stwill1 @stwill1 Twitter profile

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stwill1

@stwill1

8 months

MULTI-MANAGER RISKS & A BUYSIDE NETWORK TOPOLOGY 1/

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stwill1

@stwill1

7 months

@ByrneHobart @turtlesnapz1 Also: could be that he drops in, fixes a bunch of stuff, things work, word spreads, marginal effect of fixing stuff elsewhere > maintenance ==> switch, w. higher comp

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stwill1

@stwill1

4 years

New post: “Addressing overseas USD funding conditions & the Fed as global collateralized LoLR”, discusses (1) optimizing CB swap line design for non-bank demands, (2) foreign CBs acting as localized primary dealers, softening international spillovers.

Addressing overseas USD funding conditions & the Fed as global collateralized LoLR

The domestic policy response by the Federal Reserve to the current health crisis has thankfully been swift. While monetary policy makers across the world understandably focus on dislocations in the…

concentratedambiguity.wordpress.com

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stwill1

@stwill1

2 years

First step is indeed to understand that the a) initial Japanese purchase of USD bonds and b) the JPY-denom. reinvestment from swap counterparties due to a)’s FX hedges are mechanically linked.

Brad Setser

@Brad_Setser

2 years

The one that piqued my interest: the large foreign buying of zero yielding JGBs. It more or less matched Japanese buying of foreign bonds over the last ten years. I am talking my book, but I don't think you can really understand global finance unless you understand this trade

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stwill1

@stwill1

6 years

Intro to a series of posts on the largest cross-border capital flow of the post-crisis era.

Reflections on a decade of private cross-border acquisitions of U.S. debt

This is the introduction to a series of posts. the old view During the first decade of the 21st century and the early years of the following decade, a fairly unanimous narrative developed about for…

concentratedambiguity.wordpress.com

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stwill1

@stwill1

4 years

New post: ‘Revisiting Taiwan: New Disclosures, Pricey Hedges, Late-Day Jumps & a New Policy Direction?’

Revisiting Taiwan: new disclosures, pricey hedges, late-day jumps & a new policy direction?

During early March, when the current pandemic started to spread globally, Taiwan’s central bank for the first time publicly responded to concerns about its FX derivative interventions raised …

concentratedambiguity.wordpress.com

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stwill1

@stwill1

8 months

Enjoyed the recent BBG article on multi-manager risks, along with @FundamentEdge ’s expanded take on it . Raising these points and being responsive to their implications is good. 2/

Citadel and Its Peers Are Piling Into the Same Trades. Regulators Are Taking Notice

Even Ken Griffin is a little worried.

www.bloomberg.com

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stwill1

@stwill1

6 years

Since there are many moving parts in setting up such a term premia framework, an extra post is published alongside, to slowly walk through the (not always intuitive) overlap of FX and FI markets.

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 …

concentratedambiguity.wordpress.com

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stwill1

@stwill1

8 months

do note that while this approach doesn't always capture every finest detail, I'm all butcertain it gets the overall picture right. And for the blue, orange and green stretches I know well, the local relations look eerily spot on. 27/27

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stwill1

@stwill1

5 years

Chapters 2 & 3 of the cooperation with @Brad_Setser . Focus is on the transition from Taiwan’s central bank to the life insurance sector recycling the country’s large trade surpluses & lifers’ management of overseas FI books.

Shadow FX intervention in Taiwan – Current Account surpluses & the Rise of Life Insurers

This is the second and third chapter in a series on Taiwan’s life insurers and their private & sovereign FX hedging counterparties. It’s the product of a collaboration with Brad Setser of…

concentratedambiguity.wordpress.com

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stwill1

@stwill1

4 years

Important move & first innovation by the Federal Reserve on the international front

Federal Reserve

@federalreserve

4 years

@federalreserve announces establishment of a temporary FIMA Repo Facility to help support the smooth functioning of financial markets:

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stwill1

@stwill1

8 months

franchise in half a decade? We're nearing the end of year 2 of the ‘grand multi-manager era’ and returns are clearly pointing to oversupply. Capital-weighted MM net alpha above RF through October is about 2%, which falls into negative territory when excluding the five 11/

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stwill1

@stwill1

8 years

"China’s ‘hidden’ current account deficit; invoicing decisions and liquidity effects on EMs" [new post]

China’s ‘hidden’ current account deficit; invoicing decisions and liquidity effects on EMs

SUMMARY: China’s current account is responsible for a substantial portion of the reserve decline caused by unfavourable changes in export & import conversion ratios and invoicing decisions cur…

concentratedambiguity.wordpress.com

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stwill1

@stwill1

6 years

Concluding post in a series on foreign private acquisitions of U.S. debt.

