“The Repo-Crisis of September 2019”

Georg Erber, der Autor dieses Beitrages hat mich darauf hingewiesen. Er beschäftigt sich eingehend mit dem – wie ich es an dieser Stelle genannt habe → „kleinen Margin Call” an der Wallstreet:

Dabei bettet er die Ereignisse in einen breiteren Kontext, was ich sehr interessant finde. Zunächst aber nochmals die Erklärung, um was für einen Markt es sich bei dem Repo-Markt eigentlich handelt:

• “The repo market is pivotal to other financial markets, particularly those in bonds and derivatives, as it is the main source of financing for dealers. Repo, being a collateralized loan provides a secure means of lending and, for borrowers, an economic means of leverage. (…) they offer easy access to liquidity for commercial dealers in particular in need to short- term liquidity (…) Against a fee (…).” – bto: im Prinzip also eine kurzfristige Beleihung von Wertpapieren, die als Sicherheit hinterlegt werden.  
• Die Fed hat früher an dem Markt teilgenommen, macht dies aber wie andere Zentralbanken nicht mehr, seitdem wir uns im Umfeld von Quantitative Easing, also dem Aufkauf von Wertpapieren, befinden: “QE of the Fed became a substitute for short-term interventions in the money market by the central banks instead of acting in time of stress in the money market as lender of last resort. Additionally the Fed and other central banks like e.g. the ECB introduced a policy of forward guidance to give financial markets an orientation to avoid miscalculations.” – bto: Stellt sich die Frage, weshalb das nicht mehr funktioniert.
• “The nominal value of the asset can be offered as collateral with a haircut, i.e. a reduced value by x% to avoid losses for the repo buyer in case the contract fails due to the counter party to fulfill its promises to take back the asset as according to the repo agreement.” – bto: Man beleiht also nicht 100 Prozent, sondern hat eine Marge zur Sicherheit.
• “However there is currently a liquidity squeeze in other parts of the world as well. One huge problem to the global financial system relates to so called phantom investments. (…) new IMF research indicating that in one of those dark corners sits an astonishing $15 trillion in worldwide FDI – phantom investments that pass through empty corporate shells that have no real business activities – equivalent to the combined annual GDP of economic powerhouses China and Germany.” – bto: Abgesehen davon, dass es sich vermutlich um groß angelegte Methoden handelt, um Steuern zu sparen, macht die intransparente Struktur solcher Investmentvehikel natürlich anfällig für Krisen. Schnell ist das Vertrauen weg und die Finanzierung wird problematisch.
• “The key problem is the unwinding of the Feds balance sheet which (…) led to the new outbreak of chaos at the repo market. The only remedy of the recent liquidity crunch the Fed knew was to return to an emergency QE again. (…) it is (…) the submission of the Fed to market forces which give it no other chance to stabilize the market by doing QE again. In principle the Fed is riding a tiger not knowing where he will take it in the end.” – bto: Das ist dann allerdings doch ein Warnsignal, weil es zeigt, dass die Liquidität im Markt nicht mehr ausreichend war, was darauf hindeutet, dass eben etwas nicht stimmt.
• “Another key problem is that the Fed is not only the lender of last resort to the US but with the US Dollar as the key reserve currency in the world, (…) as lender of last resort for the global financial system as well. However, this poses the problem of Triffin’s dilemma for its monetary policy. The needs of the domestic financial markets must not be consistent with the needs of the global financial markets of the rest of the world.” – bto: Das wird dann ein Problem, wenn die Fed mehr tun muss und dafür die Genehmigung des Finanzministeriums benötigt. Es kann es gut sein, dass diese an Konzessionen anderer Art geknüpft wird oder ganz ausbleibt. Dann haben wir ganz andere Probleme.
• “One possible source of the liquidity shortage in September could be related to the huge federal deficit (…) Primary market bond dealers take those government bonds and trying to sell it to buyers in the secondary market, i.e. pension funds or insurance companies etc. (…) If they cannot sell these bonds in due time they face a liquidity shortage and can try to obtain liquidity instead via the repo market.” – bto: Also schwappt die Liquiditätsnot von einem Markt in den anderen. Das ist normal, erklärt aber auch das synchrone Verhalten von Märkten in Zeiten von Stress.
