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The Cash Trap - Monthly Roundtable

FICC Podcasts June 01, 2021
FICC Podcasts June 01, 2021

 

Margaret Kerins along with Ian Lyngen, Greg Anderson, Stephen Gallo, Dan Krieter, Ben Reitzes, Dan Belton and Ben Jeffery from BMO’s FICC Macro Strategy team to bring you their discussion of the market’s pricing of inflation risk and the richness in money markets and what these themes imply for US and Canadian rates, high quality spreads and foreign exchange.


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About Macro Horizons
BMO's Fixed Income, Currencies, and Commodities (FICC) Macro Strategy group led by Margaret Kerins and other special guests provide weekly and monthly updates on the FICC markets through three Macro Horizons channels; US Rates - The Week Ahead, Monthly Roundtable and High Quality Credit Spreads.

Podcast Disclaimer

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Margaret Kerins:

This is Macro Horizons. Monthly episode 28. The Cash Trap, presented by BMO Capital Markets. I'm your host, Margaret Kerins, here with Ian Lyngen, Greg Anderson, Stephen Gallo, Dan Krieter, Ben Reitzes, Dan Belton and Ben Jeffery from our FICC macro strategy team to bring you our debate on the main narratives that are dominating market pricing and what these themes imply for US and Canadian rates, high quality spreads and foreign exchange.

Margaret Kerins:

Each month members from BMO's FICC macro strategy team join me for a round table focusing on relevant and timely topics that impact our markets. Please feel free to reach out on Bloomberg or email me at margaret.kerins@bmo.com with questions, comments, or topics you would like to hear more about on future episodes. We value your input and appreciate your ideas and suggestions. Thanks for joining us.

Speaker 2:

The views expressed here are those of the participants and not those of BMO Capital Markets, its affiliates, or subsidiaries.

Margaret Kerins:

The main narrative playing out in market pricing is the reaction to inflation data with fears of a policy mistake that results in higher inflation than targeted that also persists followed by the Fed talking the market back. The second narrative is the richness in money market securities with a flood of cash sloshing around looking for a home, as reflected in the large take-up in the Fed's reverse repo facility. This situation is only likely to get worse as Treasury continues to run down cash balances by decreasing bill issuance. This dynamic is also resulting in a growing interest in LIBOR alternatives, including BSBY.

Margaret Kerins:

Let's kick it off with Ian. Ian, will the dynamic dominating Treasury market pricing continue? And if so, what are the implications?

Ian Lyngen:

Well, I do think that the inflation story is very much top of mind for the Treasury market. What we have seen is, at this stage, there's really little question that we will see higher inflation work through the system as we have pockets of pandemic-related pricing pressures that have emerged, and they have been pretty dramatic. Used auto prices being a clear touchstone for the reflationist, but also we've seen travel and housing related costs press higher as well. All of this really gets to the underlying question of how sustainable will these price gains be, and whether or not the Fed is correct in characterizing them as transitory.

Ian Lyngen:

I suspect that what we will see is, we will see this issue stay with the Treasury market for the next two, maybe even three, quarters before we're comfortable concluding that either it was in fact transitory or the risks are skewed toward a sustainably higher path of inflation going forward. And a lot of that is ultimately going to be contingent on how quickly the labor market is able to recover. And how, what is ostensibly a tight labor market at this point, ultimately translates through to wage pressures or not.

Ben Jeffery:

And looking at the break-evens market, one could make the argument that we've seen a bit of a moderation in what had been an unquestionably strong run, in rising inflation expectations. In the tenure sector, we saw break-evens reach last cycle's peak right at that 260 basis point level. But over the last several weeks and, somewhat counterintuitively in the wake of the latest CPI report, there's been a bit of moderation in that benchmark market-based measure of inflation expectations. The retracement back slightly below 250 and now stabilization is still unquestionably high in a broader historical context. But the fact that we've seen some of this repricing stall, I think speaks to, at least on the margin, some faith in the Fed's transitory narrative that the surge in inflation we're seeing currently, is not going to translate to a wholesale shift in a meaningfully higher inflationary paradigm. Now the next several months and the next several quarters are going to be key in refining these expectations exactly as you alluded to Ian, but for the time being, the stabilization and break-evens has translated into a very definable trading range in the Treasury market.

