LEAF precede tutti!

Cosenza (Italy), 19 Febbraio 2011

[Ringrazio il sito Rischio Calcolato per citare parte di questo mio articolo ed esprimersi con parole di stima nei miei confronti: "Abbiamo ipotizzato che dietro questo evento anomalo ci fosse una o più banche in seria crisi di liquidità, oggi Matteo Olivieri, esperto di politica monetaria spesso nostro ospite, sul suo Blog LEAF fa un'ipotesi del tutto diversa e affascinante: Si tratterebbe di una enorme speculazione finanziaria a brevissimo termine da parte delle banche europee contro il dollaro in attesa di un innalzamento dei tassi ufficiali di interesse in eurolandia!"]

Questa volta è ufficiale: il mio articolo LEAF del 5 Febbraio scorso, intitolato "Significa qualcosa un tasso EONIA in caduta libera?", è in netto anticipo rispetto allo stesso articolo CNBC "What's Up With Eurodollar Futures?" di ieri 18 Febbraio, da me riportato qui di seguito:

"CNBC's Rick Santelli just reported that 100,000 Eurodollar front March futures contracts were sold this morning. That is the largest trade that he can remember in his 31 years in the pits. (The contracts represent the 3-month rate that converges to Libor). Santelli reports this is something to pay attention to especially since it coincides with heightened borrowing by banks from the European Central Bank in the last two days, which some traders say is a potential sign of funding issues".

Anche le conclusioni da me allora fatte, cioè che il marcato calo del tasso EONIA fosse da leggere congiuntamente alla crescita delle contrattazioni sul mercato del future Eurodollaro, trovano riscontro nell'articolo CNBC 18/2 "Why Europe's Banks Are on a Borrowing Binge". In particolare, alcuni analisti intervistati sostengono che non c'è alcun segno di pericolo del sistema bancario europeo, nonostante un recente picco di richieste straordinarie di fondi alla BCE.

Vedi: "The ECB reports that for two nights in succession there has been a spike in the emergency cash it’s been asked to provide Euro Zone banks. Banks have an automatic right to seek overnight loans from the ECB if they discover an imbalance on their books at the end of the business day and need liquidity. The last time requests for overnight funds totaled more than 10 billion euros was in the run-up to the Lehman crisis, peaking at 28.7 billion euros on June 24, 2009. More recently, it’s been around one billion. But around 16 billion euros was borrowed both Wednesday and Thursday nights this week. The immediate question is whether a Euro Zone bank in trouble. The market does not believe that to be the case.

Traders I’ve spoken to point to the fact that there is no sign that Europe’s credit markets are beginning to seize-up as they did last spring, with banks worrying about each other’s counter-party risk. That’s evident from the fact that there is no spike in LIBOR, the interest rate at which banks borrow unsecured cash from each other on London's wholesale market. "It’s completely out of the blue," Arturo de Frias at Evolution Securities tells me. "The banks have reported earnings and no one complained about experiencing issues over funding. But if you think about the funding pool of the entire banking sector, it’s still only a drop in the ocean". 3M US Dollar LIBOR, which is the most sensitive, is still down on the session. To me, this does not indicate that there are funding problems in the European market. Yields continue to rise on Portuguese debt, but continue to be ignored by the general market. The most common explanation for the spike is that "fat fingers" are to blame. In other words, that one bank, perhaps, typed in too low a figure on its request to borrow at the ECB's weekly funding round on Tuesday. So it’s now making up the gap with daily borrowings".

In particolare, il recente picco di richieste straordinarie di fondi alla BCE (che ha causato anche un improvviso innalzamento del tasso EONIA, vedi qui sotto) potrebbe spiegarsi addirittura col fatto che le banche europee stiano investendo quanta più liquidità possibile in Euro (anche chiedendo riserve straordinarie alla BCE, !) pur di indebitarsi in Dollari.

