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[FED Watch] 중장기 국채 수익률 큰 폭 상승 - 2019.9.16 본문듣기

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  • 기사입력 2019년09월15일 17시05분
  • 최종수정 2019년09월15일 17시06분

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  • 숙명여자대학교 경제학부 명예교수

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본문

<1> 금주의 T-Bill Yield Curve:국채수익률 단기물 중장기물 큰 폭 상승

 

 ■ 지난 주에 이어 중장기물 수익률은 꾸준히 큰 폭 상승

   - 1월만 6bp 하락, 3월물은 불변 6월물은 2bp 상승

   - 3년물, 5년물, 7년물, 10년, 및 20년 물 수익률은 20bp-22bp 상승

   - 그러나 30년물은 16bp 상승 

 

01b76f780045a8c24e641d8c5db9ecb6_1568436

01b76f780045a8c24e641d8c5db9ecb6_1568436 

 

■ 6개월 이상 만기물 수익률이 지난 주 내내 큰 폭으로 상승.

   장기물의수익률 상승폭이 상대적으로 큼에 따라  2년 물 수익률이 10년 물 보다 더 높은 금리역전 현상은 9월 6일 이후 사라짐

 

 - 10월물 수익률과 2년물 수익률의 괴리가 주중 지속 확대되는 모습 

 

01b76f780045a8c24e641d8c5db9ecb6_1568436

<2>  FOMC 정책수단 시리즈#5 : 익일환매계정

        (ON RRP:Overnight Reverse Repurchase Agreement Facility)

 

     - 적격기관(아래에 명단) 에 대해 적격금융자산을 매각과 동시에 익일 되 매입하는 계약을 체결 (통화 흡수 후 익일 다시 공급)

     - 적격기관들의 여유 자금을 FOMC가 익일 동안 관리함으로써 이들 자금이 익일 시장금리에 영향을 덜 주도록 할 목적으로 개발. 

     - 연방은행 대차대조표에는 지불준비자산의 감소와 동시에 역환매부채의 증가

     - FOMC가 목표 기준금리 범위 내에서 이 계정에 대한 금리책정 

       실제 이 계정금리는 경매과정에서 결정됨. 

     - 기준금리 유지를 위한 보조정책 수단

     - 꼭 필요한 경우에만 사용하며 더 이상 필요치 않은 경우 서서히 종료

     

■ In the Policy Normalization Principles and Plans announced on September 17, 2014, the Federal Open Market Committee (FOMC) indicated that it intended to use an overnight reverse repurchase agreement (ON RRP) facility as needed as a supplementary policy tool to help control the federal funds rate and keep it in the target range set by the FOMC (find out more about the Federal Reserve's plans for monetary policy normalization here). 

   The Committee stated that it would use an ON RRP facility only to the extent necessary and will phase it out when it is no longer needed to help control the funds rate.

 

■ When the Federal Reserve conducts an overnight RRP, it sells a security to an eligible counterparty and simultaneously agrees to buy the security back the next day. 

   This transaction does not affect the size of the System Open Market Account(SOMA) portfolio, but there is a reduction in reserve balances on the liability side of the Federal Reserve's balance sheet and a corresponding increase in reverse repo obligations while the trade is outstanding. 

   The FOMC sets the ON RRP offering rate, which is the maximum interest rate the Federal Reserve is willing to pay in an ON RRP operation; the actual interest rate that a counterparty receives is determined through an auction process.

 

■ The Federal Reserve conducted technical exercises using ON RRPs beginning in September 2013 in order to gain operational experience and garner information about how such operations might be used during the policy normalization process.

