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La risposta della BCE alla crisi Il credito nell'area Euro. Euribor ®  . Euribor ® is the rate at which Euro interbank term deposits are offered by one prime bank to another prime bank within the EMU zone , and is published at 11:00 a.m . (CET) .

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La risposta della BCE alla crisi

Il credito nell'area Euro


Euribor® is the rate at which Euro interbank term deposits are offered by one prime bank to another prime bank within the EMU zone, and is published at 11:00 a.m. (CET) .

Euribor® is quoted for spot value (T+2) and on an act/360 day‐count convention. It is displayed to three decimal places.


TheEurepo®is the rate at which, at 11.00 a.m. Brussels time, one bank offers, in the euro-zone and worldwide, funds in euro to another bank if in exchange the former receives from the latter the best collateral within the most actively traded European repo market.

Eurepo is quoted for spot value (T+2) and on an act/360 day count convention. It is displayed to three decimal places.

After the calculation has been processed at 11:00 a.m. (CET), THOMSON REUTERS will publish the Eurepo reference rate on page EUREPO, which will be made available instantaneously to all its subscribers and other vendors.

eoniaswap ois
Eoniaswap® (OIS)
  • EONIA SWAP INDEX®, the new derivatives market reference rate for the Euro sponsored by EURIBOR EBF.EONIA SWAP INDEX® is the average rate at which , at 11:00 Brussels time, a representative panel of prime banks provide daily quotes, rounded to three decimal places, that each Panel Bank believes is the Mid Market rate of EONIA® swap quotations between prime banks.
  • EONIA SWAP INDEX isquoted for spot value (T+2) and on an act/360 daycount convention. Itisdisplayed to threedecimalplaces. An "EONIA swap" is an interest rate swap transaction, where one party agrees to receive/pay a fixed rate to another party, against paying/receiving a floating rated named EONIA®.

Eonia® (Euro OverNight Index Average) is the effective overnight reference rate for the euro. Itiscomputedas a weightedaverage of allovernight unsecuredlendingtransactions in the interbank market, undertaken in the European Union and European Free TradeAssociation (EFTA) countries. Itisreported on an act/360 daycount convention and isdisplayed to threedecimalplaces.

The ECB shallaim to make the computed rate available to THOMSON REUTERS for publicationassoonaspossible so thatEonia® be publishedbetween6.45 p.m. and 7.00 p.m. (CET) on the sameevening.

Eonia®iscomputed with the help of the European Central Bank.

  • L' Eurirs è il tasso di riferimento che indica l’interesse medio al quale i principali istituti di credito europei stipulano swap a copertura del rischio di interesse. Il suo andamento è calcolato giornalmente dalla European Banking Federation
s cadenze

Euribor: 1 settimana – 12 mesi

Eurepo: 1 settimana – 12 mesi

OIS: 1 settimana – 12 mesi, inoltre 15, 18, 21 e 24 m.

EONIA: overnight

Eurirs: 1 anno – 10 anni, inoltre 12, 15, 20, 25, 30, 40 e 50 mesi


Open market operationsvere e proprie

Open market operations


Covered bond purchaseprogrammes







Liquidità totale delle banche

Autonomousfactors (net) (included SMP)

minimum required reserves
  • The ECB requires credit institutions to hold minimum reserves on accounts with the national central banks (called current account).
  • The reserve base of an institution is defined in relation to elements of its balance sheet.
  • the balancesheet data referring to the end of a given calendar monthare used to determine the reserve base for the maintenance periodstarting in the calendar month twomonthslater.
  • For example, the reserve base calculated from the balance sheet of the end of February would be used to calculate the reserve requirements to be fulfilled by counterparties in the maintenance period beginning in April.

