Global Economic Briefing: Central Bank Balance Sheets Yardeni Research, Inc. October 14, 2014 Dr. Edward Yardeni 516-972-7683 [email protected] Mali Quintana 480-664-1333 [email protected] Please visit our sites at www.yardeni.com blog.yardeni.com thinking outside the box Table Of Contents Table Of Contents Fed Balance Sheet Fed Assets Fed Bond Purchases Federal Reserve Repo Balances ECB Balance Sheet Bank of England Bank of Japan PBOC Balance Sheet US Treasuries & Agencies Held by Central Banks October 14, 2014 / Global Economic Briefing: Central Bank Balance Sheets 2 3 4 5 6 7 8 9 10 Yardeni Research, Inc. www.yardeni.com Figure 1. 16 15 TOTAL ASSETS OF MAJOR CENTRAL BANKS (all in trillions of US dollars) Sep Aug 14 13 Total Assets (14.3) 12 1.5 BOJ Total (1.3) 1.0 11 10 9 Sep 8 .5 7 Excluding PBOC (8.9) 6 5 4 .0 2009 2010 2011 2012 2013 2014 2015 4.8 *Includes US, ECB, Bank of England, Bank of Japan, and PBOC. FED 4.4 2009 2010 2011 2012 2013 2014 2015 .6 BOE Aug Sep 4.0 Total (4.4) .5 Total (0.5) 3.6 3.2 .4 2.8 2.4 .3 2.0 1.6 .2 2009 4.3 2010 2011 2012 2013 2014 2015 ECB 2009 2010 2011 2012 2013 2014 2015 5.7 PBOC Aug 4.0 5.2 Total (2.6) 3.7 Total (5.4) 4.7 3.4 4.2 3.1 3.7 2.8 Sep 3.2 2.5 yardeni.com 2.2 2009 2010 2011 2012 2013 2014 2015 2009 2010 2011 2012 2013 2014 2.7 2015 Source: Haver Analytics. Page 1 / October 14, 2014 / Global Economic Briefing: Central Bank Balance Sheets Yardeni Research, Inc. www.yardeni.com Fed Balance Sheet Figure 2. 4.5 4.0 FED’S ASSETS* 10/8 (trillion dollars) 5.0 FED’S LIABILITIES* (trillion dollars) 10/8 4.5 3.5 4.0 3.0 3.5 2.5 3.0 2.0 2.5 US Treasuries + Agency Debt + MBS 1.5 2.0 Total Liquidity Facilities 1.0 1.5 .5 1.0 .0 .5 2008 2009 2010 2011 2012 2013 2014 2015 2008 2009 2010 2011 2012 2013 2014 2015 2.7 3.0 10/8 10/8 2.4 2.7 2.4 2.1 2.1 1.8 1.8 1.5 1.5 1.2 1.2 .9 US Treasury Securities .6 .9 Reserve Balances with Fed (Depository Institutions’ Deposits at Fed) Agency Debt + MBS .3 .6 .3 .0 .0 2008 2009 2010 2011 2012 2013 2014 2015 2008 2009 2010 2011 2012 2013 2014 2015 .8 1.28 10/8 1.24 1.20 .6 .4 1.16 1.12 Central Bank Liquidity Swaps 1.08 1.04 Other Loans 1.00 .2 .96 .92 Federal Reserve Notes .88 10/8 .0 .84 .80 yardeni.com 2008 2009 2010 2011 2012 2013 2014 *Average of daily figures for weeks ending Wednesdays. Source: Federal Reserve Board. 2015 2008 2009 2010 Page 2 / October 14, 2014 / Global Economic Briefing: Central Bank Balance Sheets 2011 2012 2013 2014 .76 2015 Yardeni Research, Inc. www.yardeni.com Fed Assets Figure 3. 4.8 4.4 FED’S ASSETS* (trillion dollars) 4.8 QE1 QE2 10/8 QE3 & QE4 4.4 4.0 4.0 3.6 Total Assets 3.6 3.2 US Treasuries + Agency Debt + MBS 3.2 2.8 2.8 2.4 2.4 2.0 2.0 1.6 1.6 1.2 1.2 .8 .8 yardeni.com .4 2008 2009 2010 2011 2012 2013 2014 .4 2015 Note: QE1 (announced 11/25/08) = Fed buys $1.24tn in mortgage securities. QE2 (announced 11/3/10) = Fed buys $600bn in Treasuries. QE3 (announced 9/13/12) = Fed buys $40bn/month in mortgage securities (to infinity and beyond). QE4 (announced 12/12/12) = Fed buys $45bn/month in Treasuries. See detailed CHRONOLOGY. http://www.yardeni.com/fedcenter/FedsQuantitativeEasing.aspx http://www.yardeni.com/fedcenter/FedsQuantitativeEasing.aspx * Average of daily figures for weeks ending Wednesday. Source: Federal Reserve Board. Figure 4. 