US FED / TREASURY LIQUIDITY — WEEKLY MEMO
Week Ending 2026-06-19
Liquidity drain: TGA surged +$155B and RRP rose +$18B; only a $11B Fed balance sheet gain partially offset.
URLI Score
-66.50
Bearish liquidity contraction
Net Liquidity
-$162.7B
Huge drain
Bank Reserves
-$175.1B
Reserve drain
TGA Change
+$155.4B
Cash pulled into Treasury
RRP Change
+$18.3B
Cash parked at the Fed
Fed Regime
Hold with hike risk
3.50%-3.75%
Treasury Outlook
TGA rebuild expected
Forward liquidity risk
Market Bias
RISK OFF
Liquidity drag caps risk appetite
Executive Conclusion
Supportive
- Funding markets remained calm: SOFR-IORB avg -1 bps, no stress signals despite massive TGA rebuild.
- HY spreads tightened -8 bps week-over-week (2.80% to 2.63%), a credit-positive signal.
- Equity markets advanced: S&P 500 +0.9%, Nasdaq +2.4% week-over-week.
- Calendar model projects a +$231B TGA drawdown next week — if realized, the largest liquidity injection in months.
Restrictive
- Net liquidity fell -$162.7B: TGA +$155.4B and RRP +$18.3B absorbed reserves faster than the $11B Fed asset gain.
- Bank reserves plunged -$175.1B to $2.94T — the largest single-week decline in months.
- FOMC hawkish SEP: median rate 3.8% by year-end 2026 (one hike implied); 9 of 18 members expect at least one hike. PCE inflation projected at 3.6%.
- TGA at $956.5B is near the ~$1T late-July peak target; forward drain risk remains.
Main Warning
- Main risks are continuation of TGA rebuild toward $1T and any follow-through hawkish signaling from Fed speakers post-FOMC. Watch whether the projected $231B TGA drawdown materializes next week as the calendar model expects.
NEGATIVE URLI -66.50 — Bearish liquidity contraction.
What Changed This Week
| Item | Previous | Latest | Change | Impact |
|---|---|---|---|---|
| Fed total assets | $6,725.4B | $6,736.4B | +$11.0B (+0.2%) | POSITIVE |
| Bank reserves | $3,111.5B | $2,936.4B | -$175.1B (-5.6%) | NEGATIVE |
| TGA | $801.1B | $956.5B | +$155.4B (+19.4%) | NEGATIVE |
| RRP | $317.3B | $335.6B | +$18.3B (+5.8%) | NEGATIVE |
| Fed rate path | — | hold with hike risk | 3.50%-3.75% | NEGATIVE |
| Dollar / yields | — | dollar flat; yields flat (+1 bp) | Broad USD 119.51 (FRED DTWEXBGS, 2026-06-12); prior 119.91 (2026-06-10) | POSITIVE |
Previous week: 2026-06-12 (H.4.1 weekly levels).
Fed Balance Sheet Detail
| Indicator | Latest | Weekly Change | Read |
|---|---|---|---|
| Fed total assets | $6,736.4B | +$11.0B (+0.2%) | POSITIVE |
| Securities held outright | $6,454.5B | +$7.4B (+0.1%) | POSITIVE |
| Treasury securities | $4,487.3B | +$7.4B (+0.2%) | POSITIVE |
| Bank reserves | $2,936.4B | -$175.1B (-5.6%) | NEGATIVE |
| Discount window | $7.6B | +$1.0B (+14.8%) | WATCH |
H.4.1 levels in millions of dollars for Wednesday June 17, 2026 (release dated June 19, 2026). WALCL (total assets), WRBWFRBL (bank reserves), WDTGAL (TGA), and WLRRAL (RRP) verified against FRED (FRED date: 2026-06-17). Reserve bank credit, securities detail (treasury, MBS), and discount window read from official H.4.1 release page. Other emergency facilities = $599M (Main Street Lending Program residual, Table 1); prior week recorded as $0.
Net Liquidity Calculation
Net Liquidity Change = Fed Balance Sheet Change - TGA Change - RRP Change
| Component | Weekly Change | Effect | Notes |
|---|---|---|---|
| Fed balance sheet | +$11.0B | POSITIVE | Balance-sheet growth adds liquidity. |
| TGA | +$155.4B | NEGATIVE | TGA up pulls cash into Treasury; TGA down injects it. |
| RRP | +$18.3B | NEGATIVE | RRP up parks cash at the Fed; RRP down releases it. |
| Net liquidity | -$162.7B | HUGE 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% | -100 | -35.00 |
| Bank Reserves | 20% | -100 | -20.00 |
| Fed Rate Path | 15% | -50 | -7.50 |
| Treasury Outlook | 10% | -50 | -5.00 |
| Funding Stress | 10% | +10 | +1.00 |
| Dollar / Yield Pressure | 10% | +0 | +0.00 |
| Metric | Value |
|---|---|
| Weekly URLI | -66.50 |
| 4-week moving average | -27.94 |
| 13-week moving average | N/A — insufficient history |
Observed URLI history
| Week | URLI | Net Liquidity | Reserves | TGA | RRP | Read |
|---|---|---|---|---|---|---|
| 2026-05-15 | +31.25 | +$70.7B | +$65.9B | -$55.3B | +$3.7B | POSITIVE |
| 2026-05-22 | -23.50 | -$5.7B | -$10.7B | -$25.4B | +$16.3B | NEGATIVE |
| 2026-05-29 | -41.50 | -$28.2B | -$39.7B | +$60.7B | -$41.7B | NEGATIVE |
| 2026-06-05 | -33.50 | -$20.9B | -$21.4B | +$3.1B | +$24.9B | NEGATIVE |
| 2026-06-12 | +29.75 | +$67.0B | +$65.8B | -$44.6B | -$8.5B | POSITIVE |
| 2026-06-19 | -66.50 | -$162.7B | -$175.1B | +$155.4B | +$18.3B | BEARISH LIQUIDITY CONTRACTION |
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 — 2026-06-26 estimate
| Item | Estimate | Bias |
|---|---|---|
| Projected URLI point | +43.50 | BULLISH LIQUIDITY BACKDROP |
| Backtested URLI range | +43.50 to +43.50 | RANGE |
| Projected net liquidity | $125.3B to $351.6B | NEUTRAL |
| Confidence | Model backtest cleared: RMSE $113.2B vs naive $142.9B; hit rate 58.0%. Manual review required for calendar-risk flags. | WATCH |
| Backtest gate | RMSE improvement 20.81% | MODEL |
| Component | Projected Change | Method |
|---|---|---|
| Fed balance sheet | +5.7B | Trailing 4-week mean |
| TGA | -231.0B | Treasury settlements minus maturities |
| RRP | -1.8B | Trailing 4-week mean |
| Net liquidity | +238.4B | Fed BS - TGA - RRP |
Model track record: last 5 completed projections hit 4/5; mean absolute URLI error 28.40.
