安联：欧洲央行需加大对债券市场的支持力度

安联：欧洲央行需加大对债券市场的支持力度(2020.05.07) .zhubiaoti {font-family: 黑体;font-size:18pt;line-height:23pt; text-align:center;FONT-weight:800;color:black} .fubiaoti {font-family: 黑体;font-size:14pt;line-height:20pt; text-align:center;FONT-weight:700;color:black} .zhongwen{font-size:12pt;line-height:180%} .yingwen{font-size:13pt;line-height:150%} .tiyao{font-family: 楷体_GB2312;font-size:14pt;line-height:150%} 　　提要：在4月份货币政策会议上，欧洲央行宣布了旨在缓解流动性的新措施，但并未推出提振欧元区债券市场的措施。鉴于意大利和西班牙的国债继续承压，预计欧洲央行很快将被迫采取购买“堕落天使”债券、扩大抗疫紧急购债计划规模和执行期限等措施来支持欧元区债券市场。 　　（外脑精华·北京）欧洲央行在4月份货币政策会议上宣布了主要旨在缓解流动性状况的政策，但并未宣布旨在增强欧洲央行支持欧元区债券市场能力的政策。因此，我们认为，欧洲央行很快将被迫采取新措施来安抚市场，和平息对债务可持续性的日益加剧的担忧情绪。为将意大利国债的风险利差限制在280-300个基点的水平，欧洲央行在日益明确其政策目标。我们预计欧洲央行最早将于今年6月宣布购买已经丧失投资级信用评级的“堕落天使”债券，并宣布扩大抗疫紧急购债计划规模和延长该计划的执行时间。若是如此，到2023年，欧洲央行将持有50%的欧元区国债。目前欧洲银行需要加大支持力度：我们的分析结果显示，欧洲央行在应对危机方面的主动性仅及美联储的一半。 　　观望立场难以为继 　　正如我们预期的那样，在4月份货币政策会议上，欧洲央行宣布将所有主导利率均维持在历史低点，虽然已经声明计划扩大资产购买规模，但欧洲央行在4月份会议上并未宣布将进一步扩大资产购买规模。不过，欧洲央行还宣布旨在进一步缓解流动性状况的一些措施，其中包括将以固定利率投标、全额配给方式进行一系列新的抗疫紧急长期再融资操作，抗疫紧急长期再融资操作的利率将比主要再融资操作的利率低25个基点，以及下调2020年6月至2021年6月期间的第三轮长期定向再融资操作的利率，期间符合贷款条件的银行甚至可以-1%的利率进行再融资操作。 　　鉴于意大利和西班牙的国债继续承压，欧洲央行很快将被迫采取新措施来安抚市场，和平息对债务可持续性的日益加剧的担忧情绪。鉴于日前举行的欧盟首脑峰会未能取得重大突破性成果，这一点显得尤为现实。虽然各国领导人原则上认同需要设立一家欧盟复苏基金，但在基金的规模、融资和支持形式等关键问题上仍未达成共识。我们预计，在再次收到欧洲央行承诺为各国政府提供支持的强烈信号之前，市场将继续考验欧洲央行充当欧元区最后一道屏障的能力。由于未能敲定一项充分的政治解决方案，欧盟领导人已经默许通过暗箱操作来继续推进和加速推进债务共担。 　　欧洲央行的工作刚刚开始 　　不过，欧洲央行的当务之急显然是通过充当担保人角色来为主权债券和企业债券营造良好的再融资环境。毕竟，欧元区各国政府为保护私营部门免受更严重的结构性经济冲击（包括失业率飙升和企业破产）而建立的国家安全系统将导致这些国家的公债激增。同欧元区各国将在未来几个月中发行的新债规模（仅是德国、法国、意大利和西班牙在今年将发行的长期国债的总规模就将达到近1万亿欧元）相比，欧洲央行抗疫紧急购债计划的7500亿欧元的规模显得相形见绌。 　　欧洲央行实际上已经在实施一种欧洲形式的收益率曲线目标制，其货币政策目标或许并非“缩小利差”，而是为利差设定上限（显得愈发明确）。实际上，我们认为，欧洲央行将动用一切可用工具来保护欧元区主权债券免受信用评级下调或银行业动荡引发的收益率或利差大幅扩大的影响。我们认为，意大利国债利差的触发点可能在280至300个基点区间。为将意大利国债的风险利差限制在280～300个基点的水平，我们认为欧洲央行将不得不采取以下措施： 　　一是购买“堕落天使”债券：继在上周决定接受丧失投资级信用评级的“堕落天使”债券作为抵押品之后，我们预计欧洲央行最早将于今年2季度宣布其还将购买“堕落天使”债券。此举将会平复市场的紧张情绪，因为市场预计主权债券和企业债券的信用评级将出现一波下调，尤其是就意大利而言。本周，惠誉评级公司将意大利信用评级下调至比投资级高一级的级别。 　　二是扩大抗疫紧急购债计划规模和延长该计划的执行时间：如果欧洲央行继续以现行进度执行抗疫紧急购债计划，该计划在10月中旬全面完成。因而,为了降低不确定性和平息市场对抗疫紧急购债计划完成的担忧，我们预计欧洲央行最早将于发布新一轮宏观经济预测的6月或最迟于7月份货币政策会议上宣布抗疫紧急购债计划的规模和延长该计划的执行时间。我们预计，欧洲央行至少会采取必要的灵活性操作，在2020年至2021年期间以每月近1000亿欧元的进度购买债券，其中抗疫紧急购债计划和资产购买计划的月度购债进度分别为750亿欧元和200亿欧元。我们对意大利10年期BTP债券设立的模型显示，如果将抗疫紧急购债计划的执行时间延长至2021年，到2022年底，意大利10年期BTP债券的利差应会持稳于约230个基点。实际上，这意味着在2020年3月至2021年12月期间，欧洲央行资产负债表的规模将增长2.2万亿欧元。 　　2021年不会是货币刺激的终点 　　虽然欧元区经济似乎将在2021年上半年恢复到危机前的水平，但我们认为，在今年至2023年期间，欧洲央行的货币政策将不得不继续刺激欧元区经济。在2023年，欧洲央行月度购买资产的进度将从近1000亿欧元降至约200亿，但鉴于新冠疫情造成了公共和私有部门的债务双双增长以及银行业不良资产增长等经济后果，欧洲央行仍有必要采取低利率和全面支持银行业的政策。 　　通过扩充抗疫紧急购债计划，欧洲央行将吸收欧元区各国采取疫情财政应对措施而给主权债券市场带来的绝大部分新债券。实际上，如果剔除欧洲央行的购买量，我们估计今年市场上流通的国债规模近将增长约1%。 　　此外，在这种情况下，我们预计到2023年，欧洲央行将持有50%的欧元区国债。这将对欧元区国债收益率产生重大影响。随着私有部门（通过增加金融储蓄来应对危机）避险情绪上升以及买家（需要满足监管要求）被迫与对价格不敏感的央行争抢只能稳定供应的国债，对安全资产的需求将激增。这将使得收益率溢价进一步下滑（即持有长期债券的补偿收益），从而给收益率带来下行压力。目前，我们估计量化宽松导致10年期德国国债的期限溢价跌至-130个基点。到2021年底，这种影响可能将导致10年期德国国债的期限溢价升至-200个基点以上。这意味着，即使欧元区经济恢复加速增长趋势，而且通胀预期转为上升（目前处于我们设定的合理区间的低点水平），基准收益率在未来两年中也只会微升。即使在中期，这种抑制效应也将普遍存在，抑制效应的水平将取决于欧洲央行的再投资政策。如果欧洲央行决定将其所持的所有债券（根据公共部门债券购买计划和抗疫紧急购债计划购买的债券）全部进行3年再投资，然后让其债券到期，到2030年，这种抑制效应仍可达到-90个基点。 　　欧洲央行可以打压利差，尤其是当利差受到对信贷风险的担忧情绪驱动时，从而消除市场对违约的担忧。