Global Liquidity Stress Index →

{
  "product_id": "ADW-347",
  "entity": "Global",
  "score": 47.9,
  "trend": "neutral",
  "confidence": 0.72,
  "top_drivers": [
    {
      "factor": "composite_z_stress",
      "contribution": -0.137
    },
    {
      "factor": "nfci_latest",
      "contribution": -0.516
    },
    {
      "factor": "nfci_z_stress",
      "contribution": -0.8028
    },
    {
      "factor": "walcl_latest_usd_m",
      "contribution": 6735645
    },
    {
      "factor": "walcl_z_stress",
      "contribution": 1.1177
    },
    {
      "factor": "rrp_latest_usd_b",
      "contribution": 6.43
    },
    {
      "factor": "rrp_z_stress",
      "contribution": 0.4347
    }
  ],
  "recommended_use": "Gauge the aggregate stress level in global liquidity and financial conditions. Score > 65 = elevated stress / tightening (defensive posture; widen credit spreads, reduce duration risk, prefer USD cash). Score 45-55 = neutral baseline. Score < 35 = ample liquidity / easing (risk-on, reach-for-yield environment). Weekly cadence tracks Fed balance-sheet and money-market regime shifts in near real time.",
  "methodology_version": "ADW-347-live-1.0",
  "freshness": "2026-06-27T04:00:11.780Z",
  "coverage": "NFCI (Chicago Fed National Financial Conditions Index, 105 indicators, weekly since 1971) + WALCL (Federal Reserve total assets / balance sheet, H.4.1 release, weekly since 2002) + RRPONTSYD (NY Fed overnight reverse repo outstanding, daily since 2003). Primary focus: US financial conditions as the global reserve-currency anchor; global spillovers captured indirectly via NFCI's cross-border leverage/credit sub-indexes.",
  "source_lineage": [
    "fred.stlouisfed.org/graph/fredgraph.csv?id=NFCI (keyless; Chicago Fed, weekly)",
    "fred.stlouisfed.org/graph/fredgraph.csv?id=WALCL (keyless; Fed H.4.1, weekly)",
    "fred.stlouisfed.org/graph/fredgraph.csv?id=RRPONTSYD (keyless; NY Fed, daily)"
  ],
  "allowed_use": "informational",
  "validation_status": "descriptive",
  "nfci_latest": -0.516,
  "nfci_latest_date": "2026-06-19",
  "nfci_5yr_mean": -0.4032,
  "nfci_5yr_sd": 0.1405,
  "nfci_z_raw": -0.8028,
  "nfci_z_stress": -0.8028,
  "nfci_n_window": 260,
  "walcl_latest_usd_m": 6735645,
  "walcl_latest_date": "2026-06-24",
  "walcl_5yr_mean_usd_m": 7716134.8115,
  "walcl_5yr_sd_usd_m": 877256.3028,
  "walcl_z_raw": -1.1177,
  "walcl_z_stress": 1.1177,
  "walcl_n_window": 260,
  "rrp_latest_usd_b": 6.426,
  "rrp_latest_date": "2026-06-26",
  "rrp_5yr_mean_usd_b": 37.2986,
  "rrp_5yr_sd_usd_b": 71.0137,
  "rrp_z_raw": -0.4347,
  "rrp_z_stress": 0.4347,
  "rrp_n_window": 260,
  "composite_z_stress": -0.137,
  "n_series_available": 3,
  "weight_note": "NFCI: 60%, WALCL: 25%, RRPONTSYD: 15%",
  "methodology_note": "z_i = (latest − μ_5yr) / σ_5yr for each series over 260 trailing non-missing observations (~5 years). Stress direction: NFCI positive z = stress; WALCL and RRPONTSYD inverted (below trend = reserve scarcity = stress). composite_z = Σ(w_i / Σw_avail × z_stress_i). score = clamp(50 + composite_z × 15, 0, 100). Calibration: historical GFC peak NFCI ≈ +5.2σ → raw score ≈ 128 → clamped 100; 2020 COVID shock NFCI ≈ +3.0σ → raw score ≈ 95; post-2022 Fed tightening peak NFCI ≈ +0.5σ → score ≈ 57. Latest data lag: NFCI publishes every Wednesday; WALCL weekly Thursday; RRPONTSYD daily next-business-day.",
  "data_lag_note": "NFCI: weekly, published Wednesday for prior week. WALCL: weekly, published Thursday H.4.1 release. RRPONTSYD: daily, published next business day. Overall index is effectively current as of prior week."
}