TCJA, open FX positions and $1+ tn negatively carrying bond investments

This is the concluding entry in a series of posts on U.S. debt purchases by the foreign private sector during the past decade. An introduction and overview can be found here. The first two posts in…

concentratedambiguity.wordpress.com

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stwill1

@stwill1

6 years

Second post in a series on the “Effects, Balance Sheets and new Linkages” ~$3 tn of foreign private inflows into U.S. debt create.

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stwill1

@stwill1

2 years

The even more crucial next step is to realize that the mindset that led to these purchases (esp. post 2015) stemmed from an inherently flawed understanding of fixed income markets & FX hedging. From 4 yrs ago:

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 …

concentratedambiguity.wordpress.com

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stwill1

@stwill1

8 months

grasp how varying one or more variables changes risks in the system. Reasons are kinda obvious: The data situation is patchy. The desire for a fuller/higher frequency handle on most variables is perennial and always leaves uncertainty that is >> vs stress tests of single 7/

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stwill1

@stwill1

8 months

MMs equity," which Mr. KG deemed possible in Singapore. Put differently, it kind of matters to have an idea of whether the odds p.a. of a major incident are of order 1 in 5, 5^2, or 5^3, and my sense is that far too few G/LPs have given this enough thought, with a solid 6/

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stwill1

@stwill1

8 months

Exposures: $1.3tn equity GMV, 2.4tn total cash GMV, 5tn total gross notional exposures (incl. linear derivatives) Volume footprint: In equities, largest firms each are party to 2-5% of ADV on most exchanges; sector as a whole is involved in around 90bn of trades globally 17/

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stwill1

@stwill1

8 months

It's something else to have modelling capabilities-- however imperfect--to play out industry-wide degrossing events from various starting points of: · industry AuM, · leverage, · interconnectedness/position overlaps, · market impact & price reversal, 4/

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stwill1

@stwill1

8 months

largest names. There is no disputing the long-term track of the handful of firms that have done it for decades, and it has taken unreasonably long for the in most respects superior platform model to gain widespread traction. 12/

stwill1

@stwill1

10 months

The other half is the depth of the alpha pool. Almost surely, E/DCM activity, retail particp., energy opps. etc. of ’20-‘22 won’t carry on at comparable levels. And the alpha trajectory from ‘15-’19 --before the capital influx-- flattened noticeably, even for Tier 1 firms.

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stwill1

@stwill1

4 years

Yesterday’s, with hindsight well-timed, post discusses why this makes sense and further steps to consider. So, what did the Fed do, does it matter and where/how does it differ from yday’s proposal.

Addressing overseas USD funding conditions & the Fed as global collateralized LoLR

The domestic policy response by the Federal Reserve to the current health crisis has thankfully been swift. While monetary policy makers across the world understandably focus on dislocations in the…

concentratedambiguity.wordpress.com

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stwill1

@stwill1

8 months

If anything, however, the piece also underscores the handwaving character most discussion on crowding, concentration and interconnectedness takes, a condition ill-suited to the sectors' gravity. It's one thing to qualitatively point to some fuzzy, remote crowding risk. 3/

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stwill1

@stwill1

5 years

A project quite a while in the making...

