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Haberler
ECB - European Central Bank
Latest releases on the ECB website - Press releases, speeches and interviews, press conferences.

  • Survey on credit terms and conditions in euro-denominated securities financing and OTC derivatives markets (SESFOD)


  • Flexible asset purchases and repo market functioning
    Flexibility has progressively become a distinctive feature of the implementation of the Eurosystem’s asset purchases. In its many manifestations, flexibility has also been used by asset managers in the daily selection of sovereign bonds to limit the impact of asset purchases on repo market specialness. This study shows that, since the inception of the Public Sector Purchase Programme, flexible purchases of bonds greatly mitigated the Eurosystem’s footprint on the repo market.

  • System-wide implications of counterparty credit risk
    The aim of this article is to assess the scale and systemic nature of counterparty credit risk (CCR) stemming from banks’ derivatives activities and securities financing transactions. Using supervisory data, along with data collected from the EU-wide stress test carried out by the European Banking Authority in 2023, the article analyses the distribution of CCR across banks. It focuses on the concentration of risk within specific bank business models and products, and on links between the banking and NBFI sectors. It also examines not only the role of collateral in risk mitigation but also its potential negative impact on systemic risk. Exposures to CCR are concentrated in a group of global systemically important banks (G-SIBs) and investment banks, which play a vital intermediation role in European financial markets. Banks’s counterparties mainly operate in the non-bank financial intermediation (NBFI) sector. To quantify systemic risk in a network of CCR exposures, we use stress test techniques to see how widely hypothetical defaults among more vulnerable NBFI counterparties may spread across the banking system. In such an event, banks under European banking supervision may face considerable losses.

  • Assessing the impact of minimum haircuts on leverage
    We use transaction-level data on the euro area repo market to assess the impact of the Financial Stability Board’s (FSB) recommended minimum haircut framework on leverage in non-bank financial institutions. We find that it would affect larger and more leveraged entities the most, indicating its capability to make a meaningful contribution to addressing risks from leverage in non-bank financial institutions.

  • Measuring synthetic leverage in interest rate swaps
    Synthetic leverage is a key source of vulnerability for the non-bank financial intermediation (NBFI) sector. Yet there is lack of consensus on how to measure it. In this article, we propose a novel methodological framework to measure synthetic leverage and apply it to interest rate swaps using data gathered under the European Market Infrastructure Regulation (EMIR). Our contribution is threefold. First, compared with notional-based measures of synthetic leverage, our formula is sensitive to changes in the underlying risk factor and thus reflects different degrees of resilience to interest rate shocks. Second, thanks to its duration-based approach, our methodology is particularly suitable as a policy tool for scenario analysis. Finally, by providing an estimate of the leverage risk that an institution faces through its derivatives positions, our framework makes it possible to investigate the potential implications for an NBFI entity’s overall exposure to liquidity and solvency risk.

  • Leveraged investment funds: A framework for assessing risks and designing policies
    This article develops a framework for assessing risks and formulating policies for leveraged alternative investment funds by integrating entity-level information for investment funds with transaction-level data on derivatives and repurchase agreements. Combining both types of data allows us to better understand the use of leverage in alternative investment funds and assess its implications for financial stability. Using a comprehensive set of risk metrics, our analysis identifies hedge funds and liability-driven investment (LDI) funds as the most vulnerable to leverage-related risks. We demonstrate the usefulness of our framework for risk assessment by analysing the sensitivity of leveraged funds to interest rate shocks. We find that LDI funds may face significant liquidity needs and mark-to-market losses. Hedge funds appear to be more resilient to this type of shock, but depending on their investment strategy, they could be sensitive to other risk factors. Our framework allows us to flexibly analyse other risk scenarios and to evaluate regulatory measures in terms of both their effectiveness and their precision in addressing potential vulnerabilities arising from leverage.

  • Strengthening risk monitoring and policy for non-bank leverage
    Leverage in the non-bank financial intermediation (NBFI) sector can be a source of systemic risk and amplify stress in the wider financial system. Policymakers are currently considering ways to address NBFI leverage risks, with the focus on containing the build-up of such risks ex ante. To achieve this, authorities need a broad toolkit that allows them first to identify leverage risks and then to address them. Taking advantage of recent improvements in data availability, this edition of the Macroprudential Bulletin explores novel approaches to identifying risks and designing policies. In doing so, it contributes to the wider ongoing debate on addressing risks from NBFI leverage.

