US FED / TREASURY LIQUIDITY — WEEKLY MEMO
Week Ending 2026-06-05
Mild liquidity drain: reserves fell and RRP absorbed cash even as the Fed balance sheet ticked up.
URLI Score
-33.50
Mild liquidity drain
Net Liquidity
-$20.9B
Meaningful drain
Bank Reserves
-$21.4B
Reserve drain
TGA Change
+$3.1B
Cash drain
RRP Change
+$24.9B
Cash parked
Fed Regime
Hold
3.50%-3.75%
Treasury Outlook
TGA rebuild
Liquidity risk
Market Bias
RISK OFF
Liquidity drag
Executive Conclusion
Supportive
- Fed total assets rose +$7.1B on SOMA Treasury purchases.
- TGA was nearly flat (+$3.1B) after the prior week's sharp rebuild.
- Funding markets remain calm; no emergency stress visible.
Restrictive
- Bank reserves fell another -$21.4B.
- RRP rose +$24.9B, parking cash back at the Fed.
- Rate path stays restrictive with hike risk priced for 2027.
- Front-end and 10Y yields rose versus May 27.
Main Warning
- TGA rebuild remains the medium-term risk; next-week Treasury settlements may offset SOMA support.
NEGATIVE URLI -33.50 — Mild liquidity drain.
WEEKLY LIQUIDITY MAP
Liquidity Waterline
Every node is a water tank: the solid fill is this week's level, the dashed line is last week, and the faint line is the 3-month average. Funding sources feed net liquidity, which flows through the risk gate to crypto markets. Fill colour marks liquidity effect, not raw level.
Funding Sources
TGA+$3.1BNEUTRAL
Fed B/S+$7.1BADD
Reserves-$21.4BWATCH
RRP+$24.9BDRAIN
Net Liquidity
US Net Cash-20.9BDRAIN
Risk Gate
Risk AssetsURLI -33.5DRAIN
Crypto Markets
Crypto Beta$2.28TDRAIN
Meme Beta$26BDRAIN
AddDrainWatchNeutralLast week3-month avg
Liquidity tanks update weekly (Fed H.4.1 / FRED · as of Jun 5, 2026). Crypto & meme market cap and read use the weekly report snapshot (CoinGecko · as of Aug 5, 2026). Homepage and latest weekly memo use the same Waterline snapshot. AI-readable: JSON · Markdown.
What Changed This Week
| Item | Previous | Latest | Change | Impact |
|---|---|---|---|---|
| Fed total assets | $6,704.4B | $6,711.5B | +$7.1B (+0.1%) | POSITIVE |
| Bank reserves | $3,067.0B | $3,045.7B | -$21.4B (-0.7%) | NEGATIVE |
| TGA | $842.7B | $845.7B | +$3.1B (+0.4%) | NEGATIVE |
| RRP | $300.9B | $325.8B | +$24.9B (+8.3%) | NEGATIVE |
| Fed rate path | — | hold with hike risk | 3.50%-3.75% | NEGATIVE |
| Dollar / yields | — | USD or yields up | Broad USD 118.88 (FRED DTWEXBGS, 2026-05-29) | NEGATIVE |
Previous week: 2026-05-29 (H.4.1 weekly levels).
Fed Balance Sheet Detail
| Indicator | Latest | Weekly Change | Read |
|---|---|---|---|
| Fed total assets | $6,711.5B | +$7.1B (+0.1%) | POSITIVE |
| Securities held outright | $6,436.4B | +$7.4B (+0.1%) | POSITIVE |
| Treasury securities | $4,469.3B | +$7.4B (+0.2%) | POSITIVE |
| Bank reserves | $3,045.7B | -$21.4B (-0.7%) | NEGATIVE |
| Discount window | $6.1B | -$0.3B (-4.4%) | POSITIVE |
H.4.1 Table 5 weekly levels in millions of dollars, from the Federal Reserve H.4.1 release dated June 4, 2026 for Wednesday June 3, 2026. Bank reserves use Table 5 'Other deposits held by depository institutions'. Verified against FRED WALCL / WRBWFRBL / WDTGAL / WLRRAL.
