US宏观

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Money Markets after QE and Basel III (2016)

Money Market共有3类（9个）参与者

  • The money authority (the federal reserve)
  • The group of money dealers (Treasury, the FHLBs, banks, primary dealers and money funds)
  • The group of cash pools
    • public: liquidity tranche of FX reserves and the cash pools of multilateral organizations such as IMF
    • private: cash balances of corporations, asset managers and hedge funds.

Fed (o/n only)

  • Liability side (o/n only)
    • TGA/deposits of the FHLBs/currency, pay 0
    • o/n RRPs pay, 0.25
    • foreign repo pools, pay more than o/n RRP
    • reserves, IORR/IOER, pay 0.50
  • Asset side
    • SOMA, earn around 2.65%

U.S. Treasury (term only)

  • Liability side
    • 1, 3, 6, 12-month treasury bills
  • Asset side
    • TGA deposit, earn 0

U.S. banks (o/n to 1-year)

  • Liability side
    • fed funds, pay o/n effective FF
    • non-operating deposits, pay 0
    • commercial paper(CP)
  • Asset side
    • reserves, earn IORR/IOER
    • reserves, earn shadow IOER due to surcharge to the FDIC
    • 12-month treasury bills

Foreign banks (o/n to 1-year)

  • Liability side
    • fed funds, pay o/n effective FF
    • non-operating deposits, pay 0
    • commercial paper(CP)
  • Asset side
    • reserves, earn IORR/IOER
    • 12-month treasury bills

FHLBs (term only)

  • Liability side
    • 1 week 1, 3, 6-month discount notes(discos)
  • Asset side
    • deposits in Fed, earn 0
    • o/n RRPs, earn 0.25
    • fed funds, earn o/n effective FF (额外的流动性在fed funds market上出借)

Primary Dealers (o/n to 1-year)

  • Liability side
    • o/n tri-party repo
  • Asset side
    • Lend to other primary dealers or non-primary dealers, earn o/n GCF repo & +- spread

Money Funds (o/n only)

  • Liability side
    • MMF shares(some index)
  • Asset side
    • o/n RRPs, earn 0.25
    • 1, 3-month treasury bills (有access to更高收益的o/n RRPs, 但是一般资金是下午3:30后返还，为保持日内流动性，也会放弃部分收益持有1, 3-month bills)
    • 6-month treasury bills
    • 12-month treasury bills
    • 1 week 1, 3, 6-month discount notes(discos)
    • commercial paper(CP)
    • o/n tri-party repo

Cash Pools(public)

  • Liability side
  • Asset side
    • foreign repo pool, earn more than o/n RRPs
    • 6-month treasury bills (只有当收益超过foreign repo pool时才会考虑)
    • 12-month treasury bills

Cash Pools(private)

  • Liability side
    • Non-operating deposits, earn 0
  • Asset side
    • 1, 3-month treasury bills
    • 6-month treasury bills
    • 12-month treasury bills
    • 1 week 1, 3, 6-month discount notes(discos)
    • commercial paper(CP)
    • o/n tri-party repo
    • MMF shares(some index)

The Hierarchy of Money

  • o/n RRPs are a hard floor under o/n tri-party treasury repo rate (primary dealers’ core funding rate)
  • o/n tri-party treasury repo rate is generally below o/n unsecured bank funding rates
  • o/n GCF treasury repo rate (primary dealers’ core lending rate) is generally above unsecured bank funding rates
  • IOER rate is a soft ceiling for the o/n GCF treasury repo rate

US 金融数据

最新已经8.6393万亿
H.4.1


资产端：

  • Securiities held outright，目前占92%
  • Loans, 最新因为BTFP多增了119亿美元
    负债端：
  • Federal Reserve notes流通中的现金
  • 逆回购协议，这次下降了1372亿，释放了流动性
  • 存款性机构其他存款（准备金）这次增长了4405亿

表一更加详细

H8 Commercial Banks的信贷


资产端

  • 信贷
    • Securities
      • Treasury and agency serurities
        • MBS
        • Non-MBS
      • Other securities 不被US.gov担保的
        • MBS
        • Non-MBS
    • Loans and leases in bank credit
      • Commericial and Industrial loans
      • Real estate loans
        • Revolving home equity loans 求偿权在第二顺位
        • Closed-end residential loans
      • Commercial real estate loans
        • Construction and land development loans
        • Secured by farmland
        • Secured by multifamily properties
        • Secured by nofarm nonresidential properties
      • Consumer loans
        • Credit cards and other revolving plans
        • Other consumer loans
          • Automobile loans
          • All other consumer loans
      • All other loans and leases
        • Loans to nondepository financial institutions
        • All loans not elsewhere classified
  • Less Allowance for loan and lease
  • Cash
  • Total federal funds sold and reserve RPs
  • Loans to commercial banks
  • Other assets including trading assets

商票

参考国内的流程

国内表内票据融资用来调节信贷规模，当实体经济信贷需求弱时，银行风险偏好低，银行通过票据贴现，扩充信贷规模；当信贷额度紧张时，再转贴现出去。新增票据融资和贷款需求指数通常呈现负相关。表外票据融资对经济景气度具有明显的正相关。

H.6 货币余额


（2019.9.17 5.25%这里删掉了）

  • OBER 一行隔夜拆款利率
  • SOFR 有担保的隔夜融资利率 替代LIBOR
  • BGCR 一般附担保品利率
  • TGCR 三方附担保品利率
  • Discount Window

Reference：

  • Global Money Notes 1-31. Zoltan Pozsar
  • How the Financial System Works - A map of Money Flows in the Global Financial Ecosystem. Zoltan Pozsar
  • Money Market after QE and Basel III. Zoltan Pozar
  • Shadow Banking: The Money View. Zoltan Pozar
  • The Research Handbook of Financial Markets Conference.