How the series is built

The Global Liquidity Model is a composite that measures the balance-sheet capacity behind global credit: the balance sheets of five central banks plus 17 government debt markets, revalued every Friday in US dollars and multiplied by a collateral multiplier keyed to the US ten-year Treasury yield.

The central bank balance sheets and the government debt together make up the collateral base. It has 22 components: five central bank balance sheets and 17 government debt markets. Each component is listed on the coverage page. They are revalued every Friday in US dollars, at current exchange rates and, for six markets, current government bond yields.

In 2011 the Committee on the Global Financial System, which the BIS hosts, split global liquidity in two (CGFS Papers No 45). Official liquidity is ultimately provided by central banks. Private liquidity is created to a large degree through the cross-border operations of banks and other financial institutions. The report sees this international component as a potential source of instability, through its own dynamics or because it amplifies cyclical movements in domestic financial conditions.

The series follows that split: central bank money plus government debt collateral, times a collateral multiplier. It is closer to that definition than M2 is. It is not the BIS’s own measure.

The collateral base is central bank money plus government debt collateral. It is a sum of published quantities, revalued each Friday.

Central bank money is the total assets of five central banks: the Federal Reserve, the European Central Bank, the Bank of Japan, the Bank of England and the People’s Bank of China. Other central banks are left out rather than estimated.

Government debt collateral is the general government debt securities outstanding in 17 markets, from the BIS debt securities statistics. The same rule is applied to every jurisdiction the BIS covers: a market is in if the BIS publishes its general government debt securities, the data are recent enough to use once the publication delay is allowed for, and its currency has a daily US dollar rate in the exchange-rate release the series uses. The euro area enters as one aggregate, not as member states, so member states’ debt is not counted twice.

Every Friday the collateral base is revalued in US dollars, at current exchange rates and, for six markets, current government bond yields. The six are the United States, the euro area, China, Japan, the United Kingdom and Canada. In those six the debt is also repriced for the move in that market’s own ten-year government bond yield since the quarter the quantity refers to. In the other eleven markets the debt moves with its currency alone.

Because the series is stated in US dollars, dollar moves change the level. Central bank holdings of government debt are not netted out of the government debt pools, so each market’s pool is a gross amount outstanding.

The same government bond is pledged, borrowed against and pledged again. How many times depends on the haircut, and the haircut depends on bond volatility. The collateral multiplier turns the collateral base into Global Liquidity. It is named for that reuse, but it does not measure reuse, haircuts or bond volatility. The term is the one used in the collateral re-use literature, where the Financial Stability Board (2017) and the Federal Reserve (2018) define collateral multipliers measured from securities-financing data.

Reuse is not published as a weekly series, so the multiplier is modelled rather than measured. It is the less certain part of the series: the base is a sum of published quantities; the multiplier is a model. It has two parameters, keyed to the US ten-year Treasury yield, estimated once and frozen. It moves with that yield. The parameter values are not published.

The US ten-year yield enters twice. A rise marks down US Treasuries in the base and raises the multiplier. The multiplier rose from 1.72 on 25 February 2022 to 1.79 on 21 October 2022 as yields rose. Model estimate.

The multiplier does not see dealer capacity rules or margin. When bond volatility rises, the same collateral supports less credit. The series captures the price side of that every Friday, through the yield revaluation in six markets. The margin side and dealer capacity sit outside the model.

Each week is observed on a Friday. Every input enters at its latest usable value on that day.

Published every Friday after the US close.

• Weekly and daily inputs enter at their current value each Friday.
• Monthly inputs are carried forward until the next release, never nowcast. The Bank of Japan and People’s Bank of China inputs the series uses, and China’s ten-year government bond yield, are monthly.
• BIS debt quantities are quarterly. Each market’s quantity is held at its last published quarter until the next release is usable, and a live week can use only a quarter the BIS has already published. Quantities are never interpolated or trend-extended.

Each source has a set limit on how long its value may go without an update, so an input that stops updating is caught.

No smoothing is applied to the collateral base or to the published total. The one smoothed input is the US ten-year yield, which the multiplier reads as an average over recent weeks. Weekly moves in exchange rates and yields pass through to the base in full.

Each week the series is put in one of two regimes, expansion or contraction, by the six-week percentage change of Global Liquidity. A dead band around zero keeps the previous regime when the change is small, so a move within measurement noise does not flip it. The band is shared with licensees. Whether the regime and the six-week change are delivered is confirmed at contract stage.

The regime describes the series. It is not a view on any asset.

On these pages the series is shown weekly from January 2020.

Recorded live since 31 July 2026. Weeks before 31 July 2026 are reconstructed with the current method, each input entering on a lag that follows its usual release schedule. They are not a record of what was known on each date. Component rows are recorded live since 11 September 2026.

Published values are point-in-time: each week is written once and is never revised after publication.

The inputs to each publication are hash-archived since 19 September 2026. The policy for a future method change is agreed in each licence.

The build is:

• Sources from about a dozen publishers, each with its own format, cadence, currency and revision practice.
• 17 government debt markets, revalued every Friday in US dollars, at current exchange rates and, for six markets, current government bond yields. The BIS quantities are quarterly and enter once the BIS has published them, and the euro area aggregate must not be double counted.
• Monthly Bank of Japan and People’s Bank of China prints, carried forward, never nowcast.
• A freshness limit on every source, so that an input which stops updating is caught.
• A live record that cannot be backfilled. Ours starts on 31 July 2026. A build started later starts its own record later.

By our estimate the first build takes about a quarter of one researcher’s year. After that the sources need maintenance for as long as the series runs.