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ECB Survey of Monetary Analysts (SMA) Summary - June 2019

Overview

The ECB conducted the Survey of Monetary Analysts (SMA) in June 2019, inviting monetary analysts to provide their expectations on key ECB interest rates, market rates, macroeconomic variables, and the future of monetary policy instruments such as the Asset Purchase Programme (APP) and Targeted Longer-Term Refinancing Operations (TLTRO-II). The survey aimed to gather insights into analysts' views on monetary policy instruments and the broader economic outlook, without implying any future policy actions.

Key ECB Interest Rates, Market Rates and Conditions

1.1 Timing of Next Rate Change

Analysts were asked to provide their expectations on the most likely timing of the next change in the following key rates:

• Deposit Facility Rate (DFR)
• Marginal Refinancing Rate (MRO)
• Marginal Lending Facility Rate (MLF)

They were also required to indicate the percent chance they assign to the dates surrounding their expected timing.

1.2 Expected Levels of Interest Rates

Analysts were to estimate the most likely level of the following rates at the end of specific periods:

• DFR, MRO, MLF
• EONIA (euro overnight index average)
• 3-month EURIBOR

These levels were to be provided in percentage terms per annum, with the exception of EONIA and EURIBOR, which were expressed in basis points.

1.3 Swap Spreads

Analysts were asked to estimate the most likely outcome of the 2-year and 10-year swap spreads for selected euro area countries (Germany, France, Italy, Spain, Netherlands) at the end of 2019Q4. The recent values as of 10 May 2019 were provided for reference:

• 2-year swap spreads: DE -41, FR -36, IT 80, ES -14, NL -38
• 10-year swap spreads: DE -52, FR -13, IT 220, ES 50, NL -34

1.4 Lower Bound of Interest Rates

Analysts were to provide their estimate of the lower bound for each of the key ECB interest rates (DFR, MRO, MLF) in terms of the level at which the ECB would consider them as a floor.

1.5 Excess Liquidity

The survey asked for expectations on the most likely level of excess liquidity (in EUR billion) in the euro area banking system at the end of specific periods, including 2019Q2, 2019Q3, and future years up to 2024H2. The recent value as of 10 May 2019 was 1912.4 EUR billion.

1.6 Threshold for EONIA Increase

Analysts were to estimate the level of excess liquidity (in EUR billion) at which the EONIA would begin increasing above the DFR, moving towards the MRO.

1.7 Forward Guidance on Interest Rates

If they expected changes in forward guidance, analysts were to specify the timing of the announcement and implementation of such changes, along with the type of change in the guidance.

Asset Purchase Programme and Reinvestment

2.1 Duration of Extended Reinvestment Period

Analysts were to estimate the most likely length (in months) of the extended period during which the ECB would continue reinvesting principal payments from the APP after starting to raise key interest rates. They were also asked to provide the date of the first rate increase and the reinvestment amount per quarter until the end of the extended period.

2.2 Hypothetical Scenarios for Reinvestment Duration

Analysts were to assess how their expectations of the extended reinvestment period might change under two hypothetical scenarios:

• Postponing the first rate increase by one quarter
• Bringing forward the first rate increase by one quarter

2.3 Eurosystem APP Bond Stock

Analysts were to provide their expectations on the most likely stock of bonds under the APP at the end of specific years (2019, 2020, 2021, 2022, 2023, 2025, 2030), with the recent value as of April 2019 being 2647 EUR billion.

2.4 Forward Guidance on Reinvestment

If they expected changes in forward guidance on reinvestment, analysts were to specify the timing of the announcement and implementation of such changes, along with the type of change.

Targeted Longer-Term Refinancing Operations (TLTRO-II)

3.1 Repayment Amounts

Analysts were to estimate the total repayments (in EUR billion) of TLTRO-II operations for each quarter from 2019Q2 to 2021Q1.

3.2 Take-Up of TLTRO-III

Analysts were to provide their expectations on the take-up amounts (in EUR billion) for TLTRO-III operations for each quarter from 2019Q3 to 2021Q1, along with the total take-up.

