LTRO 2 : L'avis des Banques / The opinion of Banks

On vous en parlait dans le billet sur les solutions que la BCE a pour sauver la zone Euro ou encore dans le billet se nommant "LTRO2 : Les junkies a la recherche d'une dose de Cash" , la LTRO 2 arrive demain.

Mais qu'en pensent vraiment les Banques ? Je vous ai condensé ici tout ce qu'ils pensent de cette Seconde LTRO. Au début de chaque avis, vous retrouvez un lien vers l’intégralité des lettres d'information d'où sont extraites ces informations. (Au passage, merci à algo.robotrading.org ) Bonne lecture à tous !

BARCLAYS CAPITAL :  27/02/2012  GLOBAL MACRO DAILY

The second 3y ECB LTRO will take place on Wednesday, 29 February, with results published at about 10:20am Ldn time. Given the effect the first 3y LTRO (€489bn gross take-up) had on financial markets, this operation will be keenly watched. Overall though, we suspect its effect will be more limited. Market expectations have been varying wildly in the past months, but expectations seem to have settled at €350-550bn (the latest Reuters consensus was €470bn). We look for a gross take-up towards the lower end of that range (say, about €350bn, see  “The Feb 3y LTRO, eventually” Global Rates Weekly, February 24, 2012), but in our view, any outcome within that range is unlikely to have much of an effect on the market, past the knee-jerk initial reaction. A higher number might be slightly more positive for equity and bond markets, but very large moves like those since late December 

are unlikely in both. Similarly, it is very unlikely that the moves since then will be unwound due to the LTRO2. Indeed, the benefits of the LTRO1 on the liquidity conditions in the euro area (quantity and duration of the open market operations, see Figure 1) are highly likely to perdure, whatever the size of LTRO2. Similarly, we would not expect much more buying of short-dated government bonds (the related ECB January data will be released on Monday), 

which would push short peripheral markets to much lower yield levels.  

JP MORGAN : 24/02/2012  Global Fixed Income Markets Weekly


Probability of a disorderly default in Greece has fallen; reinitiate risk-on 

trades.  Going down the credit curve offers the best risk-adjusted carry, 

followed by front end peripheral sovereign paper, and then going up the 

German yield curve.  We expect take-up at the 3Y LTRO to be €350-

400bn and highlight the reasons why our estimate is lower than the 

market’s.  We analyse the Greek debt exchange offer and find that the 

fair value of the package is around €24; Greek GDP warrants are worth 

very little.  Greek bonds are currently trading close to fair except at the 

very front end where they are rich.

STANDARD CHARTERED : 27/02/2012  LTRO2 will not be a game-changer

Market expectations for this week’s 3Y long-term refinancing operation (LTRO) – the second by the European Central Bank (ECB) after ‘LTRO1’ on 21 December 2011 – have run high and acted as a major support for global risk appetite. In this regard, we think that market expectations for ‘LTRO2’ to be as powerful as ‘LTRO1’ in boosting risk appetite are likely to be sorely disappointed. Indeed, if we look across the risk spectrum at basis swaps, sovereign-debt spreads and the rally in EUR-USD itself, we would argue that any beneficial effect is largely – if not fully – priced in.   It should be remembered that LTRO1 happened when European – and global – markets were reflecting significant funding strains, typified by excess demand for offshore US dollars (USD). As such,  LTRO1 largely unblocked Europe’s funding problems, put a floor under the region’s banking system, reduced perceived tail risks, and obliged total-return investors to cut short-risk trades. There is no doubt that this was a game changer – much as was the case for QE1 by the Federal Reserve. To be sure, Fed QE2 has had an effect, but much of the impact in financial markets came before it was actually executed. Indeed, the USD reversed its pre-QE2 weakness and rallied sharply in the month immediately  after it was executed. Thereafter, it continued to put a floor under risk appetite in H1-2011 and USD became a popular funding currency for positions in risky assets. Despite the differences in the nature and relative size of the Fed and ECB operations, it seems reasonable to expect some ‘selling on the fact’ in the immediate aftermath of LTRO2, but for LTRO2 to put a floor under European risky assets on a sustained basis thereafter.

CREDIT SUISSE : 23/02/2012 Wider ECB collateral & LTROs

We estimate the gross uptake at the February 3-year LTRO to be in a range 

of €350-450bn. We discuss market implications for various outcomes. The 

ECB estimates that the extended collateral pool amounts to €200bn in 

additional liquidity – much lower than we expected.  Estimating the February LTRO. In this section, we outline the main sources of demand for the February 3-year LTRO (bank refinancing needs, deposit replacement, speculative demand, switching demand from MROs and ELAs into the LTRO).  Aggregating these different sources of demand, and adjusting for the reduction in the reserve ratio, we estimate for the February 3-year LTRO between €350bn and €450bn. This estimate is still on the conservative side – if for example, the Greek PSI program is delayed or is not as successful in this first round, market uncertainty could push banks to increase their demand in February as “insurance” against loss of market access.  

