Jumat, 13 April 2012

Trans- Europe Express .... April through June for sure.....

Summarizing The Event Risk Horizon

Tyler Durden's picture

Whether its rating downgrades (which are much more critical than one would imagine given haircuts and collateral shortages), anxiety-inducing elections that could bring tensions in the 'party' that is Europe's political union, or referenda, the next few months have more than their fair share of event risk to navigate. Starting with Italian (and then Spanish banks) next week, it seems the market is starting to sense the squeeze that events could cause.

Source: Morgan Stanley


Comparing Italy's and Spain's yield curves

Spain's yields are lower than Italy's at the short end but higher for all the longer dated bonds. It's worth understanding the reasons for this "inflection" in the curve differential.

Italy (white) and Spain (orange) sovereign yield curves (Bloomberg)

Here are some facts:

1.The target bond sales for Italy and Spain in 2012 are given here.
Reuters: Experts estimate Spain needs to raise about 177 billion euros grossin 2012. This compares with Italy's plan to raise 450 billion euros in gross terms, including bills and bonds.
Note that these are gross numbers including rolling short term bills more than once per year.

2. A large portion of that issuance is short term, (in particular Italy has a massive amount of short term bills to roll).

3. According to BNP Paribas, Italy has sold about a third of the paper targeted for this year. Spain on the other hand has managed to sell nearly half.

That means that in the short term, Italy's bonds will dominate the supply (particularly bills), putting some upward pressure on short term Italian yields. But in the long run the market believes that Spain presents a materially greater risk than Italy.
and no real mentions of this... what's up with these Belgium auctions being cancelled , especially the one today.....
#Belgium cancels today's bond auction. Yesterday revised 2009-11 debt-2009 95.8% of GDP from 95.9%, 2010 96% from 96.2%, 2011 est 98% of GDP
Belgium has hired banks to arrange the issue of a new seven-year benchmark bond in the near future, Finance Minister Steven Vanackere said in a statement Tuesday.
The banks hired are Credit Agricole, ING, Royal Bank of Scotland and UBS AG.
The new government bond, called OLO, will have its maturity in 2019.
An OLO auction planned for April 23 has been cancelled.


Tidak ada komentar:

Posting Komentar