企业债信用利差
Treasury markets
国债市场
英文部分选自经济学人20210319期财经版块
Treasury markets
国债市场
Overflowing
金钱满溢
America’s banking system has too much cash. The consequences are bizarre
美国银行系统现金过剩。后果很奇怪。
When bond markets seized up in the spring of 2020 the problem was a shortage of cash. A global dash for dollars caused bond yields, which move inversely to prices, to spike. It sent the greenback soaring in currency markets. And it caused trading in Treasuries, usually the world’s most liquid market, almost to dry up. Today the opposite problem looms: a surfeit of money. It stems from the Federal Reserve’s response to last year’s crisis. The central bank calmed markets by buying vast quantities of bonds with newly created cash, and has continued its purchases, at a current pace of at least $120bn a month. The abundance of dollars is causing headaches for banks and investors.
债券市场在2020年春天失灵时的问题是现金短缺。全球对美元的追捧导致与债券价格走势相反的债券收益率飙升。它使美元在货币市场上猛增。它还导致世界上流动性通常最强的美国国债交易几乎枯竭。如今，相反的问题隐约出现:资金过剩。它源于美联储(Federal Reserve)对去年危机的应对。央行通过用新创造的现金购买大量债券来安抚市场，且当前仍在以每月至少购买1200亿美元的节奏继续购买。泛滥的美元让银行和投资者头疼不已。
A central bank buying a bond for cash sounds like a simple swap of asset for asset. In fact it often swells the banking system. When the Fed buys assets in the secondary market, say from a pension fund, it cannot pay the fund with the electronic money it creates, because only banks can hold these so-called “reserves”. Instead, the fund gets a newly created deposit at its bank, and the bank gets the newly created reserve at the Fed. The bank ends up bigger, with a new liability and a new asset. The same thing also happens when a bank buys freshly issued debt at a Treasury auction, then sells it to the Fed. When the government spends the funds it has raised, such as by sending cheques to households or paying its staff, the banking system grows.
央行以现金购买债券听起来像是简单的以资产换资产。事实上，它经常使银行系统膨胀。当美联储在二级市场购买资产，比如从养老基金购买，它无法用自己创造的电子货币来支付，因为只有银行才能持有这些所谓的“准备金”。相反，资金在银行这里以一个新存款的形式被创造出来，而银行在美联储那里得到了新的存款准备金。结果是银行有了新的负债和新的资产后变得更大。当银行在国债拍卖中购买新发行的债券，然后将其卖给美联储时，同样的事情也会发生。当政府花掉它筹集的资金时，比如通过向家庭提供支票或支付员工工资，银行系统就会壮大。
With both mechanisms at work in the pandemic, the Fed’s assets and deposits at banks have shot up in tandem (see chart). The balance-sheet of JPMorgan Chase, America’s biggest bank, grew from $2.7trn to $3.4trn in 2020 as deposits rose by 35%.
由于这两种机制都在疫情中发挥作用，美联储的总资产和商业银行的存款也相继暴涨(见图表)。2020年，随着存款增长35%，美国最大的银行摩根大通（JPMorgan Chase）的资产负债表从2.7万亿美元增长到3.4万亿美元。
Cash will keep pouring in. Since last spring the Treasury has issued more debt than it has needed to fund its enormous emergency stimulus in 2020. As a result the “Treasury general account” (tga)—the government’s current (or checking) account at the Fed—grew from about $350bn in early 2020 to about $1.3trn on March 11th. But much of this money will soon be spent on President Biden’s new stimulus programme, which includes cheques of $1,400 to most Americans. The Treasury has signalled that the tga balance will fall to $500bn by the end of June. And current law, passed the last time America’s debt ceiling was lifted, requires the balance to fall to about $120bn by August. Any rundown in the account means still more deposits and reserves for banks, in addition to those infused by the Fed.
