Constant vigilance!

The nice thing about week that, outside of housing, is rather light on data is that it lends itself to reviewing cross asset relationships that might otherwise get overlooked. A such, a few sellside analysts (myself included) have been whipping up some rather clever charts. Here’s a look at what I’ve been checking out since the weekend.

George Goncalves points to European risk premium as the driving force in the recent divergence between USTs and generally strong economic data. If Europe continues to muddle along this could force yields to more “normal” levels.

Hajime Kitano at JPM is who was spot on with his timing for rising US yields is only surprised by how long it is taking based on ISM strength.

David Zervos at Jefferies thinks that USTs seem to be reflecting a similar bubble to that previously experienced by Miami Condos

Greg Peters at MS is looking for continued reversal leading to positive correlation between SPX and USD

Not getting any attention whatsoever is the effective Fed Funds rate, which after bottoming at the end of the year is up 11bps to 15bp

A lot of discussion about the long end, but as this chart (normalized to last February) shows the peel higher in yields has been led by the front end.

If you’re looking for an explanation of front end inflation rates look no further than oil. Here is 2yr breakeven versus front month crude.

Also in the energy complex AAA retail gasoline v front month RBOB v front month brent. Looks like the pressure from gasoline prices domestically may have run its course for the time being.

Today was the first day in over a year where no news stories picked up by Bloomberg contained QE3 as a keyword.

And because it’s my favorite chart UST 2yr yield v USDJPY. Plenty of room for more front end selling.

12 thoughts on “Constant vigilance!

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