Greg Anderson:

And, with that trading range that we're seeing in US yields, the result in the foreign exchange market is that the greenback has resumed its down drift that we saw for the second half of last year. To come back to the inflation theme, and whether that's responsible for the decline in the dollar. Yeah, there are a couple of economic theories that tie high inflation to a weaker currency. There's purchasing power parody, and then there's the notion that country to maintain its same level of competitiveness if wages in particular rise faster everywhere else then the currency weakens. I don't think that's what's going on here.

Greg Anderson:

But what I do think is going on is, the foreign exchange market looked at the spike in yields in Q1 and said, "Aha, the Fed is going to cave in and it's going to end its bond purchase program early. And therefore the dollar is going to rally." And so people rushed in and got long greenbacks. And then the trading range and fixed income has caused them to dial back those dollar long positions. And we're right back down to the down drift in the US dollar. And it looks like it is likely to continue for the foreseeable future. Although, we'd expect continued push back against that by various countries who don't want to see their currencies rise too quickly.

Dan Belton:

Yeah. Inflation is also, certainly, the major factor to watching credit markets in the medium term. Inflation really poses unique risk to credit spreads through the fundamental channel of corporate profitability, but it could also cause spreads to widen just through the risk premium. And sustained inflation could also really cause an unwind of the risk entree that has sent spreads to such narrow levels. On Friday, the Bloomberg Barclays Index reached its tightest level since 2007. And it's currently at 83 basis points. And this narrowing has happened amidst very light trading volumes, but it doesn't seem to have been reversed in early trading, as of today. But I want to highlight a couple of mitigating factors that could explain why spreads are so tight right now, despite the looming risk of inflation and how that could cause such a disorderly unwind of this dress on trade. But if you look at index yields as a percentage of Treasury yields, you could actually see some further room for narrowing from current levels.

Dan Belton:

The last time that spreads were nearly this narrow came in 2018. Back then they touched as low as 84 basis points versus 83 basis points today. Ten-year Treasury yields were around 280 basis points. That represented about a 30% yield enhancement of corporate credit over treasuries. Right now, if you extrapolated that pickup as a percentage to Treasury yields, this would imply a spread level of just 50 basis points. Now, we don't think that there's another 30 basis points of narrowing to go in credit spreads, but it does go to show that while there's a lot of optimism priced into spreads at current levels, some further out performance is not unfathomable. Then second, the Fed's involvement in the corporate credit market last year probably should act to structurally reduce the credit premium embedded in spreads, as that willingness of the Fed to step in and backstop investment grade debt, rather than allow a wave downgrades should presumably hold in future cycles.

Ian Lyngen:

One of the fascinating parts about this cycle, as you point out, Dan, is the market's willingness to look to the Fed as effectively a backstop for a variety of different asset classes. And, to the Feds credit, they made this point extremely clear, very early in the pandemic with all the programs that they rolled out. But what strikes me as we've talked about in the past, is that given the nature of the pandemic was a health crisis, not a financial one, we could find ourselves in a situation where the Fed looks to recast forward expectations for how they will respond in specific situations. i.e. global pandemic versus a garden variety recession. That does add in a degree of variability regarding whether or not investors should always consider the Fed as the backstop of last resort.

Margaret Kerins:

Yeah. And Ian, to your point, the Fed is likely to eventually walk back the market's perception of a Fed backstop of the credit markets, by distinguishing the pandemic from more typical downturns or crisis events. Another theme of course, is that there has been a rush to issue corporate debt while at the same time, US Treasury pays down bills. So far this year, Treasury has paid down over half a trillion in bills and their cash balances still have to fall by an additional 300 billion by the August 1st debt ceiling. This influx of cash into the market, on top of what's already being generated by Fed purchases, has slammed front end yields to zero, or very near zero.