Net Liquidity Calculation
Net Liquidity Change = Fed Balance Sheet Change - TGA Change - RRP Change
| Component | Weekly Change | Effect | Notes |
|---|---|---|---|
| Fed balance sheet | +$7.1B | POSITIVE | Balance-sheet growth adds liquidity. |
| TGA | +$3.1B | NEGATIVE | TGA up pulls cash into Treasury; TGA down injects it. |
| RRP | +$24.9B | NEGATIVE | RRP up parks cash at the Fed; RRP down releases it. |
| Net liquidity | -$20.9B | MEANINGFUL DRAIN | Sum of the three flows above. |
URLI — US Risk Liquidity Index
URLI = 0.35 x Net Liquidity + 0.20 x Bank Reserves + 0.15 x Fed Rate Path + 0.10 x Treasury Outlook + 0.10 x Funding Stress + 0.10 x Dollar/Yield Pressure
| Component | Weight | Score | Contribution |
|---|---|---|---|
| Net Liquidity | 35% | -40 | -14.00 |
| Bank Reserves | 20% | -30 | -6.00 |
| Fed Rate Path | 15% | -50 | -7.50 |
| Treasury Outlook | 10% | -50 | -5.00 |
| Funding Stress | 10% | +20 | +2.00 |
| Dollar / Yield Pressure | 10% | -30 | -3.00 |
| Metric | Value |
|---|---|
| Weekly URLI | -33.50 |
| 4-week moving average | -16.81 |
| 13-week moving average | +0.23 · 9 of 13 reconstructed (4-week MA is fully live) |
Observed URLI history
| Week | URLI | Net Liquidity | Reserves | TGA | RRP | Read |
|---|---|---|---|---|---|---|
| 2026-06-05 | -33.50 | -$20.9B | -$21.4B | +$3.1B | +$24.9B | MILD LIQUIDITY DRAIN |
| 2026-05-29 | -41.50 | -$28.2B | -$39.7B | +$60.7B | -$41.7B | NEGATIVE |
| 2026-05-22 | -23.50 | -$5.7B | -$10.7B | -$25.4B | +$16.3B | NEGATIVE |
| 2026-05-15 | +31.25 | +$70.7B | +$65.9B | -$55.3B | +$3.7B | POSITIVE |
| 2026-05-08 | +58.50 | +$134.9B | +$132.3B | -$125.3B | -$0.0B | POSITIVE |
Show 46 earlier entries
| Week | URLI | Net Liquidity | Reserves | TGA | RRP | Read |
|---|---|---|---|---|---|---|
| 2026-05-01 | -2.00 | +$14.0B | +$4.6B | -$19.1B | -$2.4B | NEUTRAL |
| 2026-04-24 | -39.25 | -$66.3B | -$65.6B | +$82.7B | -$14.7B | NEGATIVE |
| 2026-04-17 | -51.50 | -$210.5B | -$203.3B | +$227.4B | -$5.0B | NEGATIVE |
| 2026-04-10 | +58.50 | +$119.7B | +$119.1B | -$106.5B | +$5.3B | POSITIVE |
| 2026-04-03 | +21.00 | +$46.6B | +$28.4B | -$33.9B | +$5.5B | POSITIVE |
| 2026-03-27 | +29.00 | +$36.9B | +$37.3B | -$38.4B | +$2.8B | POSITIVE |
| 2026-03-20 | -42.25 | -$66.3B | -$74.3B | +$70.0B | +$5.9B | NEGATIVE |
| 2026-03-13 | +38.25 | +$52.7B | +$59.4B | -$41.2B | +$6.0B | POSITIVE |
| 2026-03-06 | -5.00 | +$16.8B | +$9.3B | +$8.0B | -$9.7B | NEUTRAL |
| 2026-02-27 | +41.25 | +$50.4B | +$44.5B | -$49.9B | -$0.1B | POSITIVE |
| 2026-02-20 | +0.50 | +$4.0B | +$1.5B | -$21.7B | +$8.7B | NEUTRAL |
| 2026-02-13 | +12.00 | +$19.9B | +$21.0B | +$2.8B | -$6.2B | POSITIVE |
| 2026-02-06 | +38.25 | +$63.6B | +$54.6B | -$45.0B | -$0.3B | POSITIVE |
| 2026-01-30 | -36.75 | -$82.3B | -$73.6B | +$81.5B | +$3.8B | NEGATIVE |
