GOFO 十三年來新低？What are the indications?

很久沒有提到GOFO的走勢，因為過去數年都是徘徊於正數低位。繼2012年一文後，剛剛ZEROHEDGE的文章提出GOFO再次出現負數的現況, 對上一次已經是2008年雷曼事件, AIG被bailout後出現的. 從1989年到2014年，GOFO負利率總共不超過十天. 看罷這種"圍威謂"的操作，究竟今次葫蘆裡賣甚麼藥呢？文中提出幾種可能性，包括:

• An ETF-induced repricing of paper and physical gold
• Ongoing deliverable concerns and/or shortages involving one (JPM) or more Comex gold members.
• Liquidations in the paper gold market
• A shortage of physical gold for a non-bullion bank market participant
• A major fund unwinding a futures pair trade involving at least one gold leasing leg
• An ongoing bullion bank failure with or without an associated allocated gold bank "run"
• All of the above

綜合各方意見，不外乎以下幾個情況：

• 黃金供應真的非常緊絀
• 央行不再願意每天出租黃金流入市場
• 或者央行仍舊每天租賃黃金，但在紐約商品交易所交割月份，額外的實物需求剛夠令整個規模失去平衡，驅使GOFO成為負數。(或央行專登繼續租賃，為求壓低金價?)
• 負GOFO表示London Good Delivery bars 租賃和交付短缺
• 金條的短缺阻止了黃金銀行嚴重做空和帶動更低的價格。 

所以有業內人說：GOFO負時買入。當GOFO正數時要謹慎，出售或暫緩購買。

http://voguishwoman.blogspot.hk/2012/02/blog-post_24.html

Fofoa once said: It should never turn negative because that would mean it costs more to borrow gold than to borrow dollars. (GOFO = $ interest rate - gold lease interest rate) In other words, if GOFO goes negative, the message is that gold is more precious than dollars. 

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Physical Gold Shortage Worst In Over A Decade: GOFO Most Negative Since 2001 (repost from zerohedge.com)

Submitted by Tyler Durden on 11/06/2014 18:37 -0500

The last time there was an systemic physical gold shortage was in July 2013. It is then that, for the first time in 5 years, the 1-month Gold forward offered rate, or GOFO, went negative. We said:

Today, something happened that has not happened since the Lehman collapse: the 1 Month Gold Forward Offered (GOFO) rate turned negative, from 0.015% to -0.065%, for the first time in nearly 5 years, or technically since just after the Lehman bankruptcy precipitated AIG bailout in November 2011. And if one looks at the 3 Month GOFO, which also turned shockingly negative overnight from 0.05% to -0.03%, one has to go back all the way to the 1999 Washington Agreement on gold, to find the last time that particular GOFO rate was negative.

Fast forward to today, when as noted over the past week there has been a massive shortage of precious metals - most notably silver which as of this moment is indefinitely unavailable at the US Mint - as a result of the tumble in the paper price, and following 8 days of sliding and negative 1 month GOFO rates, today the physical metal shortage surged, as can be seen by not only the first negative 6 month GOFO rate since last summer's much publicized gold shortage when China was gobbling up every piece of shiny yellow rock available for sale, but a 1 month GOFO of -0.1850%: the most negative it has been since 2001!

Said otherwise, the physical shortage is the worst it has been in over a decade, even as the price of paper gold continues to drop!

And for those for whom the topic of GOFO inversion is new, here is how we described the situation last time:

* * *

What is GOFO (Gold Forward Offered Rates)?

GOFO stands for Gold Forward Offered Rate. These are rates at which contributors are prepared to lend gold on a swap against US dollars. Quotes are made for 1-, 2-, 3-, 6- and 12-month periods.

Who provides the rates?

The contributors are the Market Making Members of the LBMA: The Bank of Nova Scotia–ScotiaMocatta, Barclays Bank Plc, Deutsche Bank AG, HSBC Bank USA London Branch, Goldman Sachs, JP Morgan Chase Bank, Société Générale and UBS AG.

When are the rates quoted?

