The enemy of knowledge is not ignorance, it’s the illusion of knowledge (Stephen Hawking)

It ain’t what you don’t know that gets you into trouble. It’s what you know for sure that just ain’t so (Mark Twain)

Invest with smart knowledge and objective odds

NEW$ & VIEW$ (21 JUNE 2016)

CASS FREIGHT INDEX REPORT

The Cass Freight Index represents monthly levels of shipment activity, in terms of volume of shipments and expenditures for freight shipments. Cass Information Systems processes more than $26 billion in annual freight payables on behalf of its clients. The Cass Freight Index is based upon the domestic freight shipments of hundreds of Cass clients representing a broad spectrum of industries.

The May freight shipments index rose 1.3 percent from April. This represents the high point so far for 2016, but it was still 5.8 percent below May 2015 and 7.0 percent lower than May 2014. This year we have failed to see the robust growth in shipments that we expect to see this time of year. In May, railroad carload shipments and container shipments were up 1.9 and 2.1 percent respectively. (…)

Freight payments declined 0.4 percent in May, coming in at 10.1 percent below May 2015. This slow downward trend is completely opposite of the upward trend of previous years. The restrained growth in freight shipments—coupled with abundant available capacity—has pushed down rates. In addition, according to DAT Solutions, “total carrier revenue has been impacted by a 35 percent drop (10 cents per mile) in the fuel surcharge compared to last May.” The low demand is giving shippers more bargaining power to drive down rates. Many trucking companies, such as Swift Trucking, are adjusting the size of their available fleet by parking trucks. In Swift’s case, 300 trucks were removed from its active fleet this Spring.

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From the WSJ:

Werner Enterprises Inc., the country’s fifth-largest truckload carrier, says the weaker demand is hitting its earnings: the company says it’s now expecting its earnings for the second quarter to come in at roughly half what Werner earned last year. The company cites the weak demand but says driver pay and “difficult” negotiations with shipping customers are hurting. There may not be much help in the pipeline: Drewry Shipping Consultants Ltd. says its talks with big shippers suggest they expect this year’s peak season to be flat or down this year compared to last year.

Yellen makes ‘uncertainty’ new mantra as market doubts Fed view
As Low-Skilled Jobs Disappear, Men Drop Out of the Workforce Prime-age men are dropping out of the labor force in rising numbers. A new White House study looks at the causes.

A new White House study highlights the sharpest decline among men with lower levels of educational attainment and concludes much of the cause is a loss of economic opportunity for those would-be workers. (…)

Labor-force participation among men between the ages 25 to 54 topped out at 97.9% in 1954. For about five decades, it has been heading steadily lower, punctuated by steeper falls during recessions. That’s a troubling phenomenon for individuals who should be at their peak, improving prospects for themselves and their families and contributing to the economy.

Participation appears to have stabilized but it’s still below levels at the end of the recession despite years of steady job creation, falling unemployment rates and signs of a tighter labor market. (…)

The White House study zeros in on the sharp divergence in participation rates by educational attainment and ethnicity. In the mid-1960s, participation figures nearly matched for those with a college degree and those with a high school degree or less. Last year, the rate for college-educated men was 94%, while the rate for men with at most a high-school diploma was 83%. The rate also has declined most steeply for black men.

Some working men may opt to retire early, go to school or take care of their families. But that’s likely only a small slice of the group. Less than a quarter of prime-age men who aren’t in the workforce have a working spouse. (…)

White House economists also note relatively low male participation rates compared with other developed economies. A lack of government support helping match or train the unemployed for jobs may be to blame.

“Absent policy changes, this long-standing decline could continue, as more Baby Boomers move into retirement, and as younger cohorts enter the labor force at lower rates,” the CEA said.