现金将会不断涌入。自去年春季以来，财政部发行的债务规模超出它在2020年所需的大规模紧急刺激计划所需的资金。因此，“财政部一般账户”(tga)——美国政府在美联储的活期（或支票）账户——从2020年初约3500亿美元增至3月11日的约1.3万亿美元。但这笔钱中的大部分很快就会用于拜登总统的新刺激计划，其中包括向大多数美国人发放1400美元支票。财政部已提示，6月底tga的余额将降至5000亿美元。而根据美国上次取消债务上限时通过的现行法律要求，截至8月该余额须降至约1200亿美元。账户中的任何资金减少都意味着，银行将在美联储注入的流动性之外，迎来更多的存款和准备金。
注释：
1.Lift：If people in authority lift a law or rule that prevents people from doing something, they end it. 解除 (法令等)
2.rundown：裁减
The abundance of cash has two main effects. The first is that it has caused interest rates in the federal-funds market, in which banks lend reserves to one another overnight, to drift down. The Fed aims to keep the federal-funds rate between zero and 0.25%, but it has been falling within the band, and is now about 0.07%. As banks have abundant reserves, the federal-funds rate is economically insignificant. But rates in secured lending or “repo” markets, which matter much more to the real economy, have been approaching negative territory too. The benchmark secured-financing rate is just 0.01%. One-month Treasury bills yield only 0.03%.
大量的现金投放有两个主要影响。首先，它导致了联邦资金市场的利率下降，银行在此市场上开展资金隔夜拆借业务。美联储的目标是将联邦资金利率保持在0至0.25%区间，但区间内利率一直在区间内下行，目前约为0.07%。由于银行拥有大量准备金，联邦资金利率的经济影响并不显著。但对实体经济影响更大的担保贷款或“回购”市场利率也已接近负值。基准担保融资利率仅为0.01%。一个月的国债收益率仅为0.03%。
The second effect is that banks are left with a lower ratio of equity capital to assets, making it harder to comply with minimum capital requirements set by regulators. One rule is the “supplementary leverage ratio” (slr), which requires big banks to fund themselves with equity worth at least 5% of their total assets. In March 2020 regulators exempted both cash reserves and Treasuries from the slr, recognising that the Fed’s emergency actions, by expanding bank assets, had made it bind more tightly. The exemption, however, expires at the end of March.
第二个影响是，降低了银行的股权资本与资产的比率，使得遵守监管机构规定的最低资本要求变得更加困难。规定之一是“补充杠杆比率”(slr)，它要求大型银行自身提供至少占总资产5%的股权资本。2020年3月，监管机构意识到美联储的紧急行动扩大银行资产，使该指标的约束更加严苛，因此在slr中豁免了准备金和美国国债。但这项豁免将于3月底到期。
注释：
supplementary leverage ratio (SLR)：美联储针对商业银行的资本充足率指标。SLR的计算公式是一级资本/风险资产，其中一级资本包括普通股和其他一级资本。2008年金融危机之后，美联储修改了SLR相关规定，对美国的大型银行额外杠杆施加限制，以防范银行系统风险。当时根据要求，摩根大通、花旗等8家系统重要性银行需满足SLR最低5%。2020年4月1日，美联储等监管机构暂时修改规定，允许存款机构在计算SLR时可以不包括美国国债和准备金，从而便于它们购买美债，并大幅降低美国大型银行的资本充足率指标考核压力。2020年3月之后美国商业银行现金资产以及贷款的增速均出现了明显的提升。2021年3月19日周五，美联储宣布，补充杠杆率（SLR）的减免措施按原计划于3月31日到期，市场此前普遍预期这一宽松措施将得到延续。美联储计划重新评估SLR，以确保它在“高储备”环境下仍能发挥作用。美联储表示，相信允许规则到期不会削弱美国国债市场的流动性或造成市场混乱。国债市场已经稳定，大银行的资本金仍然充足且有大约1万亿美元的准备金，取消SLR减免政策只会让银行对这些水平进行微调。
Left unchecked, both factors could cause markets to behave strangely. If short-term interest rates go negative, then supposedly safe money-market funds might be forced to “break the buck”, returning to investors less than was put in. Facing a change to the slr, banks might turn away new deposits—a strategy JPMorgan floated in January. (The alternative, raising expensive capital to fund holdings of low-yielding cash, is unattractive.) The biggest worry concerns Treasury markets. An easy way for a bank to shrink its balance-sheet quickly is by selling assets to investors. Were a big bank or two to approach regulatory capital limits and start shunning Treasuries, the market could go into a tailspin. An early sign of this may have been in late February, when, amid a global bond-market sell-off, an auction of seven-year Treasuries suffered record low demand.
