 말하는 'Ebitda'인데, 2017년 무디스의 분석가가 이에 대해 조롱을 한 적이 있으며, 한 투자회사의 공동설립자는 이런 가짜 수익 지표가 경기 침체를 더욱 악화시킬 것이라 경고했음. S&P 또한 금리상승, 인플레이션, 경기침체 위험 속에 이러한 수익지표가 현실과 너무나 멀리 떨어져 있다는 경고를 했음. S&P 연구에 따르면, 특히 투기등급에 있는 회사 인수에 이 지표를 사용했을 경우 매 년 95% 이상 기업이 수익 예상에 미달한 것으로 나타났음. 더 걱정스러운 것은 이 수익지표가 얼마나 큰 부채를 끌어쓰고 있는지, 레버리지 수준을 감추고 있다는 것임. 지속적으로 현금창출 능력과 부채 상환의 척도로 이 수익지표를 사용하는 경우 신용위험을 과소평가하고 재무건전성을 제대로 측정하지 못하는 위험을 지게 될 것이라고 경고했음. During the days of easy money, one of the most widely tracked numbers in credit markets became an unfortunate punchline. Ebitda, which stands for earnings before interest, taxes, depreciation and amortization — a figure that’s akin to a company’s cash flow and, thus, its ability to pay its debts — was instead mocked as a marketing gimmick. When bankers and private equity firms asked investors to buy a piece of their loans funding buyouts and other transactions, they would layer on so-called add-backs to earnings projections that, to some, defied reason. “Ebitda: Eventually busted, interesting theory, deeply aspirational,” one Moody’s analyst joked in 2017. Sixth Street Partners co-founder Alan Waxman had a more blunt assessment, warning an audience at a private conference that such “fake Ebitda” threatened to exacerbate the next economic slump. Now, amid rising interest rates, persistent inflation and warnings of a potential recession on the horizon, research from S&P Global Ratings is underscoring just how far from reality the earnings projections are proving to be. As Bloomberg’s Diana Li wrote on Friday, 97% of speculative-grade companies that announced acquisitions in 2019 fell short of forecasts in their first year of earnings, according to S&P. For 2018 deals, it was 96% and 93% for 2017 acquisitions. Even after the economy was flooded with fiscal and monetary stimulus after the pandemic, about 77% of buyouts and acquisitions from 2019 were still short of their projected earnings, S&P’s research shows. The bigger worry is that years of rosy earnings projections are masking the amount of leverage on the balance sheets of the lowest-rated companies. By 2019, before the Covid-19 pandemic sent markets tumbling the following year, add-backs were accounting for about 28% of total adjusted Ebitda figures used to market acquisition loans, Covenant Review data at the time showed. That was up from 17% in 2017. The S&P analysts this week said the latest data reinforces their view that those Ebitda figures are “not a realistic indication of future Ebitda and that companies consistently overestimate debt repayment.”. “Together, these effects meaningfully underestimate actual future leverage and credit risk,” they wrote.

춥다. 따시게 입으... 🥶