1 / 22

Case Study OBAR Bank

Case Study OBAR Bank. Hans Daamen - Rabobank and Hans Pijl - DNB Seminar Operational Monetary Policy 11-13 April 2007. Content OBAR Bank-case.

ciara-rojas
Télécharger la présentation

Case Study OBAR Bank

An Image/Link below is provided (as is) to download presentation Download Policy: Content on the Website is provided to you AS IS for your information and personal use and may not be sold / licensed / shared on other websites without getting consent from its author. Content is provided to you AS IS for your information and personal use only. Download presentation by click this link. While downloading, if for some reason you are not able to download a presentation, the publisher may have deleted the file from their server. During download, if you can't get a presentation, the file might be deleted by the publisher.

E N D

Presentation Transcript

  1. Case Study OBAR Bank Hans Daamen - Rabobank and Hans Pijl - DNB Seminar Operational Monetary Policy 11-13 April 2007

  2. Content OBAR Bank-case • assessment and regularly re-assessment OBAR´s liquidity management strategy (including bids in MRO-tender and desired reserve requirements pattern) • effect of frontloading ECB in MRO´s • calendar effects (in particularly end-of-month and special weekends) • unexpected Target payment system incident • explaining spill-over effects EONIA-related positions on O/N euro area market • spread EONIA rate (as unofficial operational target Eurosystem) and minimum bidrate MRO • official interest rate decision by the Governing Council • fine-tuning operation on last day of the maintenance period

  3. Start reserve maintenance period (MP) on 12 April • Background information money market conditions • MRO allotment BA plus € 1 billion • How does Hans assess the frontloading policy of the ECB? • What is Hans´s strategy for OBAR´s reserve requirements pattern for this MP´s?

  4. First week MP • liquidity conditions gradually tightened despite the loose allotment in the first MRO • reason autonomous factor forecast errors due to calendar effect (i.e. Good Friday and the Easter weekend)

  5. Thursday 20 April • Opening position -/- € 5 billion • Preferred end-of-day position + € 5 billion + € 3,6 billion • Overnights opens 3.83/84% • 9.15h ECB 40 figures

  6. Thursday 20 April Release of ECB of ECB 40 On 19 April 2007: Average reserve requirements : 142.6 Average holdings : 143.9 Current account holdings : 151.5 Marginal lending facility : 0.2 Deposit facility : 0.1

  7. Thursday 20 April After the ECB 40 figures • Figures are as expected • Some market participants disappointed • Overnight rate trades up a basispoint to 3.80/3.81% • Daily activities to fund the liquidity deficit and manage interest rate risk of OBAR Bank

  8. Monday 24 April • Start of the new week • What does Hans think about the current market situation, and to what extent does Hans re-assess it´s strategy for the day, week and the current MP (reserve requirements pattern)?

  9. Daily activities of OBAR dealers Among others: • Bidding to large customers • Conversations with brokers • Conversations with other banks • Dollar / euro swaps Could Hans elaborate more on the techniques of the euro/dollar swap trade?

  10. Monday 24 April ECB tender announcement • 15.30h variable rate with a benchmark allotment of € 275 billion • Drain of € 16 billion should be no problem for the market • What is Hans´s strategy for OBAR´s reserve requirements pattern for the coming MP?

  11. Monday 24 April, end of the day • Technical TARGET problems in Germany • Stop sending for Germany • No payments from and to Germany possible • 20.00h Late closing of TARGET • OBAR Bank is short € 1 billion (€ 4 billion instead of € 5 billion) • EONIA fixed at 3.90%

  12. Tuesday 25 April, opening • Opening position again -/- € 5 billion • Overnights trades at 3.87/89% • Rumors of large use of deposit facility • Italian banks complain about tighter liquidity • 1-week EONIA offered at 3.83% • Waiting for ECB 40 • What does Hans think about the current market situation and what should Hans ideally do in the coming MRO tender?

  13. ECB 40 on Tuesday 25 April Average reserve requirements : 142.6 Average holdings : 143.5 Current account holdings : 134.5 Marginal lending facility : 2.5 Deposit facility : 15.5

  14. Friday 28 April, after ECB 40 • Overnight trades 3.87/89% • Light trading • OBAR dealers are not lending overnight deposits • Could Hans give additional and more structural reasons for the current high and persistent spread between the EONIA rate and the minimum bid rate of the MRO?

  15. Thursday 4 May • Governing Council official interest rates hike decision by 25 bp to 4.00%. • Could Hans give an indication what the effect of Eurosystem´s official interest rates hike on the current O/N rate is? How does this effect in the current operational framework (as from March 2004) compare to the old operational framework (before March 2004)?

  16. Friday 5 May • this morning trading started around 3.83/84% • liquidity desk manages to acquire around € 12 billion and ends with a positive balance at DNB of € 5 billion. The EONIA is fixed at 3.85%.

  17. Monday Morning 8 May • After ECB40 - the market estimates an accumulated reserve surplus of € 40 billion. • Two more trading days in reserve period • Liquidity situation should be okay, but with tendency on the tight side. • Waiting for ECB 40 • Expected balance for Friday € 142.0 billion • Expected liquidity surplus end mp € 24.7 billion • Overnight trades at 3.94% • What should happen if the ECB does not announce that in case of continued imbalance due to autonomous factor forecast errors, ECB stands ready to conduct fine-tuning operation on last day of the reserve maintenance period?

  18. Tuesday 9 May: last day of mp • Trading starts at 3.77/78% choice • Opening position OBAR Bank -/- € 5 billion • ECB 40 at 9.15h • Current account 141.4 billion • Imbalance stays around € 12 billion • Pre-announcement fine-tuning opertion

  19. Announcement fine tuning operation10.00h CET • Fixed term deposits at fixed rate of 3.75% • Maturity 1 day • Maximum amount € 12 billion • Bidding closes at 10.30h CET • What do you think Hans will do? What does Hans do?

  20. Announcement tender result • Allotment € 10 billion (100%) • Market not fully satisfied, but it can only blaim itself. • What reasons could be mentioned for the lower than targeted allotment? • Accumulated surplus now estimated at around € 29 billion. • Could Hans elaborate on the market mechanism on a last day of the maintenance period?

  21. Tuesday 9 May, end of the day • End of the day some banks are looking for money and bid 3.75% • EONIA fixed at 2.95% • OBAR Bank fullfilled reserves and made a nice profit at the end of this maintenance period.

  22. Case study OBAR Bank We hope you liked it We enjoyed doing it Questions?

More Related