Macro Trader

Bottom-line: 골드만삭스는 주식에 대해 비중축소로 의견을 하향하고 현금에 대한 비중확대를 유지함. 실질금리 상승과 경기침체 확률 상승이 주식가격에 완전히 반영되지 않았기에 현재의 하락 추세를 더 이어갈 수 있다고 봄. Goldman Sachs Group Inc. downgraded equities to underweight in its global allocation over the next three months while remaining overweight cash, saying rising real yields and the prospect of a recession suggest the rout has further to run. The US investment bank’s market-implied recession probability has increased to above 40% following the recent bond sell-off, “which historically has indicated elevated equity drawdown risk,” strategists including Christian Mueller-Glissmann wrote in a note Monday. “Current levels of equity valuations may not fully reflect related risks and might have to decline further to reach a market trough,” they said, adding that real yields continue to be a major headwind. 

US stocks fell and bond prices plummeted. The S&P 500 lost 1% while the Nasdaq gave up 0.6%. Treasury yields surged, with the 10-year climbing almost 24 bps to 3.92%, its highest level since April 2010.

Bottom-line: 기업공개 제시 가격 최상단에 거래를 밀어넣지 않은 투자자는 초과청약으로 인해 원화 환산 103조 기업의 주식 배정을 못받을 수 있음. 시장의 혼란과 인플레이션 위험에도 그 기업이 'Porsche'기에 가능한 일. Volkswagen AG is likely to price the initial public offering of sports-car maker Porsche AG at the top end of an initial range, demonstrating the depth of demand for its share sale, according to terms seen by Bloomberg. Investor orders below 82.50 euros apiece risk missing out on the transaction, terms showed. Indicated demand for the offering exceeds deal size, according to the terms, despite market turbulence and concerns over rising inflation. Porsche shares were being marketed to investors at 76.50 euros to 82.50 euros apiece. At the top end of the price range, the business would be valued at 75 billion euros ($72.7 billion). The company is expected to set the final IPO offer price after the order book for the share sale closes Wednesday. The new stock will start trading a day later. 

The euro is paring losses against the dollar as money markets now fully price in a 75-bp ECB rate hike in October. German and Italian 10-year bond yields are also off session highs.

Bottom-line: 11월까지 영국 중앙은행의 통화정책 회의가 없는 상황에서 무담보 차입금리가 상승하면서 비정례 통화정책 회의를 통한 70bp 이상의 금리인상을 베팅이 형성됨. The 1-week SONIA rate has risen from 2.19% on the day of the last BoE hike (last week) to 2.92% today. As there is no scheduled meeting until November, this implies over 70 bps of hikes are priced in by next week (neglecting any quarter-end tightening of cash rates or widening of UK base rate vs SONIA basis). Cable is liking the rumor, holding up at around 1.07 now, but is exposed to any disappointment from the BoE.

Bottom-line: 중앙은행의 금리인상이 당분간 멈추지 않을 것을 마침내 깨달은 투자자들은 현금과 단기채권에 자금을 밀어넣고 있음. 한 때 아무것도 얻을게 없던 이곳에서 적게는 2%, 많게는 4%의 수익을 거둘 수 있기 때문임. 시장 참여자들이 이렇게 현금에 쏠리는 이유는 그저 살아남아 올해를 마무리하고 싶은 소망이기 때문이라 보고 있음. From stocks to bonds, credit to crypto, money managers looking for somewhere to hide from the Federal Reserve induced storm battering virtually every asset class are finding solace in a long reviled corner of the market: cash. Investors have $4.6 trillion stashed in US money-market mutual funds, while ultra-short bond funds currently hold about $150 billion. And the pile is growing. Cash saw inflows of $30 billion in the week through Sept. 21, according to figures from EPFR Global. Where once that stash yielded practically nothing, the vast bulk now earns upwards of 2%, with pockets paying 3%, 4% or more. The suddenly respectable payout is one of the reasons traders have been in little rush to deploy their capital into riskier assets, even with prices at multiyear lows. The other is that as the Fed continues to push interest rates higher to tame inflation, market participants are finally coming to the realization that the central bank is unlikely to abandon its hawkish policy tilt anytime soon, leaving cash as the asset of choice to ride out the turmoil. “I don’t think it’s time to be a hero,” said Barbara Ann Bernard, founder of hedge fund Wincrest Capital. “The reason I have as much cash as I do is because I just want to survive and end the year up. This is going to be a tricky environment for a while.”

Bottom-line: OECD는 주요 20개국 대부분의 성장률 전망을 하향하고, 더 높은 정책금리를 예상한다고 함. The world as a whole has been jolted by the war in Ukraine, according to the OECD, which cut almost all growth forecasts for the Group of 20 next year while anticipating further interest-rate hikes too. The global economy will expand just 2.2% in 2023, the Paris-based organization said Monday. It slashed GDP forecasts for most of the G-20, with only Indonesia featuring a moderately higher outlook. Many of the group face noticeably faster inflation too.