It is the average daily level over the maintenance period of the current account that must correspond to the reserve requirements.

determined two months before


Non-compliance with the minimum reserve obligationsarisesifaninstitution’s averagebalance on its reserve current account(s) over the maintenance period is less than its reserve requirement for the correspondingmaintenanceperiod. In this case thereis a penalty

  • The excessreserves are notremunerated

OPEN MARKET OPERATIONS(The term “O.M.O.” is usually referred both to the amount of liquidity created by ECB and to its operations. Here the term is employed in its second meaning of “type of operation”)

  • Open market operations play an important role in the monetary policy of the Eurosystem for the purposes of steering interest rates, managing the liquidity situation in the market and signalling the stance of monetary policy.
  • The most important instrument is the reverse transaction(applicable on the basis of repurchase agreements or collateralised loans). The banks, therefore, receive (or give) liquidity from (or to) the Central bank for a limited and preditermined period of time; after that the revers operation must be executed, Some particular assets (collateral) are required for a bank to be admitted to such operations.

Open market operationsare initiated by the ECB, which also decides on the instrument to be used and on the terms and conditions for its execution.

  • The ECB establishes, maintains and publishes a list of the eligible assets (collateral)
  • With regard to their aims, regularity and procedures, the Eurosystem’s open market operations can be divided into the four categories, but the most important are the following:

The main refinancing operations are always liquidity-providing reverse transactions with a weekly frequency (each Tuesday) and a maturity of normally one week.

  • The longer-term refinancing operationsare always liquidity-providing reverse transactions with usually a monthly frequency (the last Wenedsday) and a maturity of normally three months (recently even one-year.
  • Fine-tuning operations are executed on an ad hoc basis, and they can be both liquidity-providing and liquidity-providing operations. The maturity varies, and can also be very short (even one day)

Their interest rate is connected to the Repo(whose definition is “the minimum rate on the main refinancing operations“)

the effect on banks liquidity
The effect on banks liquidity
  • main refinancing operations
  • longer-term refinancing operations
  • Fine-tuning operations





All those operations can be executed on the basis of standard tenders, quick tenders or bilateral procedures.

In the standard tenders the whole procedure takes 2 days

In the quick tenders the whole procedure can be concluded in three hours

standing facilities
  • Standing facilities (used by a bank that in the evening realizes to have a scarsity of an excess of liquidity.
  • By using a standing facility a bank can both borrow and deposit liquidity in a special accountwith the central Bank.
  • Remember that the total liquidity of the banking system (included required reserves) is given by:

TOTAL BANKS LIQUIDITY = current account + deposit facility = (open market operations – autonomous factors) + marginal lending facility

standing facilities1


Counterparties may use the marginal lending facility to obtain overnight liquidity from national central banks at a pre-specified interest rate against eligible assets.

The facility is intended to satisfy counterparties’ temporary liquidity needs.

Under normal circumstances, the interest rate on the facility provides a ceiling for the overnight market interest rate.

Its interest rate is given by Repo + spread (at present 0,50)

Quindi: Repo=0,25% + 0,50% = 0,75%

standing facilities2


Counterparties can use the deposit facility to make overnight deposits with national central banks.

The deposits are remunerated at a pre-specified interest rate.

Under normal circumstances, the interest rate on the facility provides a floor for the overnight market interest rate.

At present its interest rate is = REPO - 25 bps

Quindi: Repo=0,25% - 0,20% = 0


Both THE MARGINAL LENDING FACILITY and THE DEPOSIT FACILITY have a penalty rate: high for lending, low to deposits

  • L’intervallo tra i due tassi è anche detto «corridoio» dei tassi. Il corridoio fa da limite inferiore e superiore all’andamento dell’EONIA

With the intensification of the financial market turmoil, and particularly in the months around the end of 2008, the malfunctioning of the money market meant that the formation of short-term interest rates depended not only on the net aggregate liquidity situation, but also on the distribution of liquidity among individual banks and thus on the gross injections of liquidity from the central bank. In this environment, the Eurosystem had to also assume the role of an intermediary in the flow of liquid funds from one bank to another, by changing its operational framework in ways that facilitated its intermediation role (see Section 4).





