Читать книгу The Incomplete Currency - Marcello Minenna - Страница 5

List of Figures

Figure 1.1 Possible realisations of the random coupon depending on the possible values of the interest rate
Figure 1.2 Probability distribution of the values at the maturity of a floating rate bond issued by Bank A
Figure 1.3 Calculation of the fair price of a 6-month floating-rate bond issued by Bank A
Figure 1.4 Probability distribution of the values at maturity of a 2-year floating-rate bond issued by Bank A and calculation of the fair price
Figure 1.5 Calculation of the swap rate of a 2-year floating-rate bond issued by Bank A
Figure 1.6 Probability distribution of the values at maturity of a 2-year floating-rate bond issued by State D
Figure 1.7 Probability distribution of the values at maturity of a 2-year floating-rate bond issued by State GR
Figure 1.8 Probability distribution of the values at maturity of a 2-year fixed rate bond issued by State D and of a 2-year fixed rate bond issued by State GR
Figure 1.9 Probability distribution of the values at maturity of a 2-year fixed-rate bond issued by State D, of a 2-year fixed rate bond issued by State GR, and of a further 2-year fixed rate bond whose issuer is riskier than GR
Figure 1.1 °Credit Default Swap contract (CDS)
Figure 1.11 The real interest rate
Figure 1.12 Inflation, nominal and real interest rates in Italy (1975–2014)
Figure 1.13 Inflation, nominal and real interest rates in the US (2000–2014)
Figure 1.14 Inflation, nominal and real interest rates in Germany (2000–2014)
Figure 1.15 Inflation, nominal and real interest rates in Japan (2000–2014)
Figure 1.16 Inflation and Debt/GDP ratio in Argentina (1884–2010)
Figure 1.17 Inflation and Debt/GDP ratio in France (1880–2010)
Figure 1.18 Inflation and Debt/GDP ratio in Germany (1880–2010)
Figure 1.19 Inflation and Debt/GDP ratio in Greece (1884–2010)
Figure 1.20 Inflation and Debt/GDP ratio in Italy (1860–2010)
Figure 1.21 Inflation and Debt/GDP ratio in Spain (1880–2010)
Figure 1.22 Inflation and Debt/GDP ratio in UK (1880–2010)
Figure 1.23 Inflation and Debt/GDP ratio in the US (1860–2010)
Figure 1.24 Interest rate on 10-year government bonds of various Eurozone countries
Figure 1.25 Credit disbursed from the banking systems to the national economies (Eurozone)
Figure 1.26 European banks involved in the determination of the interbank interest rates in the Eurozone
Figure 1.27 Term structure of the interest rates on interbank loans
Figure 1.28 Term structure of the interest rates on Overnight Index Swap (OIS) transactions
Figure 1.29 Term structure of the interest rates on interbank loans and on Overnight Index Swap (OIS) transactions with evidence of EURIBOR-IRS/OIS spread
Figure 1.30 Term structure of the interest rates on Overnight Index Swap (OIS) transactions and on collateralised loans (Eurepo)
Figure 1.31 Term structure of the interest rates on Overnight Index Swap (OIS) transactions and on collateralised loans (Eurepo) with evidence of the OIS/Eurepo spread
Figure 1.32 Excerpt from the Statute of Federal Reserve Bank (USA)
Figure 1.33 Excerpt from the Statute of the European Central Bank (EU)
Figure 1.34 Evolution of the ECB short-term refinancing rate (MRO rate)
Figure 1.35 Evolution of the ECB rate on Marginal Lending Facility (MLF)
Figure 1.36 Evolution of the rate paid by the ECB on overnight deposits
Figure 1.37 Amount of overnight deposits at the European Central Bank
Figure 1.38 Amount of standard cash deposits at the European Central Bank
Figure 1.39 Total amount of cash deposits (standard and overnight) at the European Central Bank
Figure 1.40 Market quote of the US sovereign CDS in June 2012
Figure 1.41 Market quotes of the CDSs of the individual states of the US federation in June 2012
Figure 1.42 Market quote of the CDSs of the individual states of the Eurozone in June 2012
Figure 1.43 Market quote of the CDSs of the European states that do not adhere to the Euro in June 2012
Figure 1.44 Definition of a sovereign CDS denominated in Euro
