posto parte di una ricerca che mi sembra interessante,
che parla della liquidità data alla bce
Credit Focus
Three-year LTRO impact
�� The ECB provided €489bn in the three-year LTRO on 21 December 2011,
significantly more than the market expectation of €250-€350bn.
�� Adjusting for rollovers of existing facilities, the net addition of liquidity to the
system was circa €210bn.
�� We believe that the three-year LTRO is very bullish for banks in general,
particularly those with little hope of accessing wholesale markets, at 1, 2 and 3
year points on the curve. Please refer to the trade ideas in the Tactical section.
We explored the topics of the positive impact of the three-year LTRO and relevant trade
ideas in the HTCredit Plus THdated December 15 2011. On 21 December the ECB announced
that it had provided €489bn in the three-year LTRO, significantly more than the market
consensus of €250-€350bn. That said, our interest rate strategists had expected €400-
€500bn and do not expect more than €300bn in the February three-year LTRO. While no
more detailed official information on banks and countries usage of the LTRO has been
provided, Reuters reported, citing “sources with knowledge of the matter”, that of the
€489bn, €116bn was taken up by Italian banks. It is also important to note that the net
liquidity addition to the system was much less than the headline figure of €489bn because:
(1) the banks reduced their use of the Main Refinancing Operation (MRO) by €123bn; (2)
the banks also reduced their use of the three-month LTRO by €111bn; and (3) some banks
also took advantage of the possibility to swap out of the recent 12-month LTRO that was
allotted in October into the new 32-month facility, accounting for approx €46bn. Subtracting
these three items, we estimate the net addition of liquidity to the system to be
approximately €210bn, still a significant figure.
What is the cost? Banks participating in the three-year LTRO will have the option to repay
the funds after one year. Our Interest Rate Strategists have estimated the cost of these
funds for the banks be as below.
When calculating the rate likely to be paid on the operation, they assume the ECB will keep
a fixed rate and full allotment for the MROs during the period. In addition, they take into
account our economists’ forecasts for the refi rate. The ECB is expected to cut the refi rate
to 0.75% early next year (they assume February here) and to then keep the refi rate
unchanged over the course of 2012 and 2013. They then assume the ECB will gradually
raise the refi rate by 25bp every three months starting in April 2014. This puts the refi rate
at 2% at the expiry of the 36-month tender. As a result, the average refi rate over the
period (paid for 36-month tender) will be just below the current 1% level (0.985%). Under
this scenario, the minimum rate banks will be charged on the tender just ahead of the first
rate hike in early 2014, at that time the rate will be 0.768% (i.e. 23.2bp cheaper than the
current refi rate and very close to the 0.75% floor expected in coming months). It is worth
noting that the two-year Eonia starting on 22 December is at 0.52% and that the three-year
is at 0.71%. When regards to Euribor rates, the two-year is at 1.40% and the three-year is
at 1.50%.
Here is the money, now what?
While the use of proceeds of the one-year LTRO was quite obvious in 2009, carry trade
with sovereign debt, it is less so this time around. The sovereign debt of peripheral EU
countries has become a major area of concern for investors and we believe that any
prudent bank management team would not want to be seen increasing their exposure to
this asset class. One exception to this might be sovereign debt of their home country. For
instance, it could well be that Portuguese banks will buy more Portuguese debt and ditto
for Italian, Spanish etc. Furthermore, in search of yield and higher net interest income,
banks could also buy the senior debt of other highly rated banks which is repoable to the
ECB and would not need to be reported as sovereign exposure. What the three-year LTRO
is unlikely to do, is to encourage banks to make long-term loan commitments, which are
sorely needed to jump start the European economy.
5 January 2012 7
European Credit Research & Strategy
http://www.GlobalMarkets.bnpparibas.com
What does this mean for funding?
First and foremost, the LTRO resolved the question of what will happen if wholesale
markets do not reopen in the first half of this year. While before the LTRO we were starting
to wonder which banks could start running into liquidity troubles as a result of the
dysfunctioning capital markets, this is no longer an immediate concern. As a result we
believe that this should be very positive for the short end of the funding curves, something
that in our view has not yet been properly reflected in the market. Prior to the three-year
LTRO announcement by the ECB, our projection for European banks issuance, published
in our annual outlook at the beginning of December, was €50-€100bn for senior unsecured
and €260-€280bn for covered bonds. The LTRO of course alters this projection. With
senior unsecured funding levels still elevated for most issuers, we believe that the LTRO
will primarily reduce this category. Exceptions to this might be the likes of Svenska
Handelsbanken, Nordea, HSBC or Standard Chartered – all considered defensive names
in the current environment.
It could well be that a number of banks have met their 2012 funding needs plan with the
funds from the LTRO, hence supply may be well below our initial estimates. In senior
unsecured we would now expect a supply of €10-€50bn. We discuss the impact on
covered bonds in the following section. Prior to the LTRO allotment, investors were
indicating that they would look to put cash to work in the new issues of 2012. This might
not be possible anymore. Hence we believe cash will be put to work in the secondary
market, especially on the short end of the curve (1y, 2y, 3y). This has already started to
happen in some peripheral names and we think that this trend has further to go. We
explore the most attractive trade ideas in the relevant section.
Impact on covered bonds supply
We expect the LTRO to affect covered bond supply mostly in peripheral markets such as
Italy and Spain. Assuming that a large number of banks in such markets have partially or
even fully covered their funding requirements for 2012 via the LTRO, covered bond
issuance may remain subdued, especially at the short end of the curve. If markets improve
significantly, banks from peripheral countries could still issue covered bonds to raise longer
term funding. However, spread compression between core and non-core markets would
have to be significant to see substantial supply of longer dated Spanish or Italian covered
bonds. In core countries such as Germany and France, as well as the Nordic area, the
impact of the LTRO on covered bond supply should be less noticeable. However, weaker
rated issuers in core markets that would have predominantly targeted the short end of the
curve, may refrain from issuing covered bonds unless the market environment allows them
to tap the longer end of the market at attractive levels.
Given the expected impact of the LTRO described above, we lower our supply forecast for
2012 to €210-€230bn (€155bn benchmark covered bond issuance). The drop is mainly due
to a significant reduction of expected issuance of Italian and Spanish covered bonds
(c. -75%), while we assumed a smaller reduction in issuance of German and French
covered bonds (c. -10%).
The tender offer of the National Bank of Greece (ETEGA) to buy-back its only publicly
placed Jumbo covered bond at 70% gives rise to speculation as to whether or not other
issuers of covered bonds that trade at very wide levels (i.e. in Ireland and Portugal) may
follow. The likelihood of other buy-back transactions is difficult to assess, especially since
the buy-back of bonds below par funded through central bank liquidity may be viewed
critically by some authorities. However, a high participation in the ETEGA buy-back my fuel
enough speculation to lead to tighter spreads in short dated covered bonds trading
significantly below par.
What counts as collateral?
The types of collateral accepted by the ECB and haircuts on those respective collaterals
can be found on the HTECB’s websiteTH. Furthermore, the ECB also allowed National Central
Banks (NCBs) to accept as collateral performing credit claims (bank loans) that satisfy
specific eligibility criteria. The acceptance will be decided at NCB level. Details of the
criteria have not yet been released.
. Questo 3d sta facendo il salto di qualità, perchè gli investitori che scrivono qui si sono accorti che insieme fanno una forza e possono anche incidere sul destino dei propri investimenti
