1. finance
2. bank

Rabo Rate Directions
Financial Markets Research
11 July 2014
Marketing Communication
Bloomberg: RABR<GO> | www.rabotransact.com
”T-LTROs: Carry on carrying”
Richard McGuire
Head of Rates Strategy
+44 (0) 20 7664 9730
[email protected]
 We have provided an estimate of take-up of ECB funds per
country by banks in T-LTROs 1&2 and also 3&4...
 ...and also given our thoughts on the potential impact of this on
the various Eurozone sovereign bond markets.
Lyn Graham-Taylor
Fixed Income Strategist
+44 (0)20 7664 9732
[email protected]
Bas van Geffen
Quantitative Analyst
+31 (0)30 216 9722
[email protected]
At last week’s ECB meeting we learnt more technical details about the T-LTRO operations to be conducted by the
central bank. In this piece we have built on these details and provided an estimate of take-up in the first two
operations (T-LTROs 1&2) and also in the first two of the top-up opportunities (T-LTROs 3&4). We have then looked
at what the impact of these estimated take-up sizes will be on the Eurozone government bond market.
Initial take-up
The preface to this piece is that, with the 3yr LTROs maturity dates rapidly approaching, we view the T-LTROs very
much through the lens of acting as substitutes for expiring 3yr LTRO funding.
The first two T-LTRO operations (T-LTROs 1&2) will be run on 18 September 2014 and 11 December 2014. The
maximum combined amount that can be taken up in these two operations is termed by the ECB as the ‘Initial
Borrowing Allowance’. This number is equal to 7% of the amount of ‘eligible loans’ – this being the outstanding
amount of loans by each bank to households (excluding mortgage lending) and non-financial corporations as at
30/04/2014. In our calculations (see ‘Max T-LTRO 1&2 take-up’ table 1 below) the maximum figure that could be
taken up across the Eurozone banking sector in T-LTROs 1&2 is EUR 394bn (hence the widely quoted EUR 400bn
figure – which was initially mentioned by President Draghi himself).
Country
BE
GE
IR
GR
SP
FR
IT
CY
LU
NE
AS
PT
FI
Total
Total Eligible
Lending
Max T-LTRO 1&2
take-up
Current 3yr LTRO
usage
T-LTRO 1&2 actual
take-up
Net decline in LTRO
funds
139.7
1350
110.3
139
768.5
1099.1
1075.2
35.5
61.9
413.9
219
119.6
97.4
5629.1
9.8
94.5
7.7
9.7
53.8
76.9
75.3
2.5
4.3
29.0
15.3
8.4
6.8
394.0
13.1
17.1
16.0
1.2
149.2
39.2
158.4
0.1
0.9
9.8
17.1
7.7
1.2
53.8
39.2
75.3
0.1
0.9
0.0
5.1
8.4
0.5
219.1
-3.3
0.0
-8.3
0.0
-95.4
0.0
-83.1
0.0
0.0
0.0
0.0
-28.0
0.0
218.1
5.1
36.3
0.5
437.2
No available dat a but assumed t o be minimal
However, two factors play a key role when it comes to estimating what the actual take-up will be in these two
operations:
i)
When the two 3-yr LTRO operations were run in December 2011 and February 2012 we were at the peak of
the Eurozone crisis and associated concerns about countries leaving the currency bloc. We are clearly now
Page 1 of 13
Please note the disclaimer on the last page of this document
Rabo Rate Directions
11 July 2014
Marketing Communication
Bloomberg: RABR<GO> | www.rabotransact.com
in a very different place and we would suggest that banks of the core (or those in the periphery viewed as
more solid) will have much less incentive to take-up funds this time (particularly given the ongoing AQR
process which has seen many banks keen to remove long-term LTRO ECB funding from their balance
sheets). In addition we would suggest that there will be less political pressure on core banks to take up
funding than was previously the case. However, this T-LTRO money is still cheap funding (25bp with a
minimum tenor of two years) and it cannot be ruled out that some core banks will still deem taking it
worth the stigma.
3yr LTRO funding that has yet to be repaid is not split evenly amongst the banking sectors of each
respective Eurozone member. The blue bars in Chart 1 below (which correspond to ‘Current 3yr LTRO
usage’ in table 1) show that by far the largest remaining borrowers are Italian and Spanish banks. There are
significant differences between this outstanding borrowing and the maximum amount that the two
countries can borrow in T-LTROs 1&2 (see the orange bars in Chart 1). Please bear in mind that this LTRO
usage data is relatively infrequently released by EZ central banks and we have used the most recent data
released by each central bank. In addition, in these numbers the CB’s do not discriminate between 3month and 3-yr LTRO funding and so we have simply taken the current volume of outstanding 3-month
LTRO borrowing (EUR 34.6bn) and subtracted this from each individual country’s total LTRO borrowing on
a pro-rata basis.
ii)
Chart 1: Current estimated 3yr LTRO usage and
maximum possible T-LTRO 1&2 take-up
180
Chart 2: Net decline of overall LTRO funding
EUR bn
0
160
-10
140
-20
120
-30
Current 3yr LTRO usage
Max T-LTRO 1&2 take-up
100
EUR bn
-40
Net repayment of LTRO
funding post T-LTRO 1&2
-50
80
-60
60
-70
40
-80
-90
20
-100
0
BE
GE
IR
GR
SP
Source: ECB, Rabobank
FR
IT
CY
LU
NE
AS
PT
BE
FI
GE
IR
GR
SP
FR
IT
CY
LU
NE
AS
PT
FI
Source: ECB, Rabobank
Given the two points explained above, in estimating T-LTROs 1&2 take-up by the banking sector in each individual
country we have assumed that:
(a) Countries that currently have lower 3yr LTRO funds outstanding than their maximum allowed borrowing under
T-LTROs 1&2 will borrow a sum equal to the former (i.e. they will simply replace any existing 3yr LTRO funding
with T-LTRO 1&2 funds).
