Global Economic Briefing: Central Bank Balance Sheets Yardeni Research, Inc.

January 19, 2017

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

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Table Of Contents

Table Of Contents

Total Assets of Major Central Banks Fed Balance Sheet Fed Assets Fed Bond Purchases Federal Reserve Repo Balances ECB Balance Sheet Bank of Japan PBOC Balance Sheet US Treasuries & Agencies Held by Central Banks

January 19, 2017 / Global Economic Briefing: Central Bank Balance Sheets

1 2 3 4 5 6-7 8 9 10

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Total Assets of Major Central Banks Figure 1. 20 19 18

13

TOTAL ASSETS OF MAJOR CENTRAL BANKS

Dec

(all in trillions of US dollars)

Dec

17 16

11 10

Total Excluding PBOC (12.4)

Total Assets* (17.3)

15

12

14

9

13

8

12

7

11 10

6

9

5

8 4

7 6 5.0

3 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017

2008 2009 2010 2011 2012 2013 2014 2015 2016 2017

FED

ECB

4.6

4.3

Dec

4.0

4.2 3.7

3.8

Total (4.4)

3.4

Total (3.5)

Jun 3.4

3.0 3.1 2.6 2.8

2.2 1.8

2.5

1.4 2.2

1.0 .6 4.6 4.4 4.2 4.0 3.8 3.6 3.4 3.2 3.0 2.8 2.6 2.4 2.2 2.0 1.8 1.6 1.4 1.2 1.0 .8

1.9 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017

2008 2009 2010 2011 2012 2013 2014 2015 2016 2017

BOJ

PBOC

5.7

Dec

5.2 Dec

Total (4.1)

4.7

Total (5.0)

4.2 3.7 3.2 2.7 yardeni.com 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017

2.2

2008 2009 2010 2011 2012 2013 2014 2015 2016 2017

* Includes US, ECB, Bank of Japan, and PBOC. Source: Haver Analytics.

Page 1 / January 19, 2017 / Global Economic Briefing: Central Bank Balance Sheets

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Fed Balance Sheet Figure 2. 4.5 4.0

FED’S ASSETS*

1/18

(trillion dollars)

5.0

FED’S LIABILITIES* (trillion dollars)

1/18

4.5

3.5

4.0

3.0

3.5

2.5

3.0

2.0 1.5 1.0

US Treasuries + Agency Debt + MBS

2.5 2.0

Total

Liquidity Facilities

1.5

.5

1.0

.0

.5 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017

2008 2009 2010 2011 2012 2013 2014 2015 2016 2017

2.7

3.0 1/18

2.4

2.7 2.4

2.1 1/18 1.8

2.1 1.8

1.5 1.5 1.2 1.2 .9 .6

US Treasury Securities

.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 2016 2017

2008 2009 2010 2011 2012 2013 2014 2015 2016 2017

.8

1/18

.6

.4

Central Bank Liquidity Swaps Other Loans

.2

Federal Reserve Notes .0

1/18

yardeni.com 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 *Average of daily figures for weeks ending Wednesdays. Source: Federal Reserve Board.

1.48 1.44 1.40 1.36 1.32 1.28 1.24 1.20 1.16 1.12 1.08 1.04 1.00 .96 .92 .88 .84 .80 .76

2008 2009 2010 2011 2012 2013 2014 2015 2016 2017

Page 2 / January 19, 2017 / Global Economic Briefing: Central Bank Balance Sheets

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Fed Assets Figure 3. 4.8 4.4

4.8

FED’S ASSETS* (trillion dollars)

4.4

QE1

4.0

QE2

QE3

4.0

3.6

3.6

3.2

3.2

2.8

2.8

2.4

2.4

2.0

2.0

Total Assets

1.6

1.6

US Treasuries + Agency Debt + MBS

1.2

1.2

.8

.8 yardeni.com

.4 2008

2009

2010

2011

2012

2013

2014

.4

2015

* Average of daily figures for weeks ending Wednesday. Note: QE1 (11/25/08) = Fed starts buying $1.24tn in mortgage securities. QE1 expanded (3/16/2009) = Fed starts buying $300bn in Treasuries. QE2 (11/3/10) = Fed starts buying $600bn in Treasuries. QE3 (9/13/12) = Fed starts buying $40bn/month in mortgage securities (open ended). QE3 expanded (12/12/12) = Fed starts buying $45bn/month in Treasuries. Source: Federal Reserve Board.

Figure 4. 2.8 2.6

2.8

FED’S ASSETS* (trillion dollars)

2.4

2.6

QE1

QE2

2.4

QE3

2.2

2.2

2.0

2.0

1.8

1.8

1.6

1.6

1.4

1.4

1.2

1.2

1.0

1.0

US Treasury Securities

.8 .6

.8 .6

Agency Debt + MBS

.4

.4

.2

.2 yardeni.com

.0 2008

2009

2010

2011

2012

2013

2014

.0

2015

* Average of daily figures for weeks ending Wednesday. Note: QE1 (11/25/08) = Fed starts buying $1.24tn in mortgage securities. QE1 expanded (3/16/2009) = Fed starts buying $300bn in Treasuries. QE2 (11/3/10) = Fed starts buying $600bn in Treasuries. QE3 (9/13/12) = Fed starts buying $40bn/month in mortgage securities (open ended). QE3 expanded (12/12/12) = Fed starts buying $45bn/month in Treasuries. Source: Federal Reserve Board.