2.6 2.4 FED’S ASSETS* (trillion dollars) 2.6 10/8 QE1 QE2 2.4 QE3 & QE4 2.2 2.2 US Treasury Securities 2.0 2.0 1.8 1.8 Agency Debt + MBS 1.6 1.6 1.4 1.4 1.2 1.2 1.0 1.0 .8 .8 .6 .6 .4 .4 .2 .2 yardeni.com .0 2008 2009 2010 2011 2012 2013 2014 .0 2015 Note: QE1 (announced 11/25/08) = Fed buys $1.24tn in mortgage securities. QE2 (announced 11/3/10) = Fed buys $600bn in Treasuries. QE3 (announced 9/13/12) = Fed buys $40bn/month in mortgage securities (to infinity and beyond). QE4 (announced 12/12/12) = Fed buys $45bn/month in Treasuries. See detailed CHRONOLOGY. http://www.yardeni.com/fedcenter/FedsQuantitativeEasing.aspx http://www.yardeni.com/fedcenter/FedsQuantitativeEasing.aspx * Average of daily figures for weeks ending Wednesday. Source: Federal Reserve Board. Page 3 / October 14, 2014 / Global Economic Briefing: Central Bank Balance Sheets Yardeni Research, Inc. www.yardeni.com Fed Bond Purchases Figure 5. 300 300 FED NET PURCHASES OF US TREASURY & US AGENCY BONDS + MBS (monthly change, billion dollars) 250 250 200 200 150 150 100 100 50 Sep 0 0 -50 -50 2009 150 50 2010 2011 2012 2013 2014 150 FED NET PURCHASES OF US TREASURY BONDS 100 100 50 50 Sep 0 0 -50 -50 2009 200 2010 2011 2012 2013 2014 200 FED NET PURCHASES OF US AGENCY BONDS + MBS 150 150 100 100 50 50 Sep 0 0 yardeni.com -50 2009 2010 2011 2012 2013 -50 2014 Source: Federal Reserve Board. Page 4 / October 14, 2014 / Global Economic Briefing: Central Bank Balance Sheets Yardeni Research, Inc. www.yardeni.com Federal Reserve Repo Balances Figure 6. 400 400 FEDERAL RESERVE REPO BALANCES (monthly change, thousands, sa) 300 300 Sep 200 200 100 100 yardeni.com 0 2008 2009 2010 2011 2012 2013 0 2014 Source: Federal Reserve. Page 5 / October 14, 2014 / Global Economic Briefing: Central Bank Balance Sheets Yardeni Research, Inc. www.yardeni.com ECB Balance Sheet Figure 7. 3200 3000 2800 TOTAL ASSETS SELECTED LIABILITIES (billion euros) (billion euros) 1400 1200 1000 Euro Area Credit Institutions in Euro Deposit Facility 2600 2400 800 600 2200 10/10 2000 400 1800 10/10 1600 200 0 1400 1200 2008 2009 2010 2011 2012 2013 2014 2015 2008 2009 2010 2011 2012 2013 2014 2015 200 1350 Liabilities to Other Euro Area Residents in Euro 1250 1150 1050 950 Lending to Euro Area Credit Institutions in Euro 180 160 140 120 850 750 10/10 650 100 80 550 10/10 60 450 350 40 2008 2009 2010 2011 2012 2013 2014 2015 2008 2009 2010 2011 2012 2013 2014 2015 800 1000 10/10 600 Securities of Euro Area Residents in Euro 10/10 Bank Notes in Circulation 900 400 800 General Govt Debt Denominated in Euro 200 700 0 600 2008 2009 2010 2011 2012 2013 2014 2015 2008 2009 2010 2011 2012 2013 2014 2015 800 1100 Foreign Reserves Including Gold 600 Miscellaneous Liabilities* 1000 900 10/3 800 400 10/10 Claims on Euro Area Residents in Foreign Currency 200 600 500 yardeni.com 0 2008 2009 2010 2011 700 2012 2013 2014 2015 2008 2009 2010 2011 2012 2013 2014 400 2015 *Total liabilities minus sum of lending to euro area credit institutions in euro, liabilities to other euro area residents in euro, and bank notes in circulation. Source: European Central Bank. Page 6 / October 14, 2014 / Global Economic Briefing: Central Bank Balance Sheets Yardeni Research, Inc. www.yardeni.com Bank of England Figure 8. 