Let me now switch from the policy objectives of the LSAP2 program to its implementation by the Desk. The FOMC set the broad parameters of the asset purchase program based in part on input from the Desk on our capacity to conduct operations and the market's capacity to absorb them. In particular, we wanted to complete the asset purchases in a timely manner, but we also wanted to ensure that the pace of purchases was not so rapid as to disrupt the functioning and liquidity of the Treasury market. In the end, I believe the program struck a good balance between these two considerations. I would like to recognize the staff on the Desk for their valuable input to the operational design of the program, as well as the effective implementation of the program over the last eight months.
Our presence in the market was sizable. Over the course of the program, our purchases ran at about the same pace as the total net Treasury supply coming to the market. Moreover, with the completion of the program, the SOMA portfolio holds about 18 percent of the outstanding stock of Treasury securities. Our share of the market is even higher at intermediate maturities, where our purchases were concentrated.
Брайен Сак признает, что во время программы объем покупок практически соответствовал объемам их выпуска Казначейством. В настоящий момент Федрезерв удерживает порядка 18% всего объема ценных бумаг Казначейства.
Part of the challenge to the Desk was to structure our operations in a manner that would allow the market to absorb such a large volume of purchases. Several features of the program's design may have helped to promote robust participation by market participants, including the decisions to relax the 35 percent limit on SOMA holdings of individual issues and to include recently issued securities in the range of eligible issues in nearly every operation. These features allowed our counterparties to offer us a wide range of securities at each operation. In the end, dealers participated aggressively, with an average offer-to-cover ratio of over 3.5. Moreover, we managed to execute these purchases at prices that were, on average, at or very near the indicative quotes on these securities that we collect as a pricing reference.
In addition to focusing on the performance of our operations, we have also monitored measures of liquidity in the Treasury market. The market seems to be functioning well despite our sizable presence. Measures such as bid-ask spreads, quote depth, and trading volumes have held relatively steady at favorable levels over the life of the program. Indeed, there are no signs that trading activity has been notably impaired for Treasury coupon securities, even in those issues for which our holdings are particularly high.7 Moreover, the market has not encountered any meaningful problems with delivery and settlement of Treasury securities.8
Lastly, I should note that the market seems to have adjusted fairly well so far to the end of the purchase program. The pace of the Desk's purchases fell back sharply at the end of June, as we moved from expanding the portfolio to simply reinvesting principal payments. In particular, our purchases slowed from an average pace of about $100 billion per month through June to an anticipated pace of about $15 billion per month going forward. We do not expect this adjustment to our purchases to produce significant upward pressure on interest rates or a tightening of broader financial conditions, given our view that the effects of the program arise primarily from the stock of our holdings rather than the flow of our purchases. While there has been considerable volatility in Treasury yields over the past several weeks, we attribute those movements primarily to incoming economic data and to broader risk events. However, we will continue to watch the markets and assess their adjustment to the end of the purchase program.
Брайен Сак не считает, что прекращение покупок вызовет рост процентных ставок. Он считает, что воздействие подобных программ прежде всего связано с размером SOMA, а не с самими покупками.
Он признает рост волатильности после прекращения программы, но считает, что это не связано с уходом Феда, а вызвано экономическими данными и прочими событиями.
И наконец самый важный раздел: Будущая эволюция портфеля SOMA
Future Evolution of the SOMA Portfolio
While I am sure you are happy to hear more about our actions to date, I realize that you may be even more interested in the evolution of the SOMA portfolio going forward. Just to be clear, I will not be saying anything about the likelihood of prospective policy actions beyond what has been conveyed in FOMC communications. However, I would like to make a few points about the portfolio under those prospective actions.
As noted earlier, the current directive from the FOMC is to reinvest principal payments on the securities we hold in order to maintain the level of domestic assets in the SOMA portfolio. This approach can be interpreted as keeping monetary policy on hold. Indeed, one can generally think of the stance of monetary policy in terms of two tools—the level of the federal funds rate, and the amount and type of assets held on the Federal Reserve's balance sheet. The FOMC has decided to keep both of these tools basically unchanged for now.
Given the considerable amount of uncertainty about the course of the economy, market participants have observed that the next policy action by the FOMC could be in either direction. If economic developments lead the FOMC to seek additional policy accommodation, it has several policy options open to it that would involve the SOMA portfolio, as noted by Chairman Bernanke in his testimony last week. One option is to expand the balance sheet further through additional asset purchases, with the just-completed purchase program presenting one possible approach. Another option involves shifting the composition of the SOMA portfolio rather than expanding its size. As noted earlier, a sizable portion of the additional risk that the SOMA portfolio has assumed to date came from a lengthening of its maturity, suggesting that the composition of the portfolio can be used as an important variable for affecting the degree of policy stimulus. Lastly, the Chairman mentioned that the FOMC could give guidance on the likely path of its asset holdings, as the effect on financial conditions presumably depends on the period of time for which the assets are expected to be held.
