JohannesBorgen Profile picture
Nov 5, 2020 9 tweets 3 min read Read on X
An update post lockdown. Unfortunately, we don't have Google mobility data post-Oct 30th (start date of the lockdown) yet, so let's look at how hospital data changed since then. Quick thread.
From worse to better, let's start with ICU. Incidence and non-parametric fit.

I certainly can't see any change. Image
Confirmed by the statistical analysis of "R" for ICU data which is still hovering around 1.2 Image
Hospital incidence now.

Same, conclusion: the curve looks the same. Image
Confirmed again by R estimate still around 1.2... BUT we can see a tiny little improvement in R. Image
Now if you remember the original thread, I found that cases and ICU/Hospitals were lagged vs. cases and also that any impact on mobility would need 8-14 days to show in hospital data. So we should see more effects of lockdown in cases. What do we have? This. Image
Ok, I realise it's not obvious, but the ugly exponential now looks slightly more like an ugly straight line. Not great, but is it better? R estimates for cases confirm it's better. Image
R is only slightly above 1 now.

BUT - and this is a BIG BUT (!) the drop in R is almost perfectly synchronized with school closures due to the school holidays.

So you have two ways of seeing this.
1) the lockdown is working and we just need to wait a bit to see the impact on hospital data

2) the schools closing drove R down... reopening it during the lockdown means the whole thing will fail.

For now, I can't tell from the data which is right. Maybe Google data will help

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More from @jeuasommenulle

Feb 20
Interesting note this morning from DB about ECB policy review and money market rates. Let me summarize it.

ECB has de facto moved from a corridor system to a floor system with unlimited MRO + QE.

But as QE etc unwind, there’s a big risk lurking. A thread
For those unfamiliar with the jargon, a corridor means that the market rate (EONIA) is stuck between two policy rates, the deposit facility rate (DLF) and the marginal lending rate (MLF.)

That’s what it looked like before 2008 & the GFC.

(Market rate is yellow) Image
After all hell broke loose in '08, the ECB flooded the market with money and this is what it looked like: market rates were stuck at ECB deposit rates because there was too much money in the system and it had to be deposited back at the ECB (ECB money is just doing round trips). Image
Read 10 tweets
Nov 24, 2023
My 2 favorite docs are the Jap & Ger financial stability reports because they give a glimpse at the horror of small unlisted banks😁(don’t sue me, I’m just kidding).

What did we get from the new German one ?

Buckle up, as they say in 10,000$ a year doomsday newsletters.
You won’t believe it: CRE is in trouble – but tbh office is surprisingly resilient so far. Image
Ok, CRE is fun, but have you tried interest rates risk and bn of securities unrealized losses in the balances sheet?

Realised is 25.8bn so total is around 70bn€. Tbh this is also not that much compared to the US shitshow. Image
Read 14 tweets
Nov 20, 2023
With all the macro debates going on around rates, recession, CRE, etc, banks’ loan losses are obv key. They are what makes the diff between recession & depression imo

That’s why the EBA report on banks’ provisioning practices is key – Here are my main takeaways.
1) Stage 2 loans (i.e. deteriorating loans for which lifetime expected credit losses = ECL should be booked) are a total mess. There's no consistency in methodologies. Here are the main problems
Collective assessments are still lacking (but are compulsory under IFRS9) Image
Read 18 tweets
Oct 9, 2023
A few comments on the Metro Bank situation & capital rausing plan announced yesterday evening.

I'll start with a quick recap and then what I think it means for Metro and (more importantly) for the sector.
The deal has four components:
- Haircut of 40% on Tier 2 debt + extension of the 60% left, but voluntary, not bail-in
- Extension of MREL debt to 2029 (+4y) and new MREL issuance at 12%
- 150m new equity at 30p (IPO was at 2190p…)
- Planned asset sale of 3bn of resi mortgages
Now, what I think is important:

1. last minute rescue plan of MREL bondholders, shareholders are wiped out and T2 debt gets a mixed deal but the bonds were trading at 30%.

2. We might get retail s/h litigation / misselling claims
Read 14 tweets
Oct 6, 2023
IFRS & bank regs are almost killing bank M&A - something the Brits might regret in the next few days 😉 & the SSM might consider unintended consequence !

Here's why.
Let's take a simple bank with loans & deposits. Regulations (IRRBB) and common sense mean they can't massive interest rate riskj, so on top you add some rates derivatives to hedge.
Floating loans have an easy IR profile, mortgages are more complicated profile (fixed rate, prepayment risk). Deposits are much more complicated: sight deposits are not really floating not really fixed, so the hedging is complicated and requires modelling.

Back to M&A now
Read 8 tweets
Sep 26, 2023
The ECB just published an economic bulletin on banks’ distributions, and I’m still puzzled as to why the ECB is so obsessed with this and constantly fight payouts.

So a thread about bank dividends !
My commonsense view here is that the EA banking sector is trading at unhealthy P/B ratios & it’s both in the banks’ and supervisors’ interests to see them go up.

But it looks like the ECB disagrees. Image
Again, commonsense view is that the best protection against financial distress is to be able to raise capital when you need it... and you’re only able to do that if you have an equity story to sell to investors.

If you can’t even distribute your earnings, it’s a tough sell.
Read 14 tweets

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