In the Eurosystem framework banks are required to hold a certain level of reserves in their current accounts with the central bank.

  • Because these requirements only have to be fulfilled on average during each maintenance period (which has a length of approximately one month), in pre-turmoil times banks were largely indifferent as to the days on which they actually held reserves with the central bank: liquidity on one day was a quasi-perfect substitute for liquidity on another day.

It is the average daily level over the maintenance period of the current account that must correspond to the reserve requirements.

determined two months before


In this way, the aggregate demand for central bank liquidity was smoothed over time, thus achieving an automatic stabilisation of money market interest rates.

  • During the financial market turmoil, however, the malfunctioning of the money market impaired this stabilising function.

Finally, all Eurosystem credit operations, including open market operations and usage of the marginal lending facility, require adequate collateral.

  • The concept of adequate collateral has two dimensions: first, it implies that the Eurosystem should be protected from incurring losses in its credit operations; second, it requires that sufficient collateral be available to a wide set of counterparties so that they can obtain the necessary amount of liquidity from the Eurosystem.

The euro money market was strongly affected by the tensions originating in the US sub-prime mortgage market on 9 August 2007, when rumours about large exposures of some European banks affected their ability to obtain liquidity in the US dollar market and subsequently led to a spike in euro money market interest rates.


Activity in money markets decreased sharply, especially in the market for loans with maturities of over one week where activity almost came to a complete halt. At the same time, spreads between interest rates on unsecured and secured lending in those markets increased significantly.


While the liquidity management measures implemented by the Eurosystemcountered the extreme volatility of interest rates at the very short end of the money market yield curve (as discussed in Section 3), interest rates in the unsecured term market remained elevated.

  • At the same time, a marked shift in transactions to loans with shorter maturities took place, i.e. instead of lending at long maturities, banks rolled over short-term contracts. Furthermore, a shift in transactions from the unsecured segment of the money market to the secured segment was witnessed.

The main reasons why banks were less willing to engage in unsecured lending in the money market seem to stem from liquidity and solvency concerns, which were a result of asymmetric information and uncertainty.

  • On the one hand, in times of high volatility, banks are uncertain both about their own liquidity needs and their ability to obtain refinancing from the market in the future.
  • On the other hand, a high degree of uncertainty about individual banks’ exposures, reinforced by market turbulence and the resulting decline in asset values, cast doubt on borrowing banks’ solvency and thus their ability to repay a money market loan
la fase acuta della crisi
La fase acuta della crisi
  • The heightenedtensionsafter the bankruptcy of Lehman Brothers in September 2008 led to an unprecedented level of spreads, with a peak above 180 basis points.
  • In the period immediately after that event, financial markets were in a state of extreme alertness, as the bankruptcy of one important market player increased fears of more bank failures.

The euro moneymarket all but came to a complete standstill in late September 2008, when banks became extremely dependent on obtaining refinancing from the Eurosystem.

  • At this time, the Eurosystemavoided a complete stall of the money market by aggressively changing its liquidity management and the Governing Council initiated a series of cuts in the key ECB interest rates

During the first year of the financial market turmoil, the allotment pattern in MROs was changed.

  • Generally, more ample liquidity was provided at the beginning of each maintenance period, while over the course of the maintenance period the liquidity supply was gradually adjusted downwards so that by the end of each period banks continued to have, as before August 2007, a liquidity surplus of close to zero on average.
  • The aggregate liquiditysupplyovertimeremainedunchanged.
provvedimenti del nov 2008
Provvedimenti del nov. 2008
  • The most important change was the introduction of fixed rate full allotment tenders which gave assurance to banks that they could get from the Eurosystem as much liquidity as they desired at the, fast decreasing, policy interest rate provided they had enough eligible collateral.

