この記事は日銀政策決定会合前のものです。

The BoJ Owns 52% Of The Entire Japanese ETF Market , And Now It Wants More

Tyler Durden's picture




 

Way back in March, after the BoJ’s equity plunge protection had been exposed for all the world to see, we brought you a hilarious set of proclamations from Haruhiko Kuroda who, you’re reminded, is known for surreal soundbites regarding both the effectiveness of unconventional monetary policy and the omnipotence of central banks. 

The BoJ’s $90 billion equity portfolio is actually “not large”, Kuroda explained, before adding this amusing bit of color: “stocks aren’t being lifted by the BoJ’s ETF purchases.” You can evaluate the veracity of that statement for yourself using the following chart from WSJ:

遡ることこの3月以来、日銀の株価維持政策が世界の耳目を集めている、ZeroHedgeは抱腹絶倒モノの黒田春彦宣言を伝えてきた、皆さんも御存知のように中央銀行の万能性を示そうとする異次元緩和は超現実的なものだ。

日銀保有の$90B(約9兆円)相当株式はたしかに「多くはない」、しかし黒田はこんなお笑いを言う:「日銀のETF買取で株価が上昇しているわけではない」。彼の発言が誠実なものかどうか、次のチャートをみて判断してほしい。


Kuroda's comments came on the heels of a Nikkei piece which contained the following rather eye-opening passages:

黒田のコメントは日経記事に掲載された、その記事内容は驚くものだ:

The central bank's portfolio has a book value of around 5.7 trillion yen. But soaring share prices have lifted its market value past the 10 trillion yen mark -- nearly 2% of the tally for all Tokyo Stock Exchange shares.

 

The figure makes the BOJ second only to the Government Pension Investment Fund, whose portfolio boasted a market value of 27 trillion yen as of December's end.

 

Although the central bank does not disclose details of share-buying operations, it frequently steps into the market and buys 30 billion yen to 40 billion yen worth of stocks when equity prices falter in the morning. Its purchases Tuesday reached 35.2 billion yen, underpinning a market that showed signs of a morning struggle. The bank has carried out 20 such operations so far this year.

 

The stock portfolio's impact on the BOJ's financial health can no longer be ignored.

 

The bank's net worth is 2.8 trillion yen, while its stock portfolio is worth twice that in book value, or 250% more in market value. Japanese megabank Mitsubishi UFJ Financial Group has a net worth of 14 trillion yen, with its stock portfolio amounting to only 5 trillion yen in market value.

 

The central bank must book losses when stock prices suffer extraordinarily sharp drops, since its financial health could hurt confidence in the Japanese currency.

中央銀行保有の株式簿価は5,7兆円程度だ。しかし株価が上昇しており市場価格は10兆円を超えるーー東京証券取引所全体のETFの2%を占めるに至った。

この額はGPIFに次ぐ二番目の大株主ということだ、GPIFはこの年末には27兆円となる。

中央銀行は株式会入れ手口の詳細を明かさないが、午前に株式が不調のときは300−400億円の買入を実行してきた。この水曜には352億円買い入れた、朝方の下落を止めるためだ。今年だけでこのような市場操作を20回以上行ってきた。

これだけ株式を買い入れると日銀の財政健全性を無視できない。

日銀の純資産は2.8兆円だ、保有株式の時価は簿価の二倍を超える。日本最大の商業銀行、三菱東京UFJグループの純資産は14兆円、そのうち株式の市場価格は5兆円にすぎない。

株価急落の際には中央銀行の調歩損失を生む、日銀の財政健全性は通貨円の信頼性を傷つける。


Right. In other words: you can’t mark your equity book “held to maturity.” 

The problem for the BoJ is that it’s running out of bonds to buy. Literally. Recall our assessment from last month in which we highlighted comments from BofAML and from the IMF, both of which indicate that Kuroda will soon find that the central bank has hit its limit in terms of finding willing sellers and in terms of how far the BoJ can push the QE envelope. 

As we said in Septemeber, in 6-9 months, following the next major market swoon when everyone is demanding more action from the BOJ, "suddenly" pundits will have discovered the biggest glitch in the ongoing QE monetization regime, namely that the BOJ simply can not continue its current QE program, let along boost QE as many are increasingly demanding, unless it finds willing sellers, and having already bought everything the single biggest holder of JGBs, the GPIF, had to sell, the BOJ will next shakedown the Post Bank, whose sales of JPY45 trillion in JGBs are critical to keep Japan's QQE going.

Indeed, the IMF notes that in Japan, where there is a limited securitization market, the only "high quality collateral" assets are JGBs, and as a result of the large scale JGB purchases by the JGB, "a supply-demand imbalance can emerge, which could limit the central bank’s ability to achieve its monetary base targets. Such limits may already be reflected in exceptionally low (and sometimes negative) yields on JGBs, amid a large negative term premium, and signs of reduced JGB market liquidity."