(b) Countries that currently have more 3yr LTRO funds outstanding than their maximum borrowing allowed under
T-LTROs 1&2 will borrow a sum equal to the latter (i.e. they will take-up as much T-LTRO 1&2 funding as they are
allowed).
(c) On a more minor note we think that, primarily due to issues surrounding having sufficient collateral of the
required quality, banks planning to take-up funds in T-LTROs 1&2 will make significant repayments of 3yr LTRO
funds just prior to them being run (i.e. they will be swapping one source of funding for the other rather than
having an intermediate period of higher total borrowing in which they are making use of both the 3yr LTROs
and T-LTROs 1&2). This should in turn be associated with, in the coming weeks, a slowdown in the rate of
repayment of 3yr LTRO funds (as banks no longer have to worry about where they will obtain longer-term
funding and the associated necessity of unwinding govvie carry trades).
Using this process we estimate a combined EZ borrowing volume in T-LTROs 1&2 of EUR 219bn. In terms of how this
take-up will be split, our initial thoughts are that significantly more will be taken up in the first operation (perhaps
70% of the total). The thinking here is that the keenness of banks to gain longer-term security of funding
(particularly as the second operation happens very close to year end) will outweigh the fact that the T-LTRO funding
will be more expensive at 25bp (the refi rate at the time of borrowing +10bp) than 3yr LTRO money (currently the
refi rate). Chart 2 above shows the ‘net decline in overall LTRO funds that will be seen once T-LTROs 1&2 have both
Page 2 of 13
Please note the disclaimer on the last page of this document
Rabo Rate Directions
11 July 2014
Marketing Communication
Bloomberg: RABR<GO> | www.rabotransact.com
taken place (in September and December 2014) and both of the 3yr LTROs have matured (on 29 January 2015 and
26 February 2015 respectively). This shows that the major losers are Italy, Spain and Portugal. However, the followup T-LTROs need to also be taken into account and we will discuss this in the following section.
Additional take-up
In addition to T-LTROs 1&2, six further T-LTRO operations will be run between March 2015 and June 2016. However,
we will concentrate on the first two of these to take place (in March and June 2015 respectively) and which we will
term T-LTROs 3&4. This is because they most closely resemble a substitute for the maturing 3yr LTROs.
The first issue to discuss is the rules governing take-up in T-LTROs 3&4 (which for the purpose of this analysis we are
viewing as one event). This is a three stage process:
Stage 1 – Calculate monthly net lending
Calculate for each bank the average monthly eligible net lending (of ‘eligible loans’ as defined earlier) between May
2013 and April 2014. The data on a country by country basis is shown in Chart 3 below (which corresponds to
‘Average monthly eligible net lending’ in Table 2 on the following page).
Chart 3: Average monthly change in eligible net
lending
EUR bn
1
0
-1
-2
-3
Average Monthly Change in
Eligible Net Lending
-4
-5
-6
-7
BE
GE
IR
GR
SP
FR
IT
CY
LU
NE
AS
PT
FI
Source: ECB, Rabobank
Stage 2 – Calculate the benchmark
At this stage EZ banks are divided into two categories (this is specific to T-LTROs 3&4 and does not apply to
subsequent T-LTROs)
i)
Banks that have increased or maintained eligible net lending (NL) in the 12-months prior to April 2014
have their benchmark set at zero.
As is shown in chart 3 above, when looking at whole country banking sectors this zero benchmark will on
average only apply to banks in Belgium, Germany, France and Finland (and then only just!).
ii)
For banks that have decreased their eligible net lending in the 12-months prior to April 2014, the
benchmark will be a negative number. This negative number is calculated by multiplying the monthly
eligible net lending figure by the number of months elapsed between 30/04/2014 and the ‘allotment
reference month’ of T-LTROs 3&4 (these months being January and April 2015 respectively and meaning
that the multiplication number is, again respectively, 9 and 12). This is essentially a straight line
interpolation process.
Stage 3 – Calculate the ‘Additional Borrowing Allowance’
This figure is first gained by calculating the net amount of eligible loans given in the nine or 12-month period prior
to T-LTROs 3&4 allotment reference month (we believe that this is done on a flow basis rather than a balance sheet
change basis, i.e. origination of loans even when they are subsequently distributed still counts towards the lending
target). If this figure is positive, it is then multiplied by three in order to gain the ‘Additional Borrowing Allowance’.
Key to note here is that banks that have had positive net lending in the twelve months prior to April 2014 must
increase the size of their lending of eligible loans in the subsequent 9/12 months in order to take up money in T-
Page 3 of 13
Please note the disclaimer on the last page of this document
Rabo Rate Directions
11 July 2014
Marketing Communication
Bloomberg: RABR<GO> | www.rabotransact.com
LTROs 3&4. However, banks that have decreased the size of their balance sheet during the same period just have to
reduce the rate of this decrease going forward in order to be able to take up T-LTRO 3&4 funds.
