James Rickards : 米国債の "flash crash" 事件:米国債に精通した内部関係者から聞いた、怖ろしい話

はじめに


・James Rickards が米国債に精通した内部関係者(Mr. Bond)から聞いた話を記事にしているので紹介する。

・まず、 Mr. Bond がどれほど米国債に精通した人物であるかについては…

I can’t reveal the identity of my dinner companion, but suffice it to say he is a senior official of one of the largest banks in the world and has over 30 years’ experience on the front lines of bond markets.

He has been a regular participant in the work of the Treasury Borrowing Advisory Committee, a private group that meets behind closed doors with Federal Reserve and U.S. Treasury officials to discuss supply and demand in the market for Treasury securities and to plan upcoming auctions to make sure markets are not taken by surprise.

He’s an insider’s insider who speaks regularly with major bond buyers in China, Japan and the big U.S. funds like PIMCO and BlackRock. For purposes of this article, let’s just call him “Mr. Bond.”


抜粋(デタラメ)


・(背景知識として)米国債の "flash crash" 事件とは…

The Oct. 15, 2014, “flash crash” of rates in the Treasury bond market was a case in point.

On that day, the yield on the 10-year U.S. Treasury note fell 0.34% in a matter of minutes. This is a market in which a change of 0.05% in a single day is considered a big move.

The Oct. 15 flash crash was the second most volatile day in over 50 years. Something was strange when there was massive liquidity in cash and complete illiquidity in notes at the same time.

Yields crashed from 2.2% to 1.86% between 7:00 a.m. and 9:45 a.m., with most of that crash taking place in just a few minutes between 9:30 and 9:45, just after the stock market opened.

Almost no one alive today in the bond market had ever seen anything like this.


・この事件で危惧を感じた James Rickards が Mr. Bond に意見を求めた。

I told Mr. Bond that this Treasury market flash crash looked a lot like the stock market flash crash of May 6, 2010, when the Dow Jones industrial average index fell 1,000 points, about 9%, in a matter of minutes, only to bounce back by the end of the day.

This kind of sudden, unexpected crash that seems to emerge from nowhere is entirely consistent with the predictions of complexity theory. Increasing market scale correlates with exponentially larger market collapses.

It was important to me to move beyond the theoretical and see whether an active market participant like Mr. Bond agreed.


・すると次のような背筋が凍る返事が返ってきた。

His answer sent a chill down my spine.

He said, “Jim, it’s worse than you know.”

Mr. Bond continued, saying, “Liquidity in many issues is almost nonexistent. We used to be able to move $50 million for a customer in a matter of minutes. Now it can take us days or weeks, depending on the type of securities involved.”

According to Mr. Bond, there were many reasons for this. New Basel III bank capital requirements made it too expensive for banks to hold certain inventories of securities on their books.


ソース:https://dailyreckoning.com/good-evening-mr-bond-2/

(2016-12-30)
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