| 2026-01-23 | -45.25 | -$96.9B | -$105.2B | +$94.1B | +$5.6B | NEGATIVE |
| 2026-01-16 | +29.00 | +$25.2B | +$38.8B | -$6.5B | -$10.5B | POSITIVE |
| 2026-01-09 | +53.00 | +$156.2B | +$169.6B | -$89.3B | -$133.9B | POSITIVE |
| 2026-01-02 | -61.00 | -$152.6B | -$127.1B | +$71.3B | +$140.7B | NEGATIVE |
| 2025-12-26 | +43.75 | +$95.0B | +$46.9B | -$59.9B | -$10.7B | POSITIVE |
| 2025-12-19 | -30.00 | -$38.7B | -$40.1B | +$55.6B | +$0.7B | NEGATIVE |
| 2025-12-12 | +56.00 | +$107.2B | +$95.6B | -$102.7B | -$1.0B | POSITIVE |
| 2025-12-05 | -26.00 | -$25.7B | -$19.8B | +$8.8B | +$0.2B | NEGATIVE |
| 2025-11-28 | -5.50 | -$6.9B | -$19.5B | -$1.2B | +$5.1B | NEUTRAL |
| 2025-11-21 | +26.00 | +$32.2B | +$34.2B | -$42.3B | -$15.1B | POSITIVE |
| 2025-11-14 | +31.00 | +$37.4B | +$31.4B | +$0.4B | -$30.1B | POSITIVE |
| 2025-11-07 | +7.00 | +$21.8B | +$24.0B | -$41.2B | +$5.1B | NEUTRAL |
| 2025-10-31 | -55.25 | -$94.3B | -$101.7B | +$78.8B | +$13.0B | NEGATIVE |
| 2025-10-24 | -42.25 | -$66.6B | -$58.6B | +$53.1B | +$6.5B | NEGATIVE |
| 2025-10-17 | -24.50 | -$44.3B | -$45.7B | +$57.9B | -$7.9B | NEGATIVE |
| 2025-10-10 | +38.25 | +$58.0B | +$54.3B | -$25.3B | -$28.9B | POSITIVE |
| 2025-10-03 | -34.25 | -$58.2B | -$20.1B | +$61.4B | -$24.5B | NEGATIVE |
| 2025-09-26 | -12.00 | +$11.2B | -$20.7B | -$49.2B | +$37.7B | NEGATIVE |
| 2025-09-19 | -51.50 | -$125.5B | -$130.6B | +$139.6B | -$11.4B | NEGATIVE |
| 2025-09-12 | -2.50 | -$16.0B | -$17.0B | +$5.6B | +$14.2B | NEUTRAL |
| 2025-09-05 | -26.00 | -$43.0B | -$48.9B | +$66.1B | -$24.4B | NEGATIVE |
| 2025-08-29 | -44.25 | -$78.9B | -$80.8B | +$69.7B | -$5.9B | NEGATIVE |
| 2025-08-22 | -29.00 | -$32.7B | -$30.7B | +$10.6B | -$3.1B | NEGATIVE |
| 2025-08-15 | +2.00 | -$4.7B | -$2.0B | +$51.2B | -$43.7B | NEUTRAL |
| 2025-08-08 | +35.00 | +$33.2B | +$30.7B | +$44.9B | -$79.8B | POSITIVE |
| 2025-08-01 | -41.25 | -$59.7B | -$58.7B | +$85.9B | -$41.3B | NEGATIVE |
| 2025-07-25 | -1.50 | -$15.3B | -$16.7B | +$21.5B | -$7.7B | NEUTRAL |
| 2025-07-18 | +23.00 | +$31.4B | +$33.0B | +$1.0B | -$35.1B | POSITIVE |
| 2025-07-11 | +48.25 | +$84.9B | +$85.5B | -$61.2B | -$21.4B | POSITIVE |
| 2025-07-04 | -42.75 | -$87.3B | -$90.8B | +$37.7B | +$47.1B | NEGATIVE |
| 2025-06-27 | +24.50 | +$23.6B | +$24.3B | -$49.3B | +$6.9B | POSITIVE |
| 2025-06-20 | -53.00 | -$104.1B | -$106.7B | +$106.8B | +$1.1B | NEGATIVE |
Observed URLI history covers completed weekly runs. Historical percentile ranking uses URLI-Core: the four data-derived components (Net Liquidity, Bank Reserves, Funding Stress, Dollar/Yield Pressure), representing 75% of URLI weight, ranked against frozen weekly FRED history since 2020 and shown in the distribution gauge above. The two policy-judgment components and 13-week live average are outside this percentile lens.
