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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 to gather analysts' expectations regarding the evolution of monetary policy instruments, market conditions, and macroeconomic variables. The survey included questions on key interest rates, asset purchase program (APP) reinvestment, targeted longer-term refinancing operations (TLTRO-II), and macroeconomic outlook. All responses were to be submitted by 18:00 CET on 22 May 2019.

Key Sections and Content

1. Key ECB Interest Rates, Market Rates and Conditions

• Survey Purpose: To collect analysts' expectations on the evolution of monetary policy instruments and the economy.
• Confidentiality: Responses were treated confidentially, and the ECB would seek consent before public disclosure.
• Interest Rates: Analysts were asked to provide their expectations for the most likely timing and size of changes in the key ECB interest rates (DFR, MRO, MLF), as well as the expected levels of EONIA, EUR OIS, and swap spreads.
• Excess Liquidity: Expected levels of excess liquidity in the euro area banking system were requested for various periods, including the long run.
• Lower Bound for Interest Rates: Analysts were asked to estimate the lower bound for each of the key interest rates.
• Forward Guidance: Questions were included on the potential changes in forward guidance for interest rates and reinvestment.

2. Asset Purchase Programme and Reinvestment

• APP Reinvestment: Analysts were to estimate the most likely length of the "extended period" of reinvestment beyond the start of rate hikes, and the amount of reinvestment per quarter until the end of this period.
• Hypothetical Scenarios: Questions were posed on how expectations of the "extended period" would change under two hypothetical scenarios: postponing or bringing forward the date of the first rate increase.
• APP Stock of Bonds: Expected stock of bonds under the APP was requested for specific years, including 2019, 2020, 2021, 2022, 2023, 2025, and 2030.
• Forward Guidance on Reinvestment: Analysts were asked to provide their expectations on the timing and nature of any changes to the forward guidance on reinvestment.

3. Targeted Longer-Term Refinancing Operations (TLTRO-II)

• Repayment Amounts: Analysts were to provide their estimates of the total repayments under TLTRO-II for specific quarters in 2019 and 2020.
• Take-up of TLTRO-III: Expected take-up for each TLTRO-III operation and in total was requested.
• Communication of TLTRO-III Terms: Analysts were asked to estimate the timing of the ECB's communication of the precise terms of TLTRO-III.

4. Macroeconomic Outlook

• Real GDP Growth: Analysts were to provide quarterly and annual GDP growth expectations for the euro area, including the long-run growth rate.
• HICP Inflation: Expectations for year-on-year HICP inflation and HICP excluding energy and food were requested.
• Unemployment Rate: Period averages for the unemployment rate were to be provided in seasonally adjusted terms.
• Risk Assessment: Analysts were asked to assess the balance of risks for growth and inflation, and to specify any particular risks beyond the projection horizon.

Data Format and Instructions

• Percentage and Basis Points: If a percentage or basis point rate was required, the % or bps signs were to be omitted.
• Date Format: Dates were to be provided in the format MMMYYYY (e.g., Apr 2019).
• Forecast Consistency: Analysts were instructed to provide forecasts that reflected their modal projections and were mutually consistent for all variables.
• Reference Data: Recent values and cut-off dates for all data were provided in the "Reference Data Annex" for reference.

Legal and Privacy Information

• Voluntary Participation: Participation was voluntary, and personal data were processed in accordance with EU Data Protection Law.
• Confidentiality: Personal data were only used for the purpose of the survey and would be deleted once the organisation no longer participated.
• Contact Details: Analysts were to update their contact details if necessary by emailing ecb-sma@ecb.europa.eu.

Additional Information

• Feedback Section: A section was provided for additional information or feedback.
• Legal Disclaimer: The ECB emphasized that the survey was formulated by its staff and not by its decision-making bodies, and that no questions implied a specific policy action.

Key Definitions

• EONIA: Euro Overnight Index Average, a measure of the effective lending interest rate in the euro interbank overnight market.
• EUR OIS: Euro Overnight Index Swap, calculated based on EONIA.
• Swap Spreads: Spread between a relevant benchmark sovereign bond and a maturity-matched swap against 6M Euribor, expressed in basis points.
• Excess Liquidity: Amount of liquidity in the euro area banking system, measured in EUR billion.
• TLTRO-II: Targeted Longer-Term Refinancing Operations with a maturity of four years, repayable quarterly starting two years from settlement.
• APP: Asset Purchase Programme, which involves the ECB purchasing bonds to stimulate the economy.

Reference Data

• Recent ECB Policy Rates (April 2019):

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

• Recent Market Rates (10 May 2019):

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

• Recent Swap Spreads (10 May 2019):

  • 2-year swap spreads:
    • Germany: -41 bps
    • France: -36 bps
    • Italy: 80 bps
    • Spain: -14 bps
    • Netherlands: -38 bps
  • 10-year swap spreads:
    • Germany: -52 bps
    • France: -13 bps
    • Italy: 220 bps
    • Spain: 50 bps
    • Netherlands: -34 bps

• Recent Excess Liquidity (10 May 2019): 1912.4 EUR billion

• APP Redemption Amounts (Rolling 12-month Horizon):

  • April 2019: 23.407 EUR billion
  • May 2019: 16.909 EUR billion
  • June 2019: 11.101 EUR billion
  • July 2019: 21.237 EUR billion
  • August 2019: 5.389 EUR billion
  • September 2019: 15.273 EUR billion
  • October 2019: 31.691 EUR billion
  • November 2019: 16.474 EUR billion
  • December 2019: 10.008 EUR billion
  • January 2020: 31.76 EUR billion
  • February 2020: 6.635 EUR billion
  • March 2020: 19.376 EUR billion
  • April 2020: 34.245 EUR billion

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

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

Conclusion

The survey aimed to collect expert forecasts on monetary policy, market rates, and macroeconomic indicators to support the ECB's policy decisions and provide a comprehensive view of the financial landscape. It emphasized confidentiality, data consistency, and the use of specific data formats and definitions to ensure clarity and accuracy in responses.