NL ≥ 0
NL < 0
T-LTRO 3&4 take-up
T-LTRO 3&4 take-up
0.4
0
0
0.0
0.4
8.3
0.0
95.4
65.3
0.0
0.0
0.0
0.0
12.4
181.5
Country
Average Monthly
Eligible Net Lending
0.02
0.28
-0.67
-0.52
-6.68
0.14
-3.63
-0.12
-0.04
-0.73
-0.13
-0.69
0.38
BE
GE
IR
GR
SP
FR
IT
CY
LU
NE
AS
PT
FI
Total
Net decline in LTRO
funds
-2.8
0.0
0.0
0.0
0.0
0.0
-17.8
0.0
0.0
0.0
0.0
-15.5
0.0
In estimating take-up, we have made two further assumptions (apologies for the multitude of these in this piece):
i)
In the period between April 2014 and the allotment reference month, banks of each country will halve
their rate of monthly change in eligible lending that was observed in the twelve months prior to April
2014. We have primarily done this due to the aggressive amount of deleveraging that has been seen in
recent years (particularly given the December 2013 cut-off for the AQR) and have therefore assumed that
this rate will slow down (i.e. we have taken a conservative position).
ii)
Only banks in countries that had a net repayment of 3yr LTRO funds following T-LTROs 1&2 will take-up
funds in T-LTROs 3&4. In addition, these banks will take up as much as they are permitted until they close
their net repayment position to zero.
This process leads us to calculating a take-up in T-LTROs 3&4 of EUR 182bn. Again, due to the greater mis-match in
funding that would otherwise occur between the final LTRO repayment occurring in February and T-LTRO 4 not
occurring until June, we would expect a more significant take-up in T-LTRO 3 in March (the gap in funding between
February and March could of course be filled by use of the 6-month LTROs or the weekly MRO). It is worth re-stating
that our estimate of take-up in T-LTROs 3&4 depends entirely on realised net lending by banks in the period
preceeding the borrowing.
Chart 4: Take-up in T-LTROs 1&2 and 3&4 versus
current 3yr LTRO usage
180
EUR bn
Chart 5: Net decline of LTRO borrowing following
T-LTROs 1,2,3&4
180
160
160
140
140
120
120
100
80
Current 3yr LTRO usage
100
T-LTRO 3&4 take-up
80
T-LTRO 1&2 actual take-up
60
60
40
40
20
20
0
0
BE
GE
IR
GR
SP
Source: ECB, Rabobank
FR
IT
CY
LU
NE
AS
PT
0
EUR bn
-20
-40
-60
Net repayment of LTRO
funding post T-LTRO 1&2
-80
Net repayment of LTRO
funding post T-LTRO 1,2,3&4
-100
-120
BE
FI
GE
IR
GR
SP
FR
IT
CY
LU
NE
AS
PT
FI
Source: ECB, Rabobank
The key question is what country’s banks remain a net re-payer of LTRO funding even after T-LTROs 3&4 have taken
place? Chart 4 above shows a comparison of current 3yr LTRO borrowing and our combined estimated take-up in TLTROs 1,2,3 & 4. Building on this, chart 5 specifically shows net repayment post T-LTROs 1&2 (orange bars) and then
after T-LTROs 3&4 (red bars). These red bars highlight that the losers are primarily Italy and Portugal (and to a much
lesser extent Belgium). However, it should be noted that the amounts involved are still relatively small, particularly
Page 4 of 13
Please note the disclaimer on the last page of this document
Rabo Rate Directions
11 July 2014
Marketing Communication
Bloomberg: RABR<GO> | www.rabotransact.com
on a percentage basis in the case of Italy where the number stands at EUR 17.8bn versus a current figure for 3yr
LTRO borrowing of EUR 158.4bn (so a percentage decrease of c.11%).
And what does this mean for govvies?
When we previously wrote on T-LTROs (see “ECB ramifications” available on our Bloomberg page RABR <GO>) we
expressed the view that T-LTROs would be a narrower for peripheral spreads. The thinking behind this was two-fold.
Firstly, the operations would give additional security of longer-term funding to peripheral banks and that, given the
links between banks and sovereigns, the sovereigns should benefit on the credit spread front. Secondly, the tenor of
the funding would allow an extension of the carry trade for those peripheral banks who had taken LTRO funds and
invested them in their home government bond market. At the time of that piece we did, however, express some
concerns that T-LTROs 1&2 would not fully cover maturing 3yr LTRO funding (thinking specifically of Spain and
Italy).
However, the extra details provided on the T-LTROs by the ECB following last week’s meeting (specifically those
regarding T-LTROs 3&4) mean that our estimates suggest that take-up of T-LTROs 1,2,3 & 4 will almost entirely cover
maturing 3yr LTRO funding. Peripheral banks can therefore carry on playing the sovereign bond carry trade to
almost exactly the same extent as is currently the case (hence the title of this piece – “Carry on Carrying”) – indeed
they can simply roll along the sovereign curve.
The exceptions to this, as noted above, are for Italy and Portugal but with the funding gap being relatively small.