For those surprised by the IMF's stark warning and curious how it is possible that the BOJ could have put itself in such a position, here is the explanation:

その通り。株式には「満期」がない。日銀はすでに買い取るべき債券も枯渇しかけている。前回のZeroHedgeの記事を見てほしい、バンク・オブ・アメリカとIMFが共に警告しているが、黒田がどれだけ緩和拡大を望んでも日銀はもうすぐ債権売り手を見つけられなくなる。

9月の記事でも述べたが、これから6−9か月のうちに次の株価下落が生じた時、経済評論家は重大な問題に気づくだろう、今の異次元緩和を継続できないのだ、市場参加者がさらなる緩和を囃し立ててもこれ以上の売り手はもう無いのだ、これまでの日本国債最大保有者であるGPIFにさらなる放出を迫るか、ゆうちょ銀行にたからねばならない、ゆうちょ銀行は45兆円の日本国債を持っているが果たして日銀の要求に応じるかどうか。

IMFが言うように日本の債券市場は限界に達している、信用度が一番高いのが日本国債であるが日銀の大量買い付けにより「需要と供給の関係が崩れてきている、日銀のマネタリベース目標達成は国債の供給限界に依存している。この限界はすでに現れている、日本国債の金利がほとんどゼロ場合によってはマイナスになっているのだ、流動性が低下している。」

IMFの厳しい警告にもかかわらず、奇妙なことに日銀は政策修正を行わない、その理由はこうだ:



So far, the BoJ’s share of the government bond market is similar to those of the Federal Reserve and still below the Bank of England (BOE) at the height of their QE programs. Indeed, the BoE held close to 40 percent of the conventional gilt market at one point without causing significant market impairment. Japan is not there yet, as the BoJ held about a quarter of the market at end-2014. But, at the current pace, it will hold about 40 percent of the market by end-2016 and close to 60 percent by end-2018. In other words, beyond 2016, the BoJ’s dominant position in the government bond market will be unprecedented among major advanced economies.

日銀が保有する政府債務の割合は米国と同程度で英国よりも低い。たしかに英国は市場混乱を引き起こさずにイングランド銀行が英国債の40%を持つに至った。日本はまだそこまでには至っていない、日銀は2014年末でもまだ25%程度の保有にすぎない。しかし現在のペースで買い進めると2016年末には40%となり、2018年末には60%に達する。ということは2016年以降は先進経済国が経験したことのない未踏領域に踏み込むわけだ。

So with the list of willing sellers dwindling and market liquidity evaporating (and you don't want that because it sets the stage for harrowing VaR shocks which, if you're holding a massive book of bonds, can lead to outsized losses - on paper anyway), the BoJ will need to turn increasingly to stocks, and as Bloomberg reports, owning half the ETF market may no longer be enough for Kuroda. Here's more:

すでに日本国債の売り手がなくなりつつあり、流動性が消失している(VaRショックを引き起こしてもおかしくない)、日銀は緩和手段を株式に向けざるを得ない、すでに市場の半数を黒田が持っているわけだ。さらにこういう状況だ:

Japan’s central bank already owns more than half of the nation’s market for exchange-traded stock funds, and that might just be the start.

 

The Bank of Japan will boost stimulus on Friday, according to 16 of 36 economists in Bloomberg’s latest survey, with 12 saying it would do so by increasing its annual ETF-buying budget. With 3 trillion yen ($25 billion) a year in existing firepower, the BOJ has accumulated an ETF stash that accounted for 52 percent of the entire market at the end of September, figures from Tokyo’s stock exchange show.

日銀はすでに国内ETFの半数を持つに至っている、しかしこれは始まりに過ぎないかもしれない。

ブルームバーグが調査したエコノミスト36人のうち16人が日銀のさらなる追加緩和を求めている、12人はさらなるETF買い増しを望んだ。現在は年間3兆円の予算で株式を購入している、日銀はこの9月末に日本国内ETF資産の52%を保有している。


 

The Topix index is up 21 percent since the central bank unexpectedly tripled its ETF budget almost a year ago, and Citigroup Global Markets Japan Inc.’s Tsutomu Fujita says there’s room for them to triple it again. For Amundi Japan Ltd., expanding the program would do more harm than good.

 

“At a fundamental level, I don’t support the idea of central banks buying ETFs or equities,” said Masaru Hamasaki, head of the investment information department at Amundi Japan. “Unlike bonds, equities never redeem. That means they will have to be sold at some point, which creates market risk.”

一年前にETF買取予算を三倍にしてからTOPIXは21%上昇した、CITIグループのTsutomu Fujitaによればまだ現状の三倍は買いますことができるだろうと言う。Fmundi Japanによれば、さらなるETF買い増しは市場を炒めるだけだと言う。

Amundi JapanのMasaru Hamasakiは「ファンダメンタルを考えれば、日銀のETF買い増しを支持しない。」と言う。「債券と違い、株式に満期はないのだ。ということはどこかの時点で購入した株式を売却せざるを得ない、このリスクは大きすぎる。」

Right. Once again, you can't mark your equity book "held to maturity" and as an aside, it's not clear how the BoJ intends to exit these positions without precipitating a crash. In any event, Kuroda's protestations notwithstanding, the BoJ is certainly propping up the equity market...

