How big was the American JPY intervention?

{"text":[[{"start":6.24,"text":"One of many big news stories at the tail-end of last week was the co-ordinated intervention by US and Japanese authorities to prop up the yen."}],[{"start":13.804,"text":"When it comes to the question of how much financial firepower the US deployed buying yen, we just don’t know. But we can guess."}],[{"start":20.8,"text":"MainFT scooped the story of the US move on Friday. It came hot on the heels of a currency intervention by Japanese authorities the day before, and so-called rate checks on dollar–yen by the New York Fed on behalf of the US Treasury."}],[{"start":null,"text":"

"}],[{"start":34.48,"text":"Analysts reckon Japanese authorities bought around ¥8.45tn ($52.8bn) — which is to say, a decent chunk of change."}],[{"start":43.041,"text":"But while the symbolism of American authorities piling in is not to be diminished, the quantity of currency they actually bought is likely to be a lot less."}],[{"start":52.64,"text":"US foreign exchange is evenly split between the US Treasury’s Exchange Stabilization Fund and the Fed’s System Open Market Account, both of which are managed by the New York Fed — each with $19.1bn of FX assets. Here’s how these assets broke down at the end of March:"}],[{"start":null,"text":""}],[{"start":68.726,"text":"So if the NY Fed liquidated the entirety of the euros held in both the ESF and the Fed’s SOMA, we’re talking around a maximum trade ticket somewhere in the order of $26.3bn — a bit less than half the estimated size of the Japanese trade."}],[{"start":82.922,"text":"Of course, it’s possible (and even likely) that the US authorities transacted using currency forwards rather than spot FX. That is to say, the NY Fed could’ve bought anywhere from a few to a ton of euros versus yen with a forward settlement date of, say, one month from now."}],[{"start":98.98,"text":"In this case, the only real limit to potential trade size would be the maximum amount of counterparty risk Goldman Sachs and Morgan Stanley (for it was they) were willing to take to the Fed, which would be a very large number. And a forward trade with a very large number would see the ESF and SOMA running an outright net short euro position."}],[{"start":117.41,"text":"Luckily for us, we won’t have to wait an age to find out. Per US Treasury:"}],[{"start":120.847,"text":"The Gold Reserve Act further requires the Secretary of the Treasury, within 30 days after the end of each month, to transmit to the House and Senate Banking Committees a detailed financial statement of the ESF, including all agreements entered into and renewed and all liabilities projected to occur."}],[{"start":139.632,"text":"So mark August 30 in your diary and get ready for the big reveal."}],[{"start":147.44,"text":""}]],"url":"https://audio.ftcn.net.cn/album/a_1785812697_7008.mp3"}