Macro & Rates
Joined August 2020
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RobertTimper retweeted
🇪🇺 Europe's borrowing costs now move with energy.
Our Chief Global Fixed Income Strategist @RobertTimper1 told @euronews:
⛽ Since Hormuz, EU yields track energy prices closely
🔥 Gas, not just oil, now driving inflation pressure
📈 Feeding through to higher yields
euronews.com/business/2026/0…
RobertTimper retweeted
One of my favorite pod episodes ever! Cousin @JacobShap and I had my colleagues from BCA @ElClutch and @RobertTimper1 (the twin authors of the BCA World Cup Forecast) to talk about the Most Important Uninmportant Thing in the World!
podcasts.apple.com/us/podcas…
RobertTimper retweeted
Rate Cut Party time?
Prompt: Hype EDM song about how Fed governor Jerome Powell is going to cut rates
app.suno.ai/song/d8a66059-6b…
RobertTimper retweeted
Yesterday, we published a report titled "The Great Small Cap Heist: How Venture Capital and Big Tech Stole America's Best Small Companies"
In the report we analyzed the structural outlook for US small caps. Here are a few key points🧵(1/6)
RobertTimper retweeted
MBS spreads are cheap. In simple terms, one can think of the nominal Agency MBS spread versus duration-matched Treasuries as the compensation MBS investors earn for selling a prepayment option to mortgage borrowers, wrote BCA's US Bond Strategy.
Viewed this way, we can infer that the principal drivers of the spread should be:
(i) The difference between the current mortgage rate and the average coupon of the MBS index.
(ii) Implied interest rate volatility.
This allows us to model the nominal Agency MBS spread as shown in the chart.
For the full report, click here: hubs.ly/Q0262FBT0
#MBS #Treasury #fixedincome #bonds
RobertTimper retweeted
Losses on bond portfolios do not show up in measures of wealth in the financial accounts of the US (flow of funds) where bonds are shown at book value so measures of household net worth are noticeably overstated at the moment – at Austin, TX
"In terms of total returns, this is the biggest bond market rout in 150 years. Last year was in fact US bond investors’ worst year since 1871, with a total return of minus 15.7%, even worse than the annus horribilis of 2009. For 2023, the year-to-date return has been almost minus 10%; annualized, that’s minus 17.3% — even worse than 2022. We are looking at bond investors’ two worst years in a century and a half."
@nfergus in @opinion
#economy #markets #econtwitter
RobertTimper retweeted
the chart you all wanted to see (but hoped it was actually readable)
%CET1 HTM unrealised losses, vs IRRBB % CET1 stress shock vs % insured deposits
RobertTimper retweeted
Bank equity rout does not equal systemic issue.
Hedged or not, almost no bank can survive a large run on deposits. Banks sell vol and are short liquidity...
...so if they hold loans or USTs, if they suffer a run of >25% of assets, they are usually toast.
1/
RobertTimper retweeted
Construction employment has (so far) saved the economy from recession.
This thread explains why this happened, why it won’t last much longer, and how this extra lag increased the risk of a hard landing.
1/
RobertTimper retweeted
ON OUTPUT & EMPLOYMENT
1/ There is an intrinsic link between output and employment. As businesses create more output, they create more income which allows for more spending, which requires more employment.
RobertTimper retweeted
Fantastic business cycle roadmap from @topdowncharts
Inflation is the next shoe to drop in this cycle
RobertTimper retweeted
My favourite part about FOMC day is, once again, the music they play before their livestream starts.
RobertTimper retweeted
Congratulations to Argentina! 🇦🇷🇦🇷🇦🇷
Also much respect to France for a fantastic game.
The title of our final preview in our October report was: "The Final: Can a Great Man change the Course of History?"
Yes he can.🐐
Great job to the @bcaresearch world cup team.
RobertTimper retweeted
Two months ago we released a model for the world cup.
A lot of our predictions turned out to be wrong (though the betting performance of our model has been stellar).
One prediction was right: Argentina in the final. If Messi wins on Sunday, he will ascend to football immortality
RobertTimper retweeted
Worth paying attention to- downgrades are picking up, and in the loan market, with a lot of B- rated debt, CLOs can have issues
Downgrades have been in focus lately, with reason. The 74 #leveragedloan downgrades in 3Q were 2x the amount earlier in the year. This is of particular interest to CLOs, which have guidelines re the amount of triple-C debt in portfolios buff.ly/3iIPzDa
RobertTimper retweeted
1/x Are some banks no longer in an 'ample reserves' regime? Some data suggests bank funding is under pressure, a narrative recently picked up by the media. But it remains to be seen whether the narrative becomes problematic or not. Some thoughts/data..
bloomberg.com/news/articles/…
