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Рыночные идеи, события, аналитика
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Chessplayer 03.04.2012, 12:20

LINKS-ДАЙДЖЕСТ 28 марта 2012 г.

LINKS-ДАЙДЖЕСТ 28 марта 2012 г.

Япония не может определиться с налогами

Монетарная политика в Японии останется мягкой

Бернанке: праздновать победу пока рано

Италия продала 6-месячные векселя на 8,5 млрд евро

Инфляция в Германии замедляется

Испании потребуется финансовая помощь

Монти: "Самая страшная стадия кризиса позади"

Аукционы ЕЦБ дали осечку

Европейские банки используют средства ЕЦБ на скупку облигаций, а не на кредитование.

В феврале объем кредитования нефинансовым компаниям снизился на 3 млрд евро против роста на 1 млрд евро в январе. В то же время денежная масса зоны евро увеличилась на 2,8% в феврале по сравнению с январским ростом в 2,5%.

В то же время банки Италии и Испании нарастили покупки гособлигаций. Так, итальянские финансовые организации увеличили объем своих вложений на рекордные 23 млрд евро. Это довело их общий объем участия в этом рынке до 301,6 млрд евро. Испанцы в свою очередь отошли от январского рекорда в 23 млрд евро. В феврале они потратили на госбумаги 15,7 млрд евро. Их вложения в облигации еврозоны оцениваются в 245,8 млрд евро.


теперь англоязычные

Why Tomorrow's GDP Report Could Be WAY Better Than Anyone Expects

Nomura ожидает, что завтрашний финальный ВВП окажется лучше ожиданий


EU - EFSF & ESM - A Whole Lot Of Nothing

Peter Tchir

US Issues New 5 Year Bonds At Lowest Bid To Cover Since August, Sends Total US Debt Over $15.6 trillion

Как прошел аукцион по 5-тилетним US notes

Today's $35 billion 5 Year auction was not very pretty: coming at a high yield of 1.04%, it was a tail to the When Issued trading 1.03% at 1pm, and the highest rate since October's 1.055%, and the first 1%+ print in 2012. Also notable was the drop in the Bid To Cover to 2.85, which in turn was the lowest since the 2.71 in August of last year. Aside from that the internals were in line: Directs took down 11.3%, in line with the 11.4% average, Indiricts 41.9%, just below the 42.8% TTM average, and the remainder was Dealers, whose 46.8% allocation was just slightly lower than the 45.8% they have taken down previously. All in all another auction that squeezed by courtesy of the PD syndicate, which as has been noted before, is already loaded to the gills with the short-term bonds that Uncle Ben is selling. More importantly, this is the auction that in conjunction with tomorrow's last of three, will send total US debt higher by another $39 billion and brings it to a fresh record high $15.6 trillion. There is now about $700 billion in debt issuance capacity before the debt ceiling is breached again. At this run rate, this is just under 6 months before the debt ceiling scandal ramp up again, or just in time to be used by the GOP as the biggest trump card in the Obama reelection debates, just as we suggested here first back in February.

ZH считает, что новый лимит госдолга наступит через 6 месяцев

Europe Leaks It Will Fix Crushing Debt Problem With €940 Billion Of More EFSFESM Debt

Утечка: общий фонд EFSF/ESM хотят увеличить до 940 млрд. EURO

Europe Drops Most In 3 Weeks As LTRO Stigma Hits New Highs

European equities dropped their most in almost three weeks over the last two days closing right at their 50DMA (the closest to a cross since 12/20). Credit markets (dominated by financial weakness) continue to slide as the LTRO euphoria wears off. The LTRO Stigma, the spread between LTRO-encumbered and non-LTRO-encumbered banks, has exploded to over 107bps (from under 50bps at its best in mid Feb when we first highlighted it) and is now up over 75% since the CDS roll as only non-LTRO banks have seen any improvement in the last week.

Goldman On Europe: "Risk Of 'Financial Fires' Is Spreading"

ESM не сможет произвести столь положительный эффект, как LTRO.

The Euro area is a financially closed region, with more than 85% of sovereign bonds held by residents of the area. If we add to this the fact that most claims against governments are held by financial institutions domiciled in the area, the risk of ‘financial fires’ spreading is high. The prevailing policy view that bigger ‘firewalls’ would make investors more comfortable about purchasing sovereign bonds of EMU countries. This is predicated on the idea that the existence of a funding backstop would prevent credit shocks in one of the EMU members from spreading to other issuers. That said, we doubt the current infrastructure can produce the same effects on markets as the ECB’s long-term liquidity injections (LTROs). Our view is based on the following considerations.

