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William Blair Santos Allen @willballen.bsky.social · 6h

Probably saved us big hedge losses as well. Futures gapped down too much to do effective delta hedging.

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William Blair Santos Allen @willballen.bsky.social · 10h

Yes please! Bringing back memories…

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William Blair Santos Allen @willballen.bsky.social · 10h

I know we at JPM had MBS portfolios hedged with pay-fixed swaps. Experimented some with index amortising swaps but never very liquid. Swaptions were a bit expensive. Dynamic hedging often through Treas futures. Prepayment models seem to all fail in 2008 so this was discontinued.

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William Blair Santos Allen @willballen.bsky.social · 10h

Brian is better than all of the Fabozzi bond books together, that I was forced to read in the 1980s and 1990s!

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William Blair Santos Allen @willballen.bsky.social · 08/10/2026

Any colour on why? Margins just too low?

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William Blair Santos Allen @willballen.bsky.social · 08/10/2026

Later found out he lost a lot of vale during October 87 crash. And he lost his job over that. He could not dynamically short futures as index gapped down big.

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William Blair Santos Allen @willballen.bsky.social · 08/10/2026

I was marketing OTC put options to institutions in summer 87. Had been a run up and many PMs looking for protection. One year ATMs were about 4%. Had one portfolio manager tell me he could provide same protection through portfolio insurance dynamic strategies.

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William Blair Santos Allen @willballen.bsky.social · 08/10/2026

Binomial tree they used was just an illustration on the continuous time closed form BS formula. But you could use binomial and other numerical procedures (monte carlo simulation) to approximate prices for American style options.

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William Blair Santos Allen @willballen.bsky.social · 07/10/2026

And don’t forget the doom loop pro-cyclical trading of the portfolio insurers in the equity markets in Oct 1987! That was such an eye opener for me.

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William Blair Santos Allen @willballen.bsky.social · 05/10/2026

Yes this is excellent. I did not know about @ericlonners.bsky.social Thank you for pointing him out.

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William Blair Santos Allen @willballen.bsky.social · 28/09/2026

Started my career in finance with Volker in 1982. Today? Yawn…

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Brian Romanchuk @brianromanchuk.bsky.social · 23/09/2026

My latest piece, which are reactions to a pair of recent articles. The first is on forward guidance, and I dive into the background of that idea. The second is on a diesel export ban. bondeconomics.substack.com/p/back-on-fo...

bondeconomics.substack.com

Back On Forward Guidance

I ran into a couple of interesting articles, and wanted to comment on them.

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William Blair Santos Allen @willballen.bsky.social · 17/09/2026

Eventually I will forget a happy hour beer was <$4 before pandemic. But it will be a while.

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William Blair Santos Allen @willballen.bsky.social · 13/09/2026

No equity in AI for gov. Just a short put position

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Brian Romanchuk @brianromanchuk.bsky.social · 10/09/2026

Latest article - "What's Up With Money?" The joy of Monetarism is that there is almost always a money supply number that fits whatever your story is. bondeconomics.substack.com/p/whats-up-w...

bondeconomics.substack.com

What’s Up With Money?

I wanted to check in with the “inflation is always and everywhere a monetary phenomenon” story, and the recent data was behaving in a way it often does — with the adept choice of your definition of “m...

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William Blair Santos Allen @willballen.bsky.social · 09/09/2026

Always better to be lucky than smart! Says the guy (me) whose first chapter of dissertation could best be summarised as “buy high, sell low”

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William Blair Santos Allen @willballen.bsky.social · 01/09/2026

Having worked in finance before and during GFC, I recognise the symptoms here. Finally a perspective I can get behind. Great read! www.groundbrkr.com/p/the-teaser...

groundbrkr.com

The Teaser Period: Why the AI Boom Is Hitting a Reset Wall

Trillions in compute commitments come due in 2027–2028. The Reset Wall reveals how the AI boom breaks, and when.

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Dean Baker @deanbaker13.bsky.social · 01/09/2026

Very good piece on how the shit is about to hit the fan as the AI companies have to start paying for data centers when they come online in a big way, starting next year www.groundbrkr.com/p/the-teaser... Hopefully, even brain-dead billionaires can see this coming.

groundbrkr.com

The Teaser Period: Why the AI Boom Is Hitting a Reset Wall

Trillions in compute commitments come due in 2027–2028. The Reset Wall reveals how the AI boom breaks, and when.