如果对欧元区崩溃（即出现重定计价货币风险）的担忧引发利差上升，欧洲央行对利差的操控力可能将减弱，因为在这种情况下，驱动因素是政治因素。我们的测算结果显示，目前重定计价货币风险对利差的影响甚微（对意大利国债利差的影响为15个基点，而在2012年超过了250个基点）。但对发行新冠债券的严重分歧表明，古老的断层线犹存。 　　欧洲央行应对力度不及美联储 　　欧元区银行系统是如何应对新冠疫情的呢？其应对措施是会解决一些问题还是会引发一些问题呢？解答这些问题至少在一定程度上是接续近期对美国银行系统进行分析的本次调查分析的主题。 　　在3月6日至4月24日的这一最新周度观察期间，欧洲央行系统的资产负债表规模增长了6450亿欧元，从4.702万亿欧元增至5.347万亿欧元。在大致相同的时期（3月4日至4月22日），美联储资产负债表规模增长2.332万亿美元，其增幅为欧洲央行系统增幅的3.3倍。由于美国经济规模仅为欧元区的1.6倍，因此，从纯粹量化角度衡量，欧洲央行的主动性仅为美联储的一半。 　　资产负债表的资产数据显示，欧洲央行系统的干预性质也有所不同。欧洲央行系统资产的最大增长来源是通过长期再融资操作向区内银行机构发放欧元贷款（2960亿欧元，占其增量资产的46%）。资产增长的第二大来源是购买债券（1780亿欧元，占其增量资产的28%）。其中大部分债券（56%或970亿欧元债券）是通过新制定的规模为7500亿欧元的抗疫紧急购债计划所购买。以现行200亿至250亿欧元的周度购买进度，7500亿欧元购债目标应在10月下半月实现。公共部门债券购买计划的贡献率为33%，购债总额为560亿欧元。其次是企业部门债券采购计划，贡献率为6%，购债总额为110亿欧元。 　　为了解决欧元区的美元短缺问题，欧洲央行系统向欧元区银行机构发放了价值1260亿欧元的增量美元贷款（占其新增贷款总额的6%）。这是基于欧洲央行（以及其它央行）与美联储之间的货币互换机制。在同一时期，购买的证券资产和央行流动性互换总额在美联储增量资产中的占比分别为70%和18%。诚然，美联储这两项资产的占比更高是由于美国在资本市场以及和美元在全球的影响力更大。但是，在证券购买方面，欧元区制度框架赋予欧洲央行的自由不及美联储的自由度。 　　在负债方面，欧洲央行和美联储的债务增幅差距小于其资产增幅差距。对货币和金融机构（或小额信贷机构）的负债在欧洲央行新增债务中的占比最大（2230亿欧元，在新增债务总额中的占比为35%）其次是政府存款（1800亿欧元，占比为28%）和对非欧元区居民的负债（1630亿欧元，占比为25%）。 　　同期，准备金（即美国对小额信贷机构的负债）和美国财政部存款在美联储新增债务总额中的占比分别为58%和24%。 　　欧元区和美国的处境相同，商业银行机构能否在困难时期向私有非金融部门有效提供融资仍待观察。但是，美国的商业银行资产/GDP之比为90%，而欧元区的商业银行资产/GDP之比为290%。 　　英文原文： Show and tell 　　Today’s policy announcements were geared in particular towards easing liquidity conditions but left the job unfinished with regard to boosting the ECB’s ability to backstop Eurozone debt markets. Hence, we think the ECB will soon be forced to pull another trick out of its hat to impress markets and calm growing debt sustainability concerns. In order to cap Italian risk spreads at 280-300bps, the ECB’s increasingly explicit policy objective, we expect an announcement as soon as June that it will (1) buy “fallen angels” i.e. bonds that have lost their investment-grade credit rating and (2) double down on PEPP in size as well as duration. Going down this route will see the ECB hold 50% of Eurozone government bonds by 2023. It is high time for the ECB to step up its game: our analysis shows that in its Covid-19 crisis response, it has so far only been half as proactive as the Fed. 　　ECB: Largely on hold today… 　　As we expected, the ECB remained on hold today, leaving all key rates unchanged at record lows and announcing no further step-up in asset purchases, albeit stating its readiness to do so. The ECB did, however, announce some measures geared towards further easing liquidity conditions, including (1) a new round of cheap long-term loans to banks (PELTROs) that is subject to a fixed rate tender with full allotment, at an interest rate 25bp below the main refinancing rate, and (2) more favorable terms on TLTRO III operations for the period June 2020-June 2021, with interest rates as low as -1.0% for banks that reach their lending threshold. 　　