Margaret Kerins:

In prior debt ceiling episodes, as Treasury runs down cash and bills become scarce investors are forced out the credit curve and LIBOR OIS compresses. This time around this compression has already occurred. So Dan, given that cash is set to continue to fall over the next couple of months. Is there room for additional compression?

Dan Krieter:

Well, Margaret, it's a great question. Because we're already pretty much sitting near the lowest levels since the credit crisis for most spread relationships. Even just looking at LIBOR on an outright basis. LIBOR at 13 basis points right now, essentially the lowest of all time or within tens of basis points at the lowest of all time. And LIBOR OIS spreads, today trading at about five basis points. The knee-jerk reaction would be to say that there's really not much more potential for spreads to continue narrowing, but I think given the degree of the disequilibrium between cash and collateral in the financial system right now, we could see spreads really start to push to extreme levels. From a fundamental perspective, there's really no reason why LIBOR OIS can't go to zero basis points if there's just so few places for cash to be put. And we're seeing RRP volumes at all time highs now at almost 500 billion.

Dan Krieter:

That push out the credit curve that you described, Margaret, we're seeing it in two dimensions, we're seeing a push out the credit curve. We're also seeing short dated being pushed further and further out the curve, just in search of anything that yields more than zero. I think you could see LIBOR and other short rates continuing to fall here and compressing all of those short rates down towards zero or even negative has been trading.

Dan Krieter:

Obviously the next question then becomes, is the Fed going to step in and do anything to stop this sort of downward trend in all short-term rates? I think what the Feds told us so far is that they didn't want to do anything. We've seen them take action twice now to strengthen the floor that the RRP provides. Firstly, increased how much each individual counterparty is allowed to execute at the overnight RRP. And then they expanded the eligibility criteria to allow more counterparties access to it. To me, those two actions say the Fed doesn't necessarily want to do anything to increase short term rates, you know, be it rate hikes or be it technical adjustment. They don't want to do that, but ultimately they may have to do it. And for me, I think that point that they may have to do it is either here or rapidly approaching.

Dan Krieter:

Ian and Ben, how do you see the odds of a technical adjustment at the June meeting?

Ian Lyngen:

It's interesting. The timing of an adjustment to the administered rates has become extremely topical. And one of the observations, that I will offer, is the Fed has done a very good job of drawing the distinction between the front end rate tweaks and true monetary policy. I wouldn't be surprised if the Fed waited until there was enough pressure, either between now and the meeting itself, or after the meeting, as we get further into the summer months, to actually deliver some type of change. I do think it is very much on the table for the Fed. However, I wouldn't characterize it in terms of duration, fives sevens, tens and thirties as a true market event. If anything, it will reinforce the Fed's commitment to functioning in the very front end of the market and on the margin, it will recalibrate forward expectations for rates and be incrementally bearish, if anything.

Ben Jeffery:

Yeah. Ian and Dan, I agree completely. And I really think at this stage, the June meeting has sort of emerged as the timeline of a 'will they or won't they' in terms of adjusting IOER, or the rate offered at the RRP facility, explicitly. Really there are two schools of thought. Dan, as you mentioned, the RRP facility is working as designed and clearly the Fed has been content to bolster its usefulness in defending the lower bound. Expanding counterparty limits and eligibility has clearly been met with increased demand, as we saw usage pick up to just shy of half a trillion dollars ahead of May month end. And at the same time effective Fed funds has been relatively steady, right around six basis points. We've seen a drop to five basis points on the month end date itself, but that's very consistent with the calendar nuances that have meshed well with the historical tendencies.

Ben Jeffery:

At this point, I think the real risk is with so many in the market expecting an adjustment at or around the June meeting, if the Fed opts to hold off on tweaking those administered rates, there is a risk of a "disappointment" if they do opt to be patient past the June meeting. Now, tweak or no tweak, the underlying issue continues to be the enormous amount of cash in the system. In pondering that issue, we can't ignore the Fed's QE program that's continuing at $120 billion a month. While the potential to begin the conversation about tapering has begun, for the time being, it seems the fed will continue on the course they have been, which is something of a divergence between the Fed and other central banks.