  • Size: Even if we combine the full uncommitted capacity of the EFSF and the ESM (EUR700bn), the total would not be sufficient to backstop the bigger markets of Spain and Italy. The former’s borrowing requirement (amortization plus deficit) over the next two years is EUR305bn, while the latter’s amounts to EUR525bn.
  • Seniority: The ESM holds ‘preferred creditor status’ over existing bondholders (art.13 of the Treaty establishing the ESM). In practice, this means that if the facility is used to provide an EMU member country under conditionality, it would subordinate existing bondholders (twice, if the IMF also participates in a bailout). Given that investors are aware of this, they would require compensation to bear such risk. This could exacerbate, rather than mitigate, a crisis.
  • Governance: The existing vehicles cannot intervene pre-emptively in markets at signs of tension. Rather, they would be activated only after a full crisis has erupted. The procedure envisages that the ECB would ring an alarm bell should tensions threaten the stability of the Euro area. The sovereigns experiencing tensions would need to formally ask for help, and sign a memorandum of understanding, before any financial support can provided. Admittedly, a ‘fast track’ option is also available, based on ‘light conditionality’ and allowing the EFSF to intervene in secondary markets. Still, the fixed size of resources could raise questions on the effectiveness of the operations.

Кривая доходностей EFSF в перспективе

As The ECB Crosses The Inflationary Rubicon Has Mario Draghi Lost All Control?

Потерял ли Марио Драги контроль над ситуацией с того момента, как ЕЦБ перешел Рубикон

Durable Goods Miss, Inventory Stockpiles Soar To New All Time High

Результаты статистики по заказам на товары длительного пользования и запасам не оправдали ожиданий


Bank Lending Key For Recovery And EUR

Банковские кредиты и М3 – эти экономические параметры имеют для еврозоны особое значение

AUD - Breakdown in Chinese Equities Pressures Aussie Crosses

Провал на китайском рынке акций давит на кросскурсы AUD

We have been monitoring Chinese equities for clues as to where investor sentiment lies, as China provides much of the spare capacity for commodities demand. If China's economy slows more strongly than expected, then commodities will feel the brunt of that and that has a big impact on commodity linked currencies like the Australian Dollar.


В этой ситуации CAD выглядит привлекательнее, чем AUD

As we had looked at previously, the growth divergence story between the US and China has helped the CAD to make sizable gains this month against the AUD, and we can see that fundamental trend continue if expectations around China continue to show disappointment.

We'll continue to monitor Chinese equiteis to see if we have further follow through to the downside, as well as what impact that will have on commodities like copper, as well as the general US Dollar Index.


About that broken ECB transmission mechanism...

О разрушенном передаточном механизме ЕЦБ

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Chessplayer 28.02.2012, 20:02



Важной темой стал выборочный дефолт Греции и вопрос CDS. Очень хороший материал на эту на русском языке:

Греция переживает выборочный дефолт

И здесь еще:

ISDA займется проблемой "признания дефолта"

ISDA To Hold First Greek Default Determination Hearing On March 1

ISDA Determinations Committee Accepts Question Related to a Potential Hellenic Republic Credit Event

LONDON, February 28, 2012 – The International Swaps and Derivatives Association, Inc. (ISDA), as secretary to the Determinations Committees (the DCs), today announced that a question relating to a potential credit event with respect to the Hellenic Republic has been submitted to, and subsequently accepted for consideration by, the EMEA Determinations Committee.

Заседание ISDA состоится 1 марта в 15.00 мск

In accordance with the Determinations Committee Rules, a meeting will be held at 11AM GMT on Thursday, March 1 to determine whether a credit event has occurred.

Further information regarding the question is available at www.isda.org/credit.

The Final LTRO Preview - Bottoms Up

Большой материал на Zero Hedge по поводу LTRO

Weekly Macro Meeting: Mind the Divergence! (28 February 2012)

Поддерживать Грецию Германии становится все труднее

Chancellor Merkel failed to get her Chancellor Majority (310 votes in 620 member chamber) but did secure the passing of the EFSF with 305 votes.

Commentators are now busy talking about how she is increasingly finding it hard to negotiate with the Parliament and deal with overall German public opinion. There are several reasons for this:

She and her government told Parliament last year that Germany would be on the hook for a maximum EUR 211 billion. Now fast forward to today and the IMF is insisting that that EU increase the fire-power of bailout mechanisms to 700-750 bln. EUR.

