WEEKLY FED BALANCE SHEET REVIEW. A RECOVERY, AND A NEW RECORD
. Federal Reserve: "Factors Affecting Reserve Balances", June 20
- Fed's Treasuries holdings: $781.4bn (+$2.3bn)
- Other central banks' Treasuries holdings: $1,231.0bn (+$4.3bn) (*)
- Other central banks' agency securities: $736.1bn (+$7.4bn) (*)
- Mackinlay's Global Dollar Liquidity Measure: $2,748.4bn (+$14.0bn)
(*) Off-balance-sheet items.
agustin_mackinlay@yahoo.com
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Following two weeks of setbacks, our Global Dollar Liquidity measure rebounded to a new record high of $2,748bn. All the components showed gains, but foreign central banks led the charge with combined purchases of treasuries and agency securities totalling $11.7bn. The 14.5% annual growth rate means that June is the 55th month in a row with a 10% or more rate of growth. As readers of this blog know, this is ... unprecedented.
A word on our wild Endogenous Liquidity Index: the Bear Stearns CDO saga is putting upward pressure on CDS spreads, thus taming the index (now up by only 5.9%).
3 comments:
What type of a move in say the VIX or CDS spreads would we need to see to push your Endogenous Liqiudity Index into negative territory?
Would it take a significant event to do so?
Robert. A move to 18.50 on the VIX would do the job. Let me take a look at CDS (it's more complicated). You should soon receive the Brock piece.
Agustin,
Thank you for the response. I appreciate you taking the time to send me the Brock piece.
18.50 on the VIX means that we would probably need another Feb. 27. I don't see that happening with bearish sentiment running so high.
However, from what I have been noticing at Markit, a scenario involving continue pressure on CDS spreads cannot be ruled out.
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