Bottom-line: 올 해 안에 파운드화가 달러에 등가가치에 이를 것이란 확률이 지난 주 금요일 32%에서 60%까지 급등했으며, 옵션을 통한 파운드화의 내재변동성은 대확산 시기의 20.62%에 근접한 20.05%를 기록했음. It is looking more and more likely sterling will fall to parity against the dollar this year based on option market pricing. Sterling-dollar implied volatility suggests there is a 60% probability spot will hit 1.00 before the end of this year -- based on spot trading at 1.0552 -- compared to 32% on Friday. The currency pair plunged to a record low of 1.0350 Monday in Asian trading after Kwasi Kwarteng, the new Chancellor of the Exchequer signaled more tax cuts might be in the pipeline. Markets are also expecting extreme turbulence, with sterling-dollar’s three month implied volatility surging 4.31 percentage points to 20.05% Monday. That’s fast approaching the high of 20.62% reached during the 2020 pandemic meltdown.

Bottom-line: 레버리지 펀드들은 1972년 이후 첫 감세안을 발표하기 전에 파운드화에 대한 대규모 매수 포지션을 구축했음. 감세안 발표 후 파운드화는 달러 대비 큰 폭으로 하락함. Hedge funds ramped up bullish bets on the pound just days before the currency slumped after the British government announced major tax cuts for rich households. Leveraged investors added 13,488 net long contracts during the week to Sept. 20 -- the biggest increase since March, data from the Commodity Futures Trading Commission show. The bets came just before Liz Truss’s new government unveiled the most sweeping tax cuts since 1972, triggering a slide in the currency to a record low versus the dollar on wagers the stimulus will balloon the UK’s debt pile and supercharge inflation.

Bottom-line: 감세에 대한 시장 반응은 생각보다 큰 함의를 지니고 있음. 만일 파운드화가 달러에 등가가치까지 떨어질 경우 엘리자베스 트러스에 대한 불신임이 거세질 수 있음. 이미 긴급조치를 요구하는 목소리가 있음에도 쿼지 콰텡 재무부 장관은 추가 감세까지 고려하고 있음. The UK market reaction could have huge implications. The Telegraph reported that Truss will face a rebellion from Tory backbenchers against her tax cuts if the pound falls to parity with the dollar — a level Larry Summers predicted on Friday. Some are already calling for emergency BOE action. But new Chancellor Kwasi Kwarteng denied investors were panicking, telling the FT that "markets move all the time — it's very important to keep calm and focus on the longer-term strategy." He's also considering even more tax cuts.

Bottom-line: 최근 몇년 간 자산배분 권한자들에게 대형 기술주를 매수하고 수익이 쌓이길 기다리는 쉬운 국면이 지속됐음. 하지만 중앙은행의 금리인상 시대에 이 플레이북은 더 이상 무효해졌고, 주식 외에 대안이 없다(TINA)는 이제 대안이 생겼고, 특정 경우에는 저위험의 4% 넘는 수익을 주는 채권도 생기며 주식과 채권의 가치 변곡점을 만들었음. 이런 변화는 여름부터 시작됐지만, 여전히 뜨거운 인플레이션과 고용 데이터가 완만한 경기침체를 감수하고도 금융위기 이후 최고 수준의 긴축을 지속활 수 있다는 사실을 전달하며 9월 가속화 되었음. 향후 몇개월 간 하락할 수 있는 기업의 이익들로 인해 주식의 위험 프리미엄에 대해서도 덜 관대해질 것으로 예상 됨. For years, asset allocators had it easy: Buy the biggest American tech companies and watch the returns rack up. Those days are gone, buried under a crush of central bank rate hikes that are rewriting the play books for investment managers across Wall Street. TINA -- the mantra that investors had no alternatives stocks -- has given way to a panoply of actual choices. From money market funds to short-dated bonds and floating-rate notes, investors are now locking in low-risk returns that, in some cases, exceed 4%. The change has been underway since the summer, but picked up speed in September as investors came to terms with still-hot inflation data and a tight labor market that will force the Fed to pin rates at the highest levels since the housing crisis. After Chair Jerome Powell’s comments Wednesday, there’s little doubt the central bank expects at least a mild recession to curb inflation. “We have gone through the inflection point of bonds offering more value than equities, thanks to the pricing in and delivery of large rate hikes, and a re-emergence of inflation risk premia in the bond market,” said Peter Chatwell, head of global macro strategies trading at Mizuho International Plc. “We would expect the earnings downside risks to make those equity risk premia even less generous in the coming months.”