Matt King: This Is The Real Reason Behind The Blow Out In Libor-OIS

Two weeks ago when discussing the ongoing blow out in Libor, which today again rose to 2.3246%, up 0.38% on the day, the highest since November 2008 and higher for the 39th consecutive day, the longest streak since November 2005, we said that contrary to the generally accepted theory that "all is well", and that the move is purely technical as a result of a glut in T-Bill supply and cash repatriation, the real reason behind the Libor has to do with an overall dollar funding shortage and generally tighter financial conditions, which was also observed in the sharp move wider in bank CDS.

两个星期以前我们谈到 Libor利率正在出现的大涨，今天 Libor再次上涨涨到2.3246%，与两周前相比涨幅为0.38%，创下自2008年11月以来最高位，也是连续第三十九天上涨，为2005年11月以来持续时间最长的上涨走势。我们说过，与市场上普遍接受的认为目前的市场“岁月静好”以及Libor的大幅上涨纯碎是由于短期美国国债供应过剩和海外美元回流等技术性的因素等观点不同的是，Libor大涨背后真正的原因是美元融资整体性的短缺和融资方面普遍紧张的状况，这一点可以通过各家银行信用违约掉期水平的迅速走阔得到验证。

A key indication that this "less than benign" version of events is the right one, is that while the T-Bill glut is now over and there is little excess supply on the short end, Libor continues to rise.

显示事态“情况不妙”的一个很重要的迹象是，现在短期美国国债发行高峰期已过，短期国债大量发行的情况不再持续，但 Libor利率还在持续上升。

Incidentally, those wondering where it is today, after blowing out to a post-crisis wide of 60bps, the L-OIS spread just hit new post-crisis highs, just shy of 60bps.

此外，对于那些想知道今天事态如何的人来说， 在Libor利率创下2008年金融危机后最高水平后， Libor-OIS利差也就是 Libor与隔夜拆放指数互换率之间的利差在也创下2008年金融危机后的最高点，仅略低于60个基点。

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A second indication is that as we noted previously, Citi's iconic credit manager, Matt King, agreed with the "Plan B" explanation, and as we discussed, said that the sharp move in both Libor and L-OIS is the function not of technicals, but a byproduct of Fed tightening, a much more structural - and precarious - explanation for what is really going on as it suggests that the Fed is stuck and any further tightening would result in financial contagion, and a potentially disastrous dollar short squeeze.

另一个迹象是正如我们以前所提到的，花旗银行在信用管理方面的偶像人物，Matt King，认为存在第二种解释，就像我们谈论过的一样，Libor利率和Libor-OIS利差双双大幅走高不是技术性因素造成的，而是美联储紧缩货币政策的结果，这个更倾向于结构性的因素，不太有说服力的解释了真正发生的情况是，美联储正处在进退两难的境地，进一步加息有可能造成金融风险蔓延，以及有可能出现灾难性的美元短缺的风险。

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We bring this up because earlier today Matt King made a very rare TV appearance on CNBC, in which he once again explained to the numerous overnight Libor experts and macro tourists what is really the catalyst behind the Libor and LOIS move:

我们提到这个话题的原因是今天Matt King相当罕见地在CNBC电视台露了一回，在节目中他面对众多的隔夜美元拆借Libor利率方面的专家和宏观分析师再次解释了Libor利率和Libor-OIS利差波动的真正原因是什么。

"what we are seeing is relatively modest withdrawals from the central banks suddenly have broader consequences than the central banks have been anticipating, and that therefore does constitute a greater tightening as if we had two extra Fed hikes more than they were anticipating.So far it is not systemic, yes we are not worried about banks falling over in the same way as 2008 or even 2012. At the same time, we would expect a broadening out of the stresses, or the tensions, beyond where they are at the moment. So far it's just Libor-OIS it's not cross-currency bases, and yet there are reasons to think that as the Fed drains excess reserves from the system, we will see that tension broaden out."

“我们正在目睹的情况是各家央行相对而言比较温和地退出宽松货币政策的举措对市场产生的影响突然之间比央行预测的情况更大，因此形成了更大的货币紧缩程度，似乎我们认为联储加息的次数比预期的要多两次。迄今为止还没有产生系统性的影响，是的，我们没有担心银行会像2008年甚至2012年一样陷入困境。与此同时，我们应会预测资金紧张状况会进一步恶化，超过现在的程度。到目前为止，出现大涨的只是Libor-OIS的利差而不是交叉货币互换的基差，但是有理由相信由于联储从联储体系中抽走超额储备金，我们将看到美元资金紧张程度进一步加深。”

This is a continuation of the point King made two weeks ago when the Citi credit strategist said that the level of reserves has been a direct determinant of stress in money markets – the cross-currency basis in particular, where a $200bn reduction in reserves has added about 10bp to the 5y €/$ basis, and where moves in the $/¥ basis have if anything been larger still. However, as Citi calculated over the next few months the level of excess reserves in the system is set to slide, dropping by around $300 BN over the next 3 months, which will pressure not only Libor-OIS but the various cross-ccy bases which have so far been untouched.

