WEEKLY FED BALANCE SHEET REVIEW. TWO IN A ROW
. Federal Reserve: "Factors Affecting Reserve Balances", June 13

- Fed's Treasuries holdings: $779.1bn (-$6.5bn)
- Other central banks' Treasuries holdings: $1,226.7bn (-$3.2bn) (*)
- Other central banks' agency securities: $728.7bn (+$3.1bn) (*)
- Mackinlay's Global Dollar Liquidity Measure: $2,734.4bn (-$6.7bn)

(*) Off-balance-sheet items.
agustin_mackinlay@yahoo.com
__________________

For the second week in a row, our Global Dollar Liquidity Measure shows a contraction. Most of the damage was caused by repo operations totalling $8bn. Custodial data show that central banks were mostly quiet during the week, swapping some holdings of treasuries for agency securities. Officially, the liquidity boom is intact: the annual rate of growth of our liquidity measure is still solidly above 10%.

The collapse of the VIX over the last couple of sessions has greatly benefited the Endogenous Liquidity Index, which shows a healty 9.7% rate of growth. However, it is worth noting that the recovery in risky assets is not accompanied by falling spreads: CDS and high-yield bond spreads are mostly unchanged, while inflation expectations spreads continue to slowly grind higher.