In der FINANCIAL TIMES bin ich über eine interessante Geschichte gestolpert. Den Rückgang der Finanzierung der Defizite der Amerikaner durch Europäer und Japaner. Es liegt an der geänderten Regulierung. Durchaus zu Recht könnte man sagen:
- “You know those bells that are supposed to never ring to signal a turn in the market? Well, they started ringing on September 27 and 28. On that Thursday and Friday, just before the end of the third quarter, the interbank market’s cross-currency ‚basis swap‘ for euros to US dollars rose by 30 basis points. In the same period, the cost of yen-dollar basis swaps went up by 46 basis points.” – bto: Das musste ich auch erstmal nachschlagen : → Was ist die cross-currency-basis und wie wirkt sie sich aus: Sie ist eine Messgröße für die Dollarknappheit am Markt. (…) Ausländische Anleger kaufen heute Dollars und geben sie in der Zukunft zurück, um das Dollar-Risiko abzusichern. Bei der Basis handelt es sich um die zusätzlichen Absicherungskosten, die zum Zinsdifferenzial zwischen den beiden Währungen hinzukommen.“
- “That was the end of foreigners paying for the US’s economic expansion. It also probably marked the end of the housing recovery. The effect of those changes in the basis swap rates was to make it uneconomic for European or Japanese investors to buy US Treasury bonds and hedge away the currency risk.” – bto: Im Studium habe ich gelernt, dass es per Definition nicht möglich ist, gehedged einen Mehrertrag zu erwirtschaften, weil die Zinsdifferenz sich im Unterschied zwischen Kassa- und Terminkurs widerspiegelt.
- Scheinbar aber doch, wie die FT erklärt: “That such trades were possible would appear to violate the ‚no-arbitrage principle‘ of financial economics, but then America usually gets a free lunch from the rest of the world. Foreign purchasers of US securities, particularly Treasury obligations, would arrange via their banks to have their Treasury holdings hedged through purchases of dollar derivatives. The foreign buyers’ banks, in turn, would acquire the dollars necessary to cover part of the hedge by setting up swaps with US banks. All this made it possible for non-US institutions to hold large bond positions that paid a positive rate of interest without incurring any foreign exchange risk. This may appear to be a sort of financial magic, but the foreign exchange risk did not go away. It just continued to grow as an irradiated part of the banks’ derivatives book that had been hidden in plain sight.” – bto: Also gibt es eben doch keinen Hedge, der die Zinsdifferenz nicht voll bereinigt.
- “According to a special report by the Bank for International Settlements, the ‚ missing‘ debt was in excess of the $10.7tn in cash market valuations. (…) the currency risk assumed by the foreigners lending this money had been principally covered by the US banking system, which had underestimated how dangerous this could be.” – bto: also ein verstecktes Risiko in erheblichem Umfang.
- “The BIS (…) said, ‚obligations incurred through FX swaps/forwards and currency swaps are functionally equivalent to secured debt‘. Earlier, the BIS had warned: “Even sound institutional investors may face difficulties. If they have trouble rolling over their hedges because of problems among dealers, they could be forced into fire sales.” – bto: das, was ich immer als Margin Call bezeichne.
- “Over the subsequent 12 months, the BIS study made its way around the regulatory community. Anecdotally, as the end of the third quarter of this year approached, the regulators leaning over the large banks’ trading desks indicated that it would be a good idea to cut back on all that swaps exposure. (.,..) Someone other than currency hedged foreigners will have to buy those bonds, along with the trillions more to be generated by the large and growing US deficits. It seems likely those new buyers, probably some US commercial banks, will need much higher rates to be tempted to bid at a time the Fed is unwinding its own positions.” – bto: also eine doppelte Liquiditätsverknappung.