COLLATERAL DISCRIMINATION SPREAD INTERMEDIATION
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1 COLLATERAL DISCRIMINATION SPREAD INTERMEDIATION REPO Market Collateral: GIPSI Gov. bond discriminated GIPSI BANKS Eurozone rate spread BANKS GIPSI Funding costs Growth 18
2 COLLATERAL DISCRIMINATION SPREAD INTERMEDIATION ECB REPO Market Collateral: GIPSI Gov. bond discriminated GIPSI BANKS Eurozone rate spread BANKS Core (Germany) Spread intermediation through ECB 19
3 PUBLIC DEBT NATIONALIZATION Eurozone % Government Debt held by Foreign Investors 100% 90% 80% 70% 60% 50% 40% 30% 20% 10% 0% Germany France Italy Spain Greece Portugal Ireland Germania Francia Italia Spagna Grecia Portogallo Irlanda
4 55,0% 50,0% 45,0% 40,0% 35,0% 30,0% DEBT NATIONALIZATION THE ITALIAN CASE STUDY Sovereign Debt sectoral breakdown ( ) 21 Jan 07 Mar 07 May 07 Jul 07 Sep 07 Nov 07 Jan 08 Mar 08 May 08 Jul 08 Sep 08 Nov 08 Jan 09 Mar 09 May 09 Jul 09 Sep 09 Nov 09 Jan 10 Mar 10 May 10 Jul 10 Sep 10 Nov 10 Jan 11 Mar 11 May 11 Jul 11 Sep 11 Nov 11 Jan 12 Mar 12 May 12 Jul 12 Sep 12 Nov 12 Jan 13 Mar 13 May 13 Jul 13 Debt hold by italian banks Debt hold by foreign banks
5 55,0% 50,0% 45,0% 40,0% 35,0% 30,0% Jan 07 Mar 07 May 07 Jul 07 Sep 07 Nov 07 Jan 08 Mar 08 May 08 Jul 08 Sep 08 Nov 08 Jan 09 Mar 09 May 09 Jul 09 Sep 09 Nov 09 Jan 10 Mar 10 May 10 Jul 10 Sep 10 Nov 10 Jan 11 Mar 11 May 11 Jul 11 Sep 11 Nov 11 Jan 12 Mar 12 May 12 Jul 12 Sep 12 Nov 12 Jan 13 Mar 13 May 13 Jul 13 Billions of DEBT NATIONALIZATION THE ITALIAN CASE STUDY LTRO feed the presence of sovereign bond in the Italian banks portfolio 29 feb 12: 2 nd 3 years LTRO 07 oct 08: 6 months LTRO 50 bln Lehman Brothers event 09 dec 11: 1 st 3 years LTRO LTRO to Italian banks Debt hold by italian banks 22
6 2,50 2,00 1,50 1,00 0,50 0, Jan 00 May 00 Sep 00 Jan 01 May 01 Sep 01 Jan 02 May 02 Sep 02 Jan 03 May 03 Sep 03 Jan 04 May 04 Sep 04 Jan 05 May 05 Sep 05 Jan 06 May 06 Sep 06 Jan 07 May 07 Sep 07 Jan 08 May 08 Sep 08 Jan 09 May 09 Sep 09 Jan 10 May 10 Sep 10 Jan 11 May 11 Sep 11 Jan 12 May 12 Sep 12 Jan 13 May 13 Billions of DEBT NATIONALIZATION THE ITALIAN CASE STUDY The impact on the real economy 29 feb 12: 2 nd 3 years LTRO RESI Real Economy Support Index Loans to private = RESI Debt held by banks 09 dec 11: 1 st 3 years LTRO 07 oct 08: 6 months LTRO 50 bln Lehman Brothers event LTRO to Italian Banks RESI
7 COMPETITIVENESS GAP IN EU COUNTRIES Andamento European della Bilancia countries Commerciale Balance dei principali of trade Paesi del'eurozona (Dati Eurostat ) (Eurostat ) Germania Germany Irlanda Ireland Grecia Greece Spagna Spain Francia France Italia Italy Portogallo Portugal 5,00% 0,00% 5,00% 10,00% 15,00%
8 COMPETITIVENESS GAP IN EU COUNTRIES Andamento European della Bilancia countries Commerciale Balance dei principali of trade Paesi del'eurozona (Dati Eurostat ) (Eurostat ) Germania Germany Irlanda Ireland Grecia Greece Spagna Spain Francia France Italia Italy Portogallo Portugal 5,00% 0,00% 5,00% The return to SURPLUS of the major part of the Euro Zone in 2013 is due to a collapse of imports, a severe recession and a deflation scenario that is reaching alarming levels 10,00% 15,00%