这是King两周以前观点的持续，当时这位花旗银行的信用分析师说存款储备金的总额直接决定了货币市场上美元的紧张程度，尤其是交叉货币互换的基差水平，存款储备金总量减少2000亿美元会造成5年期欧元/美元的货币互换基差上升10个基点，如果存款储备金总量减少的程度再大一点的话，会让美元/日元的货币互换基差也出现上升。但是，花旗的测算结果显示未来几个月存款储备金总额会降低，未来三个月会下降大约3000亿美元，这不但会对Libor-OIS的利差构成压力而且会对迄今为止远未受到波及的各货币对的交叉货币互换基差水平形成压力。

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Matt King picks up on this topic this morning, and while skipping T-Bill issuance or tax repatriation as catalysts, says that the level of Fed excess reserves is to him "the most significant long-term driver: you are draining reserves which just increased to $30BN a month, and then you will increase to $40BN a month next quarter and that exerts a steady pressure here.

在今天早上的节目中Matt King重温了这个话题，他不认为短期美国国债的发行或税改法案引发的美元回流是美元融资紧张的根源，而是认为对他来说，美联储超额存款准备金的总量才是造成美元短缺的最主要的长期因素，造成美元短缺的最主要的长期因素，当超额准备金刚刚在一个月里增加到300亿美元，你就把它抽干了，然后下个季度里你得把超额准备金增加到每个月400亿，这就构成了持续不断的压力。

"So to date, the pressure yes was a shift in tax reform and how corporate treasurers are investing, but the trouble is that's not going away, that's a structural shift and we have this second structural shift from the Fed."

“所以到目前为止，这个压力来自于税改所带来的变化以及大公司的司库部门如何投资，但麻烦是这个问题不会就此消失，这是个结构性的变化，这是美联储带来的第二个结构性变化。”

King concludes with a discussion of a topic we first touched upon in February, namely the surging debt hedging costs as a result of the blow out in Libor-OIS, and how much more expensive it has become for foreigners to purchase US Treasurys and corporate debt on a hedged basis.

King在总结的时候谈到我们在二月份首次触及的话题，也就是 Libor-OIS利差大涨造成外国投资者投资美国债券的对冲成本水涨船高，以及外国投资者在投资美国国债和美国公司债的同时对汇率风险进行对冲的成本会高到什么程度。

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Commenting on the sharp rise in hedging costs, King says "that is a major concern to us" and explains why:

在谈到对冲成本的大涨时，King说道：“这对我们来讲是重要的关注问题”并且解释到：

"80% of net buying in US credit over the last year came from foreigners and mutual funds. They've both just stopped for the last couple of months and everyone is hoping that they resume but that foreign bid - if you their Japanese investor - your hedged cost has gone from 2.50% to 2.75% and you know they will increase with each and every Fed hike and therefore suddenly US credit doesn't look attractive and we're not convinced you're going to get a rebound there which is a big global negative."

去年美国信用债净买入量中有80%是由外国投资者和共同基金买入的，这两类投资者在过去几个月里均不再买债，每个人都希望他们重新买入，但是外国的买盘，如果你是日本投资者的话，会发现你的对冲成本从相当于本金的2.5%涨到了2.75%，而且你知道对冲成本还会随着美联储的每一次加息继续上涨，所以，突然之间美国的信用债看上去没那么诱人了，我们不认为存在巨大的全球性利空因素的情况下美国债市会出现反弹。

Indeed, because without foreign buyers at a time when the Fed is hiking rates and when the US is set to double its Treasury issuance and sell a net $1 trillion in debt this year, it is increasingly unclear how - absent QE - the Treasury will be able to do this without blowing out interest rates.

确实是这样，由于在美联储正在提高利率以及美国致力于将国债发行量增加一倍，今年净发行一万亿美元美国国债的时候，如果外国买家不再出现，形势会变得愈加不明朗，美国财政部如何在量化宽松缺席的情况下能做到既完成国债发行又避免利率大幅走高。