This would mean the German contribution will rise to above 300 bln. EUR - in itself a problem politically (as she promised 211 was the absolute max) but add to this that the German Constitutional Court has already told the Parliament that any support for bailouts in excess of the current German budget (306 bln. in 2012) is risky and destablising. Get the picture? Indeed, the EU Summit this week will be interesting. It seems to me that Merkel will be forced to dig-in her heels on this issue and this will consequently risk the PSI deal and Greece in the process. The stakes are clearly rising.

Citigroup's Buiter put it very elegantly in his Global economic View (27. February 2012 - Why does the ECB not put its mouth where its money is? The ECB as lender of last resort for Euro area sovereign and banks):

'EU policy makers prefer support to fiscally weak Euro Area sovereigns under attack by markets to be provided through the ECB, since that support is off-budget and off-balance sheet, unlike the contributions to the EFSF, ESM'.

This is the key political driver! There is no budget, no balance sheet impact from having Draghi pretend he is the great saviour of everything European (read: banks) but if the ESM, EFSF should need additional capital, then there will need to be a vote - heaven forbid!

The divergence is in the accountability. The ECB is already violating its mandate and the Treaty but they are not up for vote or even accountability so far, hence they will fold their cards first in this game of poker and have done so, again, again and again.

Через ЕЦБ по ряду причин делать это гораздо сподручнее


Daily US Opening News And Market Re-Cap: February 28

Новости на открытие американской сессии

S&P downgraded Greece to Selective Default (SD) from ‘CC’. S&P said that the downgrade followed the Greek government's retroactive insertion of collective action clauses (CACs). However, if the debt exchange is completed as expected, S&P will raise Greece’s credit rating to ‘CCC’. (RTRS)

-S&P have said they believe Greece would face imminent outright payment default if an insufficient number of bondholders accept the exchange offer.

The EFSF outlook was changed to negative from developing by S&P; 'AA+' ratings affirmed. (RTRS) S&P concluded that credit enhancements sufficient to offset what they view as the reduced creditworthiness of EFSF guarantors are not likely to be forthcoming. The negative outlook on the long-term rating also mirrors the negative outlooks of France and Austria.

The is to make a decision on Greece CDS triggers by 1700 GMT, Wednesday February 29. (FT Alphaville-More) The ISDA announced that a question relating to the Hellenic Republic has been submitted to the EMEA Determinations Committee. The ISDA will decide whether to accept the question for deliberation or reject it.

The ECB have temporarily suspended the use of Greek debt as collateral, reflecting the Greek debt ratings in the light of the PSI agreements. (Sources)

Standard & Poor’s Managing Director Kraemer has commented that the outlook on the Eurozone remains negative, adding that the ECB’s LTRO is not a substitute for reforms, but it does help in the immediate term. (Sources)

The ECB’s Nowotny has said there is no need for ECB’s key interest rate to move below 1% at the moment, adding that the ECB is concerned about the long-term effects of loans. (Sources)

Очень выборочно:

ЕЦБ приостановил принимать облигации Греции в качестве залога.

Важно: ISDA будет принимать решение по поводу контрактов CDS by 1700 GMT, Wednesday February 29 – в среду в 21.00 по Москве

И FT Alphaville уточняет здесь:

Isda Greece credit event around here?

LONDON, February 27, 2012 – The International Swaps and Derivatives Association, Inc. (ISDA), as secretary to the Determinations Committees (the DCs), today announced that a question relating to the Hellenic Republic has been submitted to the EMEA Determinations Committee.

In accordance with the Determinations Committee process, the EMEA Determinations Committee will decide whether to accept the question for deliberation or reject it and this decision will be made by 5PM GMT on Wednesday, February 29, 2012.

В среду пока лишь будет решаться вопрос, принимать ли этот вопрос к рассмотрению.

Суть вопроса:

Does the announcement of the passage by the Greek parliament of legislation that approves the implementation of an exchange offer and vote providing for collective action clauses (“CACs”) that impose a “haircut amounting to 53.5%” (MINFIN Announcement, 2.21.2012) that “shall bind the entirety of the Bondholders [of eligible instruments]” (First Article, Section 9), constitute a Restructuring Credit Event in accordance with Section 4.7 of the 2003 ISDA Credit Derivatives Definitions (as amended by the 2009 ISDA Credit Derivatives Determinations Committees, Auction Settlement and Restructuring Supplement to the 2003 ISDA Credit Derivatives Definitions, published on July 14, 2009) because (i) the European Central Bank and National Central Banks benefitted from “a change in the ranking in priority of payment” as a result of the Hellenic Republic exclusively offering them the ability to exchange out of their “eligible instruments” prior to the exchange and implementation of the CACs, thereby effectively “causing the Subordination” of all remaining holders of eligible instruments, and (ii) this announcement results directly or indirectly from a deterioration in the creditworthiness or financial condition of the Hellenic Republic?