В случае необходимости дальнейшего количественного смягчения у Феда есть два варианта. Первый – продолжить увеличение баланса путем дополнительных покупок облигаций. Второй – сдвиг в композиции портфеля вместо того, чтобы его увеличивать.
Как было отмечено ранее, значительная часть дополнительного риска связана с увеличением сроков погашения, а не с увеличением размера портфеля.
Таким образом Брайен Сак косвенно подтверждает высказанное не так давно предположение Билла Гросса, что следующая программа QE будет сосредоточена на покупке US Treasuries близких сроков погашения – 2-3 летних. Это как раз и будет способствовать изменению композиции портфеля.
Мне не совсем понятно, почему Сак так много говорит о риске, cвязанном с SOMA. Существует риск, что американское государство не расплатиться с Федом? Ну и что? Спишет он эти потери через какое-то время. Он же не обанкротиться в самом же деле. Ведь все эти операции всего лищь перекладывание из одного кармана в другой.
Далее Брайен Сак описывает, как может осуществляться выход из QE
Alternatively, economic developments could instead lead to a policy change in the direction of normalization. The FOMC minutes released last week provided valuable information on the sequence of steps that might be followed in that case. The minutes indicated that the removal of policy accommodation was expected to begin with a decision to stop reinvesting some or all of the principal payments on assets held in the SOMA. If all asset classes in the SOMA were allowed to run off, the portfolio would decline by about $250 billion per year on average over the first several years.
Under the interpretation of the policy stance noted earlier, this shrinkage of the balance sheet would amount to a tightening of policy.9 However, one should realize that this step represents a relatively gradual and limited policy tightening. Indeed, using the mapping that has been discussed by Chairman Bernanke, this path for the balance sheet would, in terms of its effects on the economy, be roughly equivalent to raising the federal funds rate by just over 25 basis point per year over the course of several years.
Если событиям будет позволено идти своим чередом, то портфолио будет снижаться на 250 млрд. долларов ежегодно в течение ближайших нескольких лет. Это, по мнению чиновников ФРС, это будет соответствовать повышению ставки федеральных фондов на 25 пунктов ежегодно.
The minutes also described asset sales as part of the strategy, indicating that this step would likely occur relatively late in the normalization process. From the perspective of the balance sheet and the stance of monetary policy, sales accomplish the same thing as redemptions, as they also shrink the balance sheet over time. The minutes indicated that such sales are likely to be gradual and predictable, which makes them even more similar in nature to redemptions.
Together, the combination of asset redemptions and asset sales, once underway, should put the size of the portfolio on a path to a more normal level over several years. Thus, they represent an important part of the normalization of the policy stance. However, if the approach follows the gradual and predictable path described by the minutes, one can think of this adjustment as a relatively passive part of the policy tightening. In these circumstances, adjustments to the federal funds rate would generally be the active policy instrument, responding as needed to economic developments.10
The sequence of policy steps described in the minutes indicates how the size of the SOMA portfolio is likely to be normalized. However, simply reducing the size of the portfolio would still leave its duration at historically elevated levels. The FOMC might decide it was happy with this outcome, or it could decide at some stage to renormalize the duration of the portfolio as well. Depending on the precise timing of the steps that will occur in the exit sequence, there will likely be opportunities to do so. For example, there is a good chance that the Desk will still be selling MBS at the time when the SOMA portfolio gets back to its normal size.11 In such circumstances, the Federal Reserve would have to then engage in sizable Treasury purchases to offset the ongoing sales of MBS and to expand the SOMA portfolio as needed to meet currency demand and other factors. This period of Treasury purchases would allow the FOMC to rebuild its Treasury portfolio with the maturity structure that it sees as optimal.
При уменьшении портфеля Фед очень вероятно будет заменять погашаемые MBS трежерями, а также будет проводить их покупки таким образом, чтобы изменить структуру сроков погашения US Treasuries в сторону уменьшения.
Знакомьтесь, Брайен Сак. Занимает ключевую позицию в системе ФРС: возглавляет подразделение в ФРБ Нью-Йорка, которое непосредственно занимается проведением операций Феда на открытом рынке.
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.
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.
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