Zoltan Pozsar, unul dintre cei mai reputaţi specialişti în pieţele titlurilor cu venit fix şi a sistemului bancar din umbră, a avertizat recent că Federal Reserve va trebui să abordeze în curând problema temperării programului de relaxare cantitativă, în ciuda unor posibile reacţii “isterice” ale traderilor.
Într-o notă adresată clienţilor, preluată de Zerohedge, analistul de la Credit Suisse scrie că “utilizarea operaţiunilor reverse repo nu a fost niciodată aşa de mare în afara perioadelor de sfârşit de trimestru”, iar aceasta “înseamnă că băncile nu mai au spaţiu bilanţier pentru stocarea unor rezerve şi mai mari la actualele diferenţiale de dobândă”.
De asemenea, “utilizarea agresivă a operaţiunilor reverse repo arată că şi băncile străine din SUA se sufocă sub presiunea rezervelor excedentare”, mai arată Pozsar în analiza sa.
O tranzacţie “reverse repo” (Reverse Repurchase Agreement) derulată între o instituţie financiară şi banca centrală presupune vânzarea temporară a unor titluri către instituţia financiară, de obicei obligaţiuni guvernamentale, de către banca centrală în schimbul numerarului şi răscumpărarea lor ulterioară.
Lichiditatea din sistemul bancar american a crescut exploziv în ultimul an, pe fondul extinderii agresive a programului de relaxare cantitativă, şi a ajuns la 3,9 trilioane de dolari. De la declanşarea pandemiei, Federal Reserve a cumpărat prin tipărire obligaţiunilor guvernamentale cu o valoare medie lunară de circa 120 de miliarde de dolari.
Achiziţia de obligaţiuni guvernamentale prin tipărire a avut printre efecte şi creşterea deficitului de obligaţiuni guvernamentale de pe piaţă şi crearea unor probleme semnificative pe pieţele repo.
Prin operaţiunile reverse repo este retrasă lichiditate din sistemul bancar şi sunt puse în circulaţie obligaţiuni guvernamentale, astfel încât să fie asigurat necesarul de colateral pentru operaţiunile repo.
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Federal Reserve Bank of New York, divizia prin care sunt derulate operaţiunile de piaţă ale Federal Reserve, a anunţat în martie 2021 că limita de contrapartidă pentru operaţiunile reverse repo se majorează la 80 de miliarde de dolari, după ce a fost menţinută la 30 de miliarde din 2014.
În aceste condiţii, volumul operaţiunilor reverse repo a crescut puternic în ultimele săptămâni, până la un maxim al ultimilor trei ani şi jumătate (vezi graficul).
Cele mai recente date de la FRBNY arată că valoarea operaţiunilor reverse repo a urcat până la 294 de miliarde de dolari în 19 mai 2021, în creştere de la circa 243 de miliarde în ziua precedentă. Numărul contrapartidelor care au cerut obligaţiuni guvernamentale a crescut de la 36 la 43.
După cum scrie Wall Street Journal, “operaţiunile reverse repo, prin care Fed-ul preia cash de la companiile financiare eligibile, au ca scop stabilirea unui prag minim pentru dobânzile pe termen scurt şi susţinerea dobânzii de politică monetară, care variază în prezent între 0% şi 0,25%”.
“Sistemul financiar din SUA geme tot mai tare sub povara rezervelor suplimentare create de Fed prin QE”, subliniază Zerohedge pe marginea analizelor lui Zoltan Pozsar şi evidenţiază un posibil efect catastrofal al continuării programului de relaxare cantitativă la parametrii săi actuali. “Mai devreme sau mai târziu va realiza cineva că achiziţiile lunare de sute de miliarde ale Fed-ului şi operaţiunile repo ulterioare nu înseamnă decât monetizarea directă a datoriei publice”, se arată în articolul de la Zerohedge, iar “consecinţele pentru randamente şi dolar ar putea fi dezastruoase”.
Este greu de crezut că nimeni nu a avut o astfel de “revelaţie” până acum. Mai plauzibil ar fi faptul că nimeni nu îndrăzneşte să spună că “împăratul este gol”, cu speranţa că acest “echilibru al terorii” se va menţine pentru încă mult timp.
Scott Skyrm, vicepreşedintele responsabil cu operaţiuni repo şi tranzacţii cu obligaţiuni la Curvature Securities, a subliniat ironia situaţiei în care se află Federal Reserve: “Fed-ul scoate obligaţiuni guvernamentale de pe piaţă prin relaxarea cantitativă şi le trimite înapoi prin operaţiuni reverse repo”.
Skyrm afirmă că astfel de operaţiuni distorsionează puternic piaţa repo şi “deşi Fed-ul poate rezolva această aberaţie prin creşterea unor dobânzi de politică monetară cum sunt IOER sau a celor pentru operaţiuni reverse repo, până acum a refuzat să facă acest lucru”. IOER (Interest rate On Excess Reserves) reprezintă dobânda plătită pentru rezervele excedentare constituite de băncile comerciale în conturile lor de la Federal Reserve şi este în prezent de 0,1%.
Oare se va ajunge în situaţia în care cea mai importantă bancă centrală din lume va fi forţată să acţioneze asupra dobânzilor pentru a nu risca să devină irelevantă?
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