In the period following the failure of Lehman Brothers, when the Eurosystem had to employ non-standard liquidity management measures in order to stabilise the money market,


Per facilitare il ricorso delle banche ai prestiti dell’Eurosistemaè stato anche progressivamente allargata la tipologia di attività ammesse come collaterale.


Sono inoltre state attivate:

  • LTROnell’ultimo giorno del periodo di mantenimento della riserva obbligatoria con scadenza nel primo giorno dopo l’ultimo giorno del periodo successivo (dette LTRO speciali)
  • OT di assorbimento nell’ultimo giorno del periodo di mantenimento della riserva obbligatoria con scadenza nel giorno dopo (lo scopo era di ridurre il costo della riserva eccedente che nell’ultimo giorno veniva tutta assorbita dall’eurosistema

Per soddisfare la domanda di liquidità, nei momenti di maggiore tensione sono state anche attivate delle LTRO (dette supplementari) con scadenza particolarmente lunga


Glistrumentiquantitativiutilizzatidalla BCE sono:

• The main refinancing operations (MRO) are always liquidity-providing reverse transactions with a weekly frequency (each Tuesday) and a maturity of one week.

• The longer-term refinancing operations (LTRO) are always liquidity-providing reverse transactions with usually a monthly frequency (the last Wednesday) and a maturity of normally three months.

• Fine-tuning operations (OT) are executed on an ad hoc basis, and they can be both liquidity-providing and liquidity-absorbing operations. The maturity varies, and can also be very short (usually) The interest rate applied by ECB on those operations is at moment equal the Repo and all demand id satisfied (full allotment)


The longer-term refinancing operations (LTRO) in some ECB communications are also divided into three subgroups:

• Regular LTRO: the traditional monthly operations of 3m maturity.

• Supplementary LTRO: they are operationally the same, but their maturity is usually longer (till 3 years), and they are used in ad hoc basis

• Special LTRO : they are activated once per month in accordance with the required reserves maintenance period and their maturity corresponds to the “reserve requirements maintanance period” (about 1 month)

inoltre measures taken in cooperation with other central banks
  • In response to a significant increase in the difficulties faced by euro area banks in accessing US dollar funding through both the unsecured US dollar market and the foreign exchange (FX) swap market, in December 2007 the ECB launched (in cooperation with the Federal Reserve System and other major central banks) US dollar liquidity providing operations, againstcollateraleligible for Eurosystem credit operations. Le valute erano il dollaro e il franco svizzero

Nel luglio del 2009 è poi iniziato il primo programma di acquisto di obbligazioni strutturate emesse dalle banche (covered bonds). Questo programma sospeso a partire dal luglio 2010 è stato poi ripreso nel novembre 2011



Altri interventi…


Le tre crisi del mercato monetario-creditizio


«TARGET2 : saldi» = somma dei valori assoluti dei saldi TARGET2dei vari paesi


Prima crisi del mercato interbancario: risk-premium alle stelle importato dagli USA

  • Seconda crisi del mercato interbancario: risk-premium alle stelle causato dalla crisi del debito sovrano dei paesi PIIGS (spread dei titoli di stato alle stella
  • Terza crisi del mercato interbancario: i paesi della zona-euro si frammentano. Le banche di alcuni paesi devono ricorrere massicciamente al finanziamento dell’Eurosistema
La liquidità abbondante riduce i tassi: Liquidity and the spread betweensecuredinterbankinterest rate (Eurepo) and Repo

I paesi della zona-euro si sono «frammentati» sia per quanto riguarda il settore reale che, più recentemente, quello monetario-creditizio

scambi nell interbancario
Scambi nell’interbancario

Non garantito Garantito

Fonte: Banca d’Italia

il target 2
  • Target si avvale di una piattaforma unica condivisa SSP (Single Shared Platform) realizzata e gestita dalla Banca d'Italia, dalla Deutsche Bundesbank e dalla Banque de France a beneficio dei sistemi finanziari europei. Aderiscono al sistema Target 2, inoltre, le borse valori dei paesi dell'area dell'euro, insieme alla Danimarca, alla Lituania, alla Lettonia, che fanno parte dello SME-2, all'Estonia, appartenente alla zona euro, e alla Polonia, che ne è esclusa.