Plus de détails Page 18 du PDF/More details Page 18




GOLDMAN SACHS : Janvier/January 2012



The ECB continues to allow depositary institutions to set the size of its balance sheet. In December, it eased this policy along two key dimensions: the eligible collateral  that can be pledged to obtain liquidity (which now 
includes loans and riskier securities) and the maturity of repos (which have been extended from 1-yr to 3-yr, broadly matching the duration of bank liabilities). This should reduce systemic strains, and possibly help banks to roll over domestic government bonds  maturing over the course of the  coming year. Although sentiment towards Italy and Spain has already improved, we think there is still room for a further steepening of curves and lower spreads across the entire maturity spectrum in these two sovereign issuers. At the start of the month, we recommended long positions in 10-yr Italy vs. France, for a target of 250bp. A further and more sustained compression awaits further advances in the reform process in these countries and more progress at the Euro area policy level towards deeper fiscal integration. 


Plus de détails Page 6 du PDF/More details Page 6




BANK OF AMERICA : 24/02/2012 Spreading the Euro area risks

With its expanded liquidity operations due to the two 3-year LTROs, the ECB has substantially relieved financial market stress. Since the beginning of this year, interest rates on all maturities have fallen significantly, the interbank market has reopened and the spectre of bank failure has diminished. The 3-year ECB LTRO was referred to as a game-changer, representing a turnaround in the euro crisis, but we remain cautious because the fundamental problems plaguing the euro area have not disappeared. The 3-year LTRO has bought time and removed almost entirely the risk of a bank liquidity failure. However, it has not resolved the fragility of the Greek situation, eradicated the weakness in Italy and Spain, or addressed Portugal’s debt dynamic.

Plus de détails Page 2 du PDF/More details Page 2

Pétrole : l'Iran vs l'Occident et l'AIEA

Vous le savez sûrement déjà : le prix du pétrole libellé en euros est à un niveau record, dépassant le précédent pic atteint le 3 Juillet 2008. Cette nouvelle intervient seulement un jour après que le Brent libellé en livres sterling atteigne lui aussi un nouveau sommet.

Barclays s’en va même dire qu’il s’agit d’un choc pétrolier régional. Hmmm… Je ne suis pas vraiment d’accord avec l’aspect « régional » puisque les prix du brut en dollars sont eux aussi à des niveaux très élevés. Certes, on reste bien en dessous des 147$ de 2008 mais tout de même ! De plus, si le mouvement haussier conserve ce rythme on ne mettra pas plus de 3 semaines avant de tester les plus hauts. Ian Taylor, le PDG de Vitol, l’une des plus grandes sociétés de courtage sur le marché pétrolier a rapporté cette semaine que le prix du pétrole pourrait atteindre un nouveau record à plus de 150 dollars le baril cette année.

La flambée des prix s’explique par de fortes tensions entre l’Iran et les occidentaux. Téhéran menace désormais d'interrompre immédiatement ses approvisionnements d'or noir vers l'Europe (le pays a déjà cessé d’exporter vers la France et le Royaume Uni), afin de devancer la mise en place en juillet de l'embargo de l'Union européenne. D'autres pays comme le Japon qui n’est autre que le 2ème plus gros client de l'Iran, affichent désormais leur intention de réduire leurs importations de brut iranien.  

Et le mouvement haussier semble avoir encore de beaux jours devant lui puisque vendredi, l’AIEA a publié un rapport affirmant que l’Iran a accéléré son programme d’enrichissement d’uranium. L’agence estime que le pays dispose désormais d'un stock de près de 110 kilos d'uranium enrichi à 20 % et se préparerait à accroître encore ses capacités d'enrichissement dans le site souterrain de Parchin. Et quoi encore ? Ah oui, que l’Iran refuse bien entendu l’accès à ce site. Voilà qui devrait forcer les Etats Unis et l’Europe à hausser le ton.

De plus, les signes de reprise de l’économie américaine suggèrent une hausse de la demande en énergie aux Etats-Unis pour les prochains mois.

Personnellement, je pense que le prix de l’or noir devrait continuer sa hausse mais à un rythme moins soutenu que ces dernières semaines. Le record des 147$ me semble être un objectif facilement atteignable. Si l’Iran persiste à ne pas vouloir coopérer, les occidentaux pourraient tenter de durcir les sanctions envers l’Iran ce qui entrainerait bien évidemment un nouveau mouvement de hausse sur le marché. Enfin, la hausse des prix du brut devrait peser sur les indices européens puisque cela pourrait déboucher sur de nouvelles pressions inflationnistes qui fragiliseraient la reprise économique.