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https://twitter.com/jasonfurman/status/17072100430225941712/The losses matter. If you consolidate the Fed and the Treasury, then QE has shortened the duration of the government's IOUs. The mark-to-market losses measure the cost to taxpayers of shortening duration and not locking in longer rates.
https://twitter.com/HannoLustig/status/1641828804007014400
https://twitter.com/nberpubs/status/16809576250206986271/Draghi (correctly imo) credits the promise of implicit transfers backing all Eurozone debt before 2008 for the low spreads. All sovereign debt was pretty much priced identically in the Eurozone pre-GFC.
https://twitter.com/HannoLustig/status/16350721192636006412/Not a bad model for SVB, which had a $117 portfolio of Agency MBS and long-dated Treasurys with a duration of 5.6 years. But SVB was only marking-to-market $26 billion of this portfolio. The rest was designated hold-to-maturity (or close-your-eyes).
https://twitter.com/HannoLustig/status/1635072121264291840
https://twitter.com/klaus_adam/status/16029389495587471381/The ECB is now in the business of using its balance sheet as a warehouse for risks that private investors do not want to hold at current prices. ECB has completely crowded out private investors in some markets.
https://twitter.com/ChrisGiles_/status/15802722824709980171/defined benefit pension funds in the UK (PFs) are forced to mark their liabilities to market using the gilt yield curve. when the BoE buys gilts on Tuesday and the 30-year yield declines, the PDV of the PF's future payouts increases
https://twitter.com/itskhoki/status/15329867454105968642/each one of these assumptions is unrealistic. (i) is clearly not true: Russian are importing stuff. (ii) Russians will definitely import stuff in the future, (iii) Lots of demand for the safety of dollars in all countries, including 🇷🇺