450 425 400 375 350 325 300 275 250 225 200 175 150 125 100 UK: TOTAL ASSETS 350 RESERVE BALANCES (billion pounds) Sep Sep 250 200 150 100 50 75 0 2008 20 300 2009 2010 2011 2012 2013 2014 2015 BONDS & OTHER SECURITIES ACQUIRED VIA MARKET TRANSACTIONS 2008 2009 2010 2011 2012 2013 2014 2015 SHORT-TERM OPEN MARKET OPERATIONS 100 80 Sep 15 60 40 10 20 Sep 0 5 2008 200 2009 2010 2011 2012 2013 2014 2015 SHORT-TERM OPEN MARKET OPERATIONS 2008 2009 2010 2011 2012 2013 2014 2015 150 OTHER LIABILITIES 180 160 140 Short-Term Open Market Operations 120 100 100 Longer term reverse repo 80 60 Sep 40 50 20 Sep 0 yardeni.com 2008 2009 2010 2011 2012 2013 2014 2015 2008 2009 2010 2011 2012 2013 2014 0 2015 Source: Bank of England. Page 7 / October 14, 2014 / Global Economic Briefing: Central Bank Balance Sheets Yardeni Research, Inc. www.yardeni.com Bank of Japan Figure 9. 150 150 JAPAN: RESERVE BALANCES AT BOJ Z Sep (trillion yen, reserve adjusted) 100 yardeni.com 100 50 50 0 0 89 90 91 92 93 94 95 96 97 98 99 00 01 02 03 04 05 06 07 08 09 10 11 12 13 14 15 16 Z = Zero Interest Rate Policy. Note: Blue shade is Quantitative Easing Policy. Source: Bank of Japan. Figure 10. 10 10 JAPAN: INTEREST RATES Z (percent) 10-Year Government Bond Yield 8 8 Bank of Japan Overnight Rate 6 6 4 4 2 2 10/17 0 -2 0 yardeni.com 89 90 91 -2 92 93 94 95 96 97 98 99 00 01 02 03 04 05 06 07 08 09 10 11 12 13 14 15 16 Z = Zero Interest Rate Policy. Note: Blue shade is Quantitative Easing Policy. Source: Bank of Japan. Page 8 / October 14, 2014 / Global Economic Briefing: Central Bank Balance Sheets Yardeni Research, Inc. www.yardeni.com PBOC Balance Sheet Figure 11. 6.2 5.7 5.2 4.7 4.2 3.7 3.2 PBOC ASSETS 6.2 5.7 5.2 4.7 4.2 3.7 3.2 Aug (trillion dollars, nsa, ratio scale) 2.7 2.7 2.2 2.2 1.7 1.7 1.2 1.2 .7 .7 Total Assets (5.4) Foreign Exchange Assets (4.4) Nongold International Reserves Held by China (IMF data) (4.0) yardeni.com .2 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 .2 2015 Source: People’s Bank of China and IMF. Figure 12. 85 80 85 PBOC ASSETS Aug (percent) 80 Foreign Exchange Held/Total PBOC Assets 75 75 70 70 65 65 60 60 55 55 50 50 45 45 40 40 yardeni.com 35 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 35 2015 Source: People’s Bank of China and IMF. Page 9 / October 14, 2014 / Global Economic Briefing: Central Bank Balance Sheets Yardeni Research, Inc. www.yardeni.com US Treasuries & Agencies Held by Central Banks Figure 13. 3400 3200 3400 US TREASURIES HELD BY FED & FOREIGN OFFICIAL ACCOUNTS 3200 (billion dollars) 3000 10/8 3000 2800 2800 2600 Held by Fed 2600 2400 Foreign Official Dollar Reserves* 2400 2200 2200 2000 2000 1800 1800 1600 1600 1400 1400 1200 1200 1000 1000 800 800 600 600 yardeni.com 400 2008 2009 2010 2011 2012 2013 400 2014 * Held by foreign official institutions at the Fed. Average of week ending Wednesday. Source: Federal Reserve Board, Table H.4.1. Figure 14. 2005 2005 US AGENCIES HELD BY FED & FOREIGN OFFICIAL ACCOUNTS (billion dollars) Held by Fed 1505 1505 Foreign Official Dollar Reserves* 1005 1005 505 505 5/14 yardeni.com 5 2008 2009 2010 2011 2012 2013 5 2014 * Held by foreign official institutions at the Fed. Average of week ending Wednesday. Source: Federal Reserve Board, Table H.4.1. 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