如果不加以约束，两者都可能导致市场表现异常。若短期利率降至负数，那理应安全的货币市场基金可能会被迫“跌破一美元”，最终投资者收到的收益（甚至）要少于原先投入的金额。面临SLR的变化，银行或会拒绝新增存款——这是摩根大通（JPMorgan）在1月份提出的应对策略。（另一种方法是筹集昂贵的资本金来持有低收益现金，但这种方法没有吸引力。）最大的担忧来自美国国债市场。银行快速缩减资产负债表的一种简单方法是出售资产给投资者。如果一家或两家大型银行接近监管资本限额并开始回避国债，那么市场可能会陷入混乱。早期迹象可能早在2月下旬便已显现，当时全球债券市场遭到抛售，七年期美国国债的市场需求创历史新低。
注释
1：break the buck：货币市场基金每一份的面值是1美元。在投资过程中，如果一份货币市场基金的净资产价值低于1美元，就称发生了break the buck。
2：tailspin:【航空】尾旋，螺旋；〔转义〕失去控制；混乱。
What to do? To fight the downward drift in interest rates, the Fed could marginally raise the rate it pays on reserves, currently 0.1%, though it declined to do so after its monetary-policy meeting on March 17th. Regulators might soon extend the exemption of reserves from the slr (Jerome Powell, the Fed’s chairman, hinted that an announcement regarding the rule was imminent). Extending the exemption, however, would be controversial. On February 26th Elizabeth Warren and Sherrod Brown, two Democratic senators, wrote to regulators urging them to restore the slr “as quickly as possible”, fearing that the pandemic was being used as an excuse to weaken reforms made after the global financial crisis.
应该怎么做呢？为了应对利率下降，美联储或许可稍微提高储备金利率（目前为0.1％），尽管其在3月17日的货币政策会议后拒绝如此做法。监管机构可能很快会延长SLR豁免期限（美联储主席杰罗姆·鲍威尔暗示即将发布有关该规则的公告）。但延长豁免期限或存在争议。2月26日，两名民主党参议员伊丽莎白·沃伦（Elizabeth Warren）和谢罗德·布朗（Sherrod Brown）致信监管机构，敦促他们“尽快”恢复SLR，因为担心疫情会被用作借口，削弱全球金融危机后进行的改革。
注：最终SLR豁免期并未像众多分析师预测那般延长
延伸阅读：《美联储称不会延长补充杠杆率豁免但将检讨规则 银行股应声大跌》
https://www.reuters.com/article/usa-fed-banks-leverage-0320-idCNKBS2BC02M
In any case, renewing the SLR exemption will not solve the problem, argues Zoltan Pozsar of Credit Suisse, a bank. A more binding constraint might be the extra capital requirements that so-called “globally systemically important” banks incur as they grow. By the end of 2020 JPMorgan was on the cusp of seeing its SLR surcharge rise from 4% to 4.5% of risk-weighted assets, creating another regulatory cliff-edge. Other big banks face constraints, too: Wells Fargo, America’s third-largest bank, has had its total assets capped since 2018 as punishment for a mis-selling scandal.
瑞信（Credit Suisse）银行的佐尔坦·波萨尔（Zoltan Pozsar）认为：无论如何，延续SLR豁免都不能解决问题。更具约束力的可能来源于所谓的“对全球具有系统重要性的”银行在发展过程中产生的附加资本要求。到2020年底，摩根大通处于风险加权资产的SLR从4％上升到4.5％的风口浪尖，创造了另一个监管悬崖。其他大型银行也面临制约因素：作为不当销售丑闻的惩罚，美国第三大银行富国银行（Wells Fargo）自2018年以来总资产一直受限。
Cusp: n.尖端，尖头
延伸阅读：《富国银行因损害消费者权益被罚10亿美元》
http://www.xinhuanet.com/fortune/2018-04/21/c_1122718947.htm
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