希腊退出欧元区的风险和影响

CROSS ASSET RESEARCH 31 May 2012 PLEASE SEE ANALYST CERTIFICATIONS AND IMPORTANT DISCLOSURES STARTING AFTER PAGE 39 * This research report has been prepared in whole or in part by equity research analysts based outside the US who are not registered/qualified as research analysts with FINRA. EURO THEMES Risks and repercussions of a Greek exit „ A cost/benefit analysis. We think rationality will prevail and Greece will remain in the euro area in the near term. The costs of an immediate Greek exit are still too high for either Greece or the euro area. A disorderly exit would lead to a massive run on bank deposits, a meltdown of the Greek banking system, and further aggravation of Greece’s large economic downturn. For the euro area, the main cost would be contagion (see Will Greece abandon the euro?). „ A Greek exit can still be avoided. Our base case is that a Greek exit can be avoided even if the left-wing Syriza party wins the elections on 17 June and forms a new government. Its leader has indicated that he would prefer to stay in the eurozone, provided he can negotiate a radical overhaul of the EU-IMF programme. We believe a programme could be agreed with some concessions by troika (EU, IMF, ECB) on a smoother fiscal consolidation path and some delays to the speed of public sector reform (see Will Greece abandon the euro?). „ However, a disorderly exit cannot be ruled out. An "accident" after the June elections cannot be ruled out, leading to a disorderly exit for Greece and elevated stress for the euro area as a result of contagion. The direct costs of a Greek default and exit appear manageable (euro area government exposure to Greek public debt is estimated at EUR290bn), but contagion risk could complicate the already precarious financial positions of countries like Portugal and Ireland, and the systemically more significant economies of Spain and Italy. The overall costs of a Greek event would amount to multiples of direct costs (see If Greece exits, can contagion be contained?). „ The euro area policy reaction to a Greek exit would likely entail: (a) stepping up the Securities Markets Programme (SMP), potentially through a leveraged European Financial Stability Facility (EFSF) or through the European Stability Mechanism (ESM); (b) aggressive monetary policy action by the ECB; (c) moves towards a pan- European deposit insurance scheme, although implementation would be lengthy; (d) if all else fails, acceleration of EU economic and financial integration, including support for the eventual adoption of Eurobonds. „ Implications for European banks. Greek banks have lost almost a quarter of their deposit base over the past two years, despite having a deposit guarantee scheme, suggesting that such schemes are not sufficient to deal with either systemic risks or redenomination risks. We argue that even a European-wide deposit guarantee scheme would not be sufficient to manage contagion risks (see Deposit risks). „ Implications for rates and FX markets. In the event of a Greek exit, money markets would suffer a renewed bout of stress, with Italy and Spain bonds likely selling off aggressively, despite any policy responses that would be introduced (see A Greece exit is not fully priced into rate markets). Global currencies would follow the pattern since the Greek election on 6 May, only it would be much more severe: the EUR would depreciate against the USD, JPY and GBP in particular (see EUR/USD likely to fall independent of the Greek election result). Contents Macro View: Will Greece abandon the euro? 3 Contagion Costs: If Greece exits, can contagion be contained? 11 Implications for European Banks: Deposit risks 18 Implications for Interest Rates Markets: A Greece exit is not fully priced into rate markets 30 Implications for FX Markets: EUR/USD likely to fall independent of the Greek election result 35 Economics Antonio Garcia Pascual +44 (0)20 3134 6225 antonio.garciapascual@barcap.com Piero Ghezzi +44 (0)20 3134 2190 piero.ghezzi@barcap.com Thomas Harjes +49 69 716 11825 thomas.harjes@barcap.com Fabrice Montagne +33 (0) 1 4458 3236 fabrice.montagne@barcap.com Asset Allocation Strategy Michael Gavin +1 212 412 5915 michael.gavin@barcap.com Credit Research Jonathan Glionna +44 (0)20 3555 1992 jonathan.glionna@barcap.com Equity Research Simon Samuels* +44 (0)20 3134 3364 simon.samuels@barcap.com Barclays, London Rates Strategy Laurent Fransolet +44 (0)20 7773 8385 laurent.fransolet@barcap.com Foreign Exchange Strategy Paul Robinson +44 (0)20 7773 0903 paul.s.robinson@barclays.com www.barcap.com Barclays | Risks and repercussions of a Greek exit 31 May 2012 2 MACRO VIEW Will Greece abandon the euro? The costs of Greece exiting the euro are too high for either Greece or the euro area. A disorderly exit would lead to a massive run on bank deposits, a meltdown of the Greek banking