Hugodevere

Going forward, if this type of flow from AI financing grows, the long end of the curve and long-maturity swap spreads may diverge from their historical relationship.

Therefore, if this supply has had meaningful mkt impact, you’d expect a divergence in sensitivities, e.g. 10s30s UST and 30y spreads react differently to term premia. And that’s what we see in chart below: the 10s30s curve has become more sensitive to TP, but 30y spreads have not

New blog out on how AI financing is impacting rates, esp. swap spreads. One channel we discuss is how data centers are being financed, which can generate meaningful pay-fixed flow that could impact spreads. Chart below is hypothetical... dallasfed.org/research/econo…

New blog post that focuses on the network of markets and institutions that trade liquidity, and how these network structures affect the pass through of different monetary policy instruments. dallasfed.org/research/econo…

If anyone knows any investment firms (hedge funds or others) that are looking to hire a global macro analyst in the U.S., pls DM me. I have 5+ years of experience focused on rel-val and directional opps across equity baskets/indices & D1. Reposts appreciated as well, thank you

New research aims to shed light on considerations governing the long-run asset composition of the Federal Reserve. dallasfed.org/research/econo…

@macrocephalopod This might be a dumb q but I always been curious to know the proper way to use regressions in markets 🙏. I get that for doing t+1 predictions you should do diffs but if you are simply analyzing how two similar assets deviate from one another is doing on levels still wrong?

Guy who ran a G10 rates book for ten years but somehow never learned to regress differences and not levels 🥴

The rapid unwinding of positions of the Treasury cash-futures basis trade amplified market stress in 2020, and the large and leveraged trade has only grown since. A new report from researchers at the Dallas Fed analyzes its ability to handle future shocks. dallasfed.org/research/econo…

See blog for further details/explanation of technical concepts Disclaimer: When I use the term "we," I am referring to myself and my colleagues, not the Dallas Fed or the Federal Reserve System. The views expressed are our/my own.

Finally, we believe part of the reason the basis remained relatively stable during April is that market moves actually improved the embedded option values held by long basis traders. For instance, higher vol increased the value of the deli option favoring the long-basis an so on

Hey guys, here’s a piece my colleagues and I wrote on the Tsy cash-futs basis trade and its sensitivity to funding mkt shocks, inspired by the turbulence observed in Apr🫡🫡 As many readers are aware, both mkt participants and literature have emphasized the importance…

If anyone is interested, here is my first co-authored wp, where the authors and I apply an ALM approach to the Fed's balance sheet. We seek to identify the mix of assets that could best match Fed liabilities, according to various potential objective func dallasfed.org/research/paper…

@MacroTactical 🫡🫡

Marked are just positions

Pleased to find my bond book got recommended but annoyed that the docdroid links are dead. It's now on gdrive and link on my bio. At some point it'll get a 2nd Ed. and I'll maybe self-pub on Amazon but in the meantime here's the link. Enjoy, pls share. drive.google.com/file/d/1G6Gs5-…