9 1,40% DRIVERS OF THE TRADE SURPLUS THE GERMAN CASE STUDY Differenziale di inflazione medio INFLATION annuo rispetto alla Germania di vari Paesi dell'eurozona ( ) Excess in average annual inflation of some European countries w.r.t. Germany ( ) 1,20% 1,00% 0,80% 0,60% 0,40% 0,20% 0,00% France Francia Austria Finlandia Belgium Belgio Netherlands Ireland Holland Olanda Italia Italy Portogallo Portugal Lussemburgo Luxembourg Spagna Spain Greece Grecia EUROSTAT Data and Eurozone Central Banks Data
10 2,00% 1,50% 1,00% 0,50% 0,00% 0,50% 1,00% 1,50% DRIVERS OF THE TRADE SURPLUS THE GERMAN CASE STUDY SPREADS Industrial lending spread and sovereign spread Industrial Spread rispetto sector: cost al costo of funding di accesso for Italy, al credito Spain and per il France sistema w.r.t. industriale Germany tedesco Spread ITA GER Spread SPA GER Spread FRA GER 6,00% Spread 10 years sui titoli Sovereign governativi spread a 10 anni Spread BTP BUND Spread OAT BUND Spread BONOS BUND 5,00% 4,00% 3,00% 2,00% 1,00% 0,00% 1,00% gennaio 03 maggio 03 settembre 03 gennaio 04 maggio 04 settembre 04 gennaio 05 maggio 05 settembre 05 gennaio 06 maggio 06 settembre 06 gennaio 07 maggio 07 settembre 07 gennaio 08 maggio 08 settembre 08 gennaio 09 maggio 09 settembre 09 gennaio 10 maggio 10 settembre 10 gennaio 11 maggio 11 settembre 11 gennaio 12 maggio 12 settembre 12 gennaio 13 maggio 13 settembre 13 gennaio 03 maggio 03 settembre 03 gennaio 04 maggio 04 settembre 04 gennaio 05 maggio 05 settembre 05 gennaio 06 maggio 06 settembre 06 gennaio 07 maggio 07 settembre 07 gennaio 08 maggio 08 settembre 08 gennaio 09 maggio 09 settembre 09 gennaio 10 maggio 10 settembre 10 gennaio 11 maggio 11 settembre 11 gennaio 12 maggio 12 settembre 12 gennaio 13 maggio 13 settembre 13 gennaio 14 EUROSTAT Data, Eurozone Central Banks Data and Bloomberg
11 2,00% 1,50% 1,00% 0,50% 0,00% 0,50% 1,00% 1,50% DRIVERS OF THE TRADE SURPLUS THE GERMAN CASE STUDY SPREADS Industrial lending spread and Sovereign spread Industrial Spread rispetto sector: cost al costo of funding accesso for Italy, credito Spain per and il France sistema w.r.t. industriale Germany tedesco Spread ITA GER Spread SPA GER Spread FRA GER gennaio 03 maggio 03 settembre 03 gennaio 04 maggio 04 settembre 04 gennaio 05 maggio 05 settembre 05 gennaio 06 maggio 06 settembre 06 gennaio 07 maggio 07 settembre 07 gennaio 08 maggio 08 settembre 08 gennaio 09 maggio 09 settembre 09 gennaio 10 maggio 10 settembre 10 gennaio 11 maggio 11 settembre 11 gennaio 12 maggio 12 settembre 12 gennaio 13 maggio 13 settembre 13
12 Industrial lending spread and Sovereign spread Spread BTP BUND Spread OAT BUND Spread BONOS BUND 6,00% 5,00% 4,00% 3,00% 2,00% 1,00% 0,00% 1,00% gennaio 12 gennaio 03 maggio 03 settembre 03 gennaio 04 maggio 04 settembre 04 gennaio 05 maggio 05 settembre 05 gennaio 06 maggio 06 settembre 06 gennaio 07 maggio 07 settembre 07 gennaio 08 maggio 08 settembre 08 gennaio 09 maggio 09 settembre 09 gennaio 10 maggio 10 settembre 10 gennaio 11 maggio 11 settembre 11 maggio 12 settembre 12 gennaio 13 maggio 13 settembre 13 gennaio 14 DRIVERS OF THE TRADE SURPLUS THE GERMAN CASE STUDY SPREADS Spread 10 sui years titoli Sovereign governativi spread a 10 anni