…but expect big moves in the coming months 　　As government bonds in Italy and Spain remain under pressure, the ECB will soon be forced to pull another trick out of its hat in an effort to impress markets and calm growing debt sustainability concerns. This is particularly true given that last week’s EU leaders’ summit produced no major break-through. While leaders in principle agreed on the need for an EU Recovery Fund, key questions around size, financing and the form of support remained unanswered. We expect markets to continue to test the ECB as the Eurozone’s last line of defense until they receive another strong signal of its commitment to act as a backstop to governments. By failing to come up with an adequate political solution, EU leaders have provided implicit consent for debt mutualization through the back door not only to be continued but even stepped up. 　　The job for the ECB has only just begun 　　However, make no mistake, the ECB’s task at hand as a guarantor of favorable sovereign and corporate refinancing conditions is enormous. After all, national safety nets spun by governments across the Eurozone in an effort to shield the private sector from more structural economic damage – including a spike in unemployment and corporate insolvencies – will lead to a dramatic rise in public debt. Compared to the new debt to be issued in the coming months by Eurozone governments – the four heavyweights Germany, France, Italy and Spain alone look set to issue about €1 trillion in long-term debt in 2020 – the ECB’s €750bn Pandemic Emergency Purchase Program is starting to look decidedly less mighty. 　　What does it take to stabilize the situation? 　　The ECB is essentially already engaging in a European form of yield curve targeting, with the objective of its monetary policy perhaps not to “close the spread” but to – increasingly explicitly – cap the spread. In fact, we believe the ECB will use all the tools at its disposal to shield the sovereigns of any strong overshooting of yields or spreads coming from rating downgrades or banking sector turmoil. We see the possible trigger at an Italian spread level at around 280bp to 300bp. In order to defend this line in the sand, we think the ECB will have to implement the following measures: 　　-- Buy fallen angels: Following up on last week’s decision to accept “fallen angels” i.e. bonds that lose their investment-grade credit rating as collateral, we expect the ECB to announce as soon as Q2 2020 that it will also buy “fallen angels”. This will calm market nerves, given the anticipation of an expected wave of sovereign and corporate rating downgrades particularly as far as Italy is concerned. This week, Italy was downgraded by Fitch to one notch above investment grade. 　　-- Double-down on PEPP: If the ECB continues to deploy its Pandemic Emergency Purchase Program (PEPP) envelope at the current pace, it will be fully used up by mid-October. Therefore, in an effort to reduce uncertainty and to calm any market concerns about a world without PEPP, we expect the ECB to announce an extension of its PEPP in size as well as duration as soon as June, when the next round of macroeconomic projections will be delivered, or at the latest at the July meeting. At a minimum we expect the ECB to opt for the necessary flexibility to keep up a monthly purchase pace of close to €100bn throughout 2021, with PEPP representing €75bn and the APP €20bn. Our model for the 10y BTP spread shows that with an extension of PEPP until 2021, the spread should indeed stabilize at around 230bp until end of 2022. In practice this will mean increasing the ECB balance sheet by a cool €2.2 trillion between March 2020 and December 2021. 　　