Page 3 / January 19, 2017 / Global Economic Briefing: Central Bank Balance Sheets

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Fed Bond Purchases Figure 5. 300 250

300

FED NET PURCHASES OF US TREASURY & US AGENCY BONDS + MBS (monthly change, billion dollars)

250

200

200

150

150

100

100

50

50 Dec

0

0

-50

-50 2009

150

2010

2011

2012

2013

2014

2015

2016

2017 150

FED NET PURCHASES OF US TREASURY BONDS

100

100

50

50

0

0

-50

-50 2009

200

2010

2011

2012

2013

2014

2015

2016 200

FED NET PURCHASES OF US AGENCY BONDS + MBS

150

150

100

100

50

50

Dec

0

0

yardeni.com

-50 2009

2010

2011

2012

2013

2014

2015

2016

-50

2017

Source: Federal Reserve Board.

Page 4 / January 19, 2017 / Global Economic Briefing: Central Bank Balance Sheets

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Federal Reserve Repo Balances Figure 6. 800

800

FEDERAL RESERVE REPO BALANCES (monthly change, thousands, sa)

600

yardeni.com

400

Dec

600

400

200

200

0

0 2008

2009

2010

2011

2012

2013

2014

2015

2016

2017

Source: Federal Reserve.

Page 5 / January 19, 2017 / Global Economic Briefing: Central Bank Balance Sheets

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ECB Balance Sheet Figure 7. 4000 3600

TOTAL ASSETS

1/13

(billion euros)

1600

SELECTED LIABILITIES (billion euros)

Deposit Facility

Euro Area Credit Institutions in Euro

3200 2800

1/13

1400 1200 1000 800 600

2400

400

2000

200 1600

0

1200 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018

2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 400

1350 1250

Liabilities to Other Euro Area Residents in Euro

Lending to Euro Area Credit Institutions in Euro

1150 1050 950

340 280 1/13

850

220

750 160

650

1/13

550

100

450 350

40 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018

2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018

3000

1200

Securities of Euro Area Residents in Euro 2000

General Govt Debt Denominated in Euro

1/13 1/13

Bank Notes in Circulation

1000

1000

800

0

600 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018

800

Foreign Reserves Including Gold

2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 1100

1/13

600

Miscellaneous Liabilities*

1000 1/13 900 800

400 700 200

Claims on Euro Area Residents in Foreign Currency

600 500 yardeni.com

0 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018

400

2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018

* 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 / January 19, 2017 / Global Economic Briefing: Central Bank Balance Sheets

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ECB Balance Sheet Figure 8. 2.2 1.9

ECB: HOLDINGS OF SECURITIES

1/13

(trillion euros, ratio scale)

2.2 1.9

1.6

1.6

1.3

1.3 D

1.0

NIRP

QE

QEE

1.0

Securities of Euro Area Residents in Euro

.7

.7

.4

.4

yardeni.com

.1 2008

2009

2010

2011

2012

2013

2014

2015

2016

.1

2017

D = ECB President Mario Draghi pledged to do "whatever it takes" to defend the euro (7/26/12). NIRP = negative interest-rate policy (6/5/2014). QE (1/22/15). QEE = expansion and extension of QE (3/10/16, corporate bond purchases started 6/1/16). Source: European Central Bank.

Page 7 / January 19, 2017 / Global Economic Briefing: Central Bank Balance Sheets

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Bank of Japan Figure 9. 400

400

JAPAN: RESERVE BALANCES Z AT BOJ (trillion yen, reserve adjusted)

300

yardeni.com

200

300

Dec

200

100

100

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

17

18

Z = Zero Interest Rate Policy. Note: Blue shade is Quantitative Easing Policy. Source: Bank of Japan.

Figure 10. 10

10

JAPAN: INTEREST RATES (percent, weekly)

10-Year Government Bond Yield (0.07)

8

8

Bank of Japan Overnight Rate (-0.05)

6

6

4

4

2

2

1/20

0

-2

yardeni.com

0

-2

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 17 18 19 20 Z = Zero Interest Rate Policy. Note: Blue shade is Quantitative Easing Policy. Source: Bank of Japan.

Page 8 / January 19, 2017 / Global Economic Briefing: Central Bank Balance Sheets

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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

Dec

(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 (5.0) Foreign Exchange Assets (3.2) Nongold International Reserves Held by China (IMF data) (3.0) yardeni.com

.2 2002

2003

2004

2005

2006

2007

2008

2009

2010

2011

2012

2013

2014

2015

2016

2017

.2

2018

Source: People’s Bank of China and IMF.

Figure 12. 85 80

85

PBOC ASSETS (percent)

80

Foreign Exchange Held/Total PBOC Assets

75

75

70

70

65

65

Dec

60

60

55

55

50

50

45

45

40

40

35

yardeni.com 2002

2003

35 2004

2005

2006

2007

2008

2009

2010

2011

2012

2013

2014

2015

2016

2017

2018

Source: People’s Bank of China and IMF.

Page 9 / January 19, 2017 / Global Economic Briefing: Central Bank Balance Sheets

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US Treasuries & Agencies Held by Central Banks Figure 13. 3400 3200

3400

US TREASURIES HELD BY FED & FOREIGN OFFICIAL ACCOUNTS (billion dollars)

3200

3000

3000 1/18

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

2014

2015

2016

400

2017

* 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 (1763.6) 1505

1505

Foreign Official Dollar Reserves* (264.9)

1005

1005

505

505

8/10 yardeni.com

5 2008

2009

2010

2011

2012

2013

2014

2015

2016

5

2017

* Held by foreign official institutions at the Fed. Average of week ending Wednesday. Source: Federal Reserve Board, Table H.4.1.

Page 10 / January 19, 2017 / Global Economic Briefing: Central Bank Balance Sheets

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