2014年8月15日 星期五

QE結束時,LIBOR 將成為美元利率、債市、股市及金融風暴觀察指標 ( As QE end, LIBOR will become quite important index to watch US interesting rate trend )

金融風暴觀察指標

2008年真是金融業黑暗的一年,從9月15日雷曼兄弟倒閉開始,引起金融海嘯狂浪不止,震得各國七葷八素,才從各報章媒體看到以往甚少提到的各種衡量金融危機的指標,以下整理:
LIBOR 利率 ( 自動更新 ) ,引用:libor rates history chart graph

Libor-OIS Spread: 倫敦銀行間三個月期美元拆放款利率與隔夜指數交換 (OIS)利率之間的利差。主要衡量銀行現金緊張程度和放款意願

在信貸緊縮發生之前,2007年7月31日之前12個月的平均美元三個月Libor-OIS展期為8個基點。在美國雷曼兄弟宣布破產前的9月12日,Libor-OIS價差為87個基點;2008年10月10日,Libor-OIS價差曾創下365個基點的新高水準。美國聯準會前主席Alan Greenspan 2008年曾表示,Libor-OIS價差回落至50左右將是金融風暴平息的訊號

泰德利差(TED Spread): 三個月歐洲美元Libor利率與三個月美國國庫券殖利率的利差,也就是所謂的“泰德利差”(TED spread)。由於Liber是倫敦金融業間拆款利率,隱含金融機構間拆款的風險貼水,美國國庫券利率則常當作無風險利率,因此價差常用來當作衡量金融市場信貸風險程度,亦可用來衡量美元的流動性。利差越高,代表信用市場波動性越大,利差越小,代表信用市場波動性越小。一般而言,泰德價差如果超過100bps,則代表金融機構的資金緊俏。2008年9月29日上升至322個基點的歷史新高,高于1987年10月20日上觸的300個基點,當時全球股市崩盤,號稱“黑色星期一”。泰德價差在07年美國次貸風暴爆發前的5年均值僅27個基點。

芝加哥期貨交易所波動率指數VIX(CBOE VOLATILITY INDEX),又稱為恐懼指數
是市場的情緒指標,CBOE商品副總裁 Joe Levin說,「VIX 可以讓你了解,市場上投資人的情緒有多緊繃。」當2008年10月16日VIX飆高來到 81.13,是過去一年平均數的將近 4倍,創下歷史新高,市場已經領向了恐慌的境界。該指數前一波高點為近 46,時值10年前俄羅斯貸款與長期資本管理公司(LTCM) 危機。VIX是量度市場預期未來30天標普500期權價格的波幅(Implied Volatility)。又稱為恐懼指數,當股票市場受到壓力的時候, VIX就傾向上升. VIX超過30通常表示市場非常波動。除了 VIX期權外,也有Nasdaq波動指數(VXN-US) 或Dow Jones 波動指數(VXD-US),不過 VIX指數是其中最活躍、流動性最好的一種。

倫敦同業拆放利率, 簡稱 LIBOR( London InterBank Offered Rate )
LIBOR 是英國銀行同業之間的短期資金借貸款的成本,利息率,由英國銀行家協會(British Banker's Association)按其選定的一批銀行,於倫敦貨幣市場報出的銀行同業拆借利率,再以抽樣本的方式,計算出平均指標利率。 此指針利率,每個銀行營業日都可能不同的。

公司債和公債之間的利差:可看出債市的流動性,進而評估市場對債市的投資信心

UK and US fine Lloyds group £218m for manipulating the Libor rate

It also manipulated submissions for another short-term rate linked to the value of UK government debt.Bank of England Governor Mark Carney called such misconduct “reprehensible”.

Lloyds said it “condemns the actions of the individuals responsible”.

The fines were issued by the UK-based Financial Conduct Authority (FCA) and a US-based trading commission. A “novel” development, setting the bank aside from competitors that have already been fined for Libor-rigging, was its abuse of the government-backed Special Liquidity Scheme, said the FCA.

