巴黎银行-欧洲-宏观策略-TLTRO-III：给人的第一印象是接受度较低-20190314-9页_1mb

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Core Content

This report from BNP Paribas discusses the implications of the ECB's TLTRO-III (Targeted Longer-Term Refinancing Operations - Third Series) and its potential impact on eurozone liquidity and bank lending behavior.

Main Points

• TLTRO-III Terms and Take-Up: The ECB announced TLTRO-III, which allows banks to borrow up to 30% of eligible loans as of 28 February 2019. However, the cost of TLTRO-III is unlikely to be as low as the deposit rate, which may reduce its attractiveness to core banks.

• TLTRO-III Cost and Liquidity: The cost is indexed to the MRO (Main Refinancing Operations) and is expected to be higher than the previous TLTRO-II, which was indexed to a mix of refi and depo rates. This could lead to lower take-up and a decline in excess liquidity starting from June 2019.

• Take-Up by Country: Based on previous TLTRO-II data, the take-up is expected to be lower in core countries like Germany and France, but higher in peripheral countries like Italy. Italian banks are likely to be the main beneficiaries.

• Estimated Borrowing Limits: Assuming the definition of eligible loans remains the same, the maximum amount that could be borrowed under TLTRO-III is EUR1,846bn. However, net of previous TLTROs, the maximum take-up is likely to be around EUR1,123bn.

• Carry Trades and Incentives: The report suggests that the ECB is trying to limit carry trades by making TLTRO-III net of all outstanding TLTROs. This would reduce the potential take-up for Spanish and Italian banks, as the carry from investing in domestic sovereign bonds is less attractive than previous TLTROs.

• Market Impact: If the cost is not as low as the deposit rate, excess liquidity may decline from June 2019. The report estimates that even without a new TLTRO, excess liquidity could remain around EUR1.7trn by December 2019, with little immediate impact on financial markets.

Key Information

• TLTRO-III Details:

  • Seven quarterly take-ups starting from September 2019 until March 2021.
  • Floating rate, indexed to the MRO.
  • Maximum borrowing limit is 30% of eligible loans as of 28 February 2019.

• Eligible Loans:

  • EUR6.15trn at the end of January 2019.
  • Based on this, maximum borrowing is estimated at EUR1,846bn, net of previous TLTROs at EUR1,123bn.

• TLTRO-III Take-Up Projections:

  • If cost is at refi-20bp, take-up could be EUR18bn.
  • If cost is at the depo rate, take-up could be EUR83bn.
  • For peripheral banks, take-up is likely to be lower than previous TLTROs unless the cost is significantly reduced.

• Carry Trade Analysis:

  • Carry from matched-maturity sovereign bonds is currently unattractive for Spanish banks.
  • For Italian banks, carry is more attractive, but still less than previous TLTROs.
  • The ECB aims to limit carry trades by netting TLTRO-III against all previous operations.

• Lending to the Real Economy:

  • Core banks have shown increased lending to non-financial corporations and households since TLTROs were introduced.
  • Peripheral banks have seen less growth in lending, despite substantial TLTRO take-up.

• ECB Policy Direction:

  • The ECB is signaling a move towards normalization, rather than further accommodation.
  • This suggests a potential liquidity cliff and a cautious approach to rate adjustments.

Conclusion

BNP Paribas believes that TLTRO-III will not be as generous as TLTRO-II and that the terms may not be attractive enough for core banks. Unless the cost is significantly reduced to the deposit rate, excess liquidity may start declining from June 2019. The report also suggests that the ECB's communication indicates a preference for normalization over further accommodative measures.

Market View

• Excess Liquidity: Likely to decline this year if the cost does not reach the deposit rate.
• Eonia Rates: Expected to remain around -0.35% in 2019 and -0.355% in 2020.
• BNPP Policy: No changes in ECB rates policy are expected until at least the end of 2020.

Legal and Disclaimer Notes

• This document is a marketing communication and not investment research.
• It is intended for Professional Clients and Eligible Counterparties under MiFID II.
• It may contain performance data based on back-testing and is for illustrative purposes only.
• BNP Paribas may have conflicts of interest and may engage in transactions inconsistent with the views expressed.
• The information is not intended to be relied upon as authoritative and is subject to change.