system, and further aggravation of Greece’s large economic downturn. For the euro area, the main cost would be contagion. Greece – New government may reject the EU-IMF programme The national elections in Greece on 3 May marked a turning point in the European political landscape. For the first time, and in stark contrast to earlier national elections in Ireland and Portugal, Greek political parties committed to policies agreed under an EU-IMF programme failed to achieve a majority in Parliament. Support for the two main parties, New Democracy (centre right) and Pasok (centre left), which have governed Greece for decades and negotiated the recent EU-IMF programme, fell below even modest expectations. At the same time, the left-wing Syriza party and more radical (left and right) parties that reject the policies under the EU-IMF programme gained a significant share of the votes (see, Election round-up: A vote for policy change in Europe). After failed attempts by the leaders of New Democracy (18.9% of the vote), Syriza (16.8%), and Pasok (13.2%) to negotiate a coalition, and by the Greek President to form another technocrat government with broad parliamentary support, Greece is heading for another round of elections scheduled on 17 June. It is difficult to predict the outcome of these elections, but the latest opinion polls suggest that New Democracy is currently leading. However, Syriza, led by the young and charismatic Alexis Tsipras, is not far behind New Democracy and could become the largest party. If this were to happen, it would automatically get an extra 50 seats in the Greek Parliament, and may amass enough support to form a government. Mr Tsipras has been adamant that he would cancel austerity policies in Greece, reverse plans to reduce public employment, and cancel interest payments and debt redemptions. (He has also said that he would prefer that Greece remain in the eurozone, but only if the EU-IMF programme is radically overhauled.) Other parties, including ND and Pasok, have stepped up their rethoric and are seeking to cast the next elections as a vote on the future of Greece in the euro area. Polls still suggest broad support amongst the Greek population for remaining in the euro area. However, the elections on 3 May have shown that frustration and anger about past ND and Pasok policies prevailed when Greeks cast their votes: they delivered a protest vote that may also be interpreted as a popular rejection of the EU-IMF adjustment programme that is associated, rightly or wrongly, with the miserable economic and social conditions that now prevail. Developments within Greece are now in the hands of the Greek electorate; the country’s continued membership in the European Monetary System hinges upon decisions that will be taken in the 17 June elections, and the response of other European governments to that political outcome. But these political processes are being driven in large part by economic developments, as they have been interpreted by politicians and electorates. Without underplaying the importance of the elections, fundamentals suggest that Greece may remain a concern for financial markets, regardless of who wins. The main difference the election could make is whether Greece’s day of reckoning happens very soon or somewhat later. Antonio Garcia Pascual +44 (0)20 3134 6225 antonio.garciapascual@barcap.com Michael Gavin +1 212 412 5915 michael.gavin@barcap.com Piero Ghezzi +44 (0)20 3134 2190 piero.ghezzi@barcap.com Thomas Harjes +49 69 716 11825 thomas.harjes@barcap.com Fabrice Montagne +33 (0) 1 4458 3236 fabrice.montagne@barcap.com Barclays | Risks and repercussions of a Greek exit 31 May 2012 3 A grim economic outlook within the euro zone 2011 marked the fourth year of Greece’s recession, in which real GDP has already fallen nearly 15%. Unfortunately, the wrenching external and fiscal adjustments that are putting intense pressure on the economy are only partly accomplished, and the end of the downturn does not appear to be imminent. Public finances remain far from equilibrium Greece ended 2011 with a primary (non-interest) deficit of 2.4% of GDP, and an overall budget deficit of 9.1%. Even after the 2011 restructuring of privately-held public debt, the debt is expected to reach nearly 164% of GDP by year-end, and is likely to continue rising in 2013 due to the shrinking economy and a primary deficit. (The still-high amount of debt is due, in part, to the high cost of recapitalizing the Greek banks, which will add over 25% of GDP to public debt in 2012 as a result of the large losses of Greek banks on their holdings of government debt.) Under the existing programme, Greece will need to engineer a large swing from deficit into a primary surplus of over 4% of GDP (a swing of roughly 6 percentage points of GDP), in order to stabilize its high level of public debt. Adjustment