2016年-BIS国际清算银行_Asset_managers_eurodollars_and_unconventional_monetary_policy_30页_394kb

报告摘要

Summary of BIS Working Paper No. 578: Asset Managers, Eurodollars and Unconventional Monetary Policy

Core Content

This BIS Working Paper examines the role of asset managers (AMs) in the eurodollar futures market and how unconventional monetary policy, particularly forward guidance from the Federal Reserve, has influenced this market. The paper highlights the significant impact of AMs on market dynamics, especially in the context of the large and rapid liquidation of eurodollar futures positions in late 2014.

Main Points

Role of Asset Managers in Eurodollar Futures Market:
Asset managers hold the largest eurodollar futures positions among buy-side traders. They typically take larger net positions than leveraged funds (LFs), although LFs dominate in terms of trading activity. AMs are more involved in long positions, while LFs are more active in short-term trading.
Size and Liquidity of Positions:
In the summer of 2013, AMs held a combined long position of $2.2 trillion in eurodollar futures, representing one fifth of the total open interest. This position was significantly reduced by the end of 2014, with a notable liquidation of over 1.5 million contracts in the two weeks around 30 September 2014.
Unconventional Monetary Policy Impact:
The Federal Reserve's unconventional monetary policy, including quantitative easing (QE) and forward guidance, has altered the maturity profile of eurodollar futures trading. Between 2008 and 2014, the average maturity of eurodollar contracts doubled and remained elevated since then.
Response to Fed Announcements:
Eurodollar turnover responded more strongly to Federal Reserve announcements than to macroeconomic news during 2012-2015, indicating a shift in market expectations influenced by policy signals.
PIMCO's Total Return Fund (PTRF) Case Study:
PTRF, the largest US bond mutual fund, had a substantial "big long" position in eurodollar futures in 2014. This position was concentrated and liquidated rapidly in late 2014, likely due to changing monetary policy expectations.
Derivatives Exposure and Reporting Issues:
The paper discusses the challenges in assessing derivatives exposure, particularly the lack of standardized reporting and the difficulty in comparing notional values across different financial instruments.

Key Information

Data Sources:
The Commodity Futures Trading Commission (CFTC) provides data on positions and net changes, while the BIS and PIMCO offer insights into the scale and nature of AMs' derivative positions.
TFF Categories:
The CFTC categorizes traders into four groups: dealer/intermediaries, AM/institutional, LFs, and other reportables. AMs and LFs are the primary buy-side participants.
Turnover Duration:
A new concept introduced in the paper, turnover duration, measures the average maturity of eurodollar contracts and shows that it has increased significantly since the financial crisis.
Market Implications:
The paper suggests that AMs play a crucial role in the transmission of monetary policy to market rates. Their large and concentrated positions can significantly affect market dynamics.

Structure

Introduction:
Sets the context of the 2014 eurodollar futures liquidation and outlines the paper's focus on AMs' role and the impact of unconventional monetary policy.
Section 1: Asset Managers and Eurodollar Futures:
Analyzes the positioning and trading activity of AMs, highlighting their dominance in long positions and the relative trading activity of LFs.
Section 2: Eurodollar Futures Market Amid Forward Guidance:
Introduces turnover duration and discusses how it has evolved, showing a strong response to Fed announcements compared to macroeconomic news.
Section 3: Eurodollar Turnover, Federal Reserve Policy and News:
Explores the relationship between Fed policy and eurodollar turnover, with a box examining the impact of ECB, SNB, and BoJ monetary policy announcements.
Box 1: PIMCO's Total Return Fund and Eurodollar Futures:
Details PTRF's significant eurodollar futures position, its liquidation in late 2014, and the implications for the market.
Section 4: Conclusions:
Summarizes the key findings, emphasizing the role of AMs in the eurodollar futures market and their sensitivity to monetary policy signals.

Additional Notes

Graphs and Data:
Graph 1 and Graph 2 illustrate the net long positions and weekly changes in AMs' eurodollar futures holdings. Graph 3 shows the relative transaction volumes of AMs and other buy-side traders.
Impact on Market Rates:
The paper notes that the liquidation of AMs' positions in 2014 coincided with the "flash rally" in the US Treasury bond market on 15 October 2014, indicating the interconnectedness of the eurodollar futures market and broader financial markets.
Regulatory Considerations:
The SEC has proposed limits on derivatives and borrowing, which could affect AMs' strategies and market participation.