Figure 1.45 Definition of a sovereign CDS denominated in Dollars
Figure 1.46 Definition of Dollar/Euro CDS quanto spread
Figure 1.47 Representation of the Bond spread on an Italian government bond (BTP)
Figure 1.48 Relation between CDS spread and Bond spread in absence of arbitrage
Figure 1.49 The basis in absence of arbitrage
Figure 1.50 Positive basis arbitrage strategy
Figure 1.51 Negative basis arbitrage strategy
Figure 1.52 Underlying reasons of the positive basis phenomenon
Figure 1.53 Development of the bases for Germany, France, Italy and Spain
Figure 1.54 Development of the bases for Germany, France, Italy and Spain with indications of significant events
Figure 1.55 Underlying reasons for the negative basis phenomenon
Figure 1.56 Evolution of the 5-year OIS and SWAP and yield on the 5-year Bund: period 2000–2014
Figure 1.57 Definition of the cash synthetic basis
Figure 1.58 Types of risks considered in the definition of the cash synthetic basis
Figure 1.59 Relation between negative basis and cash synthetic basis
Figure 1.60 Trend of the basis and of the cash synthetic basis for Italy
Figure 1.61 Relation between positive basis and cash synthetic basis
Figure 1.62 Trend of the basis and of the cash synthetic basis for Germany
Figure 1.63 Distinctive trait of the Germany basis
Figure 2.1 The European Financial System: the key players
Figure 2.2 The relationship between the banks and the sovereign states
Figure 2.3 Evolution of government debt held by foreign investors for the main Eurozone countries (period 2003–2007)
Figure 2.4 Percentage of government debt held by own banking system compared to the total of sovereign bonds in the banks' balance sheet–period 2001–2007
Figure 2.5 Evolution of government debt held by foreign investors for the main Eurozone countries (Period 2007–2013)
Figure 2.6 Percentage of government debt held by own banking system compared to the total of sovereign bonds in the balance sheets of the banks: 2001–2013
Figure 2.7 The relationship between the banks and the European Central Bank
Figure 2.8 The management of the collateral by the ECB (2000–2007)
Figure 2.9 Holdings of bonds (sovereign or not) in the assets of the banks (€ billion)–June 2014 figures
Figure 2.10 The key relationships in the European financial system
Figure 2.11 The outflow of financial assets from Europe to the US
Figure 2.12 The depreciation of the Euro/Dollar exchange rate
Figure 2.13 The outflow of financial assets from the US to Europe
Figure 2.14 The appreciation of the Euro/Dollar exchange rate
Figure 2.15 Exchange rate Italian Lira/German Deutschmark–(January 1995–December 1998)
Figure 2.16 Exchange rate Italian Lira/French Franc–(January 1995–December 1998)
Figure 2.17 Interest rate on 10-year government bonds of different Eurozone countries
Figure 2.18 Summary of the convergence trade strategy
Figure 2.19 Inflation rate differentials of “peripheral countries” with respect to the Eurozone average (January 1995–December 1998)
Figure 2.20 The outflow of financial capitals from Europe to the US with an irrevocably fixed exchange rate
Figure 2.21 The increase of real interest rate in Europe
Figure 2.22 The outflow of financial capitals from the US to Europe with an irrevocably fixed exchange rate
Figure 2.23 The increase of the real interest rate in the US
Figure 2.24 Correlation between the economic cycles of the Eurozone countries and the economic cycle of Germany
Figure 2.25 % Exports + imports of different Eurozone countries as a percentage of GDP
Figure 2.26 % Exports and imports in terms of GDP for the giants of the world economy
Figure 2.27 Correlation coefficient between the growth of regional and aggregate employment (national and EU) 1996–2000
Figure 2.28 Correlation coefficient between the growth of regional and aggregate employment (national and EU) 2001–2006
Figure 2.29 Average inflation rates of the various Eurozone countries (1999–2007)
Figure 2.30 Average real interest rates in Eurozone countries (1999–2007)