(This gap can of course be filled by 6M LTRO or weekly MRO funding but clearly this will be a less favourable option
for the banks involved). Therefore, at the margin, a short Italy long Spain position would seem the most obvious play
within the peripherals as the date of T-LTRO 1 approaches (although we would suggest waiting until more news has
come out on Banco Espirito Santo before entering this position – this being as, for obvious reasons, Spain is
significantly more affected by poor Portuguese news than Italy).
Page 5 of 13
Please note the disclaimer on the last page of this document
Rabo Rate Directions
11 July 2014
Marketing Communication
Bloomberg: RABR<GO> | www.rabotransact.com
Trading Book
Long 10y Spain vs. Germany
Entry (May 27)
145.0bp
Current (Jul 11)
157.5bp
Target
100bp
Stop
170bp
Rationale: The raft of measures unveiled by the ECB on June 5 look set to provide another shot in the arm for
the peripheral spread-narrowing theme; most notably the new 4y TLTROs which are widely seen as providing
further fuel for the peripheral carry trade. Meanwhile, our “vicious circle” thesis argues that the ECB’s activism
may prove self-defeating in that these stimulatory efforts may further attract capital inflow into peripherals
thereby limiting the hoped for weakening of the single currency. In essence, the promise of QE itself
generates pressure to go down such an unorthodox policy route. Against this backdrop, we believe
peripheral spread narrowing has some way to run yet (and, in the context of our thesis is self-perpetuating).
Our target for 10y Spain vs. Germany is 100bp although we suspect double-digit territory is a clear likelihood.
Trade: Long SPGB 3.8% 30 Apr 2024 vs. DBR 1.5% 15 May 2024
Dutch 5s-10s steepener
Entry (May 27)
112.0bp
Current (Jul 11)
106.2bp
Target
132bp
Stop
100bp
Rationale: The premise here is two-fold. Firstly, ECB activism is likely to see the lower-for-longer rate view
move further along the front end of the curve (the sweet spot being around the 5yr sector). Secondly, any
relative firming of the US data tone and a (likely) build up of the debate as regards Fed policy normalisation
stands to see an underperformance of the longer end. We are hopeful that this steepening trade will perform
in a market that is rallying or selling off (to some extent this spread taps into the Atlantic spread widening
theme that we have been exploring/ trading since the middle of last year).
Trade: Long NETHER 1.25% 15 Jan 2019 vs. NETHER 2% 15 Jul 2024
Page 6 of 13
Please note the disclaimer on the last page of this document
Rabo Rate Directions
Marketing Communication
11 July 2014
Bloomberg: RABR<GO> | www.rabotransact.com
Relative Value Trades
The tables below display the top ten bonds from both a country-switch and curve-play perspective that look particularly cheap
according to Rabo’s Rich/Cheap Model (with cheapness defined here as a yield spread that is a significant number of standard
deviations above its 60-day moving average). The model covers bonds issued by Germany, France, the Netherlands, Austria,
Belgium and Finland that have a remaining maturity of greater than one year. The ‘Spread’ column shows the current basis point
spread of the cheap bond in relation to the rich bond while the ‘No. of Stdevs’ column shows the number of standard deviations
that this current spread is away from its 60-day moving average.
Country Switch
Cheap Bond
Spread No. of Stdevs
RFGB 4.375 07/04/19 Govt
DBR 2.5 08/15/46 Govt
DBR 2.5 08/15/46 Govt
DBR 2.5 07/04/44 Govt
DBR 3.25 07/04/42 Govt
DBR 4.75 07/04/40 Govt
DBR 4.25 07/04/39 Govt
RFGB 4.375 07/04/19 Govt
DBR 4 01/04/37 Govt
DBR 6.5 07/04/27 Govt
-19.53
-3.87
-8.80
-5.83
-8.03
-9.25
-9.50
-18.73
-10.76
-21.35
2.66
2.58
2.58
2.56
2.51
2.47
2.44
2.44
2.43
2.42
Rich Bond
RAGB 3.9 07/15/20 Govt
RFGB 2.625 07/04/42 Govt
NETHER 2.75 01/15/47 Govt
RFGB 2.625 07/04/42 Govt
RFGB 2.625 07/04/42 Govt
RFGB 2.625 07/04/42 Govt
RFGB 2.625 07/04/42 Govt
NETHER 3.5 07/15/20 Govt
RFGB 2.625 07/04/42 Govt
NETHER 5.5 01/15/28 Govt
Curve Switch
Cheap Bond
Spread No. of Stdevs
RAGB 1.15 10/19/18 Govt
RAGB 1.95 06/18/19 Govt
RFGB 1.75 04/15/16 Govt
RFGB 1.875 04/15/17 Govt
NETHER 0 04/15/16 Govt
RAGB 4 09/15/16 Govt
RFGB 4.375 07/04/19 Govt
OBL 0.5 04/07/17 Govt
RFGB 4.25 07/04/15 Govt
RAGB 4 09/15/16 Govt
-34.95
-20.17
-178.03
-169.16
-168.18
-207.96
-15.80
-161.49
-181.69
-167.26
Best Country Switch
Long Finland 2019s vs. Austria 2020s
bp
-34
RFGB 4.375% 2019s vs.
RAGB 3.9% 2020s
-20
-21
bp
-35
RAGB 1.15% 2018s vs.
