Macro Trader

Bottom-line: 제롬 파월 의장이 금리인상 속도를 다시 올릴 신호를 준지 일주일도 되지 않았지만, 투자자들은 금리인상이 더는 없을 것으로 생각을 완전히 뒤집었음. 골드만삭스 전략가 또한 중앙은행이 금융 시스템의 충격이 우려됨에 따라 이번 달 통화정책회의에서 금리를 동결할 것으로 전망함. 미국 2년물 국채 금리는 1987년 10월 블랙먼데이 이후 3영업일 간 가장 큰 폭으로 하락 중임. Less than a week after Federal Reserve Chair Jerome Powell opened the door to a re-acceleration in the pace of interest-rate hikes, traders slammed it shut again amid the sudden eruption of financial strains at the US regional bank level. Economists led by Jan Hatzius at Goldman Sachs Group Inc. said they no longer expect the Fed to deliver a rate increase next week, citing “recent stress in the banking system". Treasury two-year yields dropped 25 basis points to 4.34%, heading for their steepest three-day decline since October 1987, when the Black Monday equities rout stunned markets.

Kiss your rate hikes goodbye. 💔

Bottom-line: 실리콘밸리은행의 부실은 미국 중앙은행의 가파른 금리인상을 통해 드러나게 된 것이며, 야데니 리서치가 말하는 통화정책의 긴축 주기는 무언가를 부수고 금융위기를 가져오면서 끝난다에 이 은행이 해당 될 수 있음. 때문에 투자자들은 중앙은행의 긴축주기에 대해 생각을 다시 정리하고 시작했고, 호주와 뉴질랜드, 그리고 미국 2년물 국채 금리가 하락 중임. 반면 미국 10년물 국채 금리는 상승하며 장기와 단기 국채 간 금리 역전폭이 줄어듬. Two-year Treasury yields added to their sharp decline last week, falling more than 10 basis points amid bets for slower rate hikes from the Fed. Yields on the 10-year maturity rose slightly. Australian and New Zealand government bond yields tumbled as traders globally reassess the path of interest rate hikes and the economic cost the tightening cycle has taken already. The problems at SVB Financial Group’s bank were caused in large part by the fallout from higher US interest rates. “Tightening monetary cycles often end abruptly when ‘something breaks’ and a financial crisis is triggered,” Ed Yardeni, the founder of Yardeni Research, said in a note. “If the Silicon Valley Bank run is that something, it could mean tightening ends sooner and bond yields have peaked. We can’t say for sure that’s the case but can say the debacle should keep the tech sector mired in its rolling recession for longer".

There’s No Chance of the Fed Hiking 50 Basis Points This Month.

SVB Depositors Will Have Access to All Money Monday.

Bottom-line: 중앙은행과 재무부는 실리콘밸리은행의 충격이 확산되지 않도록 긴급 대출 프로그램을 시행할 것으로 보임. 이 문제에 정통한 사람에 따르면, 이미 중앙은행의 승인이 완료 된 상태에서 재무부의 승인을 기다리고 있다 함. The Federal Reserve and the Treasury Department are considering an emergency lending program to backstop demands by bank customers to withdraw money, according to people familiar with the matter, as the US seeks to stave off a deeper crisis after SVB Financial Group’s failure. The measure — which would come in addition to easing terms for the Fed’s discount window — would be made under the the Fed’s emergency lending authority. The Fed has approved invoking that authority and is awaiting final approval from the Treasury. The changes under discussion were described by people with knowledge of the matter, who asked not to be named because the talks are confidential. Representatives for the Fed and Treasury either declined to comment or didn’t immediately respond to messages seeking comment.

Enjoy the weekend and check this. 🔥

Docent: 주식을 차입해 매도하는 공매도 전략이 수익이 나더라도 어떤 문제를 겪을 수 있는지에 대한 도슨트임. 공매도 전략은 차입한 타인의 주식을 매도하는 것이므로, 수익을 실현하기 위해 해당 주식을 다시 매수(Short covering)해야 함. 실리콘밸리은행을 공매도 한 거래자들은 하루만에 5억 달러의 수익을 얻었지만, 이 수익을 어떻게 실현할 수 있을지 문제에 봉착함. 엄청난 평가수익이지만, 매수로 공매도를 청산하고 실현수익으로 만들기 전까지, 이 주식에 대한 대차 이자율만큼의 이자금액이 주말에도 차곡차곡 청구되어 이익을 갉아먹고 있기 때문임. 이는 그들이 매도한 막대한 수량의 주식을 모두 청산하기 전까지 이어질 것임. 그 과정에서 이 평가수익과 실현수익은 상당한 차이로 나타날 수 있음. SVB Financial Group’s record plunge on Thursday minted short sellers roughly half a billion dollars in paper profits. But they now face a challenge: how to close their positions. SVB shares plunged by 60% on Thursday as worries mounted over the bank’s operation, netting traders who bet against the stock a one-day mark-to-market profit of roughly $513 million. The stock fell another 63% in premarket trading Friday before being halted, with the Federal Deposit Insurance Corp. ultimately announcing that it had seized the bank. “SIVB’s closure gives short sellers a windfall profit, but now they have to go through the sometimes-difficult process of liquidating their positions and realizing their mark-to-market profits,” said S3 Partners head of predictive analytics Ihor Dusaniwsky. “With stock borrow financing costs accruing daily, even on weekends, even though trading is halted there is a continuous reduction of profits until short sellers close out their positions and return their borrowed shares". The SVB collapse comes just a day after crypto-friendly bank Silvergate Capital Corp.’s announcement that it would liquidate and voluntarily wind down operations of its bank. That too minted bets against that heavily-shorted stock a sizeable windfall, although unlike SVB, its shares are still trading.