Figure 2.31 Dollar/Euro exchange rate and theoretical cost of Italian and German exports in Dollars in 1999
Figure 2.32 Dollar/Euro exchange rate and theoretical cost of Italian and German exports in Dollars in 2007
Figure 2.33 Real effective exchange rate trend of some Eurozone countries 1994–2008 (basis 1994)
Figure 2.34 Trend of the real effective exchange rate and of the current account balance for Germany 1994–2014 (Base 1994)
Figure 2.35 Italy and Germany: percentage weight of exports compared to exports of Europe to the rest of the world (2002–2013)
Figure 2.36 Trend of the current account balance of the main Eurozone countries: 2002–2013
Figure 2.37 Accounting of financial flows in the Target2 payments system–1st Part
Figure 2.38 Accounting of financial flows in the Target2 payments system–2nd Part
Figure 2.39 ISA balance of the US Reserve Banks ($ billion 2003–2014)
Figure 2.40 Target2 net balances for different Eurozone countries (1999–2014)
Figure 2.41 Target2 net balance for peripheral and core countries of the Eurozone (1999–2014)
Figure 2.42 Hidden transfer of credit risks in the Target2 payments system
Figure 2.43 Infringement procedures provided by the Stability and Growth Pact
Figure 2.44 Phase 1 of the speculative attack on the Lira (August–September 1992)
Figure 2.45 Phase 2 of the speculative attack on the Lira (August–September 1992)
Figure 2.46 Phase 3 of the speculative attack on the Lira (August–September 1992)
Figure 3.1 Eurozone inflation rate (1999–2007)
Figure 3.2 % Growth rate of the GDP of some Eurozone countries (1999–2007)
Figure 3.3 Budget deficit in terms of GDP for some Eurozone countries (2002–2007)
Figure 3.4 Evolution of the real estate bubble in Spain (1998–2008)
Figure 3.5 Normalised trend of the prices of new building in Ireland and the USA (1998–2008)
Figure 3.6 Percentage weight of real estate taxes on total fiscal revenues–Ireland (2002–2007)
Figure 3.7 Percentage weight of real estate taxes on total fiscal revenues–Ireland (Period 2002–2011)
Figure 3.8 GDP change for some Eurozone countries in 2009
Figure 3.9 Budget deficit in terms of GDP of some Eurozone countries (2008–2013)
Figure 3.10 10-year government bonds' yields of various Eurozone countries
Figure 3.11 Evolution of the real effective exchange rate of some Eurozone countries 1994–2014
Figure 3.12 Evolution of the real financial effective exchange rate for some Eurozone countries: 2000–2014
Figure 3.13 BTP-BUND spread vs difference in the cost of access to credit between Italian and German companies (2009–2014)
Figure 3.14 BONOS-BUND spread vs difference in the cost of access to credit between Spanish and German companies (2009–2014)
Figure 3.15 Evolution of the inflation rate in some Eurozone countries (2004–2014)
Figure 3.16 Evolution of the inflation rate and the real interest rate in Italy (2004–2014)
Figure 3.17 Evolution of the inflation and the real interest rate in Spain (2004–2014)
Figure 3.18 Evolution of the inflation differential and of the real interest rate spread between Italy and Germany (2004–2014)
Figure 3.19 Evolution of the inflation differential and of the real interest rate spread between Spain and Germany (2004–2014)
Figure 3.20 Evolution of the interest rates differential and of the exchange rate: Italy–Germany (1993–1999)
Figure 3.21 Evolution of the interest rates differential and of the exchange rate: Spain–Germany (1993–1999)
Figure 3.22 Evolution of the interest rates differential and of the exchange rate: France–Germany (1993–1999)
Figure 3.23 Evolution of CDS spread for Spain, Germany, Italy and France (July 2009–September 2012)
Figure 3.24 Gross amount of traded sovereign CDS ($ billion)–US and Eurozone (August 2012)
Figure 3.25 Gross outstanding amount of traded sovereign CDS with respect to national public debts (US and Eurozone–August 2012)
Figure 3.26 Evolution of the Credit Default Swap spread for Spain, Germany, Italy and France (2009–2014)
