Monday, 7 July 2014

Some Charts - 7th July.

Just going to post some charts that may/may not be interesting or at all useful. Mostly they look nice.

First of looking at some FX vs rates charts. The short end of the US rate curve has pushed quite a bit higher recently. Frankly, this hasn't really transferred into any USD strength yet, most likely with market participants still quiet, and volatility really low.

EURUSD vs 1Y swap spread
pretty self explanatory chart, recent policy divergence will definitely push the yield spread wider, but will it transform into EURUSD weakness? well only if flows into euro-assets stop, risk premium picks up, or the Fed really goes for it. All of which quite unlikely in today's environment,

AUD vs 2y swap spread
Similar thing here, the US component of the rate spread has pushed the red line lower in both instances. However the AUD has a few more factors involved, namely trading as an EM/risk proxy (which it does from time to time)

AUD vs CDX EM-IG spread
Looking at CDX EM minus IG spread, strong correlation over the past few years, and since EM has recovered considerably YTD, the AUD has lagged, but there most likely is a reason for this over the past few weeks as US rates have risen. 

Posted this next one last week, but its still striking in my opinion. USDCAD;

USDCAD vs 5 year spread
pretty clear this one, and I still like looking for long USDCAD down here

This one seemingly lost me a few followers on twitter, but heck, I still think its interesting.

Being long ARS is finally profitable, even after spot crashed 15% in one day earlier this year.

Rolling 1Y NDFs

1M NDF implied annual yield

but certainly helped by the fact you get >30% yield... (was >100% in Jan)

anyway, not much from me today, just some interesting charts. All mostly USD bullish.

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