ECB Marginal Lending Facility and Deposit Facility
If one is interested in liquidity risk, a possible measure is the LIBOR rate; the rate at which banks give short-term loans to each other. An alternative "stress" measure is to look at the excess liquidity that banks park at the ECB - the Deposit facility and at the short-term liquidity banks ask from the ECB - the Marginal lending facility. Although I found the data published by the ECB, I could not find any updated graphs, so I decided to do it myself. As a primer, note the simplified ECB balance sheet. Source: European Central Bank
|Assets (liquidity supply)||Liabilities (liquidity needs)|
|Open market operations||Current accounts|
|Marginal lending facility||Deposit facility|
|Net liquidity effect from Autonomous Factors and SMP|
Dec 7th, 2011: We see a huge increase in the usage of the deposit facility since the beginning of July 2011. Maybe more worringly, also the use of the marginal lending facility spiked recently , although we are still far away from the highs experienced in late February 2011.
Update Jan 10th, 2012: Well, "far from the previous heighs" seems not so correct now. The money deposited at the ECB exceeds now 500 billion Euros, while the Marginal Lending Facility peaked at approx. 17 billion Euros.
Update Feb 17th, 2012: While the situation on the marginal lending facility front seems to have normalised, the usage of the deposit facility remains extraordinary high. I think that the drop in the marginal lending facility can be explained by the fact that the ECB now also lends on a three-year basis. (See Press Release of Dec 8th, 2011).
Update March 2nd, 2012: Yesterday, the ECB offered long-term liquidity (1092 days !) to the banks, with the declared aim to "support bank lending and liquidity in the euro area money market" (see Press Release). Well, for now, most seems to be deposited at the ECB in the deposit facililty, which skyrocketed to 777 billion Euros.