CBPP3 facts and figures

Transcription

1 CBPP3 facts and figures Julian Trahorsch Economist + 49 / (0) 7 11 / julian.trahorsch@lbbw.de Landesbank Baden-Württemberg Page 1

2 ECB purchase program. Target of EUR 60bn. ECB s QE program is proceeding as planned Okt. 14 Nov. 14 Dez. 14 Jan. 15 Feb. 15Mrz. 15 Apr. 15 Mai. 15 Jun. 15 Jul. 15 Aug. 15 Covered Bonds (CBPP3) ABS (ABSPP) Public Sector (PSPP) Sources: ECB, Bloomberg, LBBW Research Page 2

3 Comparison of CBPPs. ECB purchases take off in the third program. CBPP3 already well above CBPP1 and CBPP Jul. 09 Jan. 10 Jul. 10 Jan. 11 Jul. 11 Jan. 12 Jul. 12 Jan. 13 Jul. 13 Jan. 14 Jul. 14 Jan. 15 Jul. 15 CBPP1 CBPP2 CBPP3 Sources: ECB, Bloomberg, LBBW Research Page 3

4 KW1 KW3 KW5 KW7 KW9 KW11 KW13 KW15 KW17 KW19 KW21 KW23 KW25 KW27 KW29 KW31 KW33 KW35 KW37 KW39 KW41 KW43 KW45 KW47 Covered bond purchase program 3. Decline in purchases due to supply restrictions. Changes in weekly purchases in mio. Euro CBPP3 volume per week Sources: ECB, Bloomberg, LBBW Research Page 4

5 Brief review CBPP1 was a success, CBPP2 was not! CBPP1 CBPP2 Target volume EUR 60bn reached Target volume EUR 40bn never reached Aim of CBPP1 - revival of interbank trading and cushioning of liquidity risks - was achieved. CBPP2 never had a significant volume and was cast into the shadows by LTROs. Sources: ECB, LBBW Research Page 5

6 Third covered bond purchase programme. Harder, better, faster, stronger. Main features CBPP3 CBPP2 CBPP1 Period October to at least November October July June 2010 October Target volume not specified EUR 40bn EUR 60bn Achieved volume - EUR 16.4bn EUR 60bn Degree of completion - 41% 100% Primary market 18% 37% 27% Secondary market 82% 63% 73% Current volume EUR 118bn EUR 13.0bn EUR 29.4bn Issuers Euro area Euro area Euro area Currency EUR EUR EUR Rating requirements min. BBB- (exceptions: Greece and Cyprus) min. BBB- by at least one of the major rating agencies min. AA/ but not less than BBB- /Baa3 Sources: ECB, LBBW Research Page 6

7 Limits of what is possible Reality check Outstanding EUR covered bond volume from the eurozone amounts to EUR 1.5 trillion Covered bonds 2013: Outstanding volume: EUR 2,598bn New issues: EUR 429bn of which in the Eurozone Covered bonds in the eurozone: Outstanding volume: EUR 1,553bn New issues: EUR 166bn According to ECB Vice President Constancio, around EUR 600bn in covered bonds meet the criteria. of which in EUR Outstanding bonds in the eurozone denominated in EUR: Outstanding volume: EUR 1,485bn New issues: EUR 162bn Sources: ECBC, as at December 2013, LBBW Research Page 7

8 Country overview Germany, France and Spain dominate Outstanding EUR covered bonds in the Eurozone (2013: EUR 1,485bn) New issues of EUR covered bonds in the Eurozone (2013: EUR 162bn) Germany, France and Spain together account for 75 % of outstanding covered bonds. Germany, France and Spain together account for 63 % of new issues. Sources: ECBC, as at December 2013, LBBW Research Page 8

9 Covered bond purchase program 3. Focus on secondary market. ECB is buying mainly in the secondary market Okt Nov Dez Jan Feb Mrz Apr Mai Jun Jul Aug secondary market primary market Sources: ECB, LBBW Research Page 9

