Month: November 2022

Why Bond Liquidity May Be Headed for Trouble

Mary Pat Campbell

Link: https://www.ai-cio.com/news/why-bond-liquidity-may-be-headed-for-trouble/

Excerpt:

Reduced liquidity for bonds is getting to be a problem, according to Treasury Secretary Janet Yellen.

At a speech before the Securities Industry and Financial Markets Association annual meeting Tuesday, she reiterated an earlier observation that diminished ability to sell bonds is worrisome. Still, at SIFMA, she sought to temper her concern by adding that traders aren’t facing snags executing orders, with the biggest negative impact of lessened liquidity confined to higher transaction costs.

…..

The gauge for bond volatility, the Merrill Lynch Option Volatility Estimate, aka MOVE index, has jumped some 40% since mid-August. Other than a spike in March 2020 at the onset of the pandemic, the index (it launched in 2019) has been fairly placid—until 2022 and the beginning of big rate hikes. This all is reminiscent of the stock market’s fast-paced volatility lately.

Another related difficulty for bonds:  the imbroglio resulting from the Federal Reserve’s interest rate increases and the resulting strong dollar risk worldwide. That has promoted a rush by other central banks to match the Fed and jack up rates. To Richard Farr, chief market strategist at Merion Capital, one risk of this trend is that Treasury bonds will end up hurt.

Author(s): Larry Light

Publication Date: 26 Oct 2022

Publication Site: ai-CIO

The 3-Month T-Bill Yield Inverts With the 30-Year Long Bond

Mary Pat Campbell

Link: https://mishtalk.com/economics/the-3-month-t-bill-yield-inverts-with-the-30-year-long-bond

Graphic:

Excerpt:

The 3-Month T-Bill yield hit 4.22% early this morning. At that time the 3-Month to 30-Year inversion was about 9 basis points. 

The chart above still shows the inversion, just a bit less. 

So much for the idea the Fed would steepen the curve. 

Author(s): Mike Shedlock

Publication Date: 1 Nov 2022

Publication Site: Mish Talk

Gross Domestic Product, Third Quarter 2022 (Advance Estimate)

Mary Pat Campbell

Link: https://www.bea.gov/news/2022/gross-domestic-product-third-quarter-2022-advance-estimate

Graphic:

Excerpt:

Real gross domestic product (GDP) increased at an annual rate of 2.6 percent in the third quarter of 2022 (table 1), according to the “advance” estimate released by the Bureau of Economic Analysis. In the second quarter, real GDP decreased 0.6 percent.

The GDP estimate released today is based on source data that are incomplete or subject to further revision by the source agency (refer to “Source Data for the Advance Estimate” on page 3). The “second” estimate for the third quarter, based on more complete data, will be released on November 30, 2022.

The increase in real GDP reflected increases in exports, consumer spending, nonresidential fixed investment, federal government spending, and state and local government spending, that were partly offset by decreases in residential fixed investment and private inventory investment. Imports, which are a subtraction in the calculation of GDP, decreased (table 2).

Publication Date: 27 Oct 2022

Publication Site: Bureau of Economic Analysis

What Dates Are Used for the U.S. Recession Bars?

Mary Pat Campbell

Link: https://fredhelp.stlouisfed.org/fred/data/understanding-the-data/recession-bars/

Excerpt:

The monthly business cycle turning point dates on FRED graphs are as follows:

Peak, Trough
1857-06-01, 1858-12-01
1860-10-01, 1861-06-01
1865-04-01, 1867-12-01
1869-06-01, 1870-12-01
1873-10-01, 1879-03-01
1882-03-01, 1885-05-01
1887-03-01, 1888-04-01
1890-07-01, 1891-05-01
1893-01-01, 1894-06-01
1895-12-01, 1897-06-01
1899-06-01, 1900-12-01
1902-09-01, 1904-08-01
1907-05-01, 1908-06-01
1910-01-01, 1912-01-01
1913-01-01, 1914-12-01
1918-08-01, 1919-03-01
1920-01-01, 1921-07-01
1923-05-01, 1924-07-01
1926-10-01, 1927-11-01
1929-08-01, 1933-03-01
1937-05-01, 1938-06-01
1945-02-01, 1945-10-01
1948-11-01, 1949-10-01
1953-07-01, 1954-05-01
1957-08-01, 1958-04-01
1960-04-01, 1961-02-01
1969-12-01, 1970-11-01
1973-11-01, 1975-03-01
1980-01-01, 1980-07-01
1981-07-01, 1982-11-01
1990-07-01, 1991-03-01
2001-03-01, 2001-11-01
2007-12-01, 2009-06-01
2020-02-01, 2020-04-01

Publication Date: accessed 1 Nov 2022

Publication Site: FRED