欧元短期利率和流动性图表集

Soniya SadeeshEUR Rates Strategysoniya.sadeesh@db.com+44 207 547 3091 IMPORTANTRESEARCHDISCLOSURESANDANALYSTCERTIFICATIONSLOCATEDINAPPENDIX1.UNTIL19thMARCH2021INCOMPLETEDISCLOSUREINFORMATIONMAYHAVEBEENDISPLAYED,PLEASESEEAPPENDIX1FORFURTHERDETAILS. Introduction and Highlights This comprehensive chartbook serves as a one-stop resource for monitoring the evolution of funding and money market dynamics asliquiditydeclines. The first section is an overview of the key metrics we use to assess the overall state of market functioning and expected developments inthe ECB balance sheet and excess liquidity. The second is an in-depth overview of the various money market spreads, including €STR, repo and Key views:Money market spreads are likely to have to rise furtherin order tomake usage of the ECB’s facilities (priced at DFR + 15bp)economical, and we expect that this will be toleratedas a consequence ofnormalisation. Repo is likely to show signs of emerging liquidityshortages first, while€STR likely to be slow to adjust. The decline in liquidity is likely to result in a rise in volatility in short term interestrates, while ECB Balance Sheet and Excess Liquidity:Excess liquidity has fallen around 40% from the peak to around EUR 2.4tn at the time of writing. This isset to reach EUR 2.1tn by mid 2026 and EUR 1.9tn by the end of 2026-assuming no rise in structural bank borrowing from the ECB €STR-DFR Spread :The recent relationship implies 0.8bp compression versus the deposit rate over 2026, and a bigger tightening of around 2.4bpto close the gap versus previous relationship seen prior to rate hikes Secured rates :A continuation of the recent relationship would imply around 2-3bp of tightening over 2026 with risks to the upside FRA-OIS basis :We maintain 1Y 3s-OIS wideners targeting 20bp (from 15bp). Given the regulatory value of term funding, we also think there isvalue in holding 6s-OIS wideners at this stage Swap spreads :Front end swap spreads are likely to be more affected by the expected tightening in funding conditions. That said, our frameworkof assessing front end spreads versus funding spreads and a credit risk metric suggests that spreads are already partially pricing in thisdevelopment. Should repo rates hit the top of the corridor (ois+22bp), this implies another 2-5bp of tightening in 2Y swaps spreads Overview Spreads to the deposit facility rate (DFR) The leaky floor has been a characteristic of EUR money markets. Spread tightening has level off, having been drivenprimarily by secured rates and the unwind of collateral scarcity Dispersionacrosssecuredandunsecuredovernightrates Sustained and large dislocations are signals to monitor-overnight rates are currently remain well anchored Dispersion across secured rates Cross-country dispersion in repo has been limited so far Excess liquidity projections: aggregate and splits June 2026 € 2.1tn, YE 2026 € 1.9tn assuming current OMO usage How much can excess liquidity decline? The “minimum” level is likely to be dynamic and state dependent. Historical approaches are unlikely to fully capture theimpact of regulation which will bias estimates higher. Market signals are key to monitor. How much can excess liquidity decline? The “minimum” level is likely to be dynamic and state dependent. Historical approaches are unlikely to fullycapture the impact of regulation which will bias estimates higher. Market signals are key to monitor. Excess liquidity as % MFI assets vs €STR-DFR spread Compression in the €STR-DFR spread is likely to be gradual, we expect repo to show signs of funding scarcity first Cross Market comparisons Market structure differences limit precise cross market comparisons of threshold levels Learning from the UK Secured rates have cheapened more and been more volatile than unsecured rates. This likely reflects market structuredifferences, as well as collateral imbalances both of which is also true in the Eurozone. Learning from the UK Repo rates are not capped by the pricing of the STR facility. The BoE estimates the “all-in” cost of using the facility at5-10bp over the policy rate. Only Gilt collateral is eligible at the STR, which likely transmits faster than is likely in EUR,where the eligible collateral list is wider. OMO usage started rising when reserves were around 8% of banking sectorassets.Reserve balances as % of GBP bank assets Learning from the UK STR (1wk maturity) appears to be preferred over the term (6M maturity) tender. The tightening in funding conditionshas drawn in usage ECB Balance Sheet and Excess Liquidity Excess liquidity distribution versus the level of reserves Aggregate abundance masks country level variation. So far this has not resulted in variations in domesticfunding conditions between countries with high versus low excess liquidity Backstop usage MRO and 3M LTRO usage has been largely stable in recent months. This suggests liquidity remains ample but alsoreflective of the fact that market