Brad Setser

@Brad_Setser

5 years

I am joining forces with a market friend, the blogger Concentrated Ambiguity ( @stwill1 ), for a series of posts that will do a deep dive in the balance sheet of Taiwan's life insurance sector and the balance sheet of the Central Bank of the Republic of China (Taiwan). Stay tuned

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stwill1

@stwill1

8 months

golden as possible, can fund-level de-risking and return of capital be expected if it leads to poaching of top PMs while undermining longer-term firm viability by failing to sift through enough new PMs of this year's vintage, in search of the 3 to 5 stars who will carry the 10/

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stwill1

@stwill1

2 years

Too many who should have known better got wrong-footed on this, and much of the hundreds of $ bn flowing from Japan into USD fixed-rate debt with short-term rolling FX hedges from ’15-’21 should probably not have happened.

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stwill1

@stwill1

2 years

If meant as trick question, then just one : the three-letter palindrome. If literal, by rough size: Cathay UB, Fubon CB, CTBC, E.Sun, Taishin on the local side. HSBC, SC, Calyon, ANZ, JPM on the global end.

Daniel Tenreiro

@TenreiroDaniel

2 years

oh, you listen to odd lots? name three counterparties to the Taiwanese life insurance industry's FX hedges

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stwill1

@stwill1

8 months

· risk mgmt. cultures · counterparty flexibility Reaching a close-to-reality rendering of this is non-trivial, but fiddling around with crude sketches is a worthwhile exercise on its own and the only way to get a feel for what happens next after a "10, 15 or 20% joint hit to 5/

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stwill1

@stwill1

8 months

Here is some, largely gpt-donated, pseudocode doing this, resulting in the following buyside network in which nodes represent individual firms. 22/

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stwill1

@stwill1

8 years

Dissecting the Fed's foreign repo pool: Part 1 - the users

Dissecting the Fed’s foreign repo pool – the users

This is the first post in a series of four examining the Federal Reserve’s foreign repo pool. After an introduction, it attempts to figure out who is responsible for the rise in the pool sinc…

concentratedambiguity.wordpress.com

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stwill1

@stwill1

2 years

This is one of those things that is either obvious, or it requires half an hour of carefully walking through each transaction and cash flow. In short: HTM investors should think in “term premia” rather than “yield curve shapes”, and a steep yield curve ≠ arbitrage always.

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stwill1

@stwill1

8 months

The BBG article, PB reports and a few extra figures give a decent tear sheet of multi-strat, multi-managers: AuM: ~$350bn Employees: 16.000, with ½ in investment roles 16/

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stwill1

@stwill1

8 years

Dissecting the Fed's Foreign Repo Pool: Part II - Funding Mechanisms

Dissecting the Fed’s foreign repo pool – funding mechanisms

This is the second post in a sequential four-part series on the Federal Reserve’s foreign repo pool. After establishing a preliminary idea of who is responsible for the rise in the pool in the init…

concentratedambiguity.wordpress.com

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stwill1

@stwill1

8 months

institutions, lighter on interaction effects. "Now what?", which holds on many levels and is not very appealing when the answer is often just "less of it". E.g., is a long-term LP going to trim their MLP/Citadel allocation based on such thinking & risk not getting back in? 8/

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stwill1

@stwill1

8 months

Are those pouring funds into (sub-)tier 2 platforms realistically expected to be dissuaded? Are bank counterparties expected to toughen terms or retrench, sending the biggest fee-payers to laxer rivals? And from a fund's standpoint, after making sure you're as operationally 9/

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stwill1

@stwill1

6 years

@M_C_Klein @ericlonners @RajaKorman @Brad_Setser @pearkes @ericbeebo @izakaminska @nosunkcosts @zatapatique @modestproposal1 @mark_dow @dsquareddigest @toby_n @M_PaulMcNamara

stwill1

@stwill1

6 years

Intro to a series of posts on the largest cross-border capital flow of the post-crisis era.