Figure 3.27 Gross amount of traded sovereign CDS ($ billion)–USA and Eurozone (August 2012 vs December 2014)
Figure 3.28 Total financial assets/GDP ratio of the major world economies
Figure 3.29 Comparison of the trends of the interest rates differential and of the (true and shadow) exchange rate for Italy and Germany
Figure 3.3 °Comparison of the trends of the interest rates differential and of the (true and shadow) exchange rate for Spain and Germany
Figure 3.31 Comparison of the trends of the interest rates differential and of the (true and shadow) exchange rate for France and Germany
Figure 4.1 Target2 net balance for the peripheral and core Eurozone countries (1999–2014)
Figure 4.2 Evolution of the current account /GDP ratio of the main Eurozone countries: 2002–2013
Figure 4.3 Germany: trend of the cumulated per capita current account surplus and of the Target2 net balance: 2004–2014
Figure 4.4 Italy: evolution of the financial account and some of its components (2004–2014)
Figure 4.5 Spain: evolution of the financial account and some of its components (2004–2014)
Figure 4.6 Italian government bonds held by the main Eurozone banking systems (2010–2014)
Figure 4.7 Spanish government bonds held by the main Eurozone banking systems (2010–2014)
Figure 4.8 Germany: evolution of the financial account and some of its components (2004–2014)
Figure 4.9 Germany: Target2 net balance and financial account to the rest of the Eurozone (2004–2014)
Figure 4.10 German government bonds held by the main Eurozone banking systems (2010–2014)
Figure 4.11 Credits of the German banks towards the Eurozone: breakdown by country (2002–2014)
Figure 4.12 Percentage weight of the credits granted by German banks to the core and peripheral countries (2002–2014)
Figure 4.13 Percentage weight of the credits granted by German banks to some representative Eurozone countries (2008–2014)
Figure 4.14 Credits of German banks and net trade balance of Germany to France (2002–2014)
Figure 4.15 Credits of German banks and net trade balance of Germany to Italy (2002–2014)
Figure 4.16 Credits of German banks and net trade balance of Germany to Spain (2002–2014)
Figure 4.17 Evolution of the net trade balance of Germany towards France, Italy and Spain (2002–2013)
Figure 4.18 Percentage weight of credits granted by German banks to the rest of the Eurozone with respect to the total credit disbursed abroad by German banks (2002–2014)
Figure 4.19 Percentage weight of the German trade surplus to the Eurozone with respect to the total German trade surplus (2004–2013)
Figure 4.20 Reduction of credits of German banks to the Eurozone and evolution of ECB loans to non-German European banks (2011–2014)
Figure 4.21 Reduction of credits of German banks to the Italian economy and evolution of ECB loans to Italian banks (2011–2014)
Figure 4.22 Reduction of credits of German banks to the Spanish economy and evolution of ECB loans to Spanish banks (2011–2014)
Figure 4.23 Germany: Target2 net balance and the expected potential damage in the event of a Euro break-up (2004–2014)
Figure 4.24 Italian public debt held by the Italian and foreign banking sectors (1997–2014)
Figure 4.25 Italian public debt: breakdown by holders (1997–2014)
Figure 4.26 Italian public debt held by the domestic banking system and total amount of loans granted to households and businesses (1998–2014)
Figure 4.27 Performance of the RESI index (1999–2014)
Figure 4.28 Evolution of LTRO loans to the Italian banking system (1999–2014)
Figure 4.29 Total loans of the ECB to the European banking system (2011–2014): breakdown by country
Figure 4.30 The impact of the ECB liquidity support on the Italian real economy (2010–2014)
Figure 4.31 The impact of the ECB liquidity support on the balance sheets of Italian banks (2007–2014)
Figure 4.32 The impact of the ECB liquidity support on the RESI index (1999–2014)
Figure 4.33 Evolution of the Greek public debt with evidence of the component held by foreign investors (2003–2008)