RAGB 3.9% 2020s
-36
-22
-37
-23
-38
-24
-25
-39
-26
-40
-27
-41
-28
18-Apr
RAGB 3.9 07/15/20 Govt
RAGB 3.9 07/15/20 Govt
RFGB 2.75 07/04/28 Govt
RFGB 2.75 07/04/28 Govt
NETHER 5.5 01/15/28 Govt
RAGB 2.4 05/23/34 Govt
RFGB 3.375 04/15/20 Govt
DBR 4.75 07/04/28 Govt
RFGB 2.75 07/04/28 Govt
RAGB 6.25 07/15/27 Govt
Best Curve Switch
Long Finland 2015s vs. Finland 2028s
-19
02-May
16-May
30-May
Source: Bloomberg, Rabobank
Page 7 of 13
2.88
2.78
2.72
2.62
2.59
2.59
2.58
2.57
2.55
2.53
Rich Bond
13-Jun
27-Jun
11-Jul
-42
01-Apr
15-Apr
29-Apr
13-May
27-May
Source: Bloomberg, Rabobank
Please note the disclaimer on the last page of this document
10-Jun
24-Jun
08-Jul
Rabo Rate Directions
Marketing Communication
11 July 2014
Bloomberg: RABR<GO> | www.rabotransact.com
Market Bias Indicator
The charts below provide some basic analysis on the Request for Quote data seen by our government bond trading desk with
regards to Dutch Govvies. This analysis is based on two measurements:
i)
Number of inquiries – An individual inquiry consists of a client asking for a price to buy/sell a particular bond from/to
our trading desk.
ii)
Volumes of inquiries – The size in EUR of each inquiry.
All of the data are from the perspective of the client and we are only looking at bonds (i.e. no bills included).
Charts 1 & 2 - Buy/ Sell pressure for the week and historic comparison
In terms of calculation, in each week a net amount of inquiries is calculated for each of the five maturity buckets. A positive
number therefore indicates that there were more buy than sell inquiries from clients. This net amount of inquiries is then divided
by the total amount of inquiries (not netted) received over all buckets. Thus the charts aim to show not only interest in a
particular bucket but also how this compares relatively to the other buckets. Exactly the same methodology is followed for the
volume data. Chart 1 shows this data for this week while Chart 2 gives an historic comparison with regards to the volume data (i.e.
the actual market mover) only.
Chart 1: Buy (+) or sell (-) pressure this week
Chart 2: Historical volume of inquiries buy (+) or
sell (-) pressure
0.15
0.15
<= 2y
5-10y
> 15y
0.10
Number
Volume
Buy (+) or sell (-) pressure
Buy (+) or sell (-) pressure
0.10
0.05
0.00
-0.05
-0.10
0.05
2-5y
10-15y
0.00
-0.05
-0.10
-0.15
-0.20
-0.25
-0.15
<= 2y
2-5y
5-10y
10-15y
> 15y
Source: Rabobank Govvie desk
-0.30
26-Jun
03-Jul
10-Jul
Source: Rabobank Govvie desk
Charts 3 & 4 - Buy/Sell pressure per bucket for the week
These two charts provide a simple graphic showing the strength of the buy/sell signal within each individual bucket – but not
relative to the other buckets (differentiating it from the methodology used for Chart 1-2). The green portion of the bar shows the
number of buy inquiries divided by the total number of inquiries in that bucket while the red portion shows the number of sell
inquiries divided by the total number of inquiries in that bucket. The same methodology is used for the volume data.
Chart 3: Buy (+) and sell (-) pressure per bucket for
the week (number of inquiries)
Chart 4: Buy (+) and sell (-) pressure per bucket for
the week (volume of inquiries)
100%
80%
Percentage Buy Inquiries
80%
60%
Percentage Sell Inquiries
60%
<- Sell (-) % | Buy (+) % ->
<- Sell (-) % | Buy (+) % ->
100%
40%
20%
0%
-20%
-40%
40%
20%
0%
-20%
-40%
-60%
-60%
-80%
-80%
-100%
-100%
<= 2y
2-5y
5-10y
Source: Rabobank Govvie desk
Page 8 of 13
Percentage Buy Volume
Percentage Sell Volume
10-15y
> 15y
<= 2y
2-5y
5-10y
Source: Rabobank Govvie desk
Please note the disclaimer on the last page of this document
10-15y
> 15y
Rabo Rate Directions
Marketing Communication
11 July 2014
Bloomberg: RABR<GO> | www.rabotransact.com
Auction Calendar
(all times in CET, international bonds not included)
Date
Redemption
Coupon
Jul-14
France: EUR 25.6bn 3% 2014s [2]
Jul-15
Netherlands: EUR 12.5bn 3.75% 2014s
Austria: EUR 9.6bn 4.3% 2014s
France: EUR 1.4bn (2 different issues
combined) [1]
Italy: EUR 361mn
Austria: EUR 1.8bn (4 different issues
combined)
Netherlands: EUR 5.2bn (11 different issues
combined)
Jul-16
Jul-17
Time
Auction
11:30
Germany: Tap EUR 4bn 1.5% 15 May 2024
(DBR)
10:30 Spain: Tap 2.1% 30 Apr 2017, 5.85% 31 Jan