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stwill1

@stwill1

8 months

Multi-managers in blue are unmistakably the by far densest region, with all of the graph's top 5 ‘influential’ firms by the node size measure located in it. This is getting pretty long, so let’s save the magnified looks for another day. As preface & caveat to it, 26/

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stwill1

@stwill1

8 months

Two tweaks: Using a very sophisticated technique--so called "manual inspection"--coloured landmarks are placed at the centres of the various clusters, with Gaussian kernels dropped on each, allowing node colours to be interpolated. Further, node size is scaled by the 23/

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stwill1

@stwill1

8 months

· Blue: multi-managers · Orange: quant/market-making/prop · Green: traditional HFs, mostly equity · Pink: VC · Purple: PE & private debt · Red: public market AMs · Yellow: banks · Gray: commodity traders 25/

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stwill1

@stwill1

3 years

New post: "The CBC’s onshore FX deposits, a surprising mainland China connection & flighty hedging counterparties"

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stwill1

@stwill1

8 years

Repost (from y'day): Saudi Arabia's Cash Reserves & Equity selling [New Post]; building on @Brad_Setser ‘s work

Saudi Arabia’s Cash Reserves & Equity selling

A significant amount of news was created last month by the release of disaggregated Treasury holdings for the Middle East and especially for Saudi Arabia. The recently returned Brad Setser had some…

concentratedambiguity.wordpress.com

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stwill1

@stwill1

8 months

But now, with capital mobilization for new entrants still plenty and billions in committed but so far uncalled funds at established players likely tempering the upside, greater clarity around the downside is essential. 13/

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stwill1

@stwill1

10 months

The other half is the depth of the alpha pool. Almost surely, E/DCM activity, retail particp., energy opps. etc. of ’20-‘22 won’t carry on at comparable levels. And the alpha trajectory from ‘15-’19 --before the capital influx-- flattened noticeably, even for Tier 1 firms.

Bucket Shop Capital

@bucketshopcap

10 months

Btw the whole pod/SM discussion can pretty much be reduced to "Capital Returns". What do you think will happen as Tier 2/3/4 MMs keep accumulating capital & talent to scale up? From crowding alone, returns will deteriorate; it isn't rocket science. Nothing good lasts forever.

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stwill1

@stwill1

8 months

totality of incoming flows, thus representing a mix of firm size and interconnectedness. This produces the graph from the opening, displaying the 850 or so core firms that make markets move day by day. The colour assignment is the following: 24/

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stwill1

@stwill1

5 years

A couple of words on U.S. repo markets last week and the supply response of the Fed’s foreign repo pool.

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stwill1

@stwill1

8 months

· infusing fresh information into prices and · greasing its wheels through mid-frequency inventory management, is still underappreciated today. Certainly in the broader discourse, and with a couple exceptions likely on here. 15/

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stwill1

@stwill1

5 months

The TBAC presentation on Treasury futures has deservedly received a lot of attention and contains great background & aggregate figures on the basis issue. 1/

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stwill1

@stwill1

8 months

each day, or around 20-25% of lit ADV in mid-cap upwards. Corresponding figures for cash fixed income is around 120bn, and for notionals of linear derivatives, 700bn. 18/

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stwill1

@stwill1

8 years

@RajaKorman @M_C_Klein @Brad_Setser @ericlonners @georgepearkes Part III

stwill1

@stwill1

8 years

Dissecting the Fed's Foreign Repo Pool: Part III - The Foreign Repo Pool Rate (FRPR) 6/6

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stwill1

@stwill1

8 months

To simulate extra transitions, consider the following thought experiment: Let each firm (in turn) hypothetically close down and each front-office individual probabilistically jumps to other firms, proportional to the presence of the latter in the direct network of the former. 21/

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stwill1

@stwill1

2 years

A dated chart giving a sense of the numbers involved. FX hedges provided by reserve managers are labelled “FX swapped debt” and were around USD 1trn in the 2010s.

Brad Setser

@Brad_Setser

2 years

One last thing I learned from Concentrated Ambiguity (the blog of @stwill1 ) -- a lot of the world's hedges are supplied out of the world's central bank reserves. FX hedged yen reserves, for example, generate dollar funding for Japan's institutional investors ...

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stwill1

@stwill1

5 years

Ahead of the concluding sixth chapter in the Taiwan project, a quick look back at the story so far, especially chapter V. ( @Brad_Setser 's summary here last week).