Assumptions
- TGA projected from Treasury settlements ($259.0B) minus maturities ($490.0B) for the Thursday-Wednesday week.
- Fed balance sheet change carries forward the trailing 4-week mean: +5.7B.
- RRP change carries forward the trailing 4-week mean: -1.8B.
- Projected bank reserves use net liquidity as a reserve-identity approximation; actual reserves can differ.
- Fed rate path, Treasury outlook, funding stress, and dollar/yield scores are held at this week's actual values.
- 20-year Bond auction week (Jun 22) may suppress TGA drawdown if Treasury cash is rebuilt from coupon proceeds.
- Scheduled FOMC risk has passed; next FOMC is July 28-29.
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 |
|---|---|---|---|---|
| 2026-06-22 | 20-year Treasury Bond auction and 13-week/26-week bill auctions | 20-year Bond: regular quarterly reopening; 13-week/26-week bills: regular rollovers | 20-year coupon auction settlement drains cash to Treasury; bill rollovers broadly neutral depending on net issuance vs. maturing par | NEGATIVE |
| 2026-06-23 | 4-week, 6-week, 8-week, and 17-week Treasury bill auctions | Regular weekly bill rollovers | Net cash flow depends on par of maturing bills vs. new issuance; broadly liquidity-neutral | NEUTRAL |
| 2026-06-24 | BOE May M4ex money-and-credit release (expected) | N/A | No direct US plumbing effect; updates UK broad money component of GMLCI | WATCH |
| Week of 2026-06-23 | Large projected TGA drawdown: maturities ($490B) exceed settlements ($259B) | Net TGA drawdown of ~$231B projected by calendar-mechanical model | If realized, injects ~$231B of net liquidity into reserve system — bullish URLI signal; drives projected URLI to +43.5 | POSITIVE |
| 2026-07-28 | Next FOMC meeting begins (July 28-29, 2026) | N/A | Rate decision; any hike would tighten financial conditions and reduce Fed Rate Path score | WATCH |
Alerts & Warnings
| Alert | Status | Notes |
|---|---|---|
| Huge liquidity drain | ALERT | Net liquidity -162.7B breached the -$100B major threshold. |
| Reserve shock | ALERT | Bank reserves -175.1B, below the -$75B threshold. |
| TGA rebuild risk | WATCH | TGA surged +$155.4B on the week to $956.5B as of June 17, already above Treasury's ~$900B end-June cash balance assumption from the May refunding statement (SB0489). With the FOMC hawkish SEP delivered and TGA still below the projected ~$1T peak in late July, forward drain pressure remains elevated. Calendar-mechanical model projects a large -$231B TGA drawdown in the next week. |
| RRP shock | NEUTRAL | RRP +18.3B; below the $50B shock threshold. |
| Fed rate path | NEGATIVE | June 16-17, 2026 FOMC (Kevin Warsh's first meeting as Chair) voted unanimously 12-0 to hold at 3.50%-3.75%. SEP median rate at year-end 2026 = 3.8% (up from 3.4% in March), with 9 of 18 participants expecting at least one hike; 8 no change; 1 cut. PCE inflation projection raised to 3.6% (from 2.7%), driven by energy supply shock from the Middle East conflict. Statement dropped forward guidance, characterizing solid growth, stable jobs market, and elevated inflation. |
| Funding stress | POSITIVE | FRED-derived: -1.00 bps avg SOFR-IORB (2026-06-11 to 2026-06-17, 5 business days). SOFR marginally below IORB; reserves at $2.94T remained ample despite the large TGA rebuild. No stress signals visible in repo markets. |
| Historical significance | NEGATIVE | URLI-Core (4 data components, 75% weight) = -54.00 ranks in the 5th percentile of weeks since 2020 (N=337). |
Market Transmission
| Asset | Bias | Reason |
|---|---|---|
| SPX / QQQ | HEADWIND | Bearish liquidity contraction; 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 -$162.7B. |
| High-beta alts | WATCH | Need both a positive URLI trend and BTC leadership to outperform. |
NEGATIVE Liquidity drag caps risk appetite.
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 2026-06-19; previous week 2026-06-12; H.4.1 levels in $M, displayed in $B. |