Figure 4.34 Percentage breakdown of the evolution of the Greek public debt with evidence of the component held by foreign investors (2003–2008)
Figure 4.35 Government bonds held by the Greek banking system (breakdown by area of origin 2001–2008)
Figure 4.36 Evolution of the yield on the 10-year Greek government bonds (2010–2011)
Figure 4.37 Evolution of the Greek public debt with evidence of the component held by foreign investors (2003–2011)
Figure 4.38 Percentage breakdown of the evolution of the Greek public debt with evidence of the component held by foreign investors (2003–2011)
Figure 4.39 Government bonds held by the Greek banking system (breakdown by area of origin 2001–2011)
Figure 4.40 Exposure of the worldwide main banking systems to Greece risk (breakdown by country 2010–2011)
Figure 4.41 Exposure of the worldwide main banking systems to Greece risk (breakdown by asset class 2010–2011)
Figure 4.42 Direct exposure of the main Eurozone governments and deleveraging of their corresponding banking systems (2010–2011)
Figure 4.43 Exposure of the International Monetary Fund and deleveraging of the US and UK national banking systems
Figure 4.44 Breakdown of the Greek public debt by asset class (December 2011)
Figure 4.45 Evolution of the yields on the 10-year Greek government bonds (2010–2012)
Figure 4.46 Government bonds held by the Greek banking system: breakdown by area of origin (2001–2014)
Figure 4.47 Deferred tax assets in the balance sheets of the main Greek banks (2011–2014)
Figure 4.48 Evolution of the Greek public debt with evidence of the component held by foreign investors (€ billion) (2003–2014)
Figure 4.49 Evolution of the Greek public debt with evidence of the component held by foreign investors: percentage breakdown (2003–2014)
Figure 4.50 Evolution of the yields on the 10-year Greek government bonds (2010 to 2014)
Figure 4.51 Exposure of the main worldwide banking systems to the Greece risk: breakdown by country (2010–2014)
Figure 4.52 Exposure of the main worldwide banking systems to the Greece risk: breakdown by asset class (2010–2014)
Figure 4.53 Exposure of the French banking system to the Greek risk: breakdown by asset class (2010–2014)
Figure 4.54 Exposure of the German banking system to Greek risk: breakdown by asset class (2010–2014)
Figure 4.55 Greek public debt: breakdown by asset class (January 2015)
Figure 4.56 Total exposure of Eurozone governments to the Greece risk (December 2014)
Figure 4.57 ELA ceiling to Greek banks (February–August 2015)
Figure 5.1 The relationship between banks, sovereigns and investors in the intermediation of the public debt
Figure 5.2 Placement of a bank bond with intermediation of the market risk
Figure 5.3 Probabilistic analysis of a bank bond with intermediation of the market risk
Figure 5.4 Placement of a bank bond with intermediation of the credit risk
Figure 5.5 Probabilistic analysis of a bank bond with intermediation of the credit risk (Part 1)
Figure 5.6 Probabilistic analysis of a bank bond with intermediation of the credit risk (Part 2)
Figure 5.7 Probabilistic analysis of a bank bond with intermediation of the credit risk (Part 3)
Figure 5.8 Probabilistic analysis of a fixed-rate government bond compared to an inflation-linked government bond
Figure 5.9 Banks' placement of inflation-linked government bonds and intermediation of the yield's spread with fixed-rate government bonds
Figure 5.10 Direct effects of the collateral discrimination in a repo operation
Figure 5.11 Direct effects of collateral discrimination in reverse repo operations
Figure 5.12 Use of financial assets as collateral on the Repo market: breakdown by issuer's nationality (% on total)
Figure 5.13 Table of collateral discrimination based on assessments of the European Central Bank (2012–2014 data)
Figure 5.14 Overview of the collateral discrimination phenomenon
Figure 5.15 Spread Intermediation via collateral discrimination in a repo contract (Case C)
Figure 5.16 Spread intermediation via collateral discrimination in a repo contract (Case D)