It Begins: ECB Calls For Bids In 3 Year LTRO

Здесь важно следующее:

As for what the final size of the LTRO will be, just ask your hotdog vendor: he has as much guidance as anyone else. Regardless of the size outcome, one thing is certain - the banks that are found to use the ECB's Discount Window should prepare for major stock pain, as the market, devoid of easy targets, focuses on them next as the European stigma trade becomes the hedge fund divergence trade du jour. After all there is a reason why the Fed's Discount Window expansion lasted for all of 3 months, and ended up hurting the participating banks (ahem Dexia) more than any other Fed concoction during the early stages of the Depression.

Дисконтное окно Феда просуществовало всего 3 месяца, поскольку пользование им для банков имело слишком сильные репутационные издержки. Вот и на этот раз, те, кто в полной мере воспользуется предлагаемым ЕЦБ LTRO, рискуют надолго получить черную метку и проблемы на межбанке...

No Housing Recovery - Case Shiller Shows 8th Consecutive Month Of House Price Declines

Case Shiller продемонстрировал 8-й подряд месяц снижения цен на дома.

The December Case Shiller came, saw, and shut up all those who keep calling for a home price recovery. The Index printed at 136.71 on expectations of 137.11, with the prior revised to 138.24. The top 20 City composite was down -0.5% on expectations of a 0.35% drop. 18 out of 20 MSAs saw monthly declines in December over November, with just the worst of the worst - Miami and Phoenix - posting a dead cat bounce, rising 0.2% and 0.8% respectively. And granted the data is delayed, but the fact that we have now had 8 consecutive months of home price declines even with mortgage rates persistently at record lows, and the double dip in housing more than obvious, can we finally shut up about a housing bottom? Because as Case Shiller's David Blitzer says: "If anything it looks like we might have reentered a period of decline as we begin 2012.

Двойное дно по рынку недвижимости более, чем очевидно и пока не видно признаков, что рынок начинает выбираться из этого дна.

Durable Goods Big Miss -4%, Expected -1%, Biggest Sequential Drop Since January 2009

То, что цифры соответствуют текущей обстановке, уже никого не удивляет.

Начинается переход к режиму QE3 –экономического разочарования, - язвительно замечает Zero Hedge.

После LTRO от ЕЦБ следующая очередь за Федом .

And so the transition to the QE3 "economic disappointment" regime begins. Because after the ECB is done with the LTRO it's over for global QEasing, and the Fed is next. Remember- Bernanke's semiannual testimony to Congress is tomorrow. Whatever will he say....

  • Headline Durable Goods plunges from +3.2 to -4% on expectations of -1%
  • More painfully, Durable goods non-defense ex aircraft down a whopping -4.5% on Exp of -1.3%, down from +3.4%.

Visually, this is the lowest Durable Goods number since January 2009

Bill Gross On Football As Investing, And Why Everyone Now Plays Defense

So Greece 'Defaults' And Europe Moves On...

Via Peter Tchir of TF Market Advisors,

Дефолт Греции можно считать почти состоявшимся. Но никакого волнения не ощущается. До 20 марта мы скорее увидим кредитное событие и срабатывание CAC

So far there are no dramatic consequences of the Greek default. The ECB did say they couldn’t accept it as collateral, but national central banks (including Greece’s somehow solvent NCB) can, so no real change. We will likely get a Credit Event prior to March 20th once CAC’s are used to get the deal fully done. Will the market respond much to that? Probably not, though there is a higher risk of unforeseen consequences from that, than there was from the S&P downgrade. It just strikes us that Europe wasted a year or more, and has created a less stable system than it had before. Tomorrow’s LTRO is definitely interesting. It seems like every outcome is now bullish – big take up is bullish because of the “carry” trade. Low take up is bullish because “banks are okay”. Any weak bank looking to borrow from the LTRO to buy sovereign debt would be insane to buy bonds longer than 3 years and take the roll risk, but on the other hand, the weakest and most insolvent, got there by doing insane things in the first place.

Любой исход завтрашнего LTRO будет позитивен для рынков.

Большой спрос – позитивен из-за кэрритрейда. Маленький спрос – потому-что у банков все ок.

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