Il sistema Target 2, che serve a riequilibrare gli squilibri della bilancia dei pagamenti trai paesi aderenti, con l'adozione della moneta unica e la fissità dei cambi non consente più di ricorrere alle riserve di valuta estera per compensare il deficit di liquidità delle banche centrali e coprire il saldo con l'estero.

  • Il sistema interviene così a compensare gli scambi internazionali attraverso l’attivazione di prestiti delle Banche centrali presso la BCE (che acquistano valuta estera).
  • Le banche centrali che hanno bisogno di operare un riequilibrio del credito e devono ad esempio bilanciare un’eventuale riduzione dell’erogazione di credito privato, devono aprire un passivo verso la BCE che presta loro i capitali.

Le banche sono di norma costrette a riequilibrare i passivi e dovrebbero operare all’interno di una logica cooperativa con le altre banche europee transnazionali. Queste, tuttavia, possono non nutrire fiducia verso istituti di un paese in deficit, preferendo conferire i propri capitali presso la Banca centrale nazionale, la quale può decidere di incrementare il proprio saldo positivo (tesaurizzandolo anziché investirlo) presso il sistema Target 2.

  • Ciò dovrebbe suggerire una sclerotizzazione, se non un inceppamento all'interno del sistema interbancario europeo. Target 2, infine, non prevede meccanismi di riequilibrio, o tetti agli squilibri nei saldi, nel caso di un eccessivo accreditamento delle banche di un paese verso la Banca centrale nazionale, in rapporto a quelle di altri paesi presso i quali si registra un eccesso di indebitamento delle banche nazionali nel conto della propria Banca centrale. Ciò comporta un saldo negativo verso l'Eurosistema della Banca centrale in deficit e un saldo positivo di quella in surplus.

Soprattutto con l'inizio della crisi del 2008 (e in particolare col piano di finanziamento a lungo termine operato dalla BCE a partire dal 2011, che ha provveduto a evitare perdite di capitale dei mercati dei paesi creditori) si è registrato un crescente squilibrio tra alcuni paesi strutturalmente in surplus (Germania, Austria, Olanda, Finlandia) verso l'Eurosistema, ed alcuni permanentemente in deficit (Spagna, Italia, Portogallo, Grecia e anche Francia), il che rende difficile finanziare il disavanzo delle parti correnti dei paesi indebitati.


L'impiego di misure di rigore di bilancio nei confronti dei paesi in deficit, nel corso dell'utimo anno e mezzo, ha di recente contribuito a ridurre o compensare gli squilibri nei saldi, consentendo un rientro dai passivi finanziari da parte del settore privato, abbattendo le importazioni e favorendo di conseguenza un riequilibrio nel sistema di pagamenti.

la fase pi recente
La fase più recente
  • Ultimo periodo. Oltre a facilitare il soddisfacimento della necessità di liquidità delle banche, la BCE il 9 settembre 2012 ha annunciato le OMT.
  • La banca è disponibile ad acquistare titoli di stato in maniera illimitata pur di mantenere il loro spread rispetto alla Germania al livello che giudica corretto. L’effetto annuncio la portato a una riduzione dello spread senza che la BCE abbia effettuato operazioni di acquisti. Anche lo sbilancio dei saldi TARGET2 si sono ridotti.

I mercati si sono frammentati mettendo in periodo la politica monetaria unica (Mario Draghi)


Le ultime riduzioni del tasso ufficiale hanno favorito le banche dei paesi, come Italia e Spagna), che si finanziano soprattutto presso l’Eurosistema. Non hanno favorito le altre banche perché i tassi di mercato non si snono mossi.