2022 and 5.75% 30 Jul 2032
10:50/ France: Tap up to EUR 8.5bn 0.25% 25 Nov
11:50
2016, 4% 25 Apr 2018 and 0.5% 25 Nov
2019 and tap up to EUR 1.5bn 0.25% I/L 25
Jul 2018, 0.1% I/L 25 Jul 2021 and 0.25% I/L
25 Jul 2024
EFSF: EUR 97mn
Jul-18
Jul-21
EFSF: EUR 138mn
Greece: EUR 225mn (2 different issues
combined) [2]
Greece: EUR 464mn (8 different issues
combined) [3]
Ireland: EUR 6mn (2 different issues
combined) [3]
Slovakia: EUR 3mn
Jul-22
Jul-23
Jul-24
Jul-25
12:00
Belgium: Bonds
Jul-28
Jul-29
Jul-30
11:00
Italy: I/L bonds
11:00
Italy: Medium-long term bonds
Greece: EUR 78mn 2014s
Greece: EUR 3mn (3 different issues
combined)
France: EUR 3.5bn (17 different issues
combined)
Jul-31
Aug-01
Aug-04
Aug-05
Aug-06
Aug-07
Aug-08
Aug-11
Greece: EUR 485k
Spain: EUR 16.4bn 4.75% 2014s
Italy: EUR 27.2bn 4.25% 2014s
11:00
11:30
10:30
Spain: EUR 8.4bn (11 different issues
combined)
EFSF: EUR 75mn
Italy: EUR 8.4bn (17 different issues
combined)
Belgium: EUR 3mn [4]
Austria: Bonds
Germany: Tap EUR 3bn 0.5% 12 Apr 2019
(OBL)
Spain: Bonds
Greece: EUR 1.5bn 2014s [6]
Slovakia: EUR 22mn [5]
Greece: EUR 8mn [6]
1 Scheduled for Saturday 12 July 2014
2 Scheduled for Saturday 19 July 2014
3 Scheduled for Sunday 20 July 2014
4 Scheduled for Saturday 02 August 2014
5 Scheduled for Saturday 09 August 2014
6 Scheduled for Sunday 10 August 2014
Auction Highlights:
On Wednesday Germany will be looking to issue EUR 4bn of the 1.5% 15 May 2024 (10yr benchmark). The last time this bond was auctioned
on 18/06/2014 it had a yield of 1.39%, a bid/cover of 1.2x (real bid/cover 1.0x) and a tail of 1cts.
Page 9 of 13
Please note the disclaimer on the last page of this document
Rabo Rate Directions
Marketing Communication
11 July 2014
Bloomberg: RABR<GO> | www.rabotransact.com
Rating Review Calendar
July 2014
Week 27 (Friday 04)
Netherlands (Moody's)
Belgium (Moody's)
EFSF (Fitch)
Week 28 (Friday 11) Week 29 (Friday 18) Week 30 (Friday 25)
Germany (S&P)
Germany (Fitch)
Belgium (S&P)
Netherlands (Fitch)
Greece (DBRS)
August 2014
Week 31 (Friday 01) Week 32 (Friday 08) Week 33 (Friday 15) Week 34 (Friday 22) Week 35 (Friday 29)
Greece (Moody's)
Ireland (Fitch)
September 2014
Week 36 (Friday 05) Week 37 (Friday 12) Week 38 (Friday 19) Week 39 (Friday 26)
Portugal (Moody's)
Ireland (Moody's)
France (Moody's)
Austria (S&P)
Greece (S&P)
Belgium (DBRS)
Finland (Fitch)
EFSF (DBRS)
ESM (Fitch)
Ireland (DBRS)
ESM (DBRS)
Germany (DBRS)
EFSF (Moody's)
ESM (Moody's)
October 2014
Week 40 (Friday 03) Week 41 (Friday 10) Week 42 (Friday 17) Week 43 (Friday 24) Week 44 (Friday 31)
Finland (Moody's)
Italy (Moody's)
Spain (Moody's)
Germany (Moody's)
Netherlands (Moody's)
Finland (S&P)
Austria (Moody's)
France (S&P)
Italy (Fitch)
EFSF (S&P)
Spain (Fitch)
Portual (Fitch)
Spain (DBRS)
Italy (DBRS)
Netherlands (DBRS)
Legend
Negative Outlook
Negative Watch
Positive Outlook
Negative Watch
Current ratings
Country
Austria
Belgium
Finland
France
Germany
Greece
Ireland
Italy
Netherlands
Portugal
Spain
EFSF
ESM
Page 10 of 13
Moody's
Effective as
Rating
of*
Aaa
28/02/2014
Aa3
16/12/2011
Aaa
24/05/2006
Aa1
19/11/2012
Aaa
28/02/2014
Caa3
29/11/2013
Baa1
16/05/2014
Baa2
14/02/2014
Aaa
07/03/2014
Ba2
09/05/2014
Baa2
21/02/2014
Aa1
06/06/2014
Aa1
06/06/2014
Rating
AA+
AA
AAA
AA
AAA
BABBB
AA+
BB
BBB
AA
#N/A
S&P
Effective as
of*
29/01/2013
28/02/2014
11/04/2014
08/11/2013
13/01/2012
18/12/2012
06/06/2014
09/07/2013
29/11/2013
09/05/2014
23/05/2014
08/11/2013
#N/A
Fitch
Effective as
Rating
of*
AAA
15/02/2008
AA
23/01/2013
AAA
11/12/2007
AA+
12/07/2013
AAA
06/11/2007
B
23/05/2014
BBB+
14/11/2012
BBB+
25/04/2014
AAA
05/02/2013
BB+
11/04/2014
BBB+
25/04/2014
AA+
15/07/2013
AAA
08/10/2012
Please note the disclaimer on the last page of this document
DBRS
Effective as
Rating
of*
AAA
21/06/2011
AAH
21/03/2014
AAA
14/08/2012
AAA
12/05/2011
AAA
16/06/2011
CCCH
16/08/2013
AL
28/03/2014
AL
06/03/2013
AAA
12/05/2011
BBBL
23/05/2014
AL
08/08/2012
AAA
27/07/2012
#N/A
04/04/2014
Rabo Rate Directions
Marketing Communication
11 July 2014
Bloomberg: RABR<GO> | www.rabotransact.com
* This date represents the date on which the last change to the country's rating or outlook was made. Reviews in which the rating/outlook was affirmed are not included in this.