of external payments is far from complete Greece’s current account deficit has been shrinking since 2008, but remains untenably high at roughly 10% of GDP. With no capacity to promote ‘expenditure switching’ via devaluation, the current account adjustment has been associated with a painful compression of public and private spending. The adjustment would of course have been far more abrupt if eurozone governments had not stepped in to finance the external payments deficits that market participants are no longer willing to finance. The result has been intensified dependence on official financing of external payments deficits. By now, the lion’s share of the country’s international liabilities is “official” funding (c.EUR313bn), including the EU (EUR126bn), the IMF (EUR22bn), and the Eurosystem (EUR165bn). Banks remain under severe stress As a result of the sharp and sustained drop in economic activity, non-performing bank loans have risen to about 15%. More importantly, the large losses imposed by the February restructuring of their government bond holdings have left banks with a large capital deficiency. The new programme has set aside an additional EUR50bn for bank recapitalization, which will (as noted above) be added to the public debt. Greek debt is expected to reach nearly 164% of GDP by year-end Figure 1: Current account adjustment – A work in progress Figure 2: Deposit outflows have intensified funding squeeze -40 -35 -30 -25 -20 -15 -10 -5 0 Dec-97 Dec-99 Dec-01 Dec-03 Dec-05 Dec-07 Dec-09 Dec-11 Current account balance (12-mo total, bn euros) 0 50 100 150 200 250 300 Jan-01 Jan-03 Jan-05 Jan-07 Jan-09 Jan-11 Domestic residents deposits and repos (bn euros) Source: Haver Analytics Source: Haver Analytics Barclays | Risks and repercussions of a Greek exit 31 May 2012 4 Moreover, the loss of capital markets access has left the central bank of Greece (through the Eurosystem) as practically the only funding channel for Greek credit institutions. Most of the outstanding funding is now provided through the Emergency Liquidity Assistance facility of the Eurosystem (c.EUR100bn of the total c.EUR130bn provided by the Eurosystem). The Greek banks’ funding squeeze has been intensified by a persistent outflow of bank deposits since the crisis started in late 2009. From the end of 2009 to March 2012, the banking system lost nearly a third of its domestic deposits. Anecdotal evidence indicates that the outflow accelerated in May, especially after the election results, and it may continue given the elevated uncertainty and downside risks that confront domestic depositors. A grim outlook With large fiscal and external imbalances that have yet to be fully unwound, the immediate outlook for the Greek economy remains grim. The economy is likely to shrink by more than 5% in 2012, the 5th consecutive year of contraction, while the rate of unemployment is approaching 20%. Because the fiscal and external adjustment will likely last into 2013, we (and the IMF) are forecasting yet another year of recession in 2013. Moreover, the public debt overhang is unlikely to be resolved in the immediate future. Under the February 2012 programme, public debt is projected to peak at 167% of GDP in 2013, but then rapidly decline to reach 116% of GDP by 2020 and 88% of GDP by 2030. However, this downward trajectory is explained by programme targets that include a primary surplus of 4.5% of GDP by 2014, real growth in the range of 2.5-3% over the medium term, and privatization revenues of EUR45bn, which are spread over several years. We consider these assumptions too optimistic. Under a more realistic baseline macroeconomic scenario, the Greek public debt would stabilize, but at an extremely high level (Figure 3). Figure 3: Debt sustainability not addressed by the February PSI (gross public debt/GDP) 0 20 40 60 80 100 120 140 160 180 200 2000 2002 2004 2006 2008 2010 2012 2014 2016 2018 2020 2022 2024 2026 2028 2030 Base Debt relief (zero interest on all official debt for 20y) Source: Barclays Research Stabilization of the debt at such a high level satisfies one narrow and theoretical definition of ‘sustainability’, but it would leave the Greek government in a precarious position; highly exposed to fiscal shocks, and reliant upon official funding for decades to come. Figure 3 also illustrates how one form of debt relief, a forgiveness of all interest on public debt for 20 years, could create a more robustly sustainable trajectory for the public debt. But because the public debt remains very high for a long period of time (above 125% of GDP at least until 2020), even this form of debt relief may not be sufficient to restore confidence in public financial stability over a reasonable period of time. Barclays | Risks and repercussions of a Greek exit 31 May 2012 5 Box 1: Debt sustainability analysis: medium-term