13 COMPETITIVENESS GAP IN EU COUNTRIES INFLATION + SPREADS Price ,0 $ Price ,0 $
14 COMPETITIVENESS GAP IN EU COUNTRIES INFLATION + SPREADS Price ,0 $ ,7$ Price ,0 $ ,6 $ +1,9 $
15 DRIVERS OF THE TRADE SURPLUS THE GERMAN CASE STUDY EURO as a fixed exchange rate regime Relative size of the Balance of trade among some members of the Monetary Union (year 2003)
16 DRIVERS OF THE TRADE SURPLUS THE GERMAN CASE STUDY EURO as a fixed exchange rate regime Relative size of the Balance of trade among some members of the Monetary Union (year 2003) Before the Eurozone multiple currencies increases the demand for currencies of the countries in surplus
17 DRIVERS OF THE TRADE SURPLUS THE GERMAN CASE STUDY EURO as a fixed exchange rate regime Relative size of the Balance of trade among some members of the Monetary Union (year 2003) Before the Eurozone multiple currencies currency appreciation for increases the countries in demand for surplus currencies of the countries in surplus
18 DRIVERS OF THE TRADE SURPLUS THE GERMAN CASE STUDY EURO as a fixed exchange rate regime Relative size of the Balance of trade among some members of the Monetary Union (year 2003) Before the Eurozone multiple currencies currency appreciation for increases the countries in demand for surplus currencies of the countries in surplus products prices become less competitive for countries in surplus
19 DRIVERS OF THE TRADE SURPLUS THE GERMAN CASE STUDY EURO as a fixed exchange rate regime Relative size of the Balance of trade among some members of the Monetary Union (year 2003) Before the Eurozone multiple currencies currency appreciation for increases the countries in demand for surplus currencies of the countries in surplus products prices become less competitive for countries in surplus Trade surplus goes to zero
20 DRIVERS OF THE TRADE SURPLUS THE GERMAN CASE STUDY EURO as a fixed exchange rate regime Relative size of the Balance of trade among some members of the Monetary Union (year 2003) With the Eurozone one currency NO increases the demand for currencies of the countries in surplus NO currency appreciation for countries in surplus products prices remain competitive for countries in surplus NO Trade surplus goes to zero
21 COMPETITIVENESS GAP IN EU COUNTRIES EU export % to rest of the world opposite trends 33,00% Germania Peso % all'interno dell'export dell'unione Germany EU export % to rest of the world Europea verso il resto del mondo 13,00% Italia Peso % all'interno dell'export dell'unione Europea Italy EU export % to rest of the world verso il resto del mondo ( ) 32,00% 12,50% 31,00% 12,00% 11,50% 30,00% 11,00% 29,00% 10,50% 28,00% 10,00% 27,00% ,50% EUROSTAT Data and Eurozone Central Banks Data
22 EZ members Public debts becomes substantially in foreign currency 1997 Public Debts (Billions of national currency) Germany Greece Spain France Italy German mark Greek drachma Spanish peseta French franc Italian lira 1, ,239 60% of GDP 97% of GDP 66% of GDP 59% of GDP 117% of GDP EUROSTAT Data National Central Banks could control the money offer