Legend
Negative Outlook
Positive Outlook
Recent Change (Last 7 days)
Negative Watch
Positive Watch
Event Calendar
(all times in CET)
Date
Economic Event
Period
Cons
Prev
FI: CPI (MoM)
FI: CPI (YoY)
EZ: Industrial Production (MoM, SA)
EZ: Industrial Production (YoY)
Holiday: FR
Jun
Jun
May
May
---1.2%
0.5%
-0.2%
0.8%
0.8%
1.4%
JN: BoJ 2014 Monetary Base Target
NL: Trade Balance
NL: Retail Sales (YoY)
IT: CPI (EU harmonised, YoY, NSA)
UK: CPI (EU harmonised, MoM)
UK: CPI (EU harmonised, YoY)
GE: ZEW Expectations
GE: ZEW Current Situation
US: Advance Retail Sales (MoM)
US: Empire Manufacturing (SA)
Jul 15
May
May
Jun F
Jun
Jun
Jul
Jul
Jun
Jul
270.0
----0.1%
1.6%
28.5
67.5
0.6%
17.00
270.0
4.5Bn
3.4%
0.2%
-0.1%
1.5%
29.8
67.7
0.3%
19.28
SP: Trade Balance
CH: GDP (QoQ)
CH: GDP (YoY)
UK: ILO Unemployment Rate (SA)
US: Industrial Production (MoM, SA)
US: Capacity Utilization (SA)
US: NAHB Housing Market Index
US: Fed's Beige Book
EU leaders hold Summit in Brussels (day 1)
May
2Q
2Q
May
Jun
Jun
Jul
-1.8%
7.4%
6.5%
0.3%
79.3%
50.0
-2154.8Mn
1.4%
7.4%
6.6%
0.6%
79.1%
49.0
AS: CPI (MoM)
AS: CPI (YoY)
NL: Unemployment Rate (SA)
EZ: CPI (MoM, NSA)
EZ: CPI (YoY, NSA)
EZ: CPI Core (YoY)
US: Building Permits
US: Housing Starts
US: Philly Fed Business Outlook
EZ: ECB Non-policy meeting
Jun
Jun
Jun
Jun
Jun F
Jun F
Jun
Jun
Jul
--8.6%
0.1%
--1045.0k
1020.0k
16.0
0.3%
1.8%
8.6%
0.1%
0.5%
0.8%
1005.0k
1001.0k
17.8
Jul
Jul P
-83.0
-2.0
82.5
Jul-13
Slovenia: National Assembly Elections
Jul-14
08:00
08:00
11:00
11:00
Jul-15
09:30
09:30
10:00
10:30
10:30
11:00
11:00
14:30
14:30
Jul-16
04:00
04:00
10:30
15:15
15:15
16:00
Jul-17
09:00
09:00
09:30
11:00
11:00
11:00
14:30
14:30
16:00
Jul-18
09:30 NL: Consumer Confidence (SA)
15:55 US: Univ. of Michigan Consumer Confidence
Page 11 of 13
Please note the disclaimer on the last page of this document
Rabo Rate Directions
11 July 2014
Marketing Communication
Bloomberg: RABR<GO> | www.rabotransact.com
Financial Markets Research
Head
Jan Lambregts
+44 20 7664 9669
[email protected]
EMU
EMU, Switzerland
EMU
US
Asia
UK
Brazil
+31 30 216 9012
+31 30 216 9013
+31 30 216 9722
+31 30 216 9721
+852 2103 2612
+44 20 7809 4776
+55 11 5503 7315
[email protected]
[email protected]
[email protected]
[email protected]
[email protected]
[email protected]
[email protected]
G10
Emerging Markets
+44 20 7809 4776
+44 20 7664 9774
[email protected]
[email protected]
+44 20 7664 9730
+44 20 7664 9732
[email protected]
[email protected]
+44 20 7664 9842
+44 20 7664 9895
+44 20 7664 9874
+31 30 216 9724
[email protected]
[email protected]
[email protected]
[email protected]
Macro
Elwin de Groot
Emile Cardon
Bas van Geffen
Philip Marey
Michael Every
Jane Foley
Robério Costa
Foreign exchange
Jane Foley
Christian Lawrence
Fixed income
Richard McGuire
Lyn Graham-Taylor
Credit markets
Eddie Clarke
Stephen Queah
Oliver Burrows
Ruben van Leeuwen
Corporates
Corporates
Financials
ABS
Agri Commodity markets – Food & Agribusiness Research and Advisory (FAR)
Tracey Allen
+44 20 7664 9514
[email protected]
Global Head
Netherlands
Europe
Asia
Australia
North America
Mexico
South America
Brazil
+31 30 216 9447
+31 30 216 90 45
+44 20 7664 9744
+852 2103 2688
+61 2 8115 3101
+1 212 808 6966
+52 55 52610029
+56 2449 8536
+55 11 55037150
[email protected]
[email protected]
[email protected]
[email protected]
[email protected]
[email protected]
[email protected]
[email protected]
[email protected]
Global Head
Benelux
UK, Eire, Scandinavia, M. East
Germany, Austria, CEE
Iberia
France, Italy
Switzerland
Asia
USA
Treasury Sales – Europe
+44 20 7664 9834
+31 30 216 9070
+44 20 7664 9885
+44 20 7664 9883
+44 20 7664 9734
+44 20 7664 9893
+44 20 7809 9828
+852 2103 2639
+1 212 916 7875
+31 30 216 9782
[email protected]
[email protected]
[email protected]
[email protected]
[email protected]
[email protected]
[email protected]
[email protected]
[email protected]
[email protected]
Client coverage
Wholesale Corporate Clients
Martijn Sorber
Hans Deusing
David Kane
Brandon Ma
Andrew Millett
Neil Williamson
Marco Garcia
Gaston Iroume
Sergio Nakashima
Financial Institutions
Eddie Villiers
Arjan Brons
Bill Cole
Krishna Nayak
Emmanuel Rodriguez
Philippe Macart
Mark Melvin
Edwin Bernard
Sarah Lee
Simon Jansen
Capital Markets
Page 12 of 13
Rob Eilering
ECM
+31 30 7122162
Mark van Binsbergen
DCM
+31 30 2169771
Herald Top
DCM
+31 30 2169501
Othmar ter Waarbeek
DCM on the last page of this document
+31 30 2169022
Please note the disclaimer