The FT adds:

Labour-force participation among men of prime working age has dropped by more in the US than in any other OECD country apart from Italy in the past quarter century. (…)

Among so-called prime-aged men between the ages of 25 and 54, the participation rate fell more steeply than in all but one other country in the OECD from 1990 to 2014, the report found. It is now the third-lowest among 34 OECD nations. (…)

Why China’s Developers Can’t Stop Overpaying for Property Chinese prices for land have hit record highs, even though making money from that land will prove exceedingly difficult.

(…) Prices for land, the main ingredient of the property world, have hit record highs in auctions this year in many Chinese cities. The average land price per square meter for the top 100 cities in the first five months of this year jumped nearly 50% from the same period last year, according to Wind Information. Some land prices are even higher than housing prices nearby.

State-owned developer Poly Real Estate, for instance, bought a piece of land in a Shanghai suburb for 5.5 billion yuan ($835.5 million) last month. This translates to roughly 44,000 yuan per square meter of buildable space. Houses in the region meanwhile go for around 40,000 yuan per square meter. After taking into account construction costs, taxes and other expenses, property prices would have to nearly double for the developer to make money.

Prime land in the biggest cities always costs a lot, but increasingly the voracious buyers are showing up in less prime locations and smaller cities. In Suzhou, a city near Shanghai, with a population of 1.1 million, land sales in the first five months of this year have already exceeded the total of last year. And average prices have doubled.

Most of the buyers of the most expensive parcels are state-owned enterprises. (…)

Cinda Real Estate, a subsidiary of state-owned “bad bank” China Cinda Asset Management, has splurged on at least 35 billion yuan of land over the past year, even though the market value of the company, listed in Shanghai, is just 7.3 billion yuan.

To fund the purchases, Cinda’s net debt has swelled to more than three times its shareholders’ equity. It still managed to raise 3 billion yuan last month in a bond financing at 5.5%, mostly because of its state backing.

The domestic bond market and growth in asset-backed securities have made financing easier for developers, causing companies to chase whatever assets they can. Continuing reforms of state-owned enterprises could also be a trigger, as these firms have incentives to inflate their balance sheets to gain clout in consolidation talks. Confused smile  For some which have already invested heavily in real estate, keeping land prices high makes sense. (…)

Question from CEBM Research?

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China SOEs recruited into stimulus drive Reliance on SOEs as policy tool thwarts effort to boost efficiency

China’s slowing investment, which hit a 16-year low in May, has forced Beijing to press the country’s lumbering state groups into service, demanding that they ramp up spending in an attempt to avert an economic hard landing. 

The move is a setback for Beijing’s efforts to make the country’s 160,000 state-owned enterprises more like their private sector peers. SOEs, which account for about a fifth of economic output, trail far behind private companies in terms of profitability. Despite their inefficiency, SOEs’ share of overall fixed-asset investment reached 35.4 per cent in May, the highest since 2011, official data showed last week. (…)

As recently as May 2015, investment by private companies was still growing faster than at state groups. But the trends diverged in the second half of last year. With storm clouds gathering over the economy, private companies drew in their horns. In response, the government unleashed a wave of fiscal spending and loose credit to fund SOE investment in roads, railways, sewers and slum redevelopment. (…)

The current approach differs from the stimulus launched in 2008 in response to the global financial crisis, which focused on using credit expansion to fund construction of new factories. That included an investment boom by private companies, which account for 88 per cent of all manufacturing investment, according to China International Capital Corp. By contrast, 72 per cent of infrastructure investment comes from SOEs. (…)

India Loses Its Vital Central Banker
Naira Plunges After Nigeria Ends Dollar Peg Nigeria’s currency plummeted more than 40% against the dollar on Monday, the latest sign that low crude prices continue to disrupt the economies of some major oil-producing nations.
G20 protectionist measures on the rise WTO warns of growing trend as antitrade rhetoric surges
Canada’s big banks could withstand a severe housing crash: Moody’s

(…) “Although increasing household debt and rapidly increasing house prices in Canada demonstrate conditions similar to those in the U.S. prior to the financial crisis, the seven largest Canadian mortgage lenders have the capacity to absorb a similarly pronounced mortgage loan shock without catastrophic losses,” Moody’s said in its report.