3.3 Communication of TLTRO-III Terms

Analysts were to indicate the expected month and year for the ECB to communicate the precise terms of TLTRO-III.

Macroeconomic Outlook

4.1 Projections for Real GDP Growth, Unemployment Rate, and Inflation

Analysts were to provide their most likely projections (in terms of mode) for the following:

• Real GDP growth (quarter-on-quarter, seasonally adjusted)
• Unemployment rate (seasonally adjusted, quarterly average)
• HICP inflation (year-on-year)
• HICP inflation excluding energy and food (year-on-year)

Projections were required for quarters from 2019Q1 to 2021Q4 and for the long run.

4.2 Risk Assessment

Analysts were to assess the balance of risks for their projections of euro area growth and inflation. They were to specify whether the outlook was downside, balanced, or upside for 2019, 2020, and 2021. Additionally, they were to detail any important risks beyond the forecast horizon.

4.3 Interest Rate Assumptions

If their interest rate assumptions differed from those in Section 1, analysts were to specify the different assumptions used for their macroeconomic projections.

4.4 Policy Response to Inflation Shocks

Analysts were to indicate the policy actions they expected the ECB to take under two hypothetical scenarios:

• An upward shock in inflation (50 bps increase) leading to a stronger economic outlook
• A downward shock in inflation (50 bps decrease) leading to a weaker economic outlook

They were to provide quantitative and qualitative details, including the timing and size of changes in policy rates or non-standard measures.

Additional Information

Analysts were invited to provide any additional information or feedback in this section.

Reference Data

ECB Policy Rates

• DFR: -0.40%
• MRO: 0.00%
• MLF: 0.25%

Market Interest Rates

• EONIA: -0.37%
• 3-month EURIBOR: -0.31%

Swap Spreads (as of 10 May 2019)

• 2-year swap spreads: DE -41, FR -36, IT 80, ES -14, NL -38
• 10-year swap spreads: DE -52, FR -13, IT 220, ES 50, NL -34

Macroeconomic Data (as of 10 May 2019)

• Annual HICP inflation (April 2019): 1.70%
• Annual HICP inflation (quarterly average 2019Q1): 1.43%
• Annual HICP inflation excluding energy and food (April 2019): 1.20%
• Annual HICP inflation excluding energy and food (quarterly average 2019Q1): 0.97%
• Real GDP growth (q-o-q, 2019Q1): 0.38%
• Real GDP growth (annual average rate, 2018): 1.85%
• Unemployment rate (March 2019): 7.70%
• Unemployment rate (2019Q1 average): 7.79%

Excess Liquidity (as of 10 May 2019)

• 1912.4 EUR billion

APP Redemption Amounts (rolling 12-month horizon)

• Apr-19: 23.407 EUR billion
• May-19: 16.909 EUR billion
• Jun-19: 11.101 EUR billion
• Jul-19: 21.237 EUR billion
• Aug-19: 5.389 EUR billion
• Sep-19: 15.273 EUR billion
• Oct-19: 31.691 EUR billion
• Nov-19: 16.474 EUR billion
• Dec-19: 10.008 EUR billion
• Jan-20: 31.76 EUR billion
• Feb-20: 6.635 EUR billion
• Mar-20: 19.376 EUR billion
• Apr-20: 34.245 EUR billion

TLTRO-II Outstanding Amounts (as of 10 May 2019)

• Operation 1: Maturity 24/06/2020, Amount 379.4 EUR billion
• Operation 2: Maturity 30/09/2020, Amount 44.2 EUR billion
• Operation 3: Maturity 16/12/2020, Amount 61.4 EUR billion
• Operation 4: Maturity 24/03/2021, Amount 230.4 EUR billion
• Total: 715.4 EUR billion

Legal and Administrative Information

• The survey is voluntary and confidential, with personal data processed in accordance with EU Data Protection Law.
• Contact details for the ECB SMA team: ecb-sma@ecb.europa.eu
• The ECB reserves the right to use the data only for the purpose of the survey.