Curve Your Enthusiasm

Ian is joined by Craig Bell this week, and the duo begin the episode discussing the recent cheapening of the cash market relative to swaps. Craig discusses the specific factors in the cash market impacting relative valuations, while Ian provides an update on the fair-value estimates from his swap spread modeling work. The elephant in the room is the Canadian long-end, and the richness of 10s30s and cross market. Ian and Craig spend time discussing how we got here and, what needs to happen for this richness to be remediated. Craig and Ian discuss the upcoming Bank of Canada rate decision, and get into a friendly disagreement about the proximate trigger of rate cuts in 2024. Hosted by Simplecast, an AdsWizz company. See https://pcm.adswizz.com

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Ian is joined this week by Mike Larson, and the duo kick off the episode by discussing the elephant in the room – the level of interest rates. Ian discusses the mechanics behind the ungluing of global long-end interest rates, while Mike gives his view on swap spreads. The pair talk about why the level of swap spreads should continue to decline, especially given how much 10yr Canadian rates have underperformed the United States recently. Ian gives his view on the absurdity of trading the ‘higher for longer’ and the ‘soft landing’ narrative at the same time. The show finishes with Ian and Mike outlining their favorite trades and which positions are the most crowded. Hosted by Simplecast, an AdsWizz company. See https://pcm.adswizz.com

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Ian is joined this week by Avery Shenfeld, Chief Economist at CIBC. The duo begin the episode discussing the most recent North American jobs reports, with Avery highlighting why the Fed hasn’t yet done enough to cool the hot jobs market. Ian outlines the reasons not to get too wrapped-up in Canada’s recent wage gains, while Avery provides his view on the recent increase in the Unemployment Rate. The pair spend some time discussing the outlook for monetary policy, concluding that September is still very much in play for the Bank of Canada despite a string of weaker-than-expected activity data. The show finishes with Ian discussing the recent volatility in global long-bonds. Hosted by Simplecast, an AdsWizz company. See https://pcm.adswizz.com

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Ian is joined by Jeremy Saunders this week, and the duo begin the episode discussing the recent bond market selloff. They reach an interesting conclusion early in the episode, highlighting that the ‘way’ in which the market is repricing has not been seen in all of 2023. Ian believes the market is pricing-in more inflation and lower growth in longer-dated yields, which Jeremy suggests is a function of where we are in the cycle. Jeremy discusses his view on the upcoming Bank of Canada meeting, while discussing the ‘big’ global macro themes and what they mean to the bond market and swap spreads. Ian finishes the episode by opining on recent data from the labour market, and highlights his favorite trades for the week ahead. Hosted by Simplecast, an AdsWizz company. See https://pcm.adswizz.com

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Ian is joined by Andrew Grantham, and the duo begin the episode discussing the FOMC rate decision. Andrew lays out the logic behind his forecast for a July and September hike, while Ian walks through the implications for the Bank of Canada. Ian introduces his new bond forecasts and talks about why current market pricing for the Bank and the Fed looks so strange compared to prior cycles. Andrew talks about his economic outlook for 2024 and highlights the upcoming weighting changes for CPI next week. Hosted by Simplecast, an AdsWizz company. See https://pcm.adswizz.com

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The big news in Canada is the unexpected heat in the latest batch of CPI numbers. The reacceleration of Canadian prices may see the Bank of Canada respond with an interest rate hike later this summer. In this episode of Curve Your Enthusiasm, Ian is joined by Jonathan Guilford, and the duo begin the episode by taking stock of what happened over the past week. John opines on the ‘why’ and the ‘how’, while Ian discusses the risks surrounding ongoing repricing to continue. Ian discusses how a single hike from the BoC will not prevent a bond market rally later in the year, while John discusses why the curve is most likely to steepen after the summer. The duo end the episode discussing their favorite trades, and why Jonathan sees continued weakness in the 5yr sector of the curve regardless if the BoC hikes or not. Hosted by Simplecast, an AdsWizz company. See https://pcm.adswizz.com

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The most recent Debt Management Strategy (DMS) raised the possibility that the Canada Mortgage Bond (CMB) program may be terminated, and folded into the GoC market. This is an extremely important development to the Canadian fixed income market, and to speak on the potential implications, Ian is joined this week by Gianluca Gargano, Managing Director and Head of Government Credit at CIBC Capital Markets. The show begins with Gianluca framing the conversation outlined in the DMS, and discussing what just happened and why. Ian speaks on other contours of the DMS, in particular what government issuance looks like and how this announcement increases the impact on the belly of the curve. Gianluca spends the balance of the show talking about competing assets to CMBs, and how they may trade given the shocking announcement. Hosted by Simplecast, an AdsWizz company. See https://pcm.adswizz.com

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The extreme volatility this week warrants some serious discussion, and Ian is joined by Craig Bell for this episode. The duo begin discussing the rapid series of events that culminated in one of the most volatile days for interest rates since the 1980s. Craig provides his view on what this all means for monetary policy, while Ian introduces two potential shoes left to drop that suggest the coast is not entirely clear yet. The co-hosts spend some time discussing how Canadian interest rate derivatives are handing the benchmark transition towards CORRA, and finish the episode discussing their favorite trades in the weeks ahead. Hosted by Simplecast, an AdsWizz company. See https://pcm.adswizz.com

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Ian and Jeremy begin the episode by discussing the FOMC meeting from last week. Jeremy spends some time dissecting the disinflationary narrative used by Chairman Powell, while Ian discusses the extremely strong data which came out after the meeting. The duo do a victory lap as many of the trading themes discussed in the prior episode ended up working quite well, and the co-hosts discuss the driving forces of markets in an otherwise quiet week ahead. Ian discusses why the front-end of Canada remains very vulnerable to a repricing higher, while in the balance of the show the pair discuss why easing is priced the way it is for 2024 and what that means for long rates. Hosted by Simplecast, an AdsWizz company. See https://pcm.adswizz.com

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The first CYE episode of 2023 sees Ian joined by Jeremy Saunders, and the conversation starts with a discussion on global macro shifts. Stronger global growth outside the United States is an unexpected development, and the duo discuss what it means for global bond yields. Jeremy asks why the BoC spent so much optionality so early into the year, while Ian talks about the market implications of a conditional pause. The duo agree that spreads look toppy, though they disagree on whether or not market pricing for eases can realistically move from 2023 to 2024. The episode ends with both Ian and Jeremy speaking about their favorite near-term trades Hosted by Simplecast, an AdsWizz company. See https://pcm.adswizz.com

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