  • Time-varying risk aversion and inflation-consumption correlation in an equilibrium term structure model
    Inflation risk premiums tend to be positive in an economy mainly hit by supply shocks, and negative if demand shocks dominate. Risk premiums also fluctuate with risk aversion. We shed light on this nexus in a linear-quadratic equilibrium microfinance model featuring time variation in inflation-consumption correlation and risk aversion. We obtain analytical solutions for real and nominal yield curves and for risk premiums. While changes in the inflation-consumption correlation drive nominal yields, changes in risk aversion drive real yields and act as amplifier on nominal yields. Combining a trend-cycle specification of real consumption with hysteresis effects generates an upward-sloping real yield curve. Estimating the model on US data from 1961 to 2019 confirms substantial time variation in inflation risk premiums: distinctly positive in the earlier part of our sample, especially during the 1980s, and turning negative with the onset of the new millennium.

  • Climate-linked bonds
    Climate-linked bonds, issued by governments and supranational organizations, are pivotal in advancing towards a net-zero economy. These bonds adjust their payoffs based on climate variables such as average temperature and greenhouse gas emissions, providing investors a hedge against long-term climate risks. They also signal government commitment to climate action and incentivize stronger policies. The price differential between climate-linked bonds and nominal bonds reflects market expectations of climate risks. This paper introduces a model of climate risk hedging and estimates that approximately three percent of government debt in major economies could be converted into climate-linked bonds.

  • Why gradual and predictable? Bank lending during the sharpest quantitative tightening ever
    Exploiting the recalibration of ECB’s outstanding central bank funding in 2022, we show that a sharp reabsorption of bank liquidity induces a tightening impact on credit supply, as intended when centralbanks reduce their balance sheets. The tightening originates from the sudden relative convenience for banks accustomed to large liquidity holdings to more rapidly adapt to the new environment. Moreover, we show that the associated reduction in credit supply has real economic effects.

  • Economic Bulletin Issue 8, 2024


  • TLTRO III phase-out and bank lending conditions
    The recalibration of the third series of targeted longer-term refinancing operations (TLTRO III) in October 2022 led to an accelerated repayment schedule, bringing forward the fastest and largest ever decline in Eurosystem borrowing. This strengthened the transmission of policy rates to bank lending conditions. In just over two years, euro area banks repaid more than €2 trillion from TLTRO III. Banks adjusted their balance sheets to allow for the TLTRO repayments, using excess liquidity or raising additional funds via bonds and deposits. This reduction in liquidity and increased reliance on more expensive funding sources led banks to tighten their own lending conditions, thereby reinforcing the transmission of higher policy rates to bank lending.

  • Liquidity conditions and monetary policy operations from 24 July to 22 October 2024
    This box describes Eurosystem liquidity conditions and monetary policy operations during the fifth and sixth reserve maintenance periods of 2024, running from 24 July to 22 October 2024.

  • Monetary policy pass-through to goods and services inflation: a granular perspective
    This box analyses the heterogeneous pass-through of monetary policy to goods and services inflation. The granular analysis examines the 72 prices of goods and services that comprise the Harmonised Index of Consumer Prices excluding energy and food (HICPX). Using an empirical model, we classify HICPX prices according to their sensitivity to monetary policy shocks, which varies considerably across items. While sensitive items account for a larger share of non-energy industrial goods than of services, the price responses of sensitive services are similar to those of sensitive goods. The March 2023 peak in the HICPX was driven by both sensitive and non-sensitive items. Recent data show a marked decline in the contribution of sensitive items, with non-sensitive services driving around two-thirds of recent HICPX inflation developments.

  • The effects of the Emissions Trading System on European investment in the short run
    This box investigates empirically the short-run effects of the European Union Emissions Trading System (EU ETS) on European gross fixed capital formation and European greenfield foreign direct investment (FDI) in the period 2003-19. While the EU ETS lowers greenhouse gas emissions by reducing entitlement rights and pricing them competitively, it can result in short-term cost disadvantages compared with foreign competitors, jeopardising and/or diverting investment away from Europe, as it is similar to a tax levied on companies operating in Europe. The empirical analysis in this box focuses on the impact of carbon price shocks and documents a small short-term drop in investment, driven by carbon-intensive industries, and a temporary decrease in greenfield FDI in Europe. At the same time, empirical evidence on the long-term impact indicates that the ETS also provides incentives for firms to invest in reducing the carbon intensity of their production processes and adopting more efficient technologies, increasing European energy independence.


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