Rob. [email protected]
[email protected]
[email protected]
[email protected]
Rabo Rate Directions
11 July 2014
Marketing Communication
Bloomberg: RABR<GO> | www.rabotransact.com
Disclaimer
Non Independent Research
This document is issued by Coöperatieve Centrale Raiffeisen-Boerenleenbank B.A. incorporated in the Netherlands, trading as Rabobank
International (“RI”). The liability of its members is limited. RI is authorised by De Nederlandsche Bank, Netherlands and the Prudential Regulation
Authority (PRA) and subject to limited regulation by the Financial Conduct Authority (FCA) and PRA. Details about the extent of our authorisation and
regulation by the PRA, and regulation by the FCA are available from us on request. Registered in England and Wales No. BR002630. This document
is directed exclusively to Eligible Counterparties and Professional Clients. It is not directed at Retail Clients.
This document does not purport to be impartial research and has not been prepared in accordance with legal requirements designed to promote the
independence of Investment Research and is not subject to any prohibition on dealing ahead of the dissemination of Investment Research. This
document does NOT purport to be an impartial assessment of the value or prospects of its subject matter and it must not be relied upon by any
recipient as an impartial assessment of the value or prospects of its subject matter. No reliance may be placed by a recipient on any representations
or statements made outside this document (oral or written) by any person which state or imply (or may be reasonably viewed as stating or implying)
any such impartiality.
This document is for information purposes only and is not, and should not be construed as, an offer or a commitment by RI or any of its affiliates to
enter into a transaction. This document does not constitute investment advice and nor is any information provided intended to offer sufficient
information such that is should be relied upon for the purposes of making a decision in relation to whether to acquire any financial products. The
information and opinions contained in this document have been compiled or arrived at from sources believed to be reliable, but no representation or
warranty, express or implied, is made as to their accuracy, completeness or correctness.
The information contained in this document is not to be relied upon by the recipient as authoritative or taken in substitution for the exercise of
judgement by any recipient. Any opinions, forecasts or estimates herein constitute a judgement of RI as at the date of this document, and there can
be no assurance that future results or events will be consistent with any such opinions, forecasts or estimates. All opinions expressed in this
document are subject to change without notice.
To the extent permitted by law, neither RI, nor other legal entities in the group to which it belongs accept any liability whatsoever for any direct or
consequential loss howsoever arising from any use of this document or its contents or otherwise arising in connection therewith.
Insofar as permitted by applicable laws and regulations, RI or other legal entities in the group to which it belongs, their directors, officers and/or
employees may have had or have a long or short position or act as a market maker and may have traded or acted as principal in the securities
described within this document (or related investments) or may otherwise have conflicting interests. This may include hedging transactions carried
out by RI or other legal entities in the group, and such hedging transactions may affect the value and/or liquidity of the securities described in this
document. Further it may have or have had a relationship with or may provide or have provided corporate finance or other services to companies
whose securities (or related investments) are described in this document. Further, internal and external publications may have been issued prior to
this publication where strategies may conflict according to market conditions at the time of each publication.
This document may not be reproduced, distributed or published, in whole or in part, for any purpose, except with the prior written consent of RI. By
accepting this document you agree to be bound by the foregoing restrictions.
© Rabobank International, Croeselaan 18, 3521 CB Utrecht, The Netherlands
Page 13 of 13
Please note the disclaimer on the last page of this document