Défauts de paiement dans la zone euro

Défauts de paiement dans la zone euro

Le bulletin mensuel de juin de la BCE, cliquer ici pour le lire, donne (presque toutes) les explications sur ce qui s’est passé en ce début du joli mois de mai, ce qui confirme totalement ce que j’ai écrit à ce sujet…

Pour comprendre ces problèmes, il est indispensable de bien connaitre la structure du système bancaire mondial telle que je l’ai décrite dans un billet.

De grandes banques étaient à court de dollars (des Etats-Unis) début mai. Comme leurs dirigeants savaient qu’il en était de même dans les autres banques, celles qui avaient des dollars ne voulaient pas les prêter à d’autres et la BCE n’ayant plus de dollars dans ses comptes ne pouvait pas les approvisionner.

Au moins deux Gos banques se sont donc retrouvées en défaut de paiement en dollars, ce qui présentait un risque systémique au plus haut niveau.

Heureusement, la situation a pu être rétablie très rapidement et les marchés ont pu continuer à fonctionner normalement dans la semaine débutant le 10 mai.

Ce que n’écrit pas la BCE, c’est qu’elle était elle-même en défaut de paiement en dollars, ce qui se voit dans le fait que les accords de swaps en dollars entre les grandes banques centrales ont été réactivés le dimanche soir avant l’ouverture des marchés, ce qui est une décision tout à fait exceptionnelle, afin de réapprovisionner la BCE en dollars.

A ma connaissance, je suis le seul à avoir analysé à chaud correctement ces problèmes dont nous avons maintenant la solution.

Tout est simple…

Merci à l’honorable lecteur de mon blog qui m’a signalé ce document très instructif.

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 [p. 38] Money markets

Developments in the money markets on 6-7 May suffered from contagion from the turmoil in sovereign debt markets, triggered by a sharp increase in uncertainty relating to counterparty risk. Liquidity also became scarce in the interbank money markets. Liquidity in unsecured lending worsened not only in the case of term maturities, but also for the overnight market.

This was indirectly reflected in lower volumes underlying the fixing of the EONIA, which averaged around €20 billion per day in early May. Unsecured lending had been suffering since the collapse of Lehman Brothers, but trading in the shortest maturity segment (one week or less) had remained resilient until 5 May.

The disruption of the functioning of the overnight market observed on 6-7 May was thus of particular concern. At the same time, access by euro area banks to US dollar funding also worsened.

The costs of US dollar borrowing implied by foreign exchange swap quotations jumped significantly above the US dollar LIBOR of equivalent maturities. The iTraxx senior financials index rose sharply in early May, reaching levels above those recorded in October 2008. The iTraxx senior financials index is a standardised credit derivative used to hedge credit risk. The index is composed of 25 investment-grade entities from the European financial sector.

The sharp increase on 7 May would thus suggest heightened concerns about the probability of default of some European financial institutions. Indeed, the probability of a simultaneous default of two or more euro area large and complex banking groups, as measured by the systemic risk indicator rose sharply on 7 May [p. 39] reaching values higher than in the aftermath of the collapse of Lehman Brothers.

Against this background, all commonly used measures of risk, such as the spreads of EURIBOR linked derivatives vis-à-vis EONIA swaps, or implied volatilities of interest rates, increased sharply. Access to market financing by banks across the euro area was seriously impaired.

Stock markets

The escalation of tensions in the sovereign bond markets on 6-7 May also led to a sell-off in euro area equity markets. Financial stocks were strongly affected, but the market value of non-financial corporations was also significantly down as a result of investors’ flight-to-quality behaviour.

Moreover, the volatility in euro area stock markets increased abruptly. Volatility in the equity markets was exacerbated further by the turmoil brought about by a presumably technical error that had caused the Dow Jones index to suddenly plunge by around 9% on 6 May.

The Dow Jones index recovered part of that loss after a technical justification was communicated to participants. Financial markets remained, however, volatile and highly risk-averse

[p. 40] Settlement in the foreign exchange market

The exceptional financial market developments that occurred on 6-7 May also had an impact on CLS, the world’s largest multi-currency foreign exchange settlement system. CLS was established in 2002 in order to eliminate settlement risk on foreign exchange trades involving different currencies. The market turmoil led to a significant increase in the foreign exchange trading instructions submitted to CLS.

On 7 May CLS settled over 1.5 million sides and settlement levels remained over 1 million until 12 May. This was double the normal average daily CLS settlement volume over several days and the situation somewhat resembled that on 17 September 2008 when transactions had shot up to over 1.5 million. CLS coped with this situation, but the unexpectedly high volumes did have an impact both on the input process in the CLS system and on the receipt of notifications by its participants.

While days with business peaks are not unusual for CLS, especially in a currency on a business day that follows a holiday in that currency area, input levels under the stressed market conditions experienced in early May surged at times to nearly double the normal levels.

This caused occasional backlogs to occur within the CLS system itself, in Member gateways into CLS (i.e. the direct participants in CLS), or in the internal systems of a very small number of CLS Members which were processing a very high volume of activity on those days.

These processing backlogs within the overall CLS environment led to uncertainty as larger than normal volumes of unmatched trades existed for a more extended period. This resulted in some concerns that there might be a more severe systemic issue, rather than merely a surge in input volumes.

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