Autonomous factors in the
Eurosystem
Paul Mercier
14 March 2010
Weekly financial statement as of 4 March 2011
2
Eurosystem simplified balance sheet
As of 4 March 2011 (in € billions)
Assets
USD repos (*)
Liabilities
0.0
Autonomous liquidity factors
Net foreign assets (A.1+A.2+ A.3
-L.7-L.8-L.9-USD repos)
Domestic assets (A.7.2+A.8)
368.0
Monetary policy instruments
Main refinancing operation (A.5.1)
Longer term refinancing operation (A.5.2)
Marginal lending facility (A.5.5)
Covered bond portfolio (A.7.1)
Securities Markets Programme (A.7.1)
Total
124.4
321.8
0.8
60.7
77.5
1,505.3
552.1
0.0
Claims of US Federal reserve (*)
Autonomous liquidity factors
Banknotes in circulation (L.1)
Government deposits (L.5.1)
Other autonomous factors (net)
824.9
91.6
285.4
Monetary policy instruments
Current accounts (L.2.1)
Absorbing operations (L.2.3+L.2.4)
Deposit facility (L.2.2)
182.7
77.5
43.2
Total
1,505.3
Total autonomous liquidity factors (autonomous liability factors – autonomous
asset factors): €281.9 billion
Published figure (incl. SMP) on Monday, 7 March: €204.4 billion
Sources: Items in brackets - Eurosystem weekly financial statements - http://www.ecb.europa.eu/press/pr/wfs/2011/html/index.en.html
Split SMP-CBPP from text to weekly financial statement
Items with asterisk - Eurosystem open market operations - http://www.ecb.europa.eu/mopo/implement/omo/html/index.en.html
3
Analysing autonomous factors
3 categories:
• Banknotes
• Government deposits
• Net portfolio: the sum of net foreign assets, domestic assets and other
autonomous factors (OAF)
•Net foreign assets subject to quarterly revaluations and the
revaluation accounts are recorded under OAF.
•Domestic portfolio transactions of NCBs recorded under different
autonomous factors (domestic assets and OAF).
• Reclassification of investment portfolios at end 2008 affected
domestic assets and OAF.
4
Total autonomous factors: 1999 – 2011
(in € billion)
450
400
350
300
250
200
150
100
50
0
1999
2000
2001
2002
2003
2004
2005
2006
2007
2008
2009
2010
5
Banknotes (L.1): 1999 – 2011
(in € billion)
900
800
700
600
500
400
300
200
100
0
1999
2000
2001
2002
2003
2004
2005
2006
2007
2008
2009
2010
6
Government deposits (L.5.1): 1999 – 2011
(in € billion)
180
160
140
120
100
80
60
40
20
0
1999
2000
2001
2002
2003
2004
2005
2006
2007
2008
2009
2010
7
Eurosystem simplified balance sheet
As of 4 March 2011 (in € billions)
Assets
USD repos (*)
Liabilities
0.0
Autonomous liquidity factors
Net foreign assets (A.1+A.2+ A.3
-L.7-L.8-L.9-USD repos)
Domestic assets (A.7.2+A.8)
368.0
Monetary policy instruments
Main refinancing operation (A.5.1)
Longer term refinancing operation (A.5.2)
Marginal lending facility (A.5.5)
Covered bond portfolio (A.7.1)
Securities Markets Programme (A.7.1)
Total
124.4
321.8
0.8
60.7
77.5
1,505.3
552.1
0.0
Claims of US Federal reserve (*)
Autonomous liquidity factors
Banknotes in circulation (L.1)
Government deposits (L.5.1)
Other autonomous factors (net)
824.9
91.6
285.4
Monetary policy instruments
Current accounts (L.2.1)
Absorbing operations (L.2.3+L.2.4)
Deposit facility (L.2.2)
182.7
77.5
43.2
Total
1,505.3
Total autonomous liquidity factors (autonomous liability factors – autonomous
asset factors): €281.9 billion
Published figure (incl. SMP) on Monday, 7 March: €204.4 billion
Sources: Items in brackets - Eurosystem weekly financial statements - http://www.ecb.europa.eu/press/pr/wfs/2011/html/index.en.html
Split SMP-CBPP from text to weekly financial statement
Items with asterisk - Eurosystem open market operations - http://www.ecb.europa.eu/mopo/implement/omo/html/index.en.html
8
Net portfolio: 1999 – 2011
(in € billion)
1000
Net foreign assets and domestic assets
800
600
400
Net portfolio
200
0
-200
Other autonomous factors (net)
-400
1999
2000
2001
2002
2003
2004
2005
2006
2007
2008
2009
2010
9
Daily volatility of autonomous factors (in € billion)
45.00
40.00
Banknotes
Government deposits
Net Portfolio
Total
35.00
30.00
25.00
20.00
15.00
10.00
5.00
0.00
1999
2000
2001
2002
2003
2004
2005
2006
2007
2008
2009
2010
10
Average absolute accumulated forecast errors –
8 days ahead (in € billion)
30
25
Banknotes
Government deposits
Net Portfolio
Total
2006
2007
20
15
10
5
0
2008
2009
2010
11
Monetary Policy operations and autonomous
factors
Eurosystem
FX reserves and domestic
assets
Banknotes and other
autonomous factors
Monetary policy
operations
Reserves requirements
Deposit facility
12
Monetary Policy operations and autonomous
factors
Eurosystem
FX reserves and domestic
assets
Banknotes and other
autonomous factors
Monetary policy
operations
Reserves requirements
Deposit facility
13
Substitution between Open Market Operations
and MLF
Eurosystem
FX reserves and domestic
assets
Banknotes and other
autonomous factors
Monetary policy
operations
Reserves requirements
Deposit facility
14
Monetary Policy operations and autonomous
factors
Eurosystem
FX reserves and domestic
assets
Banknotes and other
autonomous factors
Monetary policy
operations
Reserves requirements
MLF
Deposit facility
15
Two ECB 40 publications in February
On 17 February:
On 25 February:
16
Developments in MP 2 2011
Marginal lending facility
Autonomous factors including SMP
MRO
240
220
200
180
160
140
120
100
80
60
40
20
0
08-Mar
05-Mar
02-Mar
27-Feb
24-Feb
21-Feb
18-Feb
15-Feb
12-Feb
09-Feb
17
Average forecast errors in MP 2
(in € billion, based on forecast on allotment day)
6
Banknotes
Government deposits
Net Portfolio
Total
4
2
0
08-Feb
15-Feb
22-Feb
01-Mar
-2
-4
-6
-8
18