Знакомьтесь, Брайен Сак. Занимает ключевую позицию в системе ФРС: возглавляет подразделение в ФРБ Нью-Йорка, которое непосредственно занимается проведением операций Феда на открытом рынке.
Рассказал об этом подразделении ФРБ Нью-Йорка в этом году подробно в статье:
Статья дает важное представление о том, насколько тесно взаимодействуют структуры Феда и первичные дилеры (крупнейшие банки)
Брайен Сак, несмотря на его малую известность, является очень крутым финансистом. Он осуществляет оперативное управление, в рамках директив Федрезерва конечно, крупнейшим в мире облигационным фондом (даже крупнее PIMCO) под названием SOMA (System Market Open Account), имеющим активы 2,65 трлн. долларов. Это активы Федрезерва США.
20 июля он выступил перед маркетмейкерами по поводу LSAP2 ( так в самом Феде называют программу QE2). В выступлении он оценил недавно завершившуюся программу QE2 и сделал несколько комментариев по поводу того, какой может быть будущая программа QE3.
Статья интересна тем, что показывает QE глазами высокопоставленного чиновника ФРС США, непосредственно исполняющего программу.
Здесь основные фрагменты его выступления
LSAP2 and the Federal Reserve's Balance Sheet
Let me start with a few facts. The FOMC decided at its November 2010 meeting to expand the amount of domestic securities held in the System Open Market Account (SOMA) portfolio by $600 billion by purchasing longer-term Treasury securities through the end of June 2011. Those purchases were in addition to ones already being made to reinvest the principal payments from SOMA holdings of agency debt and agency mortgage-backed securities (MBS) into longer-term Treasury securities. The purchase program was implemented by the Open Market Trading Desk (Desk) at the Federal Reserve Bank of New York.
To be sure, it was a busy period for the Desk. Over the life of the program, we conducted 140 outright purchase operations to meet the directive set out by the FOMC. That meant that we were active on nearly every day possible over that period. In those operations, the Desk bought $767 billion of Treasury securities, which included the $600 billion expansion of the portfolio and $167 billion of reinvestments. Our operations ranged in size from just over $1 billion to around $9 billion, with an average size of about $5.5 billion.
Those operations brought the amount of domestic assets held in the SOMA portfolio to $2.654 trillion. The current directive from the FOMC instructs the Desk to continue to reinvest the principal payments on all domestic assets held in SOMA into Treasury securities. Thus, the amount of assets held in the SOMA will remain at that level until the FOMC decides to change the directive.
Сак рассказывает, как напряженно трудилось возглавляемое им подразделение. Аукционы проводились практически каждый день. Всего портфель SOMA теперь составляет 2,654 трлн. долларов.
Of course, the portfolio at these levels is unusually large. In the absence of the asset purchase programs, the size of the SOMA portfolio would be around $1 trillion, as required to meet currency demand and other factors. Thus, the Federal Reserve has about $1.6 trillion of additional assets in the portfolio as a result of its asset purchase programs.
The SOMA portfolio also has different characteristics than it would have had in the absence of the asset purchase programs. Most notably, the overall duration of the SOMA portfolio at the end of June was over 4½ years, compared to its historical range of between two and three years.
Together, the larger amount and longer tenor of our securities holdings result in a considerable amount of duration risk in the SOMA portfolio, meaning that the market value of the portfolio is sensitive to movements in interest rates. One measure of this risk that is familiar to market participants is the concept of "10-year equivalents," or the amount of 10-year notes that would produce the same degree of overall interest rate risk. At this time, we have about $1.5 trillion of ten-year equivalents in the SOMA portfolio, which is about $1 trillion above the amount that we would have under our traditional portfolio approach. The majority of this additional risk came from the expansion of the balance sheet, but the extension of its average duration also contributed significantly.1
Transferring this additional duration risk to the Federal Reserve's portfolio, and hence out of the portfolios of market participants, was one channel through which the asset purchase program was intended to have its effect on financial conditions. This "portfolio balance" channel has been discussed by Chairman Bernanke on several occasions.2 This view associates the amount of policy stimulus with the stock of assets, or more precisely with the amount of duration risk, that the Federal Reserve takes onto its balance sheet.
Средний срок погашения бумаг в портфеле SOMA увеличился с обычного уровня 2-3 года до свыше 4,5 лет. Это наиболее важная характеристика портфеля.
Мерой риска портфеля для ФРС являются «10-year эквиваленты», т.е. портфель, условно приведенный к 10-летним бумагам. Сейчас он составляет 1.5 трлн. долларов, что примерно на 1 трлн. долларов выше обычного уровня.
Policy Achievements of LSAP2
The purpose of the asset purchase program was to help the Federal Reserve achieve the economic objectives of full employment and stable prices that it was given by Congress. I believe that the program delivered what could have been expected from it. In particular, let me highlight its success along two dimensions.
First, the LSAP2 program made broad financial conditions more accommodative. This conclusion can be drawn from the behavior of financial markets from late August 2010 to the program's implementation date in November 2010—a period during which market participants moved from seeing such a program as a remote possibility to expecting it with near certainty.3 Asset price movements over this period included a decline in real interest rates, a narrowing of risks spreads, an increase in equity prices, and a decline in the dollar—exactly the pattern that one would expect to be generated from additional monetary policy accommodation. These changes likely supported economic growth and the creation of employment relative to what would have been realized in the absence of the program.4
Second, the LSAP2 program appears to have raised inflation expectations from unusually low levels and reduced the threat of deflation. The downside risks to inflation had become quite threatening by last summer. Breakeven inflation rates had moved to levels that were well below those consistent with the FOMC's mandate, even for forward measures covering periods beginning several years ahead. In addition, the pricing of deflation risk, as computed by looking at Treasury inflation-protected securities with different amounts of accrued inflation, reflecting fairly substantial odds of deflation over the next several years.5 Since that time, though, breakeven inflation rates have risen back to levels more consistent with the FOMC's mandate, and the perceived risk of deflation has diminished notably.
One criticism that has been directed at the LSAP2 program is that it was unable to restore vigorous growth to the economy. I think this is a reasonable observation but not a strong criticism. It is true that the support to growth provided by the asset purchases appears to have been countered by other factors that have continued to weigh on growth. However, the LSAP2 program was never described as such a potent policy tool that it could ensure a return to robust growth and rapid progress toward full employment in all circumstances.6
Despite its limits, the expansion of the balance sheet was seen by the FOMC as the best policy tool available at the time, given the constraint on traditional monetary policy easing from the zero bound on interest rates. The willingness of the FOMC to use this tool is indicative of a central bank that takes its dual mandate seriously and does what it can to deliver on it. The disappointing pace of recovery that has been realized since then suggests that the additional policy accommodation provided by the LSAP2 program was appropriate.
Сак признает, что программа QE2 оказалась неспособна вызвать решительный рост в экономике. Но это обоснованное наблюдение не может служить сильной критикой.
Далее следует изумительный пример софистики: разочаровывающий темп восстановления экономики США как раз показал, что дополнительная политика количественного смягчения была вполне уместной.
Продолжение следует