Insomma, la convenienza ad indebitarsi in Dollari USA rispetto all'Euro, sta spingendo al rialzo sia Wall Street che (forse, ?!) il tasso interbancario EONIA....Segno questo che la BCE possa aumentare presto i tassi di interesse?

Vedi infine Reuters 18/2 ""Buy everything" sentiment continues on Wall Street": "Investors will continue to ride the speediest rally in U.S. stocks since the Great Depression despite growing concerns that the market is overbought and due for a correction. Wall Street posted its third consecutive week of gains with the S&P 500 now up 6.8 percent for the year and more than 20 percent in just six months. "I've never seen a market like this," said Paul Mendelsohn, chief investment strategist at Windham Financial Services in Charlotte, Vermont, a market watcher for 35 years. "I'm showing, by every technical and quantitative standard I have, this market is at extreme levels. But no matter where we start out in the morning, buyers come in". The trend of stocks starting off lower in the morning session but ending higher by the afternoon has been ongoing for weeks as investors view the small dips as reasons to buy. But there is a perceptible level of anxiety in the market. Trading volume has been exceptionally low recently and the CBOE Volatility Index .VIX, Wall Street's so-called fear gauge, is up on the week despite the gains in stocks. The index is usually inversely correlated to the S&P 500, and a rise in the VIX typically means a drop in the stock market. The VIX, which ended at 16.43, up 4.7 percent on the week, is still historically low but substantially higher than in recent months. That suggests investors see more share gyrations ahead. The driving force behind the rally is the money that poured into riskier assets like stocks in the last quarter of 2010 after the U.S. Federal Reserve pledged to keep interest rates low".

AGGIORNAMENTI

Domenica 20 Febbraio 2011: Nella serata di ieri si sono diffusi maggiori dettagli sul recente picco dei tassi EONIA. Il motivo sarebbero le richieste straordinarie provenienti da solo due (!) banche irlandesi sul totale di tutte le banche europee. In particolare, si veda l'articolo CNBC 19/2 "Irish deposit sales cause ECB borrowing spike: source", in cui si dice che Anglo Irish Bank e Irish Nationwide Building Society stanno vendendo depositi e altri attivi nell'ambito del piano di salvataggio concordato con il Fondo Monetario Internazionale (IMF), nel tentativo di salvare il sistema bancario irlandese. In particolare, si dice che l'accordo con l'IMF prevede la chiusura dei due istituti di credito in questione e quindi, la cessione di tutti gli attivi (ad altre banche irlandesi).

In particolare si veda: "Anglo Irish Bank and Irish Nationwide Building Society were behind the spike in emergency borrowing from the European Central Bank as they seek a speedy sale of their deposit books, a source told Reuters on Saturday. The two troubled lenders, at the heart of Ireland's financial crisis, are selling deposits and corresponding assets as part of a wind-down of their operations under an EU/IMF bailout deal. To ensure a sale within the next week, they have had to withdraw the underlying assets, around 15 billion euros ($20.5 billion) in state-backed IOUs, as collateral from the normal week-long ECB borrowing facility and swap them instead for emergency overnight loans, the source, who is familiar with the sales process, said. "If they are tied up in the normal monetary operations they can't be sold," said the source, who declined to be identified. The source said the spike in ECB overnight funding, which caused a stir across European markets this week, could continue even after a sale because the buyer of the deposits, expected to be a bank in Ireland, would have to wait until the next ECB weekly refinancing operation to switch out of the more expensive overnight facility. "It's possible this spike in overnight borrowings could last for a couple of weeks," said the source. "The buyer may continue to put the assets in the overnight facility until the next normal refinancing operation on a Tuesday". ECB overnight borrowings hit more than 16 billion euros on Friday, the highest amount since June 2009 and well above the 1.2 billion euros which banks were taking before the figure first jumped on Thursday. (...) Under the EU/IMF deal, Ireland has pledged to shut down Anglo Irish and Irish Nationwide and shrink its other lenders to reduce their dependence on emergency funding from the ECB and its own central bank".