Its simulation employed a 25-per-cent slump in house prices nationally, along with an additional 5-per-cent depreciation in the supercharged markets of Ontario and British Columbia. Foreclosure and collection costs were assumed at 10 per cent. Under these conditions, Moody’s estimated total system losses would be $18-billion, of which about two-thirds would be borne by banks. Moody’s said bank capital levels would slump, likely prompting regulators to require banks to issue additional shares.

But in a nod to the banks’ earning power and diversification, Moody’s believes lenders would recover from losses associated with a sharp housing downturn in as little as three months.

“The majority of banks would be able to absorb losses within one quarter of earnings or, assuming the current average dividend payout ratio of 45 per cent, two quarters of retained earnings,” Moody’s said. “Therefore we believe that while a U.S.-severity mortgage event would lead to substantial losses, it would not threaten rated bank solvency.”

There would be differences among the banks, though. Given its size, Royal Bank of Canada would suffer the biggest overall losses. Canadian Imperial Bank of Commerce, though smaller, has a somewhat tighter focus on Canadian retail lending and would suffer the biggest hit to its capital levels. (…)

Moody’s noted that Canadian lenders benefit from key differences with their U.S. peers.

For one, the Canadian government essentially guarantees mortgage insurance through the Canada Mortgage and Housing Corp. As well, there are lower rates of risky subprime lending in Canada and stronger lending practices, and authorities have already reduced risks by raising minimum down payments and bolstering underwriting practices.

However, Moody’s warned that the banks are not immune to losses that could arise from other factors.

High levels of consumer debt would become a big problem if rising interest rates drove up borrowing costs – and the challenges would be greater if job losses rose during an employment shock, increasing mortgage delinquencies.

Riskier loans made by smaller lenders, which are subject to less-stringent underwriting standards, form a small part of the market but could exacerbate price declines during a housing market downturn.

The agency also noted that the government could require lenders to share more of the risks associated with mortgages – an idea given life after CMHC said it would explore the possibility of making lenders pay a deductible on mortgage insurance claims.

“In the aftermath of the U.S. mortgage crisis, many banks were forced to repurchase mortgages sold to the Federal Home Loan Mortgage Corp. (Freddie Mac) and the Federal National Mortgage Association (Fannie Mae) owing to inadequate origination documentation,” Moody’s said.

“We do not believe Canada is immune to such risk: in a stressed mortgage environment, mortgage insurers may increase claims rejection for purposes to preserve capital, and the political environment could prompt a shift of the risk-sharing burden to the banks and away from taxpayers.”

SHOULD WE YIELD TO THE CURVE?

The recent behaviour of the bond market is making many equity investors nervous that they may be missing something that the bond world is seeing, namely a recession.

Paul Mortimer-Lee, the chief North America economist at BNP-Paribas (via Yahoo Finance, tks Pat) writes:

Bond yields are inherently forward-looking. The bull flattening we have seen is not a good sign, because it signals less faith in future growth and/or inflation prospects. Chart 5 looks at US GDP growth and the shape of the US curve. It seems to suggest a lead of about a year between shifts in the curve and subsequent growth performance (measured year on year). Viewed in this light, the recent flattening of the bond curve looks worrying, since it seems to foreshadow a further slowdown in activity over coming months.

There's a 'black hole' in the market

CrystalBull.com, actually a pretty interesting site I discovered thanks to Pat, has this to say about the predictive ability of the yield curve:

Because of the unknowable lag or market response times, Yield Curve studies have been marginally effective in stock market timing systems.  But an inverted Yield Curve has been a precursor to 7 of the last 7 recessions.  Note that the last Yield Curve inversion was well before the bursting of the housing bubble, the Lehman Brothers bankruptcy, or the stock market crash.  The Yield Curve deserves attention from all stock market investors.

