Alexander Gloy of Lighthouse Investment Management has done some digging and unearthed answers to two questions which have been bothering me: who is holding the Greek debt, and what does the ECB balance sheet look like?. It seems that the ECB is holding E55bn of Greek debt (16% of the total), Greek and Cypriot entities hold E100bn or so, and the IMF a fairly small E17.9bn. By Alex's math, a 50% haircut on Greek debt would conservatively wipe out E7bn of ECB capital even given generous assumptions about its purchase price. This is going to be a problem, because the ECB balance sheet shows E5.3bn in capital at the end of 2010, and I'm guessing it hasn't made too much money since then.
Alex also notes a balance sheet total of E165bn for the ECB, making it 30x leveraged. So for anyone wondering how the ECB could afford to buy up all the recent sovereign debt issuances (we're looking at you, Italy) there's your answer - it couldn't, but did anyway.
Supposing you were an Oriental power looking to make a relatively cheap investment that results in substantial leverage over European governments; where might you start?
[Hat tip: Zero Hedge which is still on the interesting side of crazy].
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