04.18.2019   Thur, Sunny, Air Polluted

Right on Time

 

Summary: 我国经济数据超预期和潜在汽车行业刺激政策提振我国和欧洲相关行业资产，推高主要国家利率。美股表现则更受财报一般和医改监管从严的负面影响而连续第二天收跌。密切关注今天下午德国PMI和午夜时分的Muller报告。Long EUR/XAU/YEN/UST 胜率较大~~

 

 

 

eu

 

PBOC offered 200bn of liquidity in the open market to major institutions via MLF, which is the first time in four months. The disappointment on RRR cut cooled off the A share early rallying. After the strong prints of GDP/retail/IP, EUR/JPY reacted very positively while A share stayed in shy. I think the local market is trying hard to figure out where the strong GDP come from? The data is clear and shouldn`t be fought against within the next 2-3 weeks before another im/ex prints get released . To be noted , FOXCONN`s Terry Guo announces his decision to run in the local 2020 presidential election for KMT party, which could offer a good reason to build up long position on 5G and chips.

 

The selling off of USTs across the curves triggered by strong prints of China GDP/retail/IP was accelerated by the potential stimulus policy on auto industry carried out by the state council at the moment EU stepped in. Most EGBs were in offer tone while equities reacted less excitedly than during the previous session.

 

ECB’s Nowotny said Euro Area Economy should at least stabilise in H2; It’s not yet the time for the ECB to introduce tiering; and ECB Unlikely to cut June forecast significantly. Germany cuts growth forecast for 2019 by 0.5% and sees 1.5% GDP growth in 2020.

 

data

 

4:30, UK Mar CPI 0.2% mom vs 0.2%, prior 0.5%

5:00, EMU Mar HICP 1.0% mom vs 1.0%, prior 0.3%

EMU Feb trade balance 19.5bn, prior 17bn up to 17.4bn. Surplus with US growing while deficit with China widening

EMU Mar F HICP 1.0% mom vs 1.0%, prior 0.3%

 

 

us

 

SPX closed 0.2% down, weighed down for a second day by health care stocks. Indeed, the prospect of tighter regulatory reform has weighed on health stocks since the start of the year, with both Republicans (‘public disclosure of actual cost of care’) and Democrats (‘Medicare for all’) exploring varying reforms. US Treasuries saw a chopping session but closed unchanged, oil was off a bit. MS(MS US) +2.6%: Q1 rev/EPS beat;

 

The Beige Book released early this morning proved to be no great surprise as "activity expanded as a slight to moderate pace, with "little change in the outlook", which was echoed by Harker(non-voter). He reiterated a comparatively hawkish tilt: "I continue to be in wait-and-see mode, and my outlook for rates remains, at most, one hike for 2019 and one for 2020."

 

As to trade talk, I am afraid the market was already tired of these things. Trump said the US/China trade deal is moving along nicely and “you’ll be hearing about” it very soon.WSJ reported the US and China are tentatively aiming to schedule a Trump/Xi Summit and sign the trade deal as soon as the end of May. CNBC added that Chinese officials are eyeing Trump’s calendar for potential dates for a Summit. Specifically, a potential Trump visit to Japan in late-May could offer an opportunity for a Trump/Xi Summit in Asia.

 

 

 

data

 

8:30,US Feb trade balance -49.4bn vs -53.4bn , prior -51.1bn. narrowed in the second consecutive month

10:00, US Feb wholesale inventories 0.2% mom vs 0.3%, prior 1.2%

 

 

events

 

FRA/DEU/EMU PMI

UK retail

US retail, initial jobless claims, Philly Fed business outlook, Markit PMI, Leading index

CAN:retail

 

17bn 5yr TIPS

 

Bostic speaks

 

comments

 

There are a lot of different opinion on how to take the much stronger economic data out of China all these days. First I have to acknowledge I am totally shocked and it`s too far from my expectation. Based on detailed analysis, the source mainly come out of two aspects, industry and real estate. The former is in consistent with the strong power generation prints while the latter we can easily confirm judging by the outperformance of the relevant USD bonds. The internal logic of all these data is echoing with each other. And if we look outside China, the green shot of EU mfg PMI could be regarded as cross confirmation. The DEU mfg PMI this afternoon could the latest confirmation point to this round of global recovery. But all of these can`t guarantee a bright road ahead waiting for us. We can clearly see quite a few US corporation get stalled in Q1 fiscal report while even the Beige Book also told the negative effects of trade conflicts finally emerge. It`s the very time when both US and China need a deal. As a FI trader focused on USTs and SSAS, I would like to pay much attention to the Muller report which is supposed to be released shortly after the midnight. Since all the good news(trade deal/strong prints/Barr`s confirmation of no collusion) could well be priced in by the market, there could be an asymmetric opportunity to do something, isn`t it?