Forward View
Projected URLI — 2026-06-12 estimate
| Item | Estimate | Bias |
|---|---|---|
| Projected URLI point | -27.00 | SLIGHT DRAIN / MIXED |
| Backtested URLI range | -20 to -34 | RANGE |
| Projected net liquidity | -$15B to +$10B | NEUTRAL |
| Confidence | Medium-low; exact Treasury settlement amounts, TGA path, and RRP response must be observed. | WATCH |
Projection track record — current estimator
| Metric | Value | Meaning |
|---|---|---|
| Scored weeks (N) | 1 | Scored since the 2026-07-21 model change |
| Directional hit rate | 1/1 | Projected regime sign matched realized |
| Range containment | 1/1 | Realized URLI inside the displayed ±band |
| Avg absolute error | 57.0 pts | Mean |projected − realized| |
| Point bias | +57.0 pts | Mean projected − realized (− = bearish skew) |
The projection model changed materially on 2026-07-21 (maturing bills are now assumed to roll rather than counted as Treasury cash outflows). The 10 earlier scored weeks are excluded above because they were produced by the previous estimator.
Model track record: last 11 completed projections hit 5/11; mean absolute URLI error 37.11.
Assumptions
- NY Fed SOMA purchases provide roughly +$5B to +$7B of technical support through the end of the May 14-June 11 purchase period.
- Treasury TGA is closer to the $900B end-June cash-balance assumption, so the next-week TGA rebuild risk is smaller than the prior week but still negative if bill settlement dominates.
- RRP is assumed roughly stable because next-week RRP usage is not scheduled and must be observed.
- CPI on June 10 and the June 16-17 FOMC meeting are the main rate-path watch items.
Projection is a model-derived scenario with a measured historical error band, not an observed URLI value. It is replaced by actual H.4.1 / TGA / RRP data in the next weekly run.
Next-week liquidity calendar
| Date | Event | Expected Size | Liquidity Effect | Bias |
|---|---|---|---|---|
| 2026-06-08 | 13-week and 26-week Treasury bill auction / settlement watch | Auction announcement required | Coupon settlement and bill auction cash flows can drain liquidity if cash moves into Treasury | NEGATIVE |
| 2026-06-09 | 6-week and 52-week bill auction / settlement watch | Auction announcement required | Bill settlement can rebuild TGA and drain reserves unless offset by RRP release | NEGATIVE |
| 2026-06-10 | May CPI release and 17-week bill auction | Auction announcement required | CPI has no direct flow; auction and settlement flows are cash-flow dependent | NEUTRAL |
| 2026-06-11 | 4-week and 8-week bill auction; end of current NY Fed SOMA purchase period | Auction announcement required | Treasury cash flow versus remaining SOMA support | NEUTRAL |
| 2026-06-12 | Producer prices / consumer sentiment watch | N/A | No direct flow; can tighten or ease financial conditions via yields and Fed path | NEUTRAL |
| 2026-05-14 to 2026-06-11 | NY Fed SOMA Treasury purchases, final days of the current monthly period | $16.3B reinvestment + $10B reserve-management purchases over the period | Technical reserve support / liquidity positive | POSITIVE |
| 2026-06-16 to 2026-06-17 | FOMC meeting and Summary of Economic Projections | N/A | No direct flow; major rate-path and financial-conditions event | WATCH |