Brad Setser

@Brad_Setser

5 years

Taiwan’s central bank almost certainly has an undisclosed forward book over well over $100b – and has been intervening far more heavily after 2009 than would be inferred from its disclosed reserves. This is joint work with @stwill1

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stwill1

@stwill1

8 years

@RajaKorman @M_C_Klein @Brad_Setser @ericlonners @georgepearkes Part II

stwill1

@stwill1

8 years

Dissecting the Fed's Foreign Repo Pool: Part II - Funding Mechanisms

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stwill1

@stwill1

8 months

professionals. Core idea: firms that hire from another are similar in some respects, and this similarity has downstream effects on strategies, positions and ultimately P&L. The issue is that, even though fast paced, actual job switches are insufficient to map this. 20/

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stwill1

@stwill1

8 months

*** With the tirade out of the way, on to the more constructive, fun? part of justifying the above. Despite the buzz the last 1.5 yrs, it’s, imo, still a good bet that relative to when the history books will be written, the centrality of platforms to liquid markets due to 14/

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stwill1

@stwill1

4 years

(While the details are in the paper, @TheStalwart & @tracyalloway were kind enough to host my co-author @Brad_Setser last fall. The resulting podcast remains the perhaps gentlest intro to the overall topic.)

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stwill1

@stwill1

4 years

1)This plus 2)Extend QE to allow for direct reserve manager sales of USTs/MBS already in Fed’s custodial accounts to the Desk – no need to clog dealers even momentarily. 3)Encourage foreign CBs to intermediate global repo funding for USTs/MBS by transferring private sector..

Brad Setser

@Brad_Setser

4 years

My new idea is a facility that lets large countries with substantial holdings of Treasuries and Agencies repo them for cash. Would reduce demand for swap lines from countries with lots of reserves, and would reduce their need to sell Treasuries into a difficult market

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stwill1

@stwill1

5 years

Yesterday’s chapter looked at potential counterparties to Taiwanese lifers’ USD 250bn FX hedging needs.

Shadow FX intervention in Taiwan: Counterparties I

This is the fourth chapter in a series on Taiwan’s life insurers and their private & sovereign FX hedging counterparties. It’s the product of a collaboration with Brad Setser of the Counc…

concentratedambiguity.wordpress.com

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stwill1

@stwill1

7 months

@TCK_JRubano @o_wutang @therobotjames @NotQuiteMidlife mentioned it some time ago

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stwill1

@stwill1

5 years

The pivotal chapter of this project…

Brad Setser

@Brad_Setser

5 years

Taiwan’s central bank almost certainly has an undisclosed forward book over well over $100b – and has been intervening far more heavily after 2009 than would be inferred from its disclosed reserves. This is joint work with @stwill1

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stwill1

@stwill1

5 years

The ‘paper’ version on Concentrated Ambiguity.

Shadow FX intervention in Taiwan: Solving a USD 100+ bn enigma – Introduction

This is the first chapter in a series on Taiwan’s life insurers and their private & sovereign FX hedging counterparties. It’s the product of a collaboration with Brad Setser of the Counci…

concentratedambiguity.wordpress.com

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stwill1

@stwill1

11 years

1992 "NY Magazine" article with notes from Ray Dalio. Pretty bleak mood they all had with FI better than equities. http://t.co/s3yjrO3a37

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stwill1

@stwill1

8 years

Ahh, that's interesting. This would mean outflows are due to corporate invoicing behavior and not CapFlight?

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stwill1

@stwill1

8 years

@quantian1 @groditi Try this: 'Synthetic repurchase programs through put derivatives: theory and evidence '

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stwill1

@stwill1

5 years

@nosunkcosts @Brad_Setser Difficulty with JPB is assessing their hedge ratio for foreign bonds held indirectly via trusts. On balance sheet foreign currency bonds are hedged ~50%, while trusts likely fully hedged.

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stwill1

@stwill1

6 years

4. All combined, the following picture emerges. It will provide the basis to slice the nationality based numbers into more functional categories in the next post.