 

PS:今日份

 

Marketplace Lending and Consumer Credit Outcomes: Evidence from Prosper

译名：从Prosper实践看贷款渠道和消费者信用产出

作者：Tim Dore and Traci Mach

链接：https://www.federalreserve.gov/econres/feds/f`iles/2019022pap.pdf

 

P2P这种新型借贷渠道的出现，积极的方面是通过增加竞争降低了贷款利率，扩大了信贷受惠人群，消极的方面则体现在容易诱导老百姓在借贷问题上做出次优决策，导致过度借贷。这篇论文题目提到的Prosper就是美国2005年开业的P2P网站（对中国IP访问设限），而其研究基础就是来自prosper。Prosper记录的美国个人信贷数据很广，既包括通过其申请贷款的人群，也包括并不在其网站申请贷款的人群。而纽约联储官方有一个消费者信贷数据库（consumer credit panel,CCP），存有美国人口随机样本的纵向信贷数据。这样，作者通过努力，成功地将prosper数据库中2013至2016年之间6.6%的申请人资料与CPP匹配成功，并据此对其后三年内信用评分和债务水平等相关结果进行了追踪研究。

 

短期而言，作者发现借款人降低了信用卡适用频率和程度。在借款后的一个季度内，信用卡使用频率从56%降至44%。而授信使用程度则降低了26%。而信用卡使用的减少则有助于提高借款人的信用评分，一个季度大概是13%。随着时间流逝，借款人和非借款人的信用卡使用频率和程度又会趋同，但是债务水平差异却显著上升。12个季度后，借款人的债务水平一般要比非借款人高13%。在将债务构成中，非抵押贷款就是来自prosper，在贷款申请当季借款人要比非借款人的债务水平高35%。但随着时间流逝，12个季度后这个差异只有10%了。抵押贷款则不同，贷款申请当季借款人也就比非借款人高3%，12个季度后就有23%之多。抵押贷款比例升高是由于借款人中的那些存量房产拥有者和申请借款的无房户所体现出买房倾向。作者认为在线申请贷款提升了借款人的信用评分，导致借款人进一步利用了这个优势。但是作者还发现这些借款人的信用状态显著好于非借款人。总而言之，作者未发现p2p导致的债务水平显著增加或违约率提高。

 

在没有主键值的条件下，两个数据库的匹配方法比较有意思。第一个挑战就是prosper的信用评分数据来自信用局的Experian，CCP的来自Equifax。两个数据库的完整程度和计算方法都是现实困难。其次是这两个数据源的应用时间也不同。以prosper为例，贷款申请完成的时候就会出一份信用评分，而在CCP则是在季末出一份信用评分。对于同一个人，建账和还款两个时点的信用评分也会不同。为应对这些困难，作者主要考虑的是两份信评中稳定或可以预测的变量，比如出生地，是否破产过，是否有公共记录匹配，房产带每月还款金额等，再加上如prosper存量房产贷款必须小于上一季而大于下一季等逻辑判断。在此基础上，作者还进一步考虑（1）循环授信总量和存量贷款初始金额必须不为0且匹配；（2）信评报告上最新的账户年纪和老账户的年纪必须一致，且每月房产还款不为0（3）循环授信总量匹配且每月房产贷款还款不为0（4）在prosper多次申请的借款人只匹配到CCP的一个人中。最终是将prosper中的762,441个样本匹配到了CCP中49,695个样本。因为ccp是按照全美人口5%抽样，所以作者对这个匹配比例非常满意。同时，作者还通过比较匹配和未匹配样本的申请授信和期限、最终授信数量、最终放款数量以及信评分数分布等指标，最终确认了匹配结果的代表意义。

ps:

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近期重要时间点：

4月中旬到5月上旬，中美301调查可能达成协议

4月22-29日，abe出访，期间访美

4月29日，美国2月和3月 core PCE公布（因政府关门而同一日公布两个月的数据）

4月27日-5月6日， 日本休市，因天皇纪念日和新天皇就职宪法日儿童节等因素连续休假10天

5月中旬，欧美贸易谈判截止

5月19日，欧洲汽车关税决定终止日

5月23-26日，欧洲议会选举

6月内，民主党内部总统候选人初选

6月4-5日，FED研讨会,议题为“策略，工具以及沟通实践”

6月28-29日，G20会议

8月底，美国债务上限

10月底，脱欧截止日

11月16-17日， APEC峰会

2020年11月3日，美国总统选举

Appendix：his t overnight

0417  0948  RT @charliekirk11: It is miraculous that Trump not only beat the Bush dynasty, 16 Republicans, the FBI, the media, voter fraud cheaters, the political class, Clinton dynasty, the Obamas, the elites in BOTH parties, but he also beat tech companies that used their platforms to try and beat him

0417  1228  On Trumps ICC Win, Dems and Republicans See Eye to Eye | RealClearPolitics https://t.co/6S6mP6yH3A

0417  1938  Wow! FBI made 11 payments to Fake Dossier’s discredited author, Trump hater Christopher Steele. @OANN @JudicialWatch The Witch Hunt has been a total fraud on your President and the American people! It was brought to you by Dirty Cops, Crooked Hillary and the DNC.

0417  1948  Democrats in Congress must return from their Vacations and change the Immigration Laws, or the Border, despite the great job being done by Border Patrol, will only get worse. Big sections of Wall now being built!

0418  0024  Just had a wonderful conversation with @Pontifex Francis offering condolences from the People of the United States for the horrible and destructive fire at Notre Dame Cathedral. I offered the help of our great experts on renovation and construction as I did....

....in my conversation yesterday with President @EmmanuelMacron of France. I also wished both Pope Francis and President Macron a very Happy Easter!

0418  0908  Nolte: Poll Shows Media Failed to Gaslight Public About Trump Campaign Spying https://t.co/06OZcBE08b via @BreitbartNews

Disclaimer：This material was prepared in private name and out of pernaonal hobby,definitely based upon facts and robust analysis with delicate consideration of highly professionality.But with no means to conduct any trade , and before using the contents of this note in any internal or external communication, please ensure you are comfortable and fully aware this could not be sufficient enough as any action base.

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