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Catherine Rampell @crampell.bsky.social · 24/08/2026

reminder that this is what auto supply chains in North America currently look like. Random parts can cross the US/Canadian border half a dozen times www.wsj.com/business/aut...

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William Blair Santos Allen @willballen.bsky.social · 19/08/2026

Thanks for this. Always appreciate a fresh link for us west coast folks!

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William Blair Santos Allen @willballen.bsky.social · 18/08/2026

I just sent an email about working paper. Only hope I typed in email address correctly. Thank you!

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William Blair Santos Allen @willballen.bsky.social · 18/08/2026

Getting rid of Joe and Sara on CNBC would be a big improvement. I might watch again without those two clowns.

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William Blair Santos Allen @willballen.bsky.social · 17/08/2026

I think Woodford was inspired by Wicksell, n’est ce pas?

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William Blair Santos Allen @willballen.bsky.social · 17/08/2026

I have trouble devoting any time to articles with “natural rate of interest” in title. Looking forward to your article so I don’t have to read the Fed rubbish.

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William Blair Santos Allen @willballen.bsky.social · 16/08/2026

Ken Galbraith, one of the all time greats. His son is not bad either!

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William Blair Santos Allen @willballen.bsky.social · 10/08/2026

History at time was one of financial placements of petro dollar surpluses into bank deposits and eurobonds versus more productive foreign direct investment. Came from international/development econ literature from that era.

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William Blair Santos Allen @willballen.bsky.social · 10/08/2026

Back in the antediluvian 1980s euromarket days in London, we called purchases of bonds and stock “placements”. “investment” generally reserved for purchases of productive capital like plant/ equipment. But financial investors by the 90s thought they were doing gods work and wanted classier word.

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William Blair Santos Allen @willballen.bsky.social · 07/08/2026

Thanks for referencing this Levy paper. Not sure I knew about it!

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William Blair Santos Allen @willballen.bsky.social · 07/08/2026

This was a good critique of oligarchs, especially the hypocrite Jamie Dimon. The same Dimon who feels so self important and enjoys his 30 million plus compensation so much that, at age 70, still cannot seem to manage building a succession plan for JP Morgan.

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Julia Coronado @jc-econ.bsky.social · 06/08/2026

It is pretty clear that the inflation we are experiencing is not emanating from the labor market--the labor share of GDP plunging to all time lows each quarter it seems

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William Blair Santos Allen @willballen.bsky.social · 05/08/2026

Brad Setser please post here on Bluesky! I am not going back to twitter

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William Blair Santos Allen @willballen.bsky.social · 04/08/2026

I still wonder if China is quietly importing more crude and LNG through pipelines from Russia that aren’t getting much public scrutiny?

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William Blair Santos Allen @willballen.bsky.social · 04/08/2026

I always thought the Godley-Lavoie book "Monetary Economics" would make a good macro text book. Everything became quite logical, chapter by chapter.

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William Blair Santos Allen @willballen.bsky.social · 03/08/2026

“If you do not have a precise quantity associated with money, the Quantity Theory of Money cannot be falsified.” open.substack.com/pub/bondecon...

open.substack.com

Random Observations

I have mainly been looking at my inflation manuscript.

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Carl Quintanilla @carlquintanilla.bsky.social · 02/08/2026

This is a better breakdown, via B of A

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Patrick Chovanec @prchovanec.bsky.social · 29/07/2026

Vacation ideas.

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William Blair Santos Allen @willballen.bsky.social · 28/07/2026

LCID. Must be in a Trump family portfolio

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BeijingPalmer @beijingpalmer.bsky.social · 28/07/2026

the average American says that a quarter of all Americans are native! But I do not think they actually *believe* that, I think they're just really bad at numbers.

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William Blair Santos Allen @willballen.bsky.social · 23/07/2026

Yes I think you are right about trust. Once trying to teach my young son about time val of money I asked: would you rather $100 today or 150 in a year. He chose 100 today. Why? “ Dad you might change your mind and not give me the 150 next year”

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William Blair Santos Allen @willballen.bsky.social · 22/07/2026

I wrote a couple of Harvard Business School notes on cross currency swaps and bonds back in the 1980s. May still be in their case system. Basically swap both fixed bonds to floating (plus or minus bps on floating index). Then apply ccy basis swap to get apples to apples

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William Blair Santos Allen @willballen.bsky.social · 21/07/2026

Not exactly that fwd fx points are “forecast”. Rather these are risk neutral or no arbitrage pricing for fx in the future. Cross currency coupon comparisons are apples to oranges.

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