assumptions Our medium term baseline scenario includes a less aggressive fiscal consolidation path than the February 2012 programme. Realistically, Greece could achieve a fiscal consolidation of about 1% of GDP per year over the next five years, to achieve a primary surplus of about 2.5% of GDP by 2016. This is in stark contrast to the medium-term assumptions in the programme, which expects Greece to achieve a primary surplus of 4.5% of GDP by 2014 and sustain it at around that level through 2020. Our fiscal baseline assumes that the moderate parties (New Democracy and PASOK) form a government and an agreement on the revised programme can be reached. In any event, the new government is highly likely to renegotiate a less aggressive fiscal consolidation targets. Obviously, if the radical left parties were to form a government after the 17 June election, it is likely than the pace of fiscal consolidation would be even less aggressive. In that scenario, the fiscal path assumed in the baseline would have to be revised downwards and, consequently, the debt dynamics would look even more challenging. Our growth assumptions also differ from the EU-IMF programme, as we expect real GDP to shrink by 6% instead of 4.8% in the programme. Macroeconomic conditions have deteriorated, mainly as a result of the uncertainty about a potential exit. Private consumption and investment will contract further than originally envisaged, as well as exports. We expect economic activity to recover only very gradually over the next 5 years to reach a real GDP growth of 1.5% instead of 3% assumed under the programme, which also assumes that real GDP will remain above 2% through 2020 (while we assume a growth of 1.5% on average). The debt dynamics would look very different if Greece were to restructure or default on the outstanding debt, but over half of that debt are official loans from the EU and IMF (see Figure 4), and much of the remainder is held in the domestic banking system and by the ECB. As we have seen, debt held by the domestic banking system cannot be written down without breaking the banks and requiring a government-financed bank recapitalization. And official creditors including the ECB have so far resisted a restructuring of the Greek obligations that they hold. Figure 4: Holdings of Greek public debt Before PSI Post PSI, end 2012 IMF loans 20 28 EU loan package 1 53 74 EU loan package 2 0 88 ECB SMP + Investment portfolio 55 46 T-bills 15 15 Sub total 1 143 251 Banks (o/w Greek banks c.EUR40bn) 70 (40) 22 (13) Insurance 10 3 Central banks/official institutions 38 12 Other investors (real money, etc) 70 22 Greek Social Security fund 18 6 Sub total 2 206 0 New exchange bonds from PSI 0 65 Total Greek debt 349 316 Source: Barclays Research Barclays | Risks and repercussions of a Greek exit 31 May 2012 6 In short, the economic outlook over the next two years is cloudy. No immediate end of the recession is in sight, fiscal adjustment is far from complete, and the unresolved debt overhang means that Greece may ultimately need to obtain official sector debt relief (in NPV terms) or leave the eurozone. A Greek exit would be very costly for Greece The only possible justification for a policy framework that delivers a prognosis of this sort is that outcomes would be even worse under alternative policies. If the alternative policy is rejecting the EU-IMF programme and exiting the eurozone, a strong case can be made that the costs would be higher than the benefits, at least in the short run. In the short term, costs of exit would likely be very high compared with benefits A Greek exit in the near term would be disorderly almost by definition, as this would likely be triggered by a failure of a Greek government to reach a compromise with the rest of the euro area on a programme. The EU and the IMF would then stop funding Greece, and this would (most likely) imply that the ECB could not continue the provision of emergency liquidity support to Greek banks. While this decision might be taken by the Governing Council of the Eurosystem (by at least a 2/3 majority), given the serious implications, it will be essential to have the political backing of the European Council and the IMF. Indeed, once Greece is locked out of the Eurosystem without an EU-IMF programme, it would quickly run out of cash and be forced to exit the EMU. Expulsion from the EU does not appear to be a legally viable option and Greece could decide to remain within the EU. Nevertheless, Greece would be going it alone from a position of economic and financial weakness, not strength. The curtailment of official financing of the government and the balance of payments would enforce a more abrupt adjustment of both imbalances. Even if it is accompanied by a cessation of public debt service, the pace of fiscal adjustment in such a scenario would need to be eve