Expectations for the Fed terminal rate have come down quickly.

Market Reaction: Fed Swaps Downgrade Odds of 50bp March Rate Hike to Under 50%.

일주일 간 매매에 지친 저를 'Midjourney AI'에서 그려달라 해봤습니다.

Bottom-line: Xi Confirmed as Third-Term President. Chinese lawmakers on Friday unanimously voted to give Xi Jinping a third term as president, completing his quest for continued supreme power to lead the world’s No. 2 economy.

Bottom-line: 골드만삭스는 목요일 은행 주식이 최근 25년간 세번째로 가장 큰 폭의 일일 하락을 보인데 대해 보고서를 작성함. 결론은 소형 은행이 대형 은행으로 위험을 전이시킬 가능성은 낮고, 대량의 매도를 비중 확대 기회로 활용하라 권고함. 이런 주장에는 세 가지 근거가 있는데, i) 지방은행이 투자등급 회사채 시장에서 차지하는 비중은 1.5%에 불과함. ii) 지방은행은 점유율이 낮고 그들 자체도 상당히 분산되어 있음. iii) 금융위기 이후 감독기관에서 시행 된 강력한 규제를 고려할 때, 자산과 부채의 불일치에 따른 자본금이나 유동성 위험을 경험할 가능성은 희박함. US bank equities came under significant pressure today (Thursday) following reports that a regional lender was taking steps to raise capital in response to large losses on its securities portfolio. This episode has added to mounting concerns over potential profitability headwinds from the deep yield curve inversion. To put things in context, and leaving aside the global financial crisis, today’s move lower in the equity bank sector index is the third largest of the last 25 years, after the 2020 COVID period and August 2011 in the wake of the US government rating downgrade. In the bond market, the reaction has been far more contained. While regional banks underperformed the broader index, large US and Yankee banks were better behaved relative to their equities. We reiterate our overweight recommendation on the sector and would use any large selloff as an opportunity to add risk. Three arguments underpin this view. First, the risk of contagion from small to large banks is remote, considering the low share of regional banks in the IG index. As shown in Exhibit 2, while the banking sector does make up a large share of the USD IG market at 25% of the notional outstanding, regional domestic banks only make up 6% of the banks sector, or about 1.5% of the broader USD IG market. Second, the low share of regional banks is itself also quite diversified, with 15 issuers and no one issuer accounting for more than 20% of the notional outstanding. Lastly, we think the risk that large US or Yankee banks experience a capital or liquidity event driven by assets/liabilities mismatches or concentrated positions on securities portfolios is remote, considering the post-global financial crisis regulatory environment.

Bottom-line: 모하마드 엘 에리안은 실리콘밸리은행이 촉발한 위험이 다른 금융기관으로 전염 될 위험을 일축했음. 전반적인 미국 은행 체제가 견고하기 때문임. 물론 소수의 은행은 이에 포함되지 않을 수 있고, 특히 레버리지를 팽창하던 시기를 지난 후, 금리 및 신용 양쪽 모두에 취약한 은행이 그렇다고 함. 그는 또한 제롬 파월 의장을 비판했는데, 그가 한 발언은 경제와 금융 양쪽 모두가 위험에 처할 수 있는 변동성을 확대시키는 원인을 제공했다고 함. US banks can contain contagion risk and system stress stemming from the turmoil unleashed by Silicon Valley Bank, Mohamed El-Erian said. “Contagion risk and the systemic threat can be easily contained by careful balance sheet management and avoiding more policy mistakes,” El-Erian, the chairman of Gramercy Funds and a Bloomberg Opinion columnist, said in a tweet on Friday. At the same time, while the US banking system “is solid as a whole, and it is, that does not mean that every bank is,” he said. “Due to the volatility in yields after the prior protracted period of leverage-enabling policy, the most vulnerable (banks) currently are those vulnerable to both interest rate and credit risk,” he said. His comments followed this week’s surprise announcement from Santa Clara, California-based SVB that it was issuing $2.25 billion of shares to bolster its capital position after a significant loss on its investment portfolio. El-Erian has been vocal in his criticism of Federal Reserve Chair Jerome Powell, saying his comments after FOMC meetings have fueled considerable volatility in markets that could risk both economic well-being and financial stability.