■

• 超過準備預金(IOER)への付利についての簡潔なまとめ。参考になります。

1) We’ll begin with this helpful summary, via Barclays, of what it means when IOER is above the rates at which banks can fund themselves in short-term money markets vs when IOER is below financing rates:

2) But of course, if market rates are higher, then banks will just be “buying repo, bills, and other short-term instruments” from each other, pushing down rates on all of these instruments until they get to zero or even turn negative.

3) In a way, IOER represents a source of “supply” for money market funds because of the incentive for banks to play this arbitrage (between their funding rates they pay to MMFs and the IOER).

4) Lowering or eliminating IOER therefore creates a particular problem for money market funds, as many MMFs depend on lending to financial institutions in repo markets, through reverse repos, and in the market for commercial paper, though the latter continues to decline.

5) Eliminating IOER, and thereby sending rates on short-term instruments to zero, will force money market funds to put their money on deposit with the banks, and earning essentially nothing, because the credit risk is no longer worth the paltry yield (if there even were any) they would get in short-term lending to the banks. Investors in money market funds would surely demand the switch to deposits. Consider that the unlimited deposit insurance on non-interest bearing accounts at banks has taken quite a bit of investor money from money market funds.

6) But banks will be less than keen on receiving all this cash given their own lack of options. Back to Barclays:

7) This is similar to the reason given by EUR-denominated money market funds when they stopped accepting new money after the ECB lowered the deposit rate to zero. According to Bloomberg Businessweek: ”More than half of Europe’s money market funds by assets have closed because securities they invest in pay negative returns after the ECB cut interest rates”. Indeed it didn’t take too long after the ECB meeting for European bill and repo rates to turn negative.