Figure 5.17 Spread intermediation via collateral discrimination in a repo contract (case E)
Figure 5.18 Stock of bonds held by the peripheral banks with evidence of the amount of government bonds–May 2012
Figure 5.19 Loans granted by the ECB to the banking system: Breakdown by country (May 2012)
Figure 5.20 Loans granted by the ECB to the banking system: Breakdown by country (January 2012–December 2014)
Figure 5.21 Stock of bonds held by banks (with evidence of the stock of government bonds) and loans granted by the European Central Bank (€ billion–May 2012)
Figure 5.22 Relative weight of “core” and “peripheral” areas of the Eurozone in relation to the stock of government bonds in the ECB balance sheet (2012)
Figure 5.23 Transmission mechanism of the spread via the public auctions of government bonds
Figure 5.24 Transmission mechanism of the spread via collateral discrimination on the interbank market
Figure 5.25 Process of positive feedback in the transmission of the effects of the spread within the Eurozone (phase 1)
Figure 5.26 Process of positive feedback in the transmission of the effects of the spread within the Eurozone (phase 2)
Figure 5.27 Reduction of collateral turnover coefficients on the Repo market for the government bonds of the peripheral countries
Figure 5.28 Process of positive feedback in the transmission of the effects of the spread within the Eurozone (phase 3)
Figure 5.29 Comparison between the trend of the BTP-BUND spread and the trend of the FTSE Italy Banks index (Period 2008–2014)
Figure 5.30 Stabilisation of the spread on the interbank channel due to the reduction of collateral available
Figure 5.31 Process of positive feedback in the transmission of the effects of the spread within the Eurozone (phase 3)
Figure 5.32 The “factors of combustion” of the divergence process and their interactions
Figure 5.33 Amount of issuances of Portuguese government bonds and average yield recorded in the secondary market (period 2008–2015)
Figure 5.34 Amount of issuances of Portuguese government bonds and average yield recorded in the secondary market with evidence of the period of financial assistance by the EFSF/ESM (Period 2008–2015)
Figure 5.35 Amount of issuances of Irish government bonds and average yield recorded in the secondary market (period 2009–2015)
Figure 5.36 Amount of issuances of Irish government bonds and average yield recorded in the secondary market with evidence of the period of financial assistance by the EFSF/ESM (Period 2009–2015)
Figure 5.37 Amount of issuances of Spanish government bonds and average yield recorded in the secondary market (Period 2008–2015)
Figure 5.38 Amount of issuances of Spanish government bonds and average yield recorder in the secondary market with evidence of the period of divergence attributable to the “auction effect” (period 2008–2015)
Figure 5.39 Amount of issuances of Italian government bonds and average yield recorded in the secondary market (Period 2008–2015)
Figure 5.40 Amount of issuances of Italian government bonds and average yield registered in the secondary market with evidence of the period of divergence attributable to the “collateral discrimination” effect (period 2008–2015)
Figure 5.41 Amount of issuances of Italian government bonds and average yield recorded in the secondary market with evidence of the period of divergence attributable to the “public auction” effect (period 2008–2015)
Figure 6.1 The functioning of the “Gold Standard” fixed exchange rate agreement
Figure 6.2 The functioning of the Bretton Woods fixed exchange rate agreement
Figure 6.3 Speculative attack on the Bretton Woods fixed exchange rate agreement–Phase 1 (1968–July 1971)
Figure 6.4 Speculative attack on the Bretton Woods fixed exchange rate agreement–Phase 2 (1968–July 1971)
Figure 6.5 Speculative attack on the Bretton Woods fixed exchange rate agreement–Phase 3 (August 1971)
Figure 6.6 Evolution of the 5-year Credit Default Swaps spread for Spain, Germany, Italy and France (Period 2009–2014)
