Erste Zeichen für Stress im Finanz­system?

John Dizard ist einer meiner Lieblingsautoren bei der (FINANCIAL TIMES) FT. Immer wieder blickt er deutlich weiter und beleuchtet Aspekte, die andere übersehen. So auch heute, wo er auf einen möglichen Indikator für Stress im Finanzsystem hinweist:

  • At the beginning of this month, major financial market participants trading in the US Treasury bond markethad difficulty meeting the demands for collateral made by their counterparties. The alarm bell was reported in the Federal Reserve Bank of New York’s Primary Dealer Statistics, in the weekly report for ‘ails’ for US Treasury securities. A ‘fail’ occurs when a market participant breaks a promise to receive or deliver securities when they are obliged to do so.“ – bto: Das bedeutet zum Beispiel, dass das Kollateral knapp ist oder aber, dass der Schuldner nicht mehr kreditwürdig für das Kollateral ist, welches er sich beschaffen muss.
  • In the week ended April 6, there were a total of $507bn in fails reported by the primary dealers, a sharp rise from $358bn in the previous week ended March 30. The level fell back down again to $275bn in the subsequent week and was far below the $5.3tn peak of fails seen in one October week in the 2008 financial crisis. But the jump this month was notable — the highest level of fails since March 2020.“ – bto: Das bedeutet, dass es Stress im System gibt. Das kann auch schon eine Folge der Verknappung von Geld durch die Fed sein.
  • Fails occur for a variety of reasons. One source of fails is miscommunication. (…) Or (…) there can be ‘operational problems’, such as those arising after the September 11 2001 terrorist attacks. (…) But the fails reported this April go beyond a burnt out piece of equipment or a mumbled order or two. There are a number of disincentives for controlling the size and number of fails. After the massive settlement problems of the financial crisis, a charge on fails was introduced in May 2009 of up to 3 per cent of the trade value. (…) That adds up when you are looking at tens or hundreds of billions of dollars.“ – bto: Es gibt also einen starken Anreiz, ‘Fails’ zu verhindern, was wiederum bedeutet, dass es wirkliche Probleme gibt.
  • Part of the dealers’ problem in early April was a recent significant cutback in the US Treasury’s issuance of short-term bills, particularly the four-week bills that are the most liquid form of collateral for other transactions. (…) As the Treasury has been borrowing less to cover stimulus payments and extra pandemic-related costs, its debt managers have been rebalancing the profile of its securities issuance by selling fewer short-term bills. (…) This prudent debt management, however, does not take into account the greater utility of Treasury bills as collateral because their prices are the least vulnerable in a rate-rising period.“ – bto: Das wiederum ist nur ein technischer Grund, der nicht dazu führen muss, dass es zu Problemen im Finanzsystem kommt.
  • Primary dealers can take advantage of their direct participation in Treasury auctions to obtain lots of bills. Then lesser market players, such as highly levered private equity funds, or the giant commodities trading houses, can rent the bills for a fee to be posted as margin with clearing houses against volatile energy, interest rate or foreign exchange contracts. The primary dealers demand other collateral in return for lending the Treasury bills, most frequently in the form of lower-rated or less liquid securities such as corporate bonds. This process is known as ‘collateral transformation’, a way to turn chicken droppings into chicken salad, so to speak.“ – bto: Eigentlich harmlos, dennoch klingt das Ganze etwas besorgniserregend, wenn man bedenkt, welche Folgen Unfälle im Finanzsystem haben können.
  • Unfortunately, sometime in the days leading up to April 6, a very large amount of the lower-rated collateral was apparently devalued, according to my market contacts. When that shock was combined with the tightness in the bill supply, you had a collateral squeeze. As a 2017 New York Fed paper puts it: ‘Large and protracted settlement fails are believed to undermine the liquidity and well-functioning of the securities market.’ As one bond market expert tells me, ‘This is not yet at the level of October 2008, when there were $5tn in fails. But something is broken.’“ – bto: Ich nehme es mal als Wetterleuchten.