| June 2026 | TGA rebuild / bill-CMB pressure watch | Path depends on Treasury cash balance and bill settlement | Potential TGA rebuild / reserve drain | WATCH |
Alerts & Warnings
| Alert | Status | Notes |
|---|---|---|
| Major injection / drain | NEUTRAL | Net liquidity -20.9B; no breach of the +/-$100B threshold. |
| Reserve shock | NEGATIVE | Bank reserves -21.4B; inside the +/-$75B shock band. |
| TGA rebuild risk | WATCH | Treasury assumes a $900B cash balance at end-June and says TGA could peak near $1T +/- $50B in late July; the June 3 Wednesday TGA level was already close to the end-June assumption, reducing but not eliminating forward rebuild risk. |
| RRP shock | NEUTRAL | RRP +24.9B; below the $50B shock threshold. |
| Fed rate path | NEGATIVE | April 29, 2026 FOMC held the target range at 3.50%-3.75%; May 20 minutes showed market-implied expectations of little change this year and options pricing around a 30% hike probability by Q1 2027. The next scheduled FOMC meeting is June 16-17. |
| Funding stress | POSITIVE | SOFR was calm around the policy-rate corridor and no emergency facility jump appeared in H.4.1. |
| Historical significance | NEGATIVE | URLI-Core (4 data components, 75% weight) = -21.00 ranks in the 31st percentile of weeks since 2020 (N=337). |
Market Transmission
| Asset | Bias | Reason |
|---|---|---|
| SPX / QQQ | HEADWIND | Mild liquidity drain; index-level liquidity does not support multiple expansion. |
| Small caps / breadth | NEGATIVE | Rate-sensitive; needs reserve support and lower yields. |
| BTC / ETH | HEADWIND | Crypto tracks net liquidity; this week's flow was -$20.9B. |
| High-beta alts | WATCH | Need both a positive URLI trend and BTC leadership to outperform. |
NEGATIVE Liquidity drag.
Bull / Base / Bear Scenarios
| Scenario | Liquidity Setup | Market Impact | Confirms / Invalidates |
|---|---|---|---|
| BULL | TGA drawdown resumes; SOMA support continues; yields cool. | Risk assets bid. | Confirms: net liquidity > +$50B. Invalidates: TGA rebuild accelerates. |
| BASE | Flat net liquidity; Treasury supply offsets SOMA. | Choppy, range-bound. | Confirms: stable reserves, calm SOFR. Invalidates: auction stress or USD breakout. |
| BEAR | TGA rebuild + bill supply + higher yields. | Risk-off. | Confirms: TGA spikes with rising yields. Invalidates: TGA drawdown and falling yields. |
Sources & Data Definitions
| Field | Source | Type |
|---|---|---|
| Balance sheet / reserves / RRP / TGA | Federal Reserve H.4.1 | Official |
| Verification series | FRED WALCL / WRBWFRBL / WDTGAL / WLRRAL | Official |
| Fed policy / rate path | FOMC statement & minutes | Official |
| Treasury outlook | Quarterly Refunding Statement | Official |
| Funding stress score | FRED SOFR / IORB — 5-business-day avg SOFR−IORB spread (bps) | Official |
| Dollar/yield score | FRED DTWEXBGS / DGS10 — weekly Δ broad dollar (%) × Δ 10Y yield (bps) | Official |
| Metric | Definition |
|---|---|
| Fed balance sheet | H.4.1 Total assets, weekly point-in-time level. |
| Bank reserves | H.4.1 Table 5 'Other deposits held by depository institutions' (weekly reserve balances). |
| TGA | U.S. Treasury, General Account. TGA down is liquidity positive. |
| RRP | Reverse repurchase agreements. RRP up parks cash at the Fed. |
| Basis | Latest week 2026-06-05; previous week 2026-05-29; H.4.1 levels in $M, displayed in $B. |