• “At the same time due to the trade conflict China has began to reduce its US government bond holdings putting additional pressure on the US money and capital markets. If this assessment is correct there is no foreseeable changes in the near future in the US repo market. It is not a short-term mismatch, but signals instead a persistent crowding-out effect of the US money markets due to the dramatically increasing deficits. It is therefore no surprise that many US economist and politicians become addicted to a new approach of modern monetary theory (MMT).” – bto: Das stimmt. Aber es hat einfach damit zu tun, dass wir uns in der ökonomischen Eiszeit befinden und es nur mit immer radikaleren Maßnahmen gelingen wird, den deflationären Druck der Schulden aufzuschieben.
• “(…) the major central banks have expanded their balance sheets dramatically via QE after the Great Recession. The excess liquidity was absorbed by capital markets in particular in real estate and equities. (…) the wealth increases were primarily benefitting the happy few at the top 1% of the wealth distribution. They cannot spend enough to have a significant impact on consumer prices. This however raises the (…) problem of phantom investments (…).” – bto: Natürlich, denn das Geld wird nicht produktiv verwendet oder ausreichend ausgegeben.
• “(…) the indebtedness of private households leads to a fragility of the financial system which cannot cope with major future economic downturn. It would under such circumstances make the past Great Recession of 2008 look tiny. It is these subconscious worries about the uncertain future which significantly contribute to the fragility of the global financial system. There is an understanding that the current debt driven growth trajectory is unsustainable in the end. (…) people are looking for safe havens in case the mega-financial bubble would go bust at some time in the future.” – bto: wie die Leser dieser Seiten. Immer wieder stellt sich doch hier die Frage, wie man sich mit Blick auf dieses Szenario aufstellen soll. Was auch damit zusammenhängt, dass es mit dem Timing so eine Sache ist und wir nicht wissen, ob es der deflationäre Kollaps ist oder doch die erfolgreiche Inflationierung.
• Er verweist dann noch auf (missglückte) Spekulation als weitere Ursache für die Spannungen am Repo-Markt: “(…) the US yield curve inverted already before September 2019. This was due to the fact that the Fed was trying to unwind is balance sheet and has raised the federal fund interest rate (…) This created speculation in the financial markets that the Fed might reduce the federal funds rate much more (…) It made sense under such circumstances to buy large amounts of government bonds before and finance this by repos in the repo market. (…) This speculation failed however when the Fed reduced the federal interest rate only by a quarter percent instead more (…)  Since they had bought the bonds on credit via repos they needed liquidity to fulfill their repo obligations in the following days. Overnight the repo interest rate jumped to about 10% (…).” – bto: Das zeigt nur zusätzlich, wie die Politik des billigen Geldes und der anhaltenden Rettungen von Spekulanten dazu geführt hat, dass immer größere Risiken eingegangen werden.
• “The repo market crisis laid bare a problem in the institutional design of the repo market. (…) JP Morgan stopped to offer liquidity at a time when it was needed most. Instead is kept it inside the bank to stabilize its own balance sheet. The fed had to step in as lender of last resort. This reminds to the situation of AIG during the Great financial and economic crisis. AIG was unable fulfill its obligations as reinsurance for securitized assets at the time of a systemic crisis.” – bto: Die Banken verdienen in guten Zeiten und ziehen sich bei Problemen zurück. Rationales Verhalten, dem man nur durch Regulierung und durch eine Rückgabe des Risikos begegnen kann.

→ researchgate.net: “The Repo-Crisis of September 2019”, Oktober 2019