Margaret Kerins:

Yeah. And Ben, this problem is likely to only get worse as hundreds of billions of dollars will be entering the market over the next few months, due to the debt ceiling. Take up at the RRP, reached a record at almost 489 billion Friday, earning zero in interest. While the facility is working, it's difficult to characterize this market as properly functioning.

Dan Krieter:

And to add onto your point, Margaret, we're actually at a very critical juncture right now in terms of the transition away from LIBOR. I know this is a transition that's happened for years and something that most people keep in the back of their mind, but just a reminder by the end of the year, the Fed wants no more financial contracts tied to LIBOR and everything move over to presumably SOFR. Something that wouldn't normally have to enter into the calculation, I think does have to play in at this point, because if we continue to see SOFR for printing at one basis point, which it has for three months now in this downward pressure where there's this perception that SOFR could ultimately go negative. Even though that's not something that we see, we do field that question often, there is some real concern out there.

Dan Krieter:

If over the next three months, we're expecting to have the majority of financial contracts, both in the cash and derivatives markets migrating over from LIBOR to SOFR, Margaret, everything you just said with all short end rates being at zero, potentially moving down towards negative, that's going to be a real problem for regional and community banks that aren't necessarily tracking the movements of SOFR on a day to day basis.

Dan Krieter:

I get that the Fed's policy rate is still Fed funds and that Fed funds is traded at six basis points. And ultimately that's what they're making the decisions on. But I do think that the LIBOR transition does enter into the equation here with SOFR with so low and potentially also incentivizing the Fed to step in here.

Margaret Kerins:

To your point, Dan, this environment, coupled with the experience of SOFR versus LIBOR, last March, is prompting banks to look for alternatives, including BSBY, which of course has a credit component.

Dan Krieter:

The popularity of BSBY has really been remarkable. It was just introduced toward the end of last year. It really started to gain traction just in the past few weeks and months. And you're hearing more and more people getting it improved. And I think a main reason for that is how low SOFR is. A key point here is there's no real end in sight.

Dan Krieter:

Margaret, you talked about the TGA and how we're expecting another 450 billion to come down before the debt ceiling suspension expires at the end of July. But a couple other main drivers of a very, very low, short end rates that aren't going to go anywhere anytime soon. We have much, much larger GSE portfolios, both because of changes to the liquidity requirements, but as well as the stimulus where they've had so many borrowers in forbearance for the last, what 12 months now, as those borrowers come out of forbearance, the expectation is the agencies are going to have to make some modifications, potentially purchase some loans out of trust.

Dan Krieter:

And we've seen in the financials every quarter for the last year, the GSE is talking about how they were building up cash reserves, at least in part, due to their expectations for having to make modifications to mortgages and forbearance. Well, we had president Biden's $1.9 trillion stimulus package tack another six months onto forbearance. Those massive GSE portfolios going to remain very, very heavy until those forbearance periods end, which ... What we originally thought would be April, or May of this year, now more like October, November. And then another dimension where stimulus is impacting the front end. We're seeing just recently a lot of stimulus money coming into state and local accounts that are often heavily invested in the front end. And they have to put that money somewhere and there's not going to be any end in sight there either. I think the main thing is we have all these sources of very, very heavy cash. I don't see a resolution to them.

Dan Krieter:

I guess I'll throw this out to the group. What will ultimately bring upward pressure on front end rates? And does it matter for rates further out the curve?

Ian Lyngen:

I do think that as it pertains to the longer end of the curve, the most meaningful impact that it will have on nominal rates is through reinforcing of the Fed's credibility, that it is going to target the rate where they want it to be and not allow it to drift lower. That does add some marginally bearish pressure, particularly in twos, threes, and fives. However, I would suggest that tapering or prepping the market for tapering holds the potential to move rates quite a bit more in the Treasury market.

Ian Lyngen:

What I have found notable is that the Treasury market has, to a large extent, taken some of the early chatter about tapering from the Fed in stride. In fact, we've seen nothing that would suggest that there's any taper tantrum afoot, nor have we seen any meaningful attempt on the market to pull forward liftoff expectations. All of that suggests to me, at least ,that the Fed's behavior at this point in the cycle simply reinforces the market consensus for timing of tapering, which includes some early chatter transitioning to an official announcement at Jackson Hole, followed by a Q4 official announcement and then Q1 2022, the implementation of the tapering, which will presumably run the bulk of the year.

