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Deer Point Macro
@deerpointmacro
Macroeconomics, emerging and developed markets, FX, covered interest rate parity, and cross-currency basis swaps.
United States
Joined August 2019
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    Deer Point Macro
    @deerpointmacro
    2h
    SOFR options show a notable increase in tail risk around the September policy horizon. September has the highest implied excess kurtosis at 0.24, indicating a fatter-tailed risk-neutral distribution than surrounding expiries. This differs from simply having higher implied
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    Deer Point Macro
    @deerpointmacro
    9h
    US CPI this week our forecasts below: US CPI MoM: 0.15% US CPI YoY: 3.4% US Core MoM: 0.24% US Core YoY: 2.5% We forecast July headline CPI at 3.4% YoY, with the composition pointing to a modest increase in energy inflation and firmer core inflation. The acceleration in
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    Deer Point Macro
    @deerpointmacro
    Aug 9
    Azule Energy bonds look increasingly attractive on a relative-value basis. Its 2030s trade 50bp wider than Seplat’s comparable maturity vs. 90bp in mid-April, despite similar ratings and 1.0x net leverage. Given Azule’s offshore assets/revenue and prior tighter trading, the gap
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    Deer Point Macro
    @deerpointmacro
    Aug 9
    EUR implied and realized volatility had previously diverged but have recently converged again. The path forward for USD strength will likely be driven by the asymmetry of different outcomes. We believe the balance of risks leans toward further dollar strengthening. The primary
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