2021 will not be the end of monetary policy stimulus 　　Even though the Eurozone economy looks set to recover to pre-crisis levels in the first half of 2021, we believe that monetary policy will have to continue to stimulate the Eurozone economy throughout 2023. The monthly pace of asset purchases should be reduced from close to €100bn to about €20bn in 2023, but low rates and extensive banking support will still be necessary given the legacy of the Covid-19 crisis, including elevated debt levels in the public and private sector and lingering NPLs on banks’ balance sheets. 　　ECB to hold 50% of outstanding government bonds by 2023 　　By supercharging PEPP as described above the ECB will neutralize most of the additional supply in Eurozone sovereign bond markets that stems from governments’ fiscal response to the Covid-19 crisis. In fact, net of ECB purchases, we estimate the market supply to increase by only about 1% in 2020. 　　Moreover, in such a scenario, we expect the ECB to hold half of all outstanding long-term Eurozone government bonds by 2023. The implications for yields will be significant. Demand for safe assets will rise strongly as a risk-averse private sector (increasing financial savings in response to the crisis) and forced buyers (meeting regulatory requirement) enter into increased competition with a price-insensitive central bank for an at best steady supply of government bonds. This will further compress the yield premium i.e. the compensation for holding longer-term bonds, which in turn will put downward pressure on yields. Currently, we estimate the QE-induced term premium compression for 10-year German government bonds at -130bp. This effect could increase to over -200bp by end-2021. This means, even if the Eurozone returns to a higher growth trend and inflation expectations turn upwards (they are currently at the lower end of our fair range), benchmark yields can rise only very moderately in the next two years. The dampening effect will prevail even in the medium term, depending on the ECB’s reinvestment policy. If the ECB decides to fully reinvest its entire bond holdings (PSPP as well as PEPP purchases) for three years and thereafter lets its stock mature, the dampening effect could still add up to -90bp in 2030. 　　There are limits to the ECB’s ability to cap the spread 　　The ECB can dampen the spread especially when it is driven by concerns of credit risk, removing the market’s fear of default. It may prove less powerful if the spread rises due to concerns of a Euro exit, i.e. when redenomination risk is priced in, as in this case the driver is political. Our calculations show that the redenomination risk currently contributes little to the spread (15bp for Italy versus over 250bp in 2012). But the heated debate on corona bonds shows that the old fault lines still exist. 　　