Ian Lyngen:

What could potentially be more market moving is any deviation from that assumed timeline on the part of market participants. In the event that the economic data continues to come in strong and accelerates, and there's some incentive for the Fed to pull forward tapering, that's where you get that 10, 15, 20 basis points sell off in 10 year yields, that puts a 2-handle back on the table as the market readjusts to the realities of the Fed's tapering. One of the things that I'd quickly add in that regard, however, is once the Fed does start to step away from providing a remarkable amount of monetary policy accommodation, we then have to look at risk assets and the performance of the economy, because the second order trade is that while the Fed isn't interested in slowing the recovery, by taking away some of the support, they're going to be taking an edge off of the upside.

Margaret Kerins:

And just to add, from a purely technical perspective, another solution of course, could be a resolution of the debt ceiling sooner rather than later, which could reverse the pay-down in Treasury cash balances and also increase bill issuance. However, this seems unlikely at this point. Very rich front end levels are likely to persist.

Ben Reitzes:

The themes that have been touched on today in the US, also our present in Canada. We also have a significant excess of liquidity weighing very heavily on all front end interest rate products. And we've seen the Bank of Canada do their best to counteract that and they've done a decent job thus far. We've seen CORA pick up a little bit from the lows, as they've made collateral a little bit more plentiful, which has certainly helped. Beyond kind of the front end rate pressures, which quite frankly are probably going to continue for some time, given that QE is ongoing, both in Canada, the US and globally.

Ben Reitzes:

Where Canada leads the way, I think, is on the tapering side. Whereas the Fed hasn't really even talked about that yet. The bank of Canada is already down that road a little bit. They've already tapered once officially and actually cut their purchases on two separate occasions. I guess the question going forward is when does the next taper come for Canada? And that's going to depend on how the inflation story plays out.

Ben Reitzes:

Again, similar to the US, Canada's seen a recent spike in inflation, as things have picked up. Partially due to base effects, partially due to reopening, but we're also behind on the reopening. So I'd expect more inflation pressure to come over the next few months. There's also some changes to the basket weights coming for the Canadian CPI, which will throw a bit of a twist into things as that will change the way we look at inflation a little bit, given the basket weights will be based, to some extent, on consumption patterns over the past year or so. As that evolves, that will determine whether the Bank of Canada takes their next step in tapering, but also the Fed's path matters there as well as the bank can't deviate too far from the Fed.

Ben Reitzes:

Beyond that, I think probably one of the bigger themes for Canada, beyond inflation and in the bank is the fact that commodity prices are just rocking here. We see oil prices heading toward ... WTI heading towards $60 a barrel. Brent's already there and just broad strength. Commodities, lumber, or copper, you name it. And all those things are positive for Canada, positive for the terms of trade, but they also strengthen the Canadian dollar. And at some point that's going to be an issue for the Bank of Canada. So it's a push and pull between the economic macro positives of the commodity side and the drag on inflation, on growth, on exports from the Canadian dollar. And that's something the Bank of Canada is going to have to deal with over the next coming quarters. And in addition to inflation and not straying too far away from the Fed.

Stephen Gallo:

Ben, you made some great comments there. And I think that's a perfect opportunity for me to pull the conversation back to the global level. It seems to me that we're near, or at least on the approach to, I guess, what I would call peak reflation at the global level. You can see this with global equities, commodity indices, which you mentioned a few seconds ago, Ben, the prevalence of supply bottlenecks. Also, you can see it in various bits of the trade and PMI data. And I think the assumption has to be that this dynamic is being fueled, at least to some degree, by the fact that major central banks like the Fed and the ECB are consistently emphasizing that they're not going to withdrawal stimulus abruptly. I guess this is one way, which the global environment echoes what was mentioned earlier on the podcast regarding corporate credit markets in the US. This just continuous hunt for yield.

