Ever since the start of October when the Fed launched QE4 - or as
some still call it "Not QE" - in response to the Sept repo crisis,
figuring out the market has been pretty simple: if the Fed's balance
sheet goes up so does the S&P500, and vice versa.
The good news for traders is that for the past three months, the
Fed's balance sheet rose 11 of 12 weeks, and declined just 1 of 12, and
magically, the S&P did just that as well.
However, now that the year-end repo scare is history at least until
the April 15 tax date and certainly the next year end, it's time for the
Fed to start shrinking its balance sheet, mostly by allowing existing
term repo operations to expire without being rolled over. Conveniently,
the FOMC Minutes released moments ago provided the Fed's own big picture
take on when the massive liquidity injection since mid-September, which
expanded the Fed's balance sheet by $415BN in three and a half
months...
ｃ
... with the Fed pointing out its "expectations to gradually
transition away from active repo operations [in 2020] as Treasury bill
purchases supply a larger base of reserves" and specifically, "the calendar of repo operations starting in mid-January could reflect a gradual reduction in active repo operations."
None of this is new, and it has almost become conventional wisdom
that when the Fed starts draining liquidity, the market impact will be
the polar opposite of what happened when it was injecting liquidity:
i.e., stocks will drop.
So with the Fed highlighting mid-January as the period when the
liquidity injection goes into reverse, here is some more details on just
which dates will be critical: as Curvature's Scott Skyrm points out,
these will be the days when the Fed's term repos maturing over the next
few weeks, supposedly without being rolled into further term repos, or
as he puts it, "during January, it will be interesting to see how the market reacts to the term RP ops maturing:" FEDは１月半ばに流動性注入が反転することを強調している、ここに示すのはそのなかでも重要な日付だ：Curvature社の Scott Skyrmが指摘するものだ、今後数週でFEDのterm reposが満期を迎えるだろう、term repoの繰延は無いと仮定している、彼の言によると「１月中に、term repo満期に市場がどう反応するか興味深いところだ：」
$25 billion leaves the market on Monday,
月曜には＄２５Bが市場から引き去られる、
$28.8 billion on Tuesday,
火曜には＄２８．８Bが引き去られる、
$18 billion next Friday, etc.
金曜には＄１８Bが引きさられる、というぐあいだ。
Of course, perhaps "interesting" is not the
right word, because it is clear that if liquidity is drained without a
matching injection, the market reaction will be anything but favorable.
That said, the Fed still has more term Repo ops scheduled to correspond
with those term roll-off dates, with at least three more term RP ops of
up to $35 billion scheduled in January. Whether or not banks decide to
use these to roll existing maturing term repos will determine if the
liquidity cliff starts hitting next week, or 3-4 weeks later. Finally,
it will also depend on whether the Fed decides that it had overinjected
the market with liquidity, and if it announces even more scheduled term
repos in February and onward.
当然のことだが、たぶん「興味深い」という言葉は適当ではない、というのも当分の注入なしに流動性が引き去られるのは明らかで、市場の反応は決して好感を持つものではないだろう。ということは、FEDは１月にまださらに term repoの満期を控えている。商業銀行が既存term repoの満期を繰延するかどうかで来週または３，４週後に流動性の崖が始まるかどうかが決まる。最終的には、FEDが市場に流動性を過剰注入するかどうかにかかっているだろう、そして２月以降のterm repoのさらなる対応スケジュール開示に依存する。
For now, however, here is a visual calendar of when some of the key December term repos mature over the next few days:
米国はよく理解してませんが、日本の場合では量的緩和で日銀が国債買い上げした資金は日銀当座預金にそのままです、市中には流れていません。でもNHKのニュース等では「ジャブジャブ」という表現をアナウンサーが使い、さらに丁寧に水道の蛇口からお金が吐き出される画像まで示してくれます。これって心理効果が大きいですよね。量的緩和とは何かを７時のニュースや新聞でこれ以上丁寧に解説するのはそう簡単ではありません。一般の人も株式をやっている人も「イメージ」で捉える以上はそう簡単にできません。多くの人は量的緩和とはなにか、を理解していないと私は想像しています。 ただし、国債を買い上げるので長期金利が低下し住宅ローン金利等が下がったのは確実な効果です。一方で長短金利差が少なくなると銀行のビジネスモデルが成り立たなくなりますが。 This Is The One Chart Every Trader Should Have "Taped To Their Screen" by Tyler Durden Sat, 01/19/2019 - 18:55 After a year of tapering, the Fed’s balance sheet finally captured the market’s attention during the last three months of 2018. 一年間のテーパリング後、FEDバランスシートがとうとう市場の注目をあびることになった、２０１８年の最後の３ヶ月だ。 By the start of the fourth quarter, the Fed had finished raising the caps on monthly roll-off of its balance sheet to the full $50bn per month (peaking at $30bn USTs, $20bn MBS...
コメント欄に詳しい解説が書き込まれています。 英語でいうところの「buy back」と「insider buy」は異なる概念です。日本語の記事でどちらも自社株買いとされていることがあり、これを混同すると意味不明の記事になってしまいます。 The Great Stock Buyback Debate Written by Lance Roberts | May, 2, 2019 I recently wrote about stock buybacks in our weekly newsletter. However, a recent report from Axios noted that for 2019, IT companies are again on pace to spend the most on stock buybacks this year, as the total looks set to pass 2018’s $1.085 trillion record total. 最近私は週間記事で自社株買いに関して議論した。しかしながら、Axiosの最近の2019報告書によると、IT企業は再び今年その規模を増やしている、２０１８年は＄１．０８５Tと記録的規模だったが、今年はこれを超えそうだ。 “By the numbers: Companies so far have spent $272 billion on buybacks, data compiled by Mike Schoonover, COO of Catalyst Funds, for Axios shows. 「数値を見る限り：企業は＄２７２Bをすでに自社株買いに費やした、数値の解釈はMike Schoonoverによるものだ、彼はCatalyst FundsのCOOだ、Axiosがデータを示す。 Between the lines: The amount of spending on buybacks announced by companies in the IT sector has fallen significantly this year as other i...
このブログ左の参考図書の一つがHoward Marksの本です。初めてこの本を読んだ時、管理人は目からウロコが取れた思いでした。 Howard Marks: "We Had One Of The Most Violent Downdrafts I Had Ever Seen" by Tyler Durden Mon, 01/14/2019 - 09:28 Right around the market peaked on September 2018, Oaktree's iconic founder Howard Marks published a letter to investors in which he warned that the market conditions made it "a time for caution", to wit: 市場がピークを迎えた２０１８年９月ころ、Oaktreeの伝説的創業者 Howard Marksが投資家向けレターを発行した、この中で市場環境は「注意すべき時だ」と警告した、見てみよう： I’m absolutely not saying people shouldn’t invest today, or shouldn’t invest in debt. Oaktree’s mantra recently has been, and continues to be, “move forward, but with caution.” The outlook is not so bad, and asset prices are not so high, that one should be in cash or near-cash. The penalty in terms of likely opportunity cost is just too great to ...
