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1、PleaserefertoimportantinformationandMARdisclosuresattheendofthisreportFOCUS
2、EUROZONE04April2019G10INTERESTRATESECBtiering–implementationissuesTiering:thearbitragequestionOneconcernfortheECBaboutintroducingtieringistheriskthatinterbankarbitragetransactionscouldhave
3、theundesirableeffectofdrivingupEonia(whichwouldleadtoatighteningofOIS/BORspreads).Forinstance,corebanks–whichholdthebulkofexcessliquidity(Figure1)and,therefore,mightstillbeobligedtousethedepositfacilityoncethehighertieredfacilityisfilled–maybemoreinclinedtolendto
4、peripheralbanksatanattractiverate(abovecurrentEonia,butbelowtheuppertieredrate).Peripheralbanks,ontheotherhand,beingrathershortexcessliquidity,mightbemorewillingtoborrowfromcorebankstothendepositthecashinahigher-yieldingtieredfacility,awin-winsituationforbothbanks
5、.KEYMESSAGESAriskwithECBtieringisapotentiallyhigherEonia(whichwouldleadtoatighteningofOIS/BORspreads).However,wethinktheimpactcouldbelessthantheECBandthemarketexpect:from2October2019,Eoniawillberedefinedasafixedspreadto€STR.Thedifferencesbetween€STRandEoniameanthe
6、impactoftieringonEoniasandOIS/BORbasesbeyond2Octobercouldevenbenegligible.ThetransitionfromEoniato€STR,wethink,alsomeansthattieringisunlikelytobeintroducedbeforeOctober2019,althoughitcouldbepre-announcedasthiscouldbetotheECB’sadvantage.GiventhelowEoniavolumes(EUR3
7、bnonaveragesinceJanuary),justafewofthesetradeswouldbeenoughtodriveupEonia.SimilararbitrageoperationshavetakenplaceinJapan,triggeringaslightcheapeningoftheovernightuncollateralisedcallrateversustheBoJ’spolicyrate(fromroughly-3bpto+5bp,Figure2).However,becausetheEur
8、opeanbankingsystemremainssomewhatfragmented,asevidencedbylowEoniavolumesandhightarget2balances,arbitragetransactionsmightnoteventakeplace,inwhichcasetieredrateswouldnotdriveupEonia,butkeepmarketratesnearthedepositrate,evenwithsomeportionofreservesremuneratedatahig
9、herrate.%BOJPolicyRateMacroAdd-OnBalanceRateBasicBalanceRateUnsecuredOvernightCallRateFig.1:CorebanksholdthebulkofexcessliquidityFig.2:Impactoftieringon
