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Macroeconomic liquidity, bank liquidity, market liquidity. Patrick ARTUS. AFGAP - PRMIA - Scientific Committee Annual Conference on Liquidity Paris – April 5, 2012. Three concepts of liquidity. 1. Macroeconomic liquidity. Monetary base (as % of GDP). - PowerPoint PPT Presentation
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Macroeconomic liquidity, bank Macroeconomic liquidity, bank liquidity, market liquidityliquidity, market liquidity
Patrick ARTUS
AFGAP - PRMIA - Scientific CommitteeAnnual Conference on Liquidity
Paris – April 5, 2012
2
1. Macroeconomic liquidity
Three concepts of liquidity
3
Monetary base (as % of GDP)
0
5
10
15
20
98 99 00 01 02 03 04 05 06 07 08 09 10 11 12
0
5
10
15
20 United States
Euro zone
Sources: Datastream, central banks, Natixis
4
Liquid and money-market assets held by companies (as % of GDP)
0
5
10
15
20
25
98 99 00 01 02 03 04 05 06 07 08 09 10 11 12
0
5
10
15
20
25 United States
Euro zone
Sources: FoF, ECB, Natixis
5
United States: Outstanding assets held by households (as % of GDP)
0
20
40
60
80
100
120
98 99 00 01 02 03 04 05 06 07 08 09 10 11 12
0
20
40
60
80
100
120
Equities Total bonds Life insurance and pension funds Liquid and money-markets assets
Sources: Datastream, FoF, Natixis
6
Euro zone: Assets held by households (in value terms, as % of GDP)
0
10
20
30
40
50
60
70
80
99 00 01 02 03 04 05 06 07 08 09 10 11 12
0
10
20
30
40
50
60
70
80
Equities Total bonds Life insurance and pension funds Liquid and money-markets assets
Sources: Datastream, ECB, Natixis
7
2. Bank liquidity
Three concepts of liquidity
8
Bank’s reserves at the central bank (as% of GDP)
0
5
10
15
20
98 99 00 01 02 03 04 05 06 07 08 09 10 11 12
0
5
10
15
20 United States
Euro zone
Sources: Datastream, Fed, ECB, Natixis
9
United States: Term deposits, sight deposits and bonds in banks’ liabilities (as % of GDP)
0
10
20
30
40
98 99 00 01 02 03 04 05 06 07 08 09 10 11 12
0
10
20
30
40 Term deposits (as % of GDP)
Sight deposits (as % of GDP)
Bonds in banks’ liabilities (as % of GDP)
Sources: Datastream, FoF, Natixis
10
United States: Structure of banks' assets(as % of GDP)
10
20
30
40
50
60
70
80
98 99 00 01 02 03 04 05 06 07 08 09 10 11 12
10
20
30
40
50
60
70
80
Long-term loans to companies* Mortgage loans to households* Short-term loans to companies* Short-term loans to households* Bonds in banks’ assets
Sources: Datastream, FoF, Natixis
(*) Liab ilities of economic agents’ balance sheet
11
Euro zone: Term deposits, sight deposits and bonds in banks’ liabilities (as % of GDP)
10
20
30
40
50
60
98 99 00 01 02 03 04 05 06 07 08 09 10 11 12
10
20
30
40
50
60 Term deposits Sight deposits Bonds
Sources: Datastream, ECB, Natixis
12
Euro zone: Structure of banks' assets (as % of GDP)
0
10
20
30
40
50
60
98 99 00 01 02 03 04 05 06 07 08 09 10 11 12
0
10
20
30
40
50
60
Long-term loans granted to companies Mortgage loans granted to households Short-term loans granted to companies Short-term loans granted to households Total bonds in banks’ assets
