Economic Developments Global Interdependence Center Argentina and Uruguay David R. Kotok Chairman & Chief Investment Officer david.kotok@cumber.com
ŠCopyright 2016 Cumberland AdvisorsŽ. Further distribution prohibited without prior permission.
Total Assets: Central Banks 25
2015 20
15
10
5
1995 0
Source: David Stockman ŠCopyright 2016 Cumberland AdvisorsŽ. Further distribution prohibited without prior permission.
2
Total Assets: Fed January 1975 - April 2016 5
Trillions
4
3
2
1
Pre-Tarp Average $678 billion
0
Source: Haver Analytics ŠCopyright 2016 Cumberland AdvisorsŽ. Further distribution prohibited without prior permission.
3
Fed Maturity Structure: Assets Less than one year
One to 10 Yr
Over ten yr
$5.0
QE-3 $4.5
$4.0
QE-2
$3.5
$ Trillions
$3.0
QE-1
$2.5
$2.0
$1.5
$1.0
$0.5
$0.0 2005 2006 Source: Haver Analytics
2007
2008
2009
ŠCopyright 2016 Cumberland AdvisorsŽ. Further distribution prohibited without prior permission.
2010
2011
2012
2013
2014
2015
4
Fed Duration Estimated Duration of Federal Reserve Asset Holdings As of 4/27/16
6.5 6.0 5.5 5.0 4.5 4.0 3.5 3.0 2.5 2.0 1.5 1.0 2006
2007
2008
2009
2010
Source: Haver Analytics ŠCopyright 2016 Cumberland AdvisorsŽ. Further distribution prohibited without prior permission.
2011
2012
2013
2014
2015
2016
Weekly Data
5
Federal Deficit
Source: Haver Analytics and Ned Davis Research ŠCopyright 2016 Cumberland AdvisorsŽ. Further distribution prohibited without prior permission.
6
Interest Expense: Debt Outstanding Interest Expense on Debt Outstanding US Treasury (Fiscal Year End) through March 2016 500 450
2006 $405.87
2015 $402.44
400
Billions
350 300 250 200 150 100 50 0
Source: Department of the Treasury, Bureau of the Fiscal Service. Treasurydirect.gov. ŠCopyright 2016 Cumberland AdvisorsŽ. Further distribution prohibited without prior permission.
7
Historical Debt Outstanding US Government 25
2020 $22.41 2015 $18.63
20
Trillions
15
10
2006 $8.51
5
0
Source: www.whitehouse.gov ŠCopyright 2016 Cumberland AdvisorsŽ. Further distribution prohibited without prior permission.
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Monthly Central Bank Assets Monthly Central Bank Assets for US, Japan, and Euro Area Jun-06 to Apr-16 $12,000
Cumberland Advisors YE2016 Estimate $12,320.0
Estimate includes ECB
$10,000
$ Billions
$8,000
$6,000
$4,000
$2,000
$0
Source: Haver Analytics
Federal Reserve
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ECB
Bank of Japan
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G7 Government Bond Yields Country
2-year Yields
10-year Yields
As of May 3, 2016
USA
0.74
1.78
Canada
0.65
1.44
UK
0.47
1.52
France
-0.42
0.56
Germany
-0.50
0.20
Italy
-0.06
1.46
Japan
-0.25
-0.13
Swiss
-0.96
-0.32
Source: Bloomberg ŠCopyright 2016 Cumberland AdvisorsŽ. Further distribution prohibited without prior permission.
10
10-yr Treasury vs. 10-yr Bund 4.5
4
NIRP 3.5
3
2.5
2
1.5
1
LEHMAN-AIG End of 2008
0.5
0
GT10 Govt
GTDEM10Y Govt
Source: Bloomberg ©Copyright 2016 Cumberland Advisors®. Further distribution prohibited without prior permission.
11
10-yr TIPS vs. 10-yr FIPS 3.5
3
2.5
2
NIRP
1.5
N I R P
1
0.5
0 -0.5
-1
-1.5
GTII10 Govt
GTFRFII10Y Govt
Source: Bloomberg ©Copyright 2016 Cumberland Advisors®. Further distribution prohibited without prior permission.
12
2-yr Treasury vs. 2-yr Bund 4
3.5
3
2.5
NIRP
2
1.5
1
0.5
0
-0.5
LEHMAN-AIG End of 2008
-1
GT2 Govt
GTDEM2Y Govt
Source: Bloomberg ©Copyright 2016 Cumberland Advisors®. Further distribution prohibited without prior permission.
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Disclosure All material presented is compiled from sources believed to be reliable. However, accuracy cannot be guaranteed. Past performance is no guarantee of future results. All investments involve risk including loss of principal. Fixed income investments are subject to interest rate and credit risk.
ŠCopyright 2016 Cumberland AdvisorsŽ. Further distribution prohibited without prior permission.
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