2020 in dettaglio: la crisi della liquidità che è già in corso

Chi sia Mohamed El Erian i nostri lettori lo sanno da un decennio, e altri lettori lo hanno scoperto più di recente, quando lo hanno ritrovato in prima pagina sul Corriere della Sera (nel 2019, come abbiamo raccontato qui nel Post.

Noi utilizzeremo alcuni brani di una sua intervista della scorsa settimana per offrire ai lettori del Blog una anticipazione dei temi che ritroveremo nel 2020 come determinanti per la performance dei nostri portafogli.

In questo quarto Post, ci facciamo aiutare da El Erian per illustrare (ancora una volta) la crisi che è tutt’ora in atto sul mercato della liquidità negli Stati Uniti, e le sue implicazioni (che sono state solo rinviate nel tempo, ma che NON sono evitabili) per tutti i mercati finanziari, dalle azioni alle obbligazioni ai cambi.

Speaking of liquidity issues: How concerning are the ongoing strains in the repo market?
The repo market is one of the most sophisticated markets as it deals with wholesale funding. That’s why everybody assumed that this market was in good shape. But then, we had two surprises: First, to the surprise not only of the public but also of the New York Fed - which is totally focusing on that market - interest rates spiked to 10%. That was a massive dislocation. Second, it has taken a very long time to calm the repo market. Even today, the New York Fed continues to inject massive liquidity to keep the repo rate down. So we’re learning that after so many years of very big liquidity injections by Central Banks, the system has over-promised liquidity: You get these episodes of illiquidity in the midst of liquidity.

The turmoil in the short-term funding markets raises bad memories about the darkest hours of the financial crisis. Could we encounter a similar melt-down of the money markets today?
Today, we have the tools to deal with dislocations in the US banking system. I don’t worry about that. But for two reasons I worry about the promise of liquidity to non-banks. The first reason is a structural change: Before 2008, the intermediaries were big and the end-users were small. So when the end-users collectively changed their mind, they could get balance sheet from the intermediaries. Now, because of a combination of regulation and market pressure, the intermediaries have shrunk, and the end-users have gotten bigger. So whenever there is a collective change of view, like in the fourth quarter of 2018, the intermediaries cannot absorb that through their balance sheet, and we get market dislocations.

And what’s the second reason?
In certain segments, particularly in the ETF market, there’s over-promised liquidity. An ETF is an implicit promise of instantaneous liquidity at reasonable bid/offer prices. That’s why it makes sense to offer ETFs on liquid markets. But it doesn’t make sense to offer ETFs on segments of the high yield market or on segments of emerging markets. They may be liquid today, but their underlying liquidity is fragile.