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stwill1

@stwill1

5 years

Shadow FX intervention in Taiwan: the CBC’s USD 130+ bn FX swap book

This is the fifth chapter in a series on Taiwan’s life insurers and their private & sovereign FX hedging counterparties. It’s the product of a collaboration with Brad Setser of the Counci…

concentratedambiguity.wordpress.com

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stwill1

@stwill1

2 years

New research piece: “Demand-Supply-Invariant-Inflation — An alternative gauge of underlying price pressures” (1/n)

Demand–Supply–Invariant–Inflation (DSII)

The dominant market theme throughout 2022 was the considerable uncertainty surrounding U.S. inflation and the associated repricing of interest rate markets, with ripple effects across asset classes…

concentratedambiguity.wordpress.com

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stwill1

@stwill1

4 years

core claim: the existence of its >$100bn FX swap book, reflecting FX intervention far beyond the known headline FX reserve number.

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stwill1

@stwill1

10 months

@Value_Ideas @YellowLabLife @FundamentEdge Smoothed over a cycle, and assuming that most hires are first-time pod PMs and not laterals, this is a reasonable approximation historically.

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stwill1

@stwill1

8 months

While all true, actually *seeing* where they fit into the bigger picture, recognizing connections and relative proportions, is oftentimes superior to isolated facts. The most macroscopic means I'm aware of looking at this is through the flow of front office buyside 19/

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stwill1

@stwill1

5 months

Interesting survey & results. Putting aside all contractual minutiae, it indirectly asks for takes on 1. the street’s/MMs’ risk aversion/utility and its 2. short-term risk-bearing capacity in relation to the trade’s size, i.e. the extent of capital constraints.

Kris

@KrisAbdelmessih

5 months

Totally fair coin. Heads you win $50mm, tails nothing happens. Coin gets flipped in an hour. No credit risk. You can shop the proposition to Jane, SIG, Citadel or anyone else for that matter. What price does it trade for?

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stwill1

@stwill1

7 months

@jeuasommenulle @MarcRuby @vitoshet1 @Brad_Setser It's been a while, yeah. And it's kind of incredible how obvious it was that this wouldn't work out long-term.

stwill1

@stwill1

6 years

but are (on the bond side) ultimately far eclipsed by two depository institutions: Norinchukin and Japan Post Bank, which together hold foreign bonds of close to $1 tn. As the single biggest buyers, the effect of their purchases (and FX hedges!) on markets is hard to overstate.

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stwill1

@stwill1

4 years

freeing banks to focus on domestic issues while limiting spillovers foreign liquidations would cause. From the Fed’s perspective, the transaction is just another repo, this time not with a domestic bank but a foreign CB, equally collateralized (& margined) by Treasuries.

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stwill1

@stwill1

4 years

This is a follow up to what began as joint project with @Brad_Setser last October. Some housekeeping and looking back is in order. This includes publication of the project as a proper paper and how the central bank of Taiwan, after initial deflections, eventually did confirm our

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stwill1

@stwill1

9 years

@modestproposal1 @M_C_Klein @RajaKorman Also interesting: CROCI by geog.§or

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stwill1

@stwill1

8 years

Saudi Arabia's Cash Reserves & Equity selling [New Post]; building on @Brad_Setser ‘s work

Saudi Arabia’s Cash Reserves & Equity selling

A significant amount of news was created last month by the release of disaggregated Treasury holdings for the Middle East and especially for Saudi Arabia. The recently returned Brad Setser had some…

concentratedambiguity.wordpress.com

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stwill1

@stwill1

2 years

Characteristically good China post by @Brad_Setser . If you have answers to issues raised, can only recommend getting in touch with Brad directly.

Brad Setser

@Brad_Setser

2 years

I have spent almost twenty years of my life looking at China's balance of payments data in one way or another. Right now neither the current account numbers nor the financial account numbers quite fit together. 1/x

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stwill1

@stwill1

8 years

In light of China’s continuing reserve decline, some thoughts on management of reserve drawdowns & possibly changing effects on mkts. 1/

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stwill1

@stwill1

6 years

@M_C_Klein @ericlonners @RajaKorman @Brad_Setser @pearkes @ericbeebo @izakaminska @nosunkcosts @zatapatique @matt_levine @mark_dow @dsquareddigest @Dutch_Book @alexbhturnbull

stwill1

@stwill1

6 years

Since there are many moving parts in setting up such a term premia framework, an extra post is published alongside, to slowly walk through the (not always intuitive) overlap of FX and FI markets.