Sources: Datastream, ECB, Natixis
13
3. Financial market liquidity
Three concepts of liquidity
14
Interest rate on 10-year government bonds
0
10
20
30
40
50
02 03 04 05 06 07 08 09 10 11 12
2
4
6
8
10
12
14
16
18 Greece (LH scale) Spain (RH scale)
Italy (RH scale) Ireland (RH scale)
Portugal (RH scale)
Sources: Datastream, Natixis
15
Covered bond spread against swaps (in bp)
-100
0
100
200
300
400
500
02 03 04 05 06 07 08 09 10 11 12
-100
0
100
200
300
400
500 United Kingdom Germany
France Spain
Italy
Sources: iBoxx, Bloomberg, Natixis
16
Bank CDS and spread on senior debt of euro-zone banks against swaps
0
100
200
300
400
500
600
700
02 03 04 05 06 07 08 09 10 11 12
0
100
200
300
400
500
600
700 United States: Bank CDS Euro zone: Bank CDS Euro zone: Spread on senior bank debt against swaps
Sources: Bloomberg, iBoxx, Natixis
17
High-yield credit spread (asset swaps, bp)
0
200
400
600
800
1 000
1 200
1 400
1 600
02 03 04 05 06 07 08 09 10 11 12
0
200
400
600
800
1 000
1 200
1 400
1 600 United States
Euro zone
Sources: Datastream, iBoxx, Merrill Lynch, Natixis
18
BBB credit spread (asset swaps, bp)
0
100
200
300
400
500
600
700
02 03 04 05 06 07 08 09 10 11 12
0
100
200
300
400
500
600
700 United States
Euro zone
Sources: Datastream, iBoxx, Merrill Lynch, Natixis
19
Stock market indices (2002:1 = 100)
40
60
80
100
120
140
160
02 03 04 05 06 07 08 09 10 11 12
40
60
80
100
120
140
160 S&P Eurostoxx
Sources: Datastream, Natixis
20
Relationship # 1
Macroeconomic liquidity and bank liquidity
21
Monetary base (in local currency)
0
500
1 000
1 500
2 000
2 500
3 000
3 500
98 99 00 01 02 03 04 05 06 07 08 09 10 11 12
0
500
1 000
1 500
2 000
2 500
3 000
3 500 United States (USD bn)
Euro zone (EUR bn)
Sources: Datastream, Natixis
22
Banks' reserves at the central bank (in local currency)
0
200
400
600
800
1 000
1 200
1 400
1 600
1 800
2 000
98 99 00 01 02 03 04 05 06 07 08 09 10 11 12
0
200
400
600
800
1 000
1 200
1 400
1 600
1 800
2 000 United States (USD bn)
Euro zone (EUR bn)
Sources: Datastream, IMF, ECB, Natixis
23
United States: Households’ net purchases of Treasuriesand liquid and money-market assets (as % of GDP)
-9
-6
-3
0
3
6
9
98 99 00 01 02 03 04 05 06 07 08 09 10 11 12
-9
-6
-3
0
3
6
9 Treasuries Liquid and money-markets assets
Sources: Datastream, BEA, FoF, Natixis
24
United States: M2 money supply and net monthly household savings rate
0
2
4
6
8
10
12
98 99 00 01 02 03 04 05 06 07 08 09 10 11 12
0
2
4
6
8
10
12 Net monthly household savings rate
M2 money supply (Y/Y as %)
Sources: Datastream, BEA, Fed, Natixis
25
Bank loans to the private sector* (Y/Y as %)
-10
-5
0
5
10
15
98 99 00 01 02 03 04 05 06 07 08 09 10 11 12
-10
-5
0
5
10
15 United States
Euro zone
Sources: Datastream, Fed, ECB, Natixis
(*) Households + companies
26
Relationship # 2
Liquidity sought by non-banking economic agents and
transformation risk: who should be exposed to liquidity risk?