La spiegazione non mi convince del tutto, ma non posso ignorarla. Infatti, vendere depositi e altri attivi dovrebbe condurre a maggiore liquidità sul mercato e quindi, ad un abbassamento del tasso EONIA, non ad un suo innalzamento. Inoltre, poichè risulta che le operazioni di dismissione di queste due banche fossero già previste, è logico intuire che le altre banche abbiano già pianificato una raccolta di denaro per rilevare gli attivi patrimoniali in questione. Infine, anche ipotizzando un'operazione non pianificata, è poco ragionevole il tempismo, visto che la BCE - per come si legge nell'articolo - solo martedi deciderà il tasso di interesse della prossima operazione di rifinanziamento settimanale (quindi le banche potrebbero indebitarsi direttamente con la BCE ad un tasso di interesse inferiore a quello di mercato).

Piuttosto, ripropongo un altro articolo CNBC del giorno 18/2 "Why Europe's Banks Are on a Borrowing Binge", in cui si parla apertamente di banche europee che si sono date alla "baldoria" del prendere a prestito, con un aumento esponenziale delle somme prese a prestito dalla BCE, che sembra dare credito alle tesi da me esposte finora.

Se a me sfugge qualche elemento, che invece a qualche lettore del blog fosse chiaro, gli sarò grato di una spiegazione!

Lunedi 21 Febbraio 2011: Ho trovato un'interessante selezione di articoli che vanno tutti nella direzione da me indicata. Eccola:

1. CNBC 18/2 "Someone Got Into The European Central Bank's Cookie Jar, and China Got Some Heat, Kind Of": nell'articolo si parla di un mistero con cui la BCE è alle prese: qualcuno sta prendendo a prestito massicci fondi straordinari (vedi "A mystery is brewing at the European Central Bank, and China is getting some indirect heat. Someone is borrowing heavily from the European Central Bank, and euro traders are on edge. Still, the euro moved up this morning in the wake of of comments by a European Central Bank governor that signaled the ECB might raise interest rates to fight off inflation");
2. Marketwatch 18/2 "ECB emergency lending jump persists" chiarisce in maniera pertinente (!) come i fondi straordinari vengano presi ad un tasso dell'1,75%, ben al di sopra del tasso BCE per le operazioni bancarie. Questo vuol dire che chi ha preso a prestito ha immediato bisogno di denaro? Beh, la domanda è legittima, ma il recente picco di richieste di fondi straordinari non è accompagnato da segni di sofferenza del sistema bancario, e la scadenza del prossimo "periodo di mantenimento bancario" è fissato all'  Marzo...quindi le banche hanno tutto il tempo per ricostituire eventuali riserve patrimoniali insufficienti (vedi: "The ECB on Friday said banks borrowed 16.009 billion euros ($21.8 billion) from its emergency marginal lending facility on Thursday. That follows €15.8 billion of borrowing on Wednesday, which had marked the highest level since June 2009. Lending through the emergency window over the past two days isn’t out of line with borrowing levels seen in the aftermath of the collapse of Lehman Brothers, when interbank lending came to a virtual standstill. The facility is normally used lightly since overnight loans are made at a penalty rate of 1.75%, 75 basis points above the refi rate of 1% charged in the central bank’s refi operations. Borrowing at the overnight window hadn’t topped €1 billion since the start of 2011 until early this week. The ECB, as is its usual practice, declined comment on the lending data. For now, there appear to be more questions than answers. “The current reserve period runs until March 8, so it is not as though banks are scrambling for reserves at the last minute,” wrote Carl B. Weinberg, chief economist at High Frequency Economics in Valhalla, N.Y. “Some institution, or institutions, may be in trouble.” But the recent spike hasn’t been accompanied by major signs of stress in the money markets, leaving traders scratching their heads".

Matteo Olivieri

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