Researchers at the NY Fed have a done extensive research on the yield curve. Here’s the important stuff (with a lot more here):

What does the evidence say, in short?

The difference between long-term and short-term interest rates (“the slope of the yield curve” or “the term spread”) has borne a consistent negative relationship with subsequent real economic activity in the United States, with a lead time of about four to six quarters. (…) The specific accuracy of these predictions depends on the particular measures employed, as well as on the estimation and prediction periods. However, the results are generally statistically significant and compare favorably with other variables employed as leading indicators. (…) The yield curve has predicted essentially every U.S. recession since 1950 with only one “false” signal, which preceded the credit crunch and slowdown in production in 1967. There is also evidence that the predictive relationships exist in other countries, notably Germany, Canada, and the United Kingdom.

What maturity combinations work best?

(…) At the long end, the clear choice seems to be a ten-year rate, which is the longest maturity available in most countries on a consistent basis over a long sample period. At the short end, there is a wider variety of choices. An overnight rate, such as the fed funds rate, is close to the extreme of the maturity spectrum. However, its usefulness as an indicator of market expectations is confounded by its fairly direct control by the Federal Reserve. A common choice currently is the two-year Treasury rate, perhaps because of the liquidity of the associated instruments. Background research in connection with Estrella and Mishkin (1998) suggested that the three-month Treasury rate, when used in combination with the ten-year Treasury rate to predict U.S. recessions, provides a reasonable combination of accuracy and robustness over long time periods. In the end, most term spreads are highly correlated and provide similar information about the real economy, so the particular choices with regard to maturity amount mainly to fine tuning and not to reversal of results. The caveat is that a benchmark that works for one spread may not work for another. For instance, the ten-year minus two-year spread may invert earlier than the ten-year minus three-month spread, which tends to be larger.

Is it the level or the change in the spread that matters?

(…) it is the level of the term spread – not the change – that helps forecast both recessions and changes in real economic activity. For recessions, it is clearly the level that matters. In a probit model of the probability of recession, a given change in the spread can have a very different impact, depending on the initial level of the spread. When the curve is very steep, say the spread is above 300 basis points, a change of 50 basis points in the spread hardly changes the probability of recession. However, if the spread starts out at 50 basis points, a decrease of that magnitude may raise the implied probability by 10 percentage points or more. (…)

Key question:

Does it matter if changes are driven by the short or the long end?

The best forecast of future real activity is provided by the level of the term spread, not the change in the spread, nor even the source of the change in the spread. Thus, if a low or negative value of the spread is reached via an increase in the short-term rate or a decrease in the long-term rate, it is only the low level that matters. In the six months preceding the trough of each yield curve inversion in the United States since 1960, we see a decline in the ten-year Treasury rate in two of seven cases (before the 1990-1991 and 2001 recessions) and an increase in the other cases. The direction of the change in the ten-year rate at the time of the signal does not appear to be indicative of the strength or duration of the subsequent recession. It is clear, however, that each recessionary episode is preceded (with varying lead times) by a substantial increase in the short-term rate.

Is an inversion required for a signal?

(…)  since 1960, a yield curve inversion (as measured by the difference between ten-year and three-month Treasury rates) has preceded every recession on record. In fact, in terms of monthly averages, the ten-year rate was at least 12 basis points below the three-month rate before every recession in that period. In contrast, very low positive levels of the spread have been observed without a subsequent recession. Specifically, there were two episodes in the 1990s in which the term spread attained very low positive levels (42 and 12 basis points respectively), but did not invert. In both of those cases, economic activity continued unabated after the troughs or low points for the spread. Thus, using inversion as a benchmark, there were no “false positives” during the period. While inversions and recessions may not be inevitably connected by theory, they correspond to extreme values of the term spread and output growth, respectively, which are in fact theoretically linked.