The means are set at 11 am London time. These are the rates shown on the LBMA website.  To show derived gold lease rates, the GOFO means are subtracted from the corresponding values of the LIBOR (London Interbank Offered Rates) US dollar means.  These rates are also available on the LBMA website.

How are the GOFO means established?

At 10.30 am London time, the Reuters page is cleared of all rates. Contributors then enter their rates for all time periods. A minimum of six contributors must enter rates in order for the means to be calculated. At 11.00 am, the mean is established for each maturity by discarding the highest and lowest quotations in each period and averaging the remaining rates.

What are some uses for GOFO means in the market?

They provide a basis for some finance and loan agreements as well as for the settlement of gold Interest Rate Swaps.

* * *

Unpleasant similarities with Libor and most other fixed (literally and metaphorically) rates aside, what is known is that under normal market conditions, GOFO is always positive, or in other words gold serves as a money-equivalent collateral for a pseudo-secured loan against paper fiat (USD in this case) hence the low interest rate.

Sometimes, however, normality inverts and the rate goes negative and as such serves as a useful indicator of gold market dislocations. Thus, while disagreements exists, one can safely say that what GOFO is, is simply a blended indicator of liquidity, counterparty or collateral (physical availability) stress in the gold market. Since it is next to impossible to isolate just which component is causing the indicated disturbance, it is prudent to be on watch for all three.

The best known example of a complete collapse in the GOFO rate, is the September 1999 Washington Agreement on Gold, which in brief, was an imposed "cap" on gold sales (mostly European in the afteramth of Gordon Brown's idiotic sale of UK's gold) to the tune of 400 tons per year. The tangent of the Washington Agreement is quite interesting in its own right. Recall the words of Milling-Stanley from the 12th Nikkei Gold Conference:

"Central bank independence is enshrined in law in many countries, and central bankers tend to be independent thinkers. It is worth asking why such a large group of them decided to associate themselves with this highly unusual agreement...At the same time, through our close contacts with central banks, the Council has been aware that some of the biggest holders have for some time been concerned about the impact on the gold price—and thus on the value of their gold reserves—of unfounded rumours, and about the use of official gold for speculative purposes.

"Several of the central bankers involved had said repeatedly they had no intention of selling any of their gold, but they had been saying that as individuals—and no-one had taken any notice. I think that is what Mr. Duisenberg meant when he said they were making this statement to clarify their intentions."

Of course, this happened in a time long ago, when the primacy of Fractional reserve banking was sacrosanct, when the first Greenspan credit bubble (dot com) was yet to appear, and when barbarous relics were indeed a thing of the past, only to be proven oh so contemporary following not one, not two, but three subsequent cheap-credit bubbles which have vastly undermined the religious faith in fiath and central banking, sending the price of gold to all time highs as recently as 2011.

Another subsequent negative GOFO episode occurred in early 2001, which coincided with what has been rumored to be a speculative attack and reversal of the futures market. However, while pushing 1 month rates negative, 3 month rates remained well positive.

Indeed, the only other time when both 1M and 3M GOFOs were both negative or almost so (3M touched on 0.05%) was in the aftermath of the AIG bailout following the Lehman collapse in November 2008.

Fast forward to today, when all GOFOs, from 1M all the way to 6M just went negative.

And while both Antal Fekete and Sandeep Jaitly, traditionally two of the most vocal pundits in the arena of gold backwardation and temporal and collateral gold market arbritrage, are likely come up with their own interpretations of what may be causing this historic inversion, the reality is that one can't know for sure until after the fact. It may be one of many things:

• An ETF-induced repricing of paper and physical gold
• Ongoing deliverable concerns and/or shortages involving one (JPM) or more Comex gold members.
• Liquidations in the paper gold market
• A shortage of physical gold for a non-bullion bank market participant
• A major fund unwinding a futures pair trade involving at least one gold leasing leg
• An ongoing bullion bank failure with or without an associated allocated gold bank "run"
• All of the above

The answer for now is unknown. What is known is that something very abnormal is once again afoot at the nexus of the gold fractional reserve lending market. 

Reference:

http://www.lbma.org.uk/pricing-and-statistics
http://fskrealityguide.blogspot.hk/2008/07/gold-lease-rate-is-negative.html