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@MHaensel1 Hey great work, thanks for posting. Where is your rough estimate for how much higher the current neutral rate is in the US based on this work?

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@dampedspring Quick follow up question: does direct private lending affect the balance of reserves differently from bank lending? I assume no because the borrower will deposit that cash as a reserve but nonbank lending has been growing a lot faster than bank lending

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@TommytooTimer @INArteCarloDoss Yes to both questions. The current rate on the 10y is lower than the cost of overnight funding, and the cost of overnight funding is implicitly included in the futures contract. That makes a long negative carry (technically)

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@INArteCarloDoss Hard to disagree there

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@dampedspring As the market prices a higher likelihood of bankruptcy the effective duration of the bond gets shortened and it can trade up if the modeled recovery rate is higher than the price of the bond

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@dampedspring @TechTrader999 Most mandates were already changed post 2011

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@dampedspring Dealer inventory increase is almost all in the front end of the curve (<2 years). Real money is mega long treasury futures and fast money guys are short treasury futures against cash bonds or received SOFR. Definitely a basis trade / spreads story

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@dampedspring @simon_ree @MiamKitty Chateau Musar is astoundingly good

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@dampedspring @globalvaluefund Secondary and tertiary leverage on tranched products doesn't really exist anymore. I suppose you could argue CMBX is but notionals there are very small

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@dampedspring They assume zero duration hedging so I’m not sure how credible the paper is

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@darioperkins @RaoulGMI @RonStoeferle Do you have a link to the full paper about term premium? If it's subscriber only no worries

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@shortseller You have a source for that? Curious to take a look

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@PeterZeihan Huge fan of your books but the Fed has not said anything about getting the balance sheet to zero. Their current balance sheet regime is described here: https://t.co/lHW2UuMLUk

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@dampedspring @BickerinBrattle The data requires the person to file a claim and to certify you’re actively looking for another job, which may not be the case for a lot of highly paid tech workers. You can file a claim while receiving severance and it will count even if you don’t get unemployment though

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@shortseller They don't have to be saying something different. Very high nominal GDP growth can be positive for equities while being negative for fixed income. These employment numbers suggest still very high nominal GDP growth

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@INArteCarloDoss And the benchmark revision which added another 568k jobs to 2022! Unbelievably hot report

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@shortseller Hard to extrapolate much from speculative bond market positioning since a lot of hedge funds get VERY big in treasuries basis trades and therefore have no net position long or short. Asset manager positioning, on the other hand, is very long

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@shortseller @dampedspring The way to think about it is that forward expectations of cuts are already priced into markets, and now the Fed can cut rates in 2023-2024 and it could still be a net FCI tightener if they don't cut enough

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@stephenharlinmd What app is this?