My own observations:

  • Recessions generally do not happen out of thin air. When alarmed by rising inflationary pressures, the Fed increases short term rates to cool the economy, often triggering a recession in the process.

fredgraph

  • The current flattening of the yield curve is nothing extraordinary coming from rather historically extreme levels:

fredgraph (1)

fredgraph (2)

  • The current flattening of the curve is essentially caused by declining long rates which, in the U.S., are back to their July 2012 growth scare low (1.51%).

fredgraph (3)

The 2012 growth scare caused a 10.6% equity market correction which has not happened yet in spite of

  • pretty lousy economic data from across the world;
  • an uncertain, even mystified Fed;
  • declining corporate profits;
  • uncertain China;
  • poor investor sentiment;
  • negative equity flows;
  • Brexit fears;
  • the U.S. elections.

Hubert Marleau, economist at Palos Management and a long-time observer of monetary matters, details some recession indicators and their current readings:

1. The Vanguard proprietary model, which is comprised of 75 active economic indicators, puts the probability of a recession over the next six months at about 10%. That is even though there is a high chance that US job growth is bound to slow down and market volatility bound to increase.

2. Another reliable indicator is the yield curve. It should be noted that it’s not the actual inversion that has the predictive power but the “flattening process”. History shows that 75 bps between the ten-year Treasury yield (1.65%) and Federal funds rate (0.25%) is the trigger point. Should this be correct, the yield on long term treasury notes would need to fall another 65 bps to signal a forthcoming recession.

3. Another preferred measure is the Chicago Fed National Activity Index (CFNAI), It’s made up of four broad and key economic categories of data. Historically, it has done a fine job of signaling an imminent recession. The index does not point to one at this time.

4. Moody’s Analytics has a proprietary High Frequency GDP Model (HMF) that comprehensively estimates the current growth rate and direction of the economy. The HMF model shows that the second quarter R-GDP is now tracking an annual growth rate of 2.4%.

5. The Federal Reserve Bank of Atlanta also has a successful model: “GDPNow”. Of all the trackers that we watch, this one has been outstandingly accurate. On June 14, the model forecasted a real growth rate of 2.8% for the second quarter of 2016.

One could add that equity markets are also not signalling a recession. But equity markets are not always right as Paul Samuelson once said:

To prove that Wall Street is an early omen of movements still to come in GNP, commentators quote economic studies alleging that market downturns predicted four out of the last five recessions. That is an understatement. Wall Street indexes predicted nine out of the last five recessions! And its mistakes were beauties.
— “Science and Stocks,” Newsweek, September 1966

Just to say that equities do not necessarily need a recession to correct or morph into a bear.

The reality is that unless the Fed gets into a true tightening mode, recessions cannot be forecast.

But today’s other reality is that the economy is weak enough to be vulnerable to shocks and tilt into a recession on its own. And the list of potential trigger shocks is long and well known, even though possibly not well understood.

At the macro level, it is fair to say that, whether they understand what’s going on or not, central bankers potency has evaporated. Lately, low, lower even negative interest rates are not proving very effective at stimulating the real economy anywhere in the world. Meanwhile, policy makers don’t seem very anxious to use their fiscal toolbox.

At the micro level, corporations are focused on their profitability and cashflows in the face of very low top line growth, rising wages, economic and political uncertainty and elevated debt levels. When not engaged in ZIRP or NIRP facilitated M&A activity, which perversely quickly triggers synergistic behaviors (i.e. costs cutting), companies feel an urgent need to deleverage their cost and financial structures., even more so when hearing the Fed’s desire to raise rates and even more so when seeing the Fed backtrack and look like a drunken sailor trying to find its way to somewhere.

The probabilities of a recession may be fairly low, but the possibilities are nonetheless not trivial.

In this rather risky context of elevated equity valuations and recession possibilities, the risk/reward equation is highly unattractive.

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