Shedding some light on global dollar hedge ratios in particular, Wenxin Du and Amy Huber's analysis is highly recommended. www.nber.org/system/files...

FX-hedged yields, misunderstood term premia and $1 tn of negative carry investments This stand-alone post is the long form discussion of a topic briefly touched on here. It can be read on its own, however a fuller perspective is possible when read as part of a series which starts …

as suspected here in 2018. For Taiwan, it was also what prompted Brad Setser and me to dive in much deeper. concentratedambiguity.wordpress.com/2018/10/11/f...

Appreciated Toby Nangle's candor on the “massive cheat” of simplistic hedged yield assessments.

The long-term impact of overlooked term premia has been costly for overseas investors,

whether there aren't better ways to satisfy the (net) single-digit trillion synthetic end-investor demand for dollar duration. Would absolutely be interested (and love to read) any additional views you might have on that front.

demands from end investors/AMs, evident for a while longer in swap spreads already.

Apart from the obvious ones, there remains a certain gap, it seems, in properly examining new risks the rapid growth brings. And longer term, it wouldn't seem like the worst moment to think more creatively about

Good one; thanks for flagging the ECB box. Closely connected to treasury cash futures basis trades, which got some spotlight earlier in the year. Much of the repo lending is financing the cash leg.

@jstatistic.bsky.social et al. had a pretty good look into the root cause: unfunded long duration

I’m seriously loving this platform. It’s like a school reunion. Meeting up with old friends, remembering the good times and forgetting all the bad stuff

The Onion should buy Elsevier next

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