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2007
12/13
Thu

2007年12月13日(木曜日) Term Auction Facility

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 (00:14)中央銀行サイドも必死ですな。千住真理子さんのCDを聞きながらネットを見ていたら、ニューヨークの株の寄り付き気配が非常に高く、かつ各国通貨に対して円が急落している。ドル・円で112円、ポンド・円が230円。

 どうしたんだろう、と改めて見たらちょっと驚く以下の発表。朝には市場はどう変化するか分かりませんが、とにかく昨日のFOMCの公定歩合、FF金利引き下げに続く連打としての発表。日本は入っていませんが、「4カ国協調」というのがまず目新しい。昨日のニューヨークの株の落ちを見て、ニューヨークの市場開場前(米東部時間の午前9時ごろかな)に発表した印象。

 声明文は以下の通りですが、要するに年越しの資金供給をいかにするか、ドルが足りない国の金融機関にドルをどう流すかの工夫をしているように見える。以前韓国の銀行がドルが調達できないという話しが出ていましたが、欧州でもそれは出ている。とにかく今の世界の金融市場では疑心暗鬼が強くて、資金の出してがいないのです。市場が非常に逼迫している。

 で中央銀行が公的金利を下げたり、この声明の中に出てくる「the Term Auction Facility (TAF) program」のような特別な制度を作って資金の供給ルートを造っている。今回のFOMC声明では、公定歩合の引き下げは0.25%に過ぎなかった。この点を市場は失望した。

 で今回のTAFシステムでは、銀行が担保を持ち込んで中央銀行から直接資金を調達できる金利をFF金利か、時にはそれ以下に出来るらしい。担保も幅広いものを認めるという。ウォール・ストリート・ジャーナルには以下の記事がある。

The new loans will be auctioned off with a minimum rate linked to the expected actual federal funds rate over the duration of the loan. Since the federal funds rate is expected to decline over the next two months, when the loans will be outstanding,the loan rate could end up being close to or even below the current federal funds rate.
 中央銀行間の通貨スワップも資金融通という意味では同じ事です。資金、特に年越し外貨資金の流れを作ると言うことです。

 しかし今回の協調に参加したのは、カナダ中銀、イングランド銀行、欧州中央銀行、それにFRBだけ。その他の国にも、年末の資金を取れない国の銀行はいっぱいある。それをどうするのか。まだ課題は山積みです。

Release Date: December 12, 2007

For immediate release

Today, the Bank of Canada, the Bank of England, the European Central Bank, the Federal Reserve, and the Swiss National Bank are announcing measures designed to address elevated pressures in short-term funding markets.

Federal Reserve Actions Actions taken by the Federal Reserve include the establishment of a temporary Term Auction Facility (approved by the Board of Governors of the Federal Reserve System) and the establishment of foreign exchange swap lines with the European Central Bank and the Swiss National Bank (approved by the Federal Open Market Committee).

Underthe Term Auction Facility (TAF) program, the Federal Reserve will auction term funds to depository institutions againstthe wide variety of collateralthat can be used to secure loans at the discount window. All depository institutions that are judged to be in generally sound financial condition by their local Reserve Bank and that are eligible to borrow under the primary credit discount window program will be eligible to participate in TAF auctions. All advances must be fully collateralized. By allowing the Federal Reserve to inject term funds through a broader range of counterparties and against a broader range of collateral than open market operations,this facility could help promote the efficient dissemination of liquidity when the unsecured interbank markets are under stress.

Each TAF auction will be for a fixed amount, with the rate determined by the auction process (subject to a minimum bid rate). The first TAF auction of $20 billion is scheduled for Monday, December 17, with settlement on Thursday, December 20; this auction will provide28-day term funds, maturing Thursday, January 17, 2008. The second auction of up to $20 billion is scheduled for Thursday, December 20, with settlement on Thursday, December 27; this auction will provide 35-day funds, maturing Thursday, January 31, 2008. The third and fourth auctions will be held on January 14 and 28, with settlement on the following Thursdays. The amounts of those auctions will be determined in January. The Federal Reserve may conduct additional auctions in subsequent months, depending in part on evolving market conditions.

Depositories will submit bids through their local Reserve Banks. The minimum bid rate for the auctions will be established at the overnight indexed swap (OIS) rate corresponding to the maturity of the credit being auctioned. The OIS rate is a measure of market participants’ expected average federal funds rate over the relevant term. The minimum rate for the December 17 auction along with other auction details will be announced on Friday, December 14. Noncompetitive tenders may be accepted beginning with the third auction. The results of the first auction will be announced at 10 a.m. Eastern Time on December 19. The schedule for releasing the results of later auctions will be determined subsequently. Detailed terms of the auction and summary auction results will be available at http://www.federalreserve.gov/monetarypolicy/taf.htm.

Experience gained under this temporary program will be helpful in assessing the potential usefulness of augmenting the Federal Reserve’s current monetary policy tools--open market operations and the primary credit facility--with a permanent facility for auctioning term discount window credit. The Board anticipates that it would seek public comment on any proposal for a permanent term auction facility.

The Federal Open Market Committee has authorized temporary reciprocal currency arrangements (swap lines) with the European Central Bank (ECB) and the Swiss National Bank (SNB). These arrangements will provide dollars in amounts of up to $20 billion and $4 billion to the ECB and the SNB, respectively, for use in their jurisdictions. The FOMC approved these swap lines for a period of up to six months.

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