Figure 6.7 1-year default probability implicit in CDS spreads for selected Eurozone countries (August 2011)
Figure 6.8 Price and probability distribution of an Italian Government bond (BTP) by way of example in the presence of devaluation risk of the new Italian lira following the exit of Italy from the Euro
Figure 6.9 Explanation of the synchronous trend of Italian BTP yields and CDS spread
Figure 6.1 °Comparison between the trends of the yields on 5-year government bonds and of the 5-year CDS spread in Germany (2010–2014)
Figure 6.11 Example on the price and probability distribution of a German Government bond (Bund) in presence of a risk of revaluation of the new German mark following the exit of Germany from the Euro
Figure 6.12 Explanation of the decoupled trend of Bund yields and CDS spread in Germany
Figure 6.13 The evolution of the 5-year quanto spread for Spain, Germany, Italy and France (2009–2014)
Figure 6.14 Evolution of the 5-year probability of the Euro break-up implied in the quanto spreads of Spain, Germany, Italy and France (2009–2014)
Figure 6.15 Extent of government debts in relation to GDP (Eurozone: year 2014)
Figure 6.16 Government debt and GDP for several EU countries (2014 in € billion)
Figure 6.17 National bonds issued on foreign markets (% on the overall issued amount–March 2014)
Figure 6.18 Restriction on the issuance of public debt without standard CACs for Eurozone countries
Figure 6.19 Estimates of the Deficit/GDP ratio for 2014 (peripheral countries)
Figure 6.20 Exports and Imports in terms of GDP for several EU countries–2013
Figure 6.21 Share of exports to the Eurozone: period–2008 2013
Figure 7.1 Contribution (€ billion) of the various Member States of the Monetary Union to the EFSF fund guarantees
Figure 7.2 Total loans granted by the EFSF (2011–2014)
Figure 7.3 Issues of the EFSF Fund–structure of the placed amounts
Figure 7.4 Issues of the EFSF Fund–structure of annual yields
Figure 7.5 Issues of the EFSF Fund–maturity structure of the issues
Figure 7.6 Geographical breakdown of investors who bought securities issued by the EFSF (2011–2014)
Figure 7.7 EFSF issues (2011–2014): breakdown by category of investors
Figure 7.8 Yield comparison between 10Y EFSF and 10Y Euro Swap Rate
Figure 7.9 Percentage contribution of the Member States of the Monetary Union to physical capital of ESM
Figure 7.10 Total loans disbursed by the ESM (2012–2014)
Figure 7.11 Issues of the ESM–structure of placed amounts
Figure 7.12 Issues of the ESM–structure of annual yields
Figure 7.13 Issues of the ESM–maturity structure of the issues
Figure 7.14 Geographical breakdown of investors who bought securities issued by the ESM (2013–2014)
Figure 7.15 ESM issues (2013–2014) breakdown by category of investors
Figure 7.16 Contribution of selected Eurozone countries to the constitution of the initial capital of the ESM
Figure 7.17 Impact of recovery of the Spanish banking system by ESM on the finances of the Spanish Government
Figure 7.18 Selected countries' MTOs versus structural balance forecasts for 2014 and 2015
Figure 7.19 Application of the “debt brake rule” in the case of Italy: backward-looking check–Government Data September 2013
Figure 7.20 Application of the “debt brake rule” in the case of Italy: forward-looking check–Government Data September 2013
Figure 8.1 Evolution of the European Central Bank purchasing programmes (in € billion)
Figure 8.2 Purchases of bonds (in € billion) carried out by the ECB under the Securities Market Programme
Figure 8.3 Structured securities with collateral located in the Eurozone (amount outstanding: June 2014)
Figure 8.4 Structured securities with collateral located in the Eurozone (breakdown by country: June 2014)
Figure 8.5 PSPP monthly purchases of government and agencies bonds–breakdown by country (€ billion)
Figure 8.6 PSPP impact on the term structure of Bunds
Figure 8.7 PSPP impact on the term structure of OATs