The FCA fined Lloyds £105m. It said the fine was the “joint third-highest ever imposed” by the organization or its predecessor, the Financial Services Authority.Bank of England Governor Mr Carney said in a letter dated 15 July to Lloyds' chairman Lord Blackwell that the attempted manipulation could lead to criminal action against those involved.

“Such manipulation is highly reprehensible, clearly unlawful and may amount to criminal conduct on the part of the individuals involved,” Mr. Carney wrote. Lord Blackwell replied on 16 July: “This was truly shocking conduct, undertaken when the bank was on a lifeline of public support.” In the US, the Commodity and Futures Trading Commission fined the group, which is responsible for Lloyds Bank and the Bank of Scotland, 105m dollars, while the US Department of Justice fined it 86m.

The agreement is the seventh joint penalty handed out by US and UK regulators in connection with Libor and other benchmarks, used to price around 450trn of financial products around the world.Barclays and the Royal Bank of Scotland have previously paid 453m and 612m in fines related to the scandal. Part of the FCA's fine for Lloyds, was for serious misconduct over a program introduced during the financial crisis to help the banks.

The Special Liquidity Scheme (SLS) was set up in 2008 by the Bank of England to let banks temporarily swap assets that were difficult to trade.In a statement, the watchdog said the “manipulation of the repo rate benchmark in order to reduce the firms' SLS fees” was misconduct of a type “not seen in previous Libor cases”.

The lower the repo rate of a bank the lower the fees for using the SLS program. Lloyds was also by far the biggest user of the scheme, said the BBC's Business correspondent Simon Jack.

Tracey McDermott, the FCA's director of enforcement and financial crime, said that Lloyds and Bank of Scotland was a “significant beneficiary” of financial assistance from the Bank of England through the SLS.
紐約頂級 Hotel ( I remember one top meeting happen with world wide
top manager there )

“Colluding to benefit the firms at the expense, ultimately, of the UK taxpayer was unacceptable. ”This falls well short of the standards the FCA and the market is entitled to expect from regulated firms,“ she said adding other banks needed to learn lessons from and avoid the mistakes of their peers for trust to be restored in financial services. The US trading commission said the ”unlawful conduct“ of Lloyds ”undermined the integrity“ of Libor, which it said was a critical global benchmark.

It said Lloyds had acted to benefit its trading positions and protect its reputation by manipulating the rate when it was in the process of buying HBOS during the crisis. The commission released a transcript detailing examples of requests to manipulate the sterling and US dollar Libor rate. They include an employee from Lloyds telling their counterpart at HBOS: ”Oh mate, I always have loads of loans going out at the end of the month so I always try to fix it higher“. The trader added: ”They keep calling it lower... I can't work out why it is going down all the time... I will leave it at 67 and I won't go any lower, right?“

A sterling submitter at HBOS responded with: ”Yeah“.

And a Lloyds TSB junior trader asked a sterling submitter at HBOS: ”Do you want us to keep the Libor higher?“ The submitter answered: ”Yeah, I have a big liability fix, so as low as possible please.”

分析
  • LIBOR 早已發展成全球數十兆甚致近百兆之抵押貸款、各類債卷、商業票據、信用卡、石油及糧食拆借交易,也就是說它是百兆美元利率指標,反映美元全球需求,連美聯儲也憾動不了它
  • 因此,QE結束時,LIBOR 將成為美元利率、債市、股市重要觀察指標;
  • 另一觀察指標是:以美元為主之三大 債卷 ETF美國不動產證卷商品 ( US real Estate ETF ) 、天然氣之股票及ETF;這些指標讓大家往前觀差,當QE結束時發生利率暴衝之前兆訊號,事實上,美國長期國債 ETF ( US treasure ETF )已經上升過,QE接近結束時反而又下降,表示全球仍對美元有信心,由貨幣 ETF 表格統計出美元仍是最強,美元仍比歐元強,就看出來;因為,

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