La risposta della BCE alla crisi Il credito nell'area Euro

1. La risposta della BCE alla crisi Il credito nell'area Euro

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

3. Eurepo® 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.

4. 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®.

5. 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.

6. Eurirs • 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

7. Scadenze 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

8. Liquidità Open market operationsvere e proprie Open market operations liquiditysupply Covered bond purchaseprogrammes Marginallendingfacility Currentaccount Reserverequirements liquidityneeds Depositfacility ExcessReserves Liquidità totale delle banche Autonomousfactors (net) (included SMP)

9. In brackets = mean values first quarter of 2009

10. 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.

11. 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

12. 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

13. 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.

14. 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:

15. 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“)

16. The effect on banks liquidity • main refinancing operations • longer-term refinancing operations • Fine-tuning operations allotment settlement maturity

17. 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

18. 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

19. STANDING FACILITIES 1. THE MARGINAL LENDING FACILITY 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%

20. STANDING FACILITIES 2. THE DEPOSIT FACILITY 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

21. 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

25. 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).

26. Euribor Eurepo

27. 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.

28. 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

29. 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.

30. 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.

31. 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.

32. 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.

34. 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.

36. 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

39. 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.

40. 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

42. 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.

43. 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.

44. 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,