10 CBPP3 Original goal: support of the real economy Real GDP (2008 = 100) Sources: ECB, LBBW Research Page 10

11 Draghi s Dashboard: How successfull is the ECB? EMU indicators (1 = rather bad to 6 = rather good) Sep. 14 Nov. 14 Jan. 15 Mrz. 15 Mai. 15 Jul. 15 Sep. 15 Real Economy Inflation Financial Markets Lending Source: Thomson Reuters, LBBW Research Page 11

12 Jul-14 Aug-14 Sep-14 Oct-14 Nov-14 Dec-14 Jan-15 Feb-15 Mar-15 Apr-15 May-15 Jun-15 Jul-15 Aug-15 Sep-15 Oct-15 Nov-15 Dec-15 Jan-16 Feb-16 Mar-16 Apr-16 May-16 Jun-16 Jul-16 Aug-16 Sep-16 Oct-16 Nov-16 Dec-16 ECB will likely reach target at the end of Does this mean they will stop buying? Inflation rates and LBBW forecasts 2,0% 1,5% 1,0% 0,5% 0,0% -0,5% -1,0% -1,5% HICP Energy HICP ex Energy Forecast HICP Source: Thomson Reuters, LBBW Research Page 12

13 Contacts Ansprechpartner. Sales Sales Sparkassen & Regionalbanken Sales Banks & Frequent Borrowers Sales Asset Manager Sales Institutionals Sales Short Term Products International Sales Sales Spezial- & Publikumsfonds Sales Equity Products Sales Capital Markets London Corporate Sales & Securitisation Sales Large Corporates Sales Key Accounts Sales RP Bank / Sachsen Bank Sales Zins-/Währungs-/Rohstoffmanagement Sparkassenkunden Sales Strukt. Retailprodukte Debt Capital Markets Corporate Capital Markets Research Strategy Research Head of Research Uwe Burkert Group Chief Economist uwe.burkert@lbbw.de Head of Strategy Research Dr. Markus Herrmann Managing Director markus.herrmann@lbbw.de Strategy Rolf Schäffer, CIIA Group Head Strategy rolf.schaeffer@lbbw.de Portfolio and Products Jochen Korb, CFA Group Head Portfolio and Products jochen.korb@lbbw.de FX/Commodity Research Dr. Frank Schallenberger Group Head FX/Commodity Research frank.schallenberger@lbbw.de Team Economics Dr. Guido Zimmermann Senior Economist guido.zimmermann@lbbw.de Dr. Jens-Oliver Niklasch Eurozone, ECB jens-oliver.niklasch@lbbw.de Julian Trahorsch China, Eurozone julian.trahorsch@lbbw.de Dr. Berndt Fernow Equity Strategy, Asset Allocation berndt.fernow@lbbw.de Uwe Streich Equity Strategy uwe.streich@lbbw.de Wolfgang Albrecht Equity Strategy wolfgang.albrecht@lbbw.de Elmar Völker Rates Strategy elmar.voelker@lbbw.de Jürgen Becker Product Services juergen.becker@lbbw.de Marco Ryll, CIIA Credit Derivatives, Structured Credit, Corporate and Financial Hybrids marco.ryll@lbbw.de Dr. Michael Stein Portfolio Advisory, Credit Derivatives, Quant. Models, ABS michael.stein@lbbw.de Martin Güth, CQF FX Research martin.gueth@lbbw.de Frank Klumpp, CFA Commodities, Energy frank.klumpp@lbbw.de Thorsten Proettel Commodities, Precious Metals thorsten.proettel@lbbw.de Achim Wittmann Commodities, Base Metals achim.wittmann@lbbw.de Thomas Klee, CFA Rates Strategy thomas.klee@lbbw.de Martin Siegert Technical Market Research martin.siegert@lbbw.de Michael Köhler, CEFA Credit Strategy michael.koehler@lbbw.de Holger Frey Technical Market Research holger.frey@lbbw.de Bloomberg: LBBK <go> Christian Götz, CEFA Credit Strategy christian.goetz@lbbw.de Page 13

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