Dizard ist mit seinen Warnungen nicht allein. In der aktuellen Ausgabe geht der Economist auf die Risiken ein, die sich aus der Politik der US-Fed ergeben:

  • The Fed is the single largest holder of Treasuries—its balance-sheet is where many of those securities have found their permanent home. Thanks to bond-buying schemes put in place to ease monetary conditions during the pandemic, the Fed now holds some $5.8trn-worth of Treasuries, a quarter of the $23.2trn-worth the government has issued. On May 4th, however, Jerome Powell, the chairman of the Fed, said it would start shrinking this giant portfolio, a process known as ‘quantitative tightening’ (qt), in June. The reversal could spark a repeat of the temporary, yet troubling breakdowns that the world’s most important financial market has suffered in recent years—on a bigger scale.“ – bto: Es gibt offensichtlich Auswirkungen einer restriktiveren Politik. Das Angebot muss also wachsen.
  • „(…) the Fed will reduce its balance-sheet not by actively making sales, but by letting bonds that have reached the end of their lives mature without buying a new bill or bond to replace them. By September, if all has gone to plan, the Fed’s portfolio will be shrinking by $95bn a month, split between $60bn of Treasuries and $35bn of mortgage-backed bonds. At that pace the Fed’s balance-sheet will shrivel by more than $1trn over the next year.“ – bto: Das bedeutet, dass das Angebot an neuen Papieren – der Staat schuldet bekanntlich nur um –, von anderen aufgenommen werden muss.
  • Estimates of the effect of bond-buying on the cost of money vary—but any downward pressure on interest rates exerted as the Fed bought up Treasuries is likely to be reversed as its holdings start to ebb. Two-year Treasury yields have already climbed from 0.8% in January 2022 to 2.7% as investors have come to expect quicker balance-sheet shrinking and faster rate increases.“ – bto: Das haben wir gestern diskutiert.
  • It is also possible that qt will cause the Treasury market to malfunction—the second reason for concern. (…) A series of episodes—including the ‘flash rally’ of 2014; stress in the repo market in September 2019; and the covid-19 shock of March 2020, in which the Treasury market in effect ceased to function for periods of time—have created serious doubts about how robust the Treasury market is.“ – bto: Das wurde auf bto ebenfalls schon besprochen. Vor allem der Stress im Repo-Markt vor Corona war damals ein Zeichen für Stress im System.
  • „(…)the deeper issue (…) is that the Treasury market ‘has grown out of its waist size’. A combination of financial-crisis stimulus, fiscal deficits under President Trump and pandemic-era splurge have caused the Treasury market to grow nearly five-fold since 2007. At the same time fresh regulation imposed on investment banks, which are the main conduits in Treasury markets, such as the introduction of the supplemental-leverage ratio, which measures the total size of bank assets relative to the amount of capital they hold, has restricted their ability to facilitate Treasury-market activity. (…) the Group of Thirty (…) warned that ‘the aggregate amount of capital allocated to market-making by bank-affiliated dealers has not kept pace’ with its lightning growth.“ – bto: Es gibt zu viel Material im Markt, aber nicht ausreichend Kapazität für die Market Maker.
  • Liquidity in the Treasury market is already thinning: the ‘yield error’ captured by the Bloomberg Treasury liquidity index, which measures the difference between the yield a Treasury is traded at and a measure of fair value, is 12% higher than it was in January. It has more than doubled since August 2021.“ – bto: Auch das sind Zeichen für kommende Probleme.


Die Liquiditätsflut hat seit Jahren die Probleme an den Finanzmärkten, die sich aus dem immer größeren Leverage ergeben müssen, kaschiert. Der Versuch, die Märkte auf Entzug zu bringen, muss zwangsläufig zu Problemen führen. (Anmeldung erforderlich): „Stress emerges again in Treasuries market“, 30. April 2022 (Anmeldung erforderlich): „The Fed’s balance-sheet is about to shrink. Wall Street is not ready“, 7. Mai 2022