US FED / TREASURY LIQUIDITY — WEEKLY MEMO
Week Ending 2026-07-24
A second straight drain week: the TGA rebuilt another +$39.4B to $835.4B, pulling net liquidity down ~$33.7B and bank reserves below $3.07T, while the curve repriced 16-19bp higher into the July 28-29 FOMC.
URLI Score
-41.50
Bearish liquidity contraction
Net Liquidity
-$33.7B
Meaningful drain
Bank Reserves
-$35.6B
Reserve drain
TGA Change
+$39.4B
Cash drain
RRP Change
-$1.4B
Cash released
Fed Regime
Hold
3.50%-3.75%
Treasury Outlook
TGA rebuild
Liquidity risk
Market Bias
RISK OFF
Liquidity drag
Executive Conclusion
Supportive
- US bank credit surged +$96.8B in the week to July 15 (H.8, released July 24) to $19,741.0B -- the strongest weekly expansion in months, with C&I loans +$14.1B to $2,886.1B and real-estate loans +$7.7B to $5,810.7B.
- Funding markets stayed calm on the week's average: SOFR-IORB averaged -4.4bps and no repo-market stress appeared even as reserves fell to $3.065T.
- The Fed's balance sheet still grew +$4.35B, with Treasury holdings +$5.72B via reinvestment more than offsetting -$3.55B of MBS runoff; the discount window remains negligible at $4.95B.
- The RRP drained a further -$1.4B to $352.7B, cushioning part of the TGA build, and gold rose +0.9% to ~$4,052 with BTC +0.3% to ~$64.1K.
Restrictive
- Net liquidity fell an estimated -$33.7B for a second consecutive week as the TGA rebuilt +$39.4B to $835.4B, still roughly $165B short of Treasury's ~$1T late-July target.
- Bank reserves dropped -$35.6B to $3,064.9B, slipping below the $3.1T mark for the first time in this rebuild cycle.
- The curve repriced hawkishly into the July 28-29 FOMC: 2Y +19bps to 4.37%, 10Y +16bps to 4.71%, 30Y +11bps to 5.17%, cutting the Dollar / Yield Pressure score to -30 from 0 last week.
- The SOFR-IORB cushion compressed from -6bps to -1bp across the week -- still negative, but the first mechanical sign the rebuild is biting at the margin.
- Risk assets slipped again: the Nasdaq fell -2.1% to 24,976 and the S&P 500 -0.6% to 7,412, while the HY spread widened +4bps to 2.77%; the ECB's balance sheet shrank a further -EUR 21.4B.
Main Warning
- Two consecutive drain weeks have taken bank reserves below $3.07T with the TGA rebuild still ~$165B from target, and the July 31 month-end settlement (~$213B of note par plus the ~$21B 10-year TIPS) is the largest scheduled drain of the coming window. The July 29 FOMC decision lands inside that same window and can override the calendar arithmetic entirely, which is why next week's projection is flagged for manual review rather than shipped as a directional call. Watch whether the SOFR-IORB cushion turns positive, whether reserves hold above ~$3.0T, and whether Treasury confirms the ~$1T peak.
NEGATIVE URLI -41.50 — Bearish liquidity contraction.
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+$39.4BDRAIN
Fed B/S+$4.3BNEUTRAL
Reserves-$35.6BWATCH
RRP-$1.4BNEUTRAL
Net Liquidity
US Net Cash-33.7BDRAIN
Risk Gate
Risk AssetsURLI -41.5DRAIN
Crypto Markets
Crypto Beta$2.28TADD
Meme Beta$25BADD
AddDrainWatchNeutralLast week3-month avg
Liquidity tanks update weekly (Fed H.4.1 / FRED · as of Jul 24, 2026). Crypto & meme market cap and read use the weekly report snapshot (CoinGecko · as of Jul 25, 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 | $6,743.0B | $6,747.4B | +$4.3B (+0.1%) | POSITIVE |
| Bank reserves | $3,100.4B | $3,064.9B | -$35.6B (-1.1%) | NEGATIVE |
| TGA | $796.0B | $835.4B | +$39.4B (+5.0%) | NEGATIVE |
| RRP | $354.1B | $352.7B | -$1.4B (-0.4%) | POSITIVE |
| Fed rate path | — | hold with hike risk | 3.50%-3.75% | NEGATIVE |
| Dollar / yields | — | yields repriced hawkishly into the FOMC (10Y +16bp, 2Y +19bp); dollar flat on a lagged H.10 print | Broad USD 120.53 (FRED/H.10 DTWEXBGS, 2026-07-17 -- latest available; the H.10 broad dollar index's multi-day publication lag means no confirmed print past 2026-07-17 as of this report date, so the week-over-week comparison used for the score reads ~flat) | NEGATIVE |
Previous week: 2026-07-17 (H.4.1 weekly levels).
Fed Balance Sheet Detail
| Indicator | Latest | Weekly Change | Read |
|---|---|---|---|
| Fed total assets | $6,747.4B | +$4.3B (+0.1%) | POSITIVE |
| Securities held outright | $6,462.8B | +$2.2B (+0.0%) | POSITIVE |
| Treasury securities | $4,515.7B | +$5.7B (+0.1%) | POSITIVE |
| Bank reserves | $3,064.9B | -$35.6B (-1.1%) | NEGATIVE |
| Discount window | $5.0B | +$0.1B (+2.8%) | WATCH |
H.4.1 Wednesday levels in millions of dollars for July 22, 2026 (release dated July 23, 2026). WALCL (total assets), WRBWFRBL (bank reserves), WDTGAL (TGA) and WLRRAL (RRP) were verified against FRED; Reserve Bank credit, securities held outright, Treasury securities, MBS, Loans (discount window) and Net portfolio holdings of MS Facilities 2020 LLC were read from the official H.4.1 Table 1 Wednesday-level column