27
Outstanding bank loans to companies (as % of GDP)
10
20
30
40
50
60
70
98 99 00 01 02 03 04 05 06 07 08 09 10 11 12
10
20
30
40
50
60
70 United States
Euro zone
Sources: Datastream, FoF, ECB, Natixis
28
Outstanding bonds issued by non-financial companies (as % of GDP)
5
10
15
20
25
30
35
98 99 00 01 02 03 04 05 06 07 08 09 10 11 12
5
10
15
20
25
30
35 United States
Euro zone
Sources: Datastream, FoF, ECB, Natixis
29
Outstanding bonds of non-financial companies(in USD bn)
Investment Grade High Yield Euro zone 952 181 United States* 2,324 857
*Subject to minimum amount and maturitySources: Merrill - BoA, Natixis
30
Assets held by the Federal Reserve (USD bn)
US
Treasury securities
Federal agency
debt securities
Mortgage-backed
securities
Repurchase agreements
Term Auction Credit
Other loans
Commercial paper
Liquidity swaps
Other Federal Reserve assets
Total factors
supplying reserve funds
01/01/2008 718.35 0.00 0.00 29.39 50.00 0.03 0.00 24.00 43.65 916.19 01/02/2008 713.36 0.00 0.00 42.86 60.00 0.17 0.00 10.00 41.49 918.70 01/03/2008 628.98 0.00 0.00 84.82 80.00 33.48 0.00 0.00 43.41 921.26 01/04/2008 548.68 0.00 0.00 107.54 100.00 30.18 0.00 36.00 45.08 917.73 01/05/2008 491.06 0.00 0.00 105.04 150.00 28.34 40.819 62.00 43.71 930.95 01/06/2008 478.77 0.00 0.00 121.68 150.00 20.87 226.008 62.00 43.28 927.38 01/07/2008 479.17 0.00 0.00 113.71 150.00 17.64 249.91 62.00 44.99 947.18 01/08/2008 479.60 0.00 0.00 103.39 150.00 18.57 265.691 67.00 40.92 939.41 01/09/2008 476.56 3.71 0.00 111.71 150.00 187.75 282.197 135.23 40.98 1,186.17 01/10/2008 476.46 13.57 0.00 80.00 301.36 359.01 297.576 531.06 42.84 2,107.74 01/11/2008 476.42 12.26 0.00 80.00 406.51 283.18 308.518 479.44 39.97 2,144.35 01/12/2008 476.07 19.93 0.00 80.00 420.81 196.87 325.796 543.61 43.75 2,232.60 01/01/2009 475.20 26.67 6.82 17.14 415.86 150.01 316.2 465.85 44.21 2,044.63 01/02/2009 474.68 35.87 68.53 0.00 447.56 139.46 246.233 374.59 43.48 1,955.69 01/03/2009 474.73 48.80 236.96 0.00 468.59 134.34 240.802 327.69 49.02 2,106.57 01/04/2009 528.69 62.76 362.60 0.00 455.80 104.70 240.897 286.27 57.56 2,224.57 01/05/2009 597.58 79.75 430.90 0.00 372.54 124.23 154.694 184.93 70.67 2,131.13 01/06/2009 647.83 92.11 467.11 0.00 282.81 123.70 140.82 121.59 72.99 2,052.09 01/07/2009 695.32 104.07 544.51 0.00 237.63 108.53 94.414 87.74 78.79 2,065.80 01/08/2009 740.49 114.19 624.26 0.00 221.08 105.99 52.08 60.21 79.57 2,113.68 01/09/2009 762.75 126.89 689.23 0.00 196.02 111.07 42.82 59.12 85.13 2,191.00 01/10/2009 774.55 141.60 776.03 0.00 139.25 107.63 32.256 33.32 90.46 2,213.18 01/11/2009 776.53 153.63 854.87 0.00 101.01 108.48 15.042 25.81 90.84 2,248.83 01/12/2009 776.57 158.56 904.62 0.00 75.92 87.08 14.044 12.07 99.51 2,275.79
31
Assets held by the Federal Reserve (USD bn)
US
Treasury securities
Federal agency
debt securities
Mortgage-backed
securities
Repurchase agreements
Term Auction Credit
Other loans
Commercial paper
Liquidity swaps
Other Federal Reserve assets
Total factors
supplying reserve funds