Figure 8.8 Eurozone government bonds with implicit negative yields (% of total debt)
Figure 8.9 Eurozone government bonds with implicit negative yields purchased by the NCBs within the PSPP up to 30 April 2015
Figure 8.10 Eurozone government bonds purchased by NCBs within the PSPP up to 30 April 2015: distribution by time to maturity
Figure 8.11 Impact of the PSPP and of the Flash Crash of 29 April 2015 on the Term Structure of Bunds
Figure 8.12 Impact of the PSPP and of the flash crash of 29 April 2015 on the term structure of OATs
Figure 8.13 Estimated capital gains of the main Eurozone banking systems and yields' volatility associated with the PSPP
Figure 8.14 Impact of the PSPP and of the 1st and the 2nd flash crash on the term structure of Bunds
Figure 8.15 Impact of the PSPP and of the 1st and the 2nd flash crash on the term structure of OATs
Figure 9.1 The three pillars of the European Banking Union
Figure 9.2 Total amount of Deferred Tax Assets in the balance sheet of major peripheral banks (breakdown by country 2011–2014)
Figure 9.3 DTAs in the balance sheet of the main Italian banks (2011–2014)
Figure 9.4 DTAs in the balance sheet of the main Spanish banks (2011–2014)
Figure 9.5 DTAs in the balance sheet of the main Portuguese banks (2011–2014)
Figure 9.6 DTAs in the balance sheet of the main Greek banks (2011–2014)
Figure 9.7 Italian banks: DTAs converted in DTCs as a result of regulatory reform introduced by Law 214/2011 (2012–2014)
Figure 9.8 Exposure of Eurozone governments towards national banking systems (2014)
Figure 10.1 Degree of mutualisation of debt in the current implementation in the USA
Figure 10.2 Degree of debt mutualisation in the 1st implementation scheme considered in the Green Paper of the European Commission
Figure 10.3 Degree of debt mutualisation in the 2nd implementation scheme considered in the Green Paper of the European Commission
Figure 10.4 Degree of Debt Mutualisation in the 3rd implementation scheme considered in the Green Paper of the European Commission
Figure 10.5 Degree of debt mutualisation in the “Blue Bonds” proposal
Figure 10.6 Federal budget of the US and of the European Union as a percentage of their GDP (2014)
Figure 10.7 Degree of fiscal integration in terms of transfers in the US
Figure 10.8 Degree of fiscal integration in terms of transfers in Germany
Figure 10.9 Degree of fiscal integration of the “strong” proposal in terms of transfers in the European Union
Figure 10.10 Degree of fiscal integration of the “soft” proposal in terms of transfers in the European Union
Figure 10.11 Degree of fiscal integration of the Finnish proposal in terms of transfers
Figure 11.1 Public debt and interest burden: comparison between Germany and Italy
Figure 11.2 EPDRP: breakdown by country
Figure 11.3 Eurozone's public debt: breakdown by maturity
Figure 11.4 EPDRP: duration and extent of the programme for the main Eurozone countries
Figure 11.5 EPDRP: reprofiling of the public debt of the main Eurozone countries
Figure 11.6 EPDRP: reduction in the interest burden for the main Eurozone countries
Figure 11.7 Percentage of government bonds with a duration of less/more than a 1 year for selected Eurozone countries
Figure 11.8 Impact of partial debt monetisation on the Debt/GDP Ratio of the Eurozone countries (except Greece)
Figure 11.9 Example of a security scheme
Figure 12.1 Comparison of an investment in a 3-year BTP and in a 3-year bank bond through the probability table
Figure 12.2 Selection of an investment in BTP through the probability table
Figure 12.3 Representation of a complex financial product through the probability table
Figure 12.4 Selection of an investment in a complex financial product through the probability table
Figure 12.5 Some heterogeneous financial products
Figure 12.6 Probability scenarios and fair value of some heterogeneous financial products
Figure 12.7 Macroeconomic benefits of rules based on the measurement and transparency of risks

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