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’Those haircut-heavy credit claims [updated with more haircuts]
Update — apologies for a rather disorganised (and long) post… but we’ve finally gained information from all seven eurozone central banks who’ll accept additional credit claims under the ECB’s new rules…
That Eurozone repo contraction, charted
We’ve had the results of ICMA’s European repo survey, but the following chart — by way of the ECB’s statistical data warehouse — offers a much more contemporaneous view thanks to data collected by the ECB via its MFI balance sheet reporting regulation .
The Italian bid, redux
We’re sticklers for this stuff — but it’s an important point by Societe Generale’s analysts on Tuesday: (click charts to enlarge)
There’s your exosphere-thin trading in Portugal at the moment, incidentally…
Guest post: While Rome is burning
From Alberto Saravalle, managing partner at Bonelli Erede Pappalardo
_______
What happens to M&A while Rome is burning? In the past few months Italy has been in the midst of a political, economic and financial crisis.
That’s not a bazooka…
*This* is a bazooka.
Not a €2,000bn bazooka… a €5,000bn bazooka to repair the eurozone, according to Peter Boone and Simon Johnson, writing for the Peterson Institute where they are both fellows.
Collateral squeeze as strong as ever, Icap says
Oh dear. So much for the big Draghi LTRO helping out the Eurozone collateral crunch.
According to Icap’s latest repo makret report — and remember they operate the dominant electronic repo platform in Europe,
This crude old eurozone crisis
Bank of America Merrill Lynch’s commodities analysts have picked up that Brent crude — when priced in euros — is uncomfortably close to its July 2008 peak.
And they’ve added some interesting points:
Spain and Italy: only just begun
So Thursday morning’s auctions of Spanish bonds and Italian one-year T-bills went well, and on Friday there’s an Italian bond auction for up to €4.75bn.
The Spanish sale was especially impressive — from the FT earlier,
Debunking the 7 per cent threshold
Spain and Italy successfully auctioned short-term debt this morning, a result that some say was the result of funds raised at the ECB’s three-year LTRO being put to work.
It wasn’t just the short-end of the government curves that got a boost,
Consob is watching
RTRS-ITALY MARKET WATCHDOG CONSOB CHECKING BLACKROCK STATEMENTS ON UNICREDIT STAKE-CONSOB SOURCES
MILAN (Dow Jones)–U.S. asset management company BlackRock Inc. (BLK) Wednesday said it still holds a 3.09% stake in UniCredit SpA (UCG.MI),
The Italian bid
Apparently, the European Central Bank bought unusually large amounts (at least €1bn) of Italian debt on Thursday. Just as well?
Stefano Di Domizio of Lombard Street Research wants more:
Screaming call for the ECB to step up bond purchases
The above is a chart by Di Domizio showing how Italian bonds’ bid-offer spreads have diverged from the yield spread to German debt.
UniDebito* prospectus – 475 pages (in Italian)
* H/T @mark_dow
Here’s the Unicredit rights issue prospectus. We’re busy chasing down the story that this includes a euro break-up as a risk factor, warranted though that is.
Any help from Italian speakers much appreciated.
[Something for the weekend] A Dickens of a mess
Ebenezer Draghi sighed. These bank books would never come out right, and it was Christmas Eve already. As he struggled, the numbers began to swim before his eyes. So many hundreds of billions of euros,
Credit enhancement, Italian sovereign feedback-loop edition
Readers may remember how Portuguese banks resorted to government guarantees on existing bank bonds to make them more appealing for use as collateral at ECB funding operations back in May this year.
The government guarantees essentially reduced the haircuts that would be charged — making it much more cost effective to use the ECB facilities,
How big could the Sarko trade go?
Some €15-45bn for Spanish banks and their government’s bonds at least, according to Morgan Stanley’s Huw Van Steenis, who has just produced a very interesting note on the carry trade du jour – or to use its technical name the ECB’s 3-year LTRO.
Tricky cartisti
There’s a certain Italian elegance to this intraday chart of Iti 10 year sovereign debt, no?
Technical analysts might spot an upside down head with a shoulder-shrug. Maybe.
That twitch higher,
Signor Monti, sensazionale [updated]
The price action in on Italian bonds on Monday, that is.
Out of the danger zone, for now.
Thanks Angela. From the FT:
In an apparent concession, Ms Merkel agreed that private sector bondholders would not be asked to bear some of the losses in any future sovereign debt restructuring,
Italy’s very own special liquidity programme? [Updated]
Fresh off the wire on Wednesday:
RTRS – ITALY TREASURY SAYS TO LAUNCH AUCTIONS TO LEND OR BORROW SIGNIFICANT AMOUNTS OF CASH ON MONEY MARKET USING TRSY’S ACCOUNT AT BANK OF ITALY
RTRS – ITALY SAYS AUCTIONS TO NORMALLY OFFER OVERNIGHT MATURITIES WITH CREDIT LIMITS,
The decline and inversion of Italian bonds
Breaking on Tuesday morning: Italy pays more to borrow for three years than it does for 10 years…
RTRS-ITALIAN 3.5 BLN EURO NOV 2014 BTP BOND AUCTION GROSS YIELD 7.89 PCT
RTRS-ITALIAN 3.5 BLN EURO
A Minsky moment in the eurozone?
Named after the economist Hyman Minsky, the phrase describes a situation where investors who have borrowed too much are forced to sell even good assets to pay back their loans.
– The Guardian, 2007
Italian bond watch/alert
First the good news.
Italy managed to raise the targeted amount of €10bn at Friday’s short-term debt auction.
Now the bad news:
RTRS-ITALY 6-MTH BOT BILL AUCTION YIELD 6.504, UP FROM 3.535 PCT AT END-OCT.
Looking at the eurozone through a NIIP prism
Whichever way you look at it, the eurozone crisis is ugly.
But looking at the overall indebtedness of peripheral economies instead of focusing solely on their public sector debt offers an interesting perspective on the problem,
Something for the bail-out sceptics
We won’t know until early next year how much the ECB has spent on its efforts to defend Italy and Spain facilitate the transmission of monetary policy across the Eurozone.
However, Gary Jenkins at Evolution Securities has crunched some numbers and he reckons the bank is now sitting on up to €100bn of Italian debt alone.
Bunds get Junckered, and other repo dysfunctions
Just when you thought it couldn’t get any worse… Jean-Claude Juncker, Luxembourg Prime Minister and president of the EuroGroup speaks:
Nov. 16 (Bloomberg) — Germany’s debt level is a “cause for concern,” Luxemburg Prime Minister Jean-Claude Juncker told the General-Anzeiger newspaper.
The naked derivative exposures of banks to sovereigns
As spreads of all colours blow out due to the perpetually unresolved sovereign crisis in Europe, FT Alphaville has been wondering what non-fundamental factors are driving these moves. The bond market is in some places broken and in other places potentially being driven by regulation.