23 EZ members Public debts becomes substantially in foreign currency 1997 Public Debts (Billions of national currency) Germany Greece Spain France Italy German mark Greek drachma Spanish peseta French franc Italian lira 1, ,239 60% of GDP 97% of GDP 66% of GDP 59% of GDP 117% of GDP EUROSTAT Data Euro involves the transfer of monetary sovereignty to the ECB 2013 Public Debts (Billions of Euro) Germany Greece Spain France Italy 2, ,925 2,069 78% of GDP 175% of GDP 94% of GDP 93% of GDP 133% of GDP
24 EZ members Public debts becomes substantially in foreign currency The public debt in foreign currency is unsustainable when around 70% of GDP Year of default Foreign Currency Public debt on GDP Argentine % % Iran % Mexico % Russia % % Turkey % Venezuela % Average of 36 cases of default on foreign currency public debt between Source: This time is different Eight Century of Financial Folly C. Reinhart, K. Rogoff Public Debts (Billions of Euro) 69.3% Germany Greece Spain France Italy 2, ,925 2,069 78% of GDP 175% of GDP 94% of GDP 93% of GDP 133% of GDP
25 Target 2 displays systematic unbalance Billions of 900 Target 2 Net Balance for Euro Zone PIIGS GIPSI and Core CORE countries ( ) CORE GIPSI PIIGS Banca d Italia: 229 bln of 600 Banco de España: 239 bln of Bundesbank: 510 bln of Banque de France: 34 bln of /12/ /12/ /12/ /12/ /12/ /12/ /12/ /12/ /12/ /12/ /12/ /12/ /12/ /12/ /12/2013 Eurozone Central Banks Data
26 Target 2 payments system BANKS BANKS Assets Liabilities Assets Liabilities Debt 100 Credit 100 Credit Risk Exposure
27 Target 2 payments system BANKS BANKS Assets Liabilities Assets Liabilities Debt 100 Credit 100 Cash 100 CREDIT RISK TRANSFERING towards Central Banks Bank of Italy Bundesbank Assets Liabilities Assets Liabilities Debt 100 Credit 100
28 Target 2 payments system BANKS BANKS Assets Liabilities Assets Liabilities Debt 100 Credit 100 Cash 100 This risk is guaranteed by European System of Central Banks Bank of Italy CREDIT RISK MUTUALIZATION Bundesbank Assets Liabilities Assets Liabilities Debt 100 Credit 100
29 TARGET 2 BANKING CREDIT RISK MUTUALIZATION THE GERMAN CASE STUDY Billions of Credits of German banks towards Europe (cumulative surplus current account target2 net balance) Q4 2012Q4 2011Q4 2010Q4 2009Q4 2008Q4 2007Q4 2006Q4 2005Q4 2004Q4 EUROSTAT Data and Eurozone Central Banks Data
30 TARGET 2 BANKING CREDIT RISK MUTUALIZATION Credits of German banks towards Europe (cumulative surplus current account target2 net balance) Cumulative Surplus (Current Account) Target2 Net Balance [Right axis] LTRO EU (Net of Germany) LTRO LTRO Germany [Right axis] Q4 2005Q4 2006Q4 2007Q4 2008Q4 2009Q4 2010Q4 2011Q4 2012Q4 2013Q4 EUROSTAT Data and Eurozone Central Banks Data
31 TARGET 2 BANKING CREDIT RISK MUTUALIZATION 100% 100,00% 90,00% 90% 80% 80,00% 71% 70,00% 60% 60,00% 50% 50,00% Systemic credit risk transferred from the German banking system towards the Eurosystem (target2 net balance/cumulative current account) Target2 / Cumulative Surplus (Current Account) LTRO EU (Net of Germany) 94% % 40,00% % 30,00% % 20,00% 80 10% 10,00% 40 0,00% 0% 2004Q1 2005Q1 2006Q1 2007Q1 2008Q1 2009Q1 2010Q1 2011Q1 2012Q1 2013Q1 EUROSTAT Data and Eurozone Central Banks Data
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