Stephen Gallo:

And I guess to that picture, I would simply add that China and probably numerous local markets are in a position where they seem to have an abundance of foreign currency liquidity onshore. In other words, inflows into the local currencies, from trade investment and with that also hot money inflows. for example, after dollar RMB broke through 640 on the downside last week for the first time this cycle, regulators in China have been taking steps to slow the pace of RMB appreciation and limit the on lending of foreign currency liquidity by the local banks. What does that tell you? And I guess the answer to that question is, it tells you that regulators in China know that the current environment is ripe for feeding financial imbalances, if things are not kept in check. In other words, it's highly reflationary.

Stephen Gallo:

My own angle on this would be, there's definitely an element of risk management here on the part of central banks. What the central banks don't know is when, and by how much the tides are going to recede and for what reason. In fact, Ian, alluded to factors that might cause the fed to step away earlier than expected a few moments ago. And I think that puts global central banks in a tricky spot because they've got to indicate some kind of gentle normalization of monetary policy because of financial imbalances, but they also don't want their currencies skyrocketing and financial conditions tightening too abruptly either. Net net, I think the pushback from global central banks against dollar weakness, as Greg Anderson mentioned earlier, is probably going to become more prevalent from here. That won't unwind the general drift lower in the US dollar, but it probably won't accelerate for the time being either, based on where things are right now. But definitely massive reflationary forces at work. It seems to be the case at the global.

Ian Lyngen:

As we look to the balance of 2021, that really highlights one of the two biggest questions facing the market right now. One is, will inflation ultimately be transitory or will we see a persistent increase in pricing pressures on the consumer level? A lot of that comes down to the ability of producers to pass that through to the end user. And to conclude that this is still an open debate is an understatement to say the least. The other major question then is, in an environment where inflation is questionably transitory, what then will the market make of the upcoming gains on the employment front? Will we see the trajectory of hiring improve at such a pace that it becomes somewhat self-fulfilling for inflation? Or will the market find itself in the second half of this year, contemplating what comes next after the initial rebound in pricing pressure and hiring?

Margaret Kerins:

Okay. And that's a wrap. Thank you to all of our BMO experts. And thank you for listening. This concludes Macro Horizons monthly episode, 28, The Cash Trap. Please reach out to us with feedback and any ideas on topics you'd like us to tackle.

Margaret Kerins:

Thanks for listening to Macro Horizons, please visit us@bmocm.com/macrohorizons. We'd like to hear what you thought of today's episode. You can send us an email at margaret.kerins@bemo.com. You can listen to the show and subscribe on Apple Podcasts or your favorite podcast provider. And we'd appreciate it if you could take a moment to leave us a rating and a review. This show and resources are supported by our team here at BMO, including the FICC macro strategy group and BMO's marketing team. This show is produced and edited by Puddle Creative.

Speaker 2:

This podcast has been prepared with the assistance of employees, of Bank of Montreal, BMO, [inaudible 00:27:25] incorporated, and BMO capital markets corporation. Together, BMO, who are involved in fixed income and foreign exchange sales and marketing efforts. Accordingly, it should be considered to be a product of the fixed income and foreign exchange businesses, generally, and not a research report that reflects the views of disinterested research analysts. Not withstanding the foregoing, this podcast should not be construed as an offer or the solicitation of an offer to sell or to buy or subscribe for any particular product or services. Including without limitation, any commodities, securities, or other financial instruments. We are not soliciting any specific action based on his podcast. It is for the general information of our clients. It does not constitute a recommendation or a suggestion that any investment or strategy referenced here in may be suitable for you.

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Margaret Kerins, CFA Head of FICC Macro Strategy
Ian Lyngen, CFA Managing Director, Head of U.S. Rates Strategy
Greg Anderson Global Head of FX Strategy
Stephen Gallo European Head of FX Strategy
Dan Krieter, CFA Director, Fixed Income Strategy
Benjamin Reitzes Director, Canadian Rates & Macro Strategist
Dan Belton Vice President, Fixed Income Strategy, PHD
Ben Jeffery US Rates Strategist, Fixed Income Strategy

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