 

■ The ON RRP offering rate (the maximum interest rate that the Federal Reserve is willing to pay on ON RRP operations) plays a role for ON RRP counterparties that is similar to the role played by the interest rate on excess reserves for depository institutions. That is, in general, any counterparty that can use the ON RRP facility should be unwilling to invest funds overnight with another counterparty at a rate below the ON RRP rate,     just as any depository institution eligible to earn interest on reserves should be unwilling to invest funds overnight with another counterparty at a rate below the interest rate on excess reserves. The Federal Reserve currently conducts ON RRP operations with many counterparties, covering a wide range of entities (the list of ON RRP counterparties is available here).

 

  <Reverse Repo Counterparties>

 

   ■ BANKS

        Ally Bank

        Bank of America, N.A.

        Bank of Montreal (Chicago Branch)

        Barclays Bank PLC - New York Branch

        Citibank, N.A.

        Credit Agricole Corporate and Investment Bank

        Discover Bank

        Goldman Sachs Bank USA

        JPMorgan Chase Bank, N.A.

        Mizuho Bank, Ltd.

        Morgan Stanley Bank, N.A.

        Natixis New York Branch

        Royal Bank of Canada

        Sumitomo Mitsui Banking Corporation, NY branch

        The Northern Trust Company

        Wells Fargo Bank, NA

 

   ■ GOVERNMENT-SPONSORED ENTERPRISES

        Federal Agricultural Mortgage Corporation (Farmer Mac)

        Federal Home Loan Bank of Atlanta

        Federal Home Loan Bank of Boston

        Federal Home Loan Bank of Chicago

        Federal Home Loan Bank of Cincinnati

        Federal Home Loan Bank of Dallas

        Federal Home Loan Bank of Des Moines

        Federal Home Loan Bank of Indianapolis

        Federal Home Loan Bank of New York

        Federal Home Loan Bank of Pittsburgh

        Federal Home Loan Bank of San Francisco

        Federal Home Loan Bank of Topeka

        Federal Home Loan Mortgage Corporation (Freddie Mac)

        Federal National Mortgage Association (Fannie Mae)

 

INVESTMENT MANAGER MONEY MARKET FUNDS

      ▪ AllianceBernstein L.P.    

      BlackRock Advisors, LLC  

      BlackRock Fund Advisors  

      BNY Mellon Investment Adviser, Inc.                   

      ▪ Capital Research and Management Company                  

      ▪ Charles Schwab Investment Management, Inc.  

     ▪ Columbia Management Investment Advisers, LLC        

     ▪ Deutsche Investment Management Americas, Inc.    

     ▪ Dimensional Fund Advisors LP                  

     ▪ Federated Investment Management Company    

     ▪ Fidelity Investments Money Management, Inc.                  

     ▪ Fidelity Management & Research Company                  

     ▪ Franklin Advisers, Inc.     

     ▪ Goldman Sachs Asset Management                

     ▪ HSBC Global Asset Management (USA), Inc.                    

     ▪ Invesco Advisers, Inc.                    

     ▪ STIT Government and Agency Portfolio                    

     ▪ J. P. Morgan Investment Management Inc.                   

     ▪ Legg Mason Partners Fund Advisor, LLC                   

     ▪ Morgan Stanley Investment Management, Inc.                   

     ▪ Northern Trust Investments, Inc.                    

     ▪ PFM Asset Management LLC   

     ▪ PNC Capital Advisors, LLC  

     ▪ RBC Global Asset Management (U.S.) Inc.                  

     ▪ SSgA Funds Management, Inc.                    

     ▪ T. Rowe Price Associates, Inc.                       

     ▪ UBS Asset Management (Americas) Inc.                    

     ▪ U.S. Bancorp Asset Management, Inc.                    

     ▪ The Vanguard Group, Inc.                      

     ▪ Wells Fargo Funds Management                     

     ▪ Wilmington Funds Management Corp. 

 

[부록.1] 지난 주 T-Bill 수익률 동향    

 

01b76f780045a8c24e641d8c5db9ecb6_1568437
 

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  • 기사입력 2019년09월15일 17시05분
  • 최종수정 2019년09월15일 17시06분

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