Obecna panika na europejskim rynku finansowym przypomina panikę z jesieni 2008 czy prawie panikę z marca 2009. Najlepiej pokazuje to koszt swap na dolara dla banków europejskich. W normalnych warunkach powinien wynieść praktycznie zero. Im wartość bardziej odbiega od zera tym większa panika
Roczny: 2 letni: 5 letni Kryzys w europie będzie można odwołać jak w/w wartości wrócą do normalnych poziomów, jeśli wrócą. W międzyczasie główny włoski bank Unicredit (w Polsce Pekao SA) ma wycenę śmieciową. Bank ma bowiem do zrefinansowania 51 mld euro w nadchodzącym roku, przy czym obecnie rynek żąda rentowności 10% na obligacjach banku. Szef UniCredit spotkał się z przedstawicielami Europejskiego Banku Centralnego, gdyż szuka dodatkowego finansowania dla włoskiego sektora bankowego. Problem finansowania włoskich banków nie jest bagatelny gdyż chociażby obecne portfolio UniCredit to prawie bagatela 1 bilion euro (ang. trillion) w różnego rodzaju papierach. Więcej o problemach UniCredit: UniCredit Trading as Junk With $51 Billion of Bonds Due: Corporate Finance Italian Banks May Need $8.2 Billion in Capital W nawiązaniu do wykresu dnia polecam: DJ: Money market stress mirrors troubles that led to Lehman collapse
THE eurozone's worsening sovereign debt crisis is fuelling growing stress in the international short-term money markets that banks use to fund their operations, a situation alarmingly reminiscent of the dark days surrounding the collapse of Lehman Brothers three years ago. The price European banks pay to swap euros into US dollars jumped overnight to levels last seen in 2008, at the height of the recent global financial crisis. Sharply higher funding costs were also registered in markets for commercial paper, interbank lending, and securities repurchase - all key sources of short-term finance for banks and corporations. In light of those concerns, the two-year US swap spread, a key gauge of how market participants feel about the risk of default by their counterparties, widened to levels last seen in May 2010, when the first round of the Greek crisis flared up. "If you don't call this a crisis, it's definitely on the brink of one," said David Coard, head of fixed-income sales and trading at The Williams Capital Group. "The thing is that there's all this interconnectedness that people don't have a complete handle on." The timing of this dysfunction in money markets is ominous as it precedes the year-end, when funding costs typically rise as banks pare back assets as books are being closed and cash demands rise to meet holiday spending needs. This year, the rapidly deteriorating situation in the eurozone, where signs of contagion from the embattled sovereign-debt markets of peripheral countries have lately shown up in those of "core" nations such as France and Austria, encouraged banks to protect their balance sheets at an earlier date than usual. This has had an effect in making liquidity scarcer. Adding to a potential squeeze, a tougher regulatory environment is taking shape with banks pushed to set aside more safe assets to withstand financial turmoil. In particular, European banks are thought to be deleveraging, or selling assets, to meet tough new capital requirements set by European regulators. The Federal Reserve has also demanded higher collateral from the primary dealer banks with which it conducts mortgage-backed and securities-based repo transactions. All of this raises trading costs for banks and leads them to clamour for cash. Worries about the eurozone yesterday, including funding stress for European banks, sparked broad selling from US stocks to many commodities including silver and gold, which ceased being favoured "safe-haven" plays as investors ran for cash. Only US Treasury bonds shined as a refuge from the turmoil, as the benchmark 10-year note's yield dipped below 2 per cent to trade at 1.965 per cent. "What's different in the past few days is the increased concerns over funding costs of banks," said Michael Pond, US interest rate strategist at Barclays Capital. "It's all evidence of increased concerns not just about sovereign issues but about that spilling over to the banking system." European banks are among the biggest hit as investors fret about their holdings of government bonds in Greece, Ireland, Portugal and other eurozone nations. Their funding pressure is most pronounced in the cost to exchange euros for US dollars - the cost of swapping euros into US dollars has widened to minus 1.305 percentage points, levels last seen in December 2008. The one-year euro-dollar cross-currency basis swap, at minus 0.83, is there for the first time since that time three years ago. Funding cost in commercial paper issued by European banks also rose as US money-market funds continued cutting back exposures. Meanwhile, the banks' cost to borrow from their peers via the interbank lending market also inched up. The cost of borrowing US dollars for three months in the London interbank market, as measured by the three-month US dollar libor rate, rose to 0.47944 per cent yesterday, its highest level in nearly four months. "The memory of Lehman is still very fresh, so banks are probably hoarding dollars," said Charles St Arnaud, foreign-exchange strategist at Nomura Securities. "If I was an institution that needed dollar funding, I'd be trying to hoard dollars so if the crisis worsens, I wouldn't pay even more punitive prices." There has even been some sign that the funding pressure is moving into the US shores. In the US, the market for repurchase securities, or repo, banks had to pay a much higher cost to borrow cash with mortgage-backed securities as collateral in forward agreements for the turn of the year compared to their borrowing cost for Treasury-based repos for the same period. The repo rate for mortgage-backed securities on a forward basis - meaning the overnight repo rate as agreed for December 30 - traded at 45 basis points, compared with 10bp on Treasurys, said Kenneth Silliman, New York-based head of short-term rates trading at TD Securities. Mr Silliman said that once December 30 is reached, the 35bp gap between overnight MBS repo rates and those of Treasurys could be as wide as 50bp or 60bp. "Treasury repos remain relatively stable for now but I expect the overnight rate to rise at year end, though the overnight rate for MBS would rise much higher," said Mr Silliman. Potentially the eurozone crisis could cause dislocation in the US repo markets, he said. The anxiety is shown in the continued rise in the two-year US swap spread. A main gauge of credit risk, the spread is the differential between two-year swap rate and two-year Treasury yield. It touched 53.75bp yesterday, the highest level since May 2010. It has surged from this year's low of 14.25bp in April.