L’andamento del credito bancario in Italia ha risentito sia delle difficoltà delle banche che del peggioramento della qualità della loro clientela

1 european interbank market interest rates
1. European interbank market interest rates

The interbank interest rates considered are:

  • Short term unsecured (3-month Euribor)
  • Short term secured (3-month Eurepo)
  • Long term (10 years Eurirs)

The explanatory variables we condidered are the following: (in brackets the sign of the relation between regressors and dependent variables)

  • REPO (+)
  • PRESS Conference content (+) (Verga-Rosa index)
  • Banking system LIQUIDITY(-)
  • MONEY MARKET RISK (+ for the unsecured i.i.r, negative but small for the secured i.i.r)
  • American interest rates (+): relevant for 10 years Eurirs)

Explanatory variables for bank credit interest rates

Interbank market interest rates (+) (for the short term either Eurepo or Euribor)

Enterprise risk (proxied by the Eurostat “sentiment” index (EA-ESI)) (-)

Liquidity (- only significant in one case)

Money market risk (its sign is + when using the secured i.i.r; non-significant or slightly negative when using the unsecured i.i.r)

2 2 which factors determine credit rationing
2.2 Which factors determine credit rationing?

Banking system liquidity (-)

Eurostat sentiment index (-) (as a proxy for the enterprise default risk)

Bank loan interest rate (+)

Money market risk (-) (? Non particular relevant but significant: perhaps because when the interbank market is risky the banks prefer to finance firms instead that other banks?)

3 the demand for loans
3. The demandforloans

We considered two alternatives in estimating our relations

Two separate equations

a1) ECB’s Demand change index:

ICRD= h(x) and

a2) Actual credit growth

(CR) = F(ICRD, IRAZ)

or, simply only one equations (ECB surveys employed just for rationing changes)

b) Actual

(CR) = F(h(x), IRAZ)

The results from the two alternatives are mutually consistent and the actual loan paths are very similar


Explanatory variables for the demand for loans:

real bank interest rate on loans (-)

ratio between investment and GDP (+)

Eurostat sentiment index EA-ESI (+)

And from demand for loans to actual growth:

Rationing (-)


Estimations seem to be good but:

  • The estimation period is very short (in practice 2004-2010)
  • Some important institutional factors are not considered here (e.g. Securitization; but if estimating an equation for the amount of new business loans the result is consistent with the actual growth)
  • Many other plausible explanatory variables for the demand for credit are strongly correlated to the ones we have introduced in our equations and the selection among them is therefore difficult)
Bank lending annual growth in case of actual and constant rationing. The effect is significant but no so strong
bank lending annual growth with and without ecb s interventions
Bank lending annual growth with and without ECB’s interventions
  • In investigating the impact of the ECB’s monetary policy we simulated what would have happened in absence of the so-called “non standard policy” the ECB followed after September 2008, consisting in a strong reduction in Repo and the creation of an enormous amount of liquidity.
  • Hypotheses:
  • Repo is maintained at its previous 4.25% level
  • Liquidity is at its traditional target near zero.
  • The information on the future path of interest rates (REPO) are consistent with no expectation of Repo changes (i.e. Verga-Rosa index = 0)
Average bank loan interest rate on new business: actual values and simulation for the case of unchanged monetary policy.
some conclusions
Some conclusions:
  • The supply component alone cannot explain the downward bank loans movement since:
  • The bank interest rates diminished after Lehman Brother crises (thanks to ECB’s interventions)
  • The increase in rationing can explain only a part of the downward loan growth movements

the main cause for the decrease in the loan growth during the last three years is the low demand for credit


ECB’s monetary policy exerted a strong positive effect on the supply of credit (by reducing both interest rate and rationing), and, therefore on the actual credit growth.

Without the loose monetary policy starting in October 2008, the credit growth to non-financial firms would have been highly negative.