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stwill1

@stwill1

9 years

@quantian1 Simplest solution imo: Use subsector OAS from here and apply SP500 weightings.

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stwill1

@stwill1

8 years

From y’day: On the enigmatic Fed-set interest rate applied to ~ $250 bn.

Dissecting the Fed’s foreign repo pool – The Foreign Repo Pool Rate (FRPR)

This is the third post in a sequential four-part series on the Federal Reserve’s foreign repo pool. The previous Parts, I & II (see summaries at the very end of each post), noticed the increas…

concentratedambiguity.wordpress.com

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stwill1

@stwill1

4 years

@ericbeebo @tomashirstecon @KenVeksler Thanks guys, much appreciated

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stwill1

@stwill1

9 years

Some thoughts on Chinese outflows: consensus seems outfl. due to Cap. Account reversal ($ deleveraging…). PBOC, SAFE, BIS all confirm 1/n

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stwill1

@stwill1

8 years

@ericbeebo Yes. Forgot to use sarcasm font. Some resemblance here...

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stwill1

@stwill1

7 months

@KrisAbdelmessih @W98AB Quoting a fmr. colleague: “What Blackrock does [in equities] in a quarter, the larger platforms do individually in a busy two weeks.”

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stwill1

@stwill1

9 years

Peak Profitability is behind us. US ROE just slightly above LT average. (ht @Jesse_Livermore )

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stwill1

@stwill1

9 years

FC credit in China, Pure offshore transactions and attempts to reconcile BIS and PBOC data [new post]; fdbk welcome

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stwill1

@stwill1

4 years

Re CB currency swap lines, it’s broadly agreed that transmission is much tougher today, as large shares of the ultimate demand is from the buyside and not banks themselves. See for instance here

Hyun Song Shin

@HyunSongShin

4 years

Good piece by Wenxin Du on the determinants of the deviation from covered interest parity

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stwill1

@stwill1

11 years

@Jesse_Livermore for dependency ratios use this http://t.co/Z7IwgeFAmK

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stwill1

@stwill1

8 years

Peak Probit & Logit recession models? Extra points for those not capping the scale at 100%.

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stwill1

@stwill1

4 years

How will it be used, what will its effects be? Fed’s statement contains little color on *how* it would like overseas CBs to utilize the facility + the current design misses some features I’d thought would be included – so tough to make precise predictions. Statement

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stwill1

@stwill1

4 years

Fed’s Desk and not rely on bank intermediation, even at a later time. This would further reduce pressure on dealers in that knowing that FX managers will (for some time) sell directly to Fed would allow focus to be placed elsewhere. Pricing of direct sales could be somewhat of an

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stwill1

@stwill1

8 years

@GMarchbanks @Brad_Setser Thx, missed that one. FTAV one of few appreciating importance of Eurodollar market @izakaminska

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stwill1

@stwill1

8 years

Pettis 2003: “Reengineering the Volatility Machine”. Core concepts from the book in 7 pages.

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stwill1

@stwill1

6 years

(2) FX-unhedged foreign demand. This is largely a story about foreign fixed income investors taking on a rather uncharacteristic risk: FX exposure. USD appreciation has helped these institutions immensely and invited further inflows. Closing of such positions (or hedging

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stwill1

@stwill1

5 months

One interesting follow-up, probing those two factors more directly, would be to swap variables: How large would $ X mm have to be for it to trade at a discount of, say, 10% compared to 0.5X?

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stwill1

@stwill1

4 years

A second puzzle is the reappearance of regular late-day depreciations of the TWD. It has long been clear (see prior reporting by @hwang61 , @ariespoon , @samsonellis & Argin Chang) that market forces alone would not give rise to such a pattern, hinting at active CBC involvement

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stwill1

@stwill1

8 years

Agree, CNY very path dependent as Vol of KA > CA. CA not always buffer against outflow though - amplifies sometimes. If expectation for

Brad Setser

@Brad_Setser

8 years

Does China's current macroeconomic situation (and exchange rate) lend itself to multiple equilibria? I fear so

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