そのとおり。もう一度繰り返すが、株式に満期はない、暴落なしに日銀が売り抜けることなどできるだろうか。黒田がどう説明しようが、日銀の買入で株価を押し上げていることは明らかだ・・・

The BOJ tends to enter the market on days where stocks decline in the morning, and has spent more than 80 percent of its allowance for this year.

 

“The BOJ’s ETF buying has an impact on investor psychology," said Hideo Kumano, chief economist at Dai-ichi Life Research Institute Inc. and a former central-bank official, who expects policy makers to announce an increase in purchases of ETFs, sovereign debt and real-estate investment trusts on Friday.

朝方株価下落のときには日銀が出動したので、株式購入今年度予算の80%をもう使い果たした。

「日銀のETF買取が投資家心理に影響を与えている」と第一生命のHideo Kumano元日銀委員は言う、彼は日銀のETF買取、政府債務買取、REIT買取を希望する。

...and because the central bank has literally cornered the JGB market, expanding the ETF portfolio is the only option...

・・・・日銀が日本国際市場を追い込み、ETFにまで手を伸ばしている・・・

“Buying bonds is no longer possible, but they still have plenty of scope to increase ETFs purchases to, say, 10 trillion yen from the current 3 trillion yen,” said Fujita, the vice chairman of Citigroup Global Markets Japan, who expects the central bank to ease by January.

「もう国債を買いますことはできないだろう、ならETFを買い増せば良い、現在の年間予算3兆円から10兆円にすればよいのだ」とCiti JapanのFujitaは言う、彼は日銀がさらなる緩和をすることを望んでいる。

...unless of course the central bank breaks down and starts buying individual stocks...

・・・・日銀が個別株式まで飼い始めると・・・


Similar to 2002, "they could also buy the underlying stocks too.”

2002年と同様に「日銀が個別株式を買うことだってできる」

As Bloomberg goes on to note, buying individual issues would allow the BoJ to effectively control corporate management teams on the way to dictating decisions about wage hikes and capex. In other words, when Abenomics fails, the BoJ will simply take over the boardroom and mandate higher pay in an effort to fix this:

ブルームバーグはこう言う、日銀が個別株式を買えば経営陣を説得し給与増加や固定資産買い増しを指示できる。もしアベノミクスが失敗しても日銀がその代わりに企業を動かせる:

Or, as Izumi Devalier, HSBC’s Hong Kong-based economist puts it, "if the macro didn’t work, maybe you do it on a super micro level."

Yes, "maybe" you do, but this amounts to an all-out effort to centrally plan the economy and like all such efforts, it will end in tears and the extent of the sorrow will be directly proportionate to how far the state has gone in terms of trying to dictate macro outcomes via micromanagement. 

At some point, this charade has to end. There will be no more monetizable assets and unless the government intends to simply issue one liability (a bond) and buy it with another liability that they also print (fiat money) for the sheer sake of keeping the ponzi scheme alive (i.e. issuing debt for the sole purpose of perpetuating QE), "failed state" status is right around the corner. 

We close with two quotes and one searing image.

HSBC香港のIzumi Devalierはこう言う、「マクロ経済で市場を動かせないなら、スーパーマイクロレベルを試みれば良いかも」。まさに「できるかも」だ、でもこういうふうに金融政策を放棄して個別企業を従わせる政府というのはなんということか。どこかで見え透いた嘘は終わりを告げる。マネタイズ資産が無くなると政府がさらに債務を増やし日銀が買い入れるということになる、まさにねずみ講だ、最後は「破綻国家」となる。

最後に引用を二つと写真を一つ。

Paul Krugman: "Why does the tide finally seem to be turning? Partly, I think, it’s just a matter of time; after six years it’s becoming hard not to notice that the anti-Keynesians have been wrong about everything. And the refusal of almost everyone on the anti-Keynesian side to admit any kind of error has gradually made them look ridiculous."

Paul Krugman:「潮目はどうして変わったのだろう?一つは時間の問題だ:6年もたつとアンチケインズ派が全く間違っていたとも言えない。アンチケインズ派を完全否定というのもよくないだろう。

 

Haruhiko Kuroda"I trust that many of you are familiar with the story of Peter Pan, in which it says, 'the moment you doubt whether you can fly, you cease forever to be able to do it.' Yes, what we need is a positive attitude and conviction."

黒田東彦:「ピーターパンの話をご存知でしょう、飛べるかどうか疑い始めると永遠に飛べなくなってしまうのです」。そう、前向きな姿勢と信念が大切です。