The ECB has only been half as proactive as the Fed 　　How is the Eurozone banking system responding to the Covid-19 crisis? To which extent is it part of the solution or part of the problem? Answering these questions, at least partially, is the subject matter of the present investigation, which is a sequel to a recent analysis of the US banking system. 　　Between 06 March and 24 April, the latest weekly observation, the ESCB’s balance sheet has increased by €645bn from €4,702 to €5,347bn. Over roughly the same period (04 March to 22 April), the Federal Reserve’s balance sheet has increased by USD 2,332bn, that is, 3.3 times as much. As the U.S. economy is only 1.6 times larger than the Eurozone one, it follows that, from a purely quantitative point of view, the ECB has been only half as proactive as the Fed. 　　As shown by the asset side of its balance sheet, the nature of the ESCB’s interventions has been different, too. The largest contribution to the increase in the ESCB’s assets comes from lending of euros to domestic banks through long-term refinancing operations, or LTROs (€ 296bn or 46% of the total). The next largest contribution (€178bn or 28% of the total) is attributable to securities purchases. The bulk of these purchases (56% or € 97bn) stems from the newly created pandemic emergency purchase program (PEPP), which is targeted to reach €750bn. At the current pace of €20 to 25bn a week, this target should be reached by the second half of October. The public sector purchase program (PSPP) has contributed another 33% or €56 bn. Next comes the corporate sector purchase program (CSPP) with 6% or € 11bn. 　　The €126 increase in lending of dollars to banks (6% of the total) is meant to address the dollar shortage experienced in the Eurozone. It is the counterpart to the currency swaps made by the ECB (and other central banks) with the Federal Reserve. As a reminder, over the same period, securities purchases and central banks liquidity swaps accounted for 70% and 18% of the increase of the Fed’s assets, respectively. Admittedly, these larger shares respectively reflect the greater role of capital markets in the U.S. and the global role of the USD. But, as regards securities purchases, the Eurozone’s institutional framework gives less of a free hand to the ECB than to the Fed. 　　On the liabilities side, the contrasts between the ECB’s and the Fed’s balance sheets are less pronounced. The liabilities to monetary and financial institutions, or MFIs, have been the largest absorber (€223 bn or 35% of the total) of central bank liquidity, followed by the governments deposits (€18 bn or 28% of the total) and liabilities to non-euro residents in euros (€163 bn or 25% of the total) . 　　As a reminder, over the same period, reserves balances (i.e. the U.S. equivalent to liabilities to MFIs) and the U.S. Treasury deposit accounted for 58% and 24% of the increase in liabilities, respectively. 　　In the Eurozone as in the U.S., it remains to be seen whether commercial banks can effectively contribute to finance the private non-financial sector in times of stress. But, while commercial banks’ assets stand at 90% of GDP in the U.S., they are equivalent to 290% of GDP in the Eurozone. 来源：安联，作者：Katharina Uterm?hl，Eric Barthalon，Patrick Krizan \t