01/01/2010 776.62 162.83 973.24 0.00 38.53 87.38 11.20 0.18 96.61 2,293.66 01/02/2010 776.56 165.99 1,032.74 0.00 15.43 87.21 7.72 0.00 94.97 2,328.43 01/03/2010 776.65 167.49 1,073.52 0.00 3.41 84.51 7.77 0.00 96.14 2,357.12 01/04/2010 776.72 168.90 1,099.76 0.00 0.00 78.08 6.56 0.00 96.94 2,375.60 01/05/2010 776.86 167.38 1,117.93 0.00 0.00 75.22 2.00 1.24 92.92 2,382.60 01/06/2010 776.96 165.70 1,128.42 0.00 0.00 69.43 1.00 1.25 94.79 2,387.47 01/07/2010 777.02 159.38 1,121.83 0.00 0.00 64.84 1.00 1.25 96.00 2,371.89 01/08/2010 782.83 156.91 1,111.42 0.00 0.00 57.88 0.00 0.04 92.18 2,353.75 01/09/2010 801.20 156.11 1,101.61 0.00 0.00 52.79 0.00 0.00 94.44 2,348.93 01/10/2010 834.28 150.18 1,059.45 0.00 0.00 47.84 0.00 0.06 99.08 2,342.45 01/11/2010 891.52 148.76 1,038.08 0.00 0.00 46.33 0.00 0.06 100.50 2,377.22 01/12/2010 1,010.29 147.46 1,001.43 0.00 0.00 45.11 0.00 0.08 111.61 2,467.29 01/01/2011 1,096.40 144.80 975.53 0.00 0.00 23.57 0.00 0.07 115.17 2,479.33 01/02/2011 1,201.40 144.15 958.38 0.00 0.00 21.91 0.00 0.07 115.33 2,565.35 01/03/2011 1,295.35 138.92 943.99 0.00 0.00 19.80 0.00 0.00 120.21 2,642.19 01/04/2011 1,406.55 127.81 930.57 0.00 0.00 17.21 0.00 0.00 126.32 2,731.92 01/05/2011 1,504.59 119.21 922.63 0.00 0.00 14.65 0.00 0.00 125.91 2,810.80 01/06/2011 1,589.17 118.37 914.43 0.00 0.00 13.16 0.00 0.00 131.24 2,886.79 01/07/2011 1,634.96 113.81 901.23 0.00 0.00 12.11 0.00 0.00 135.76 2,913.10 01/08/2011 1,647.86 109.90 892.48 0.00 0.00 11.76 0.00 0.50 130.62 2,902.77 01/09/2011 1,663.60 108.27 875.66 0.00 0.00 11.45 0.00 0.50 132.43 2,898.68 01/10/2011 1,670.91 107.67 858.17 0.00 0.00 11.10 0.00 1.85 140.18 2,893.32 01/11/2011 1,668.49 106.78 841.83 0.00 0.00 10.23 0.00 2.40 140.87 2,868.71 01/12/2011 1,671.44 104.60 847.76 0.00 0.00 9.11 0.00 99.82 153.08 2,980.66 01/01/2012 1,653.92 101.50 846.38 0.00 0.00 8.44 0.00 103.21 157.99 2,965.82 01/02/2012 1,665.02 101.50 836.02 0.00 0.00 8.14 0.00 108.76 163.27 2,974.11
Sources: Federal Reserve, Datastream, Natixis
32
Outstanding government bonds held by the central bank
400
600
800
1 000
1 200
1 400
1 600
1 800
98 99 00 01 02 03 04 05 06 07 08 09 10 11 12
0
50
100
150
200
250 United States (in USD bn, LH scale)
Euro zone (in EUR bn, RH scale)
Sources: Datastream, ECB, Natixis
33
United States: Outstanding ABS and liabilities of ABS issuers (in USD bn)
0
1 000
2 000
3 000
4 000
5 000
98 99 00 01 02 03 04 05 06 07 08 09 10 11 12
0
200
400
600
800
1 000
Outstanding ABS (LH scale)
Commercial paper in liabilities of ABS issuers (RH scale)
Sources: Datastream, FoF, Natixis
34
Interest rate margin on fixed-rate business loans against swap rates
0,0
0,5
1,0
1,5
2,0
2,5
3,0
3,5
98 99 00 01 02 03 04 05 06 07 08 09 10 11 12
0,0
0,5
1,0
1,5
2,0
2,5
3,0
3,5 United States Euro zone
Sources: Datastream, Natixis
35
Interest rate margin on fixed-rate household loans against swap rates
-1
0
1
2
3
4
98 99 00 01 02 03 04 05 06 07 08 09 10 11 12
-1
0
1
2
3
4 United States Euro zone
Sources: Datastream, ECB, Natixis
36
Relationship # 3
Bank liquidity and market liquidity
37
Euro zone: Total outstanding repos(MRO + LTRO, in EUR bn)
100200
300400
500600
700800
9001000
11001200
02 03 04 05 06 07 08 09 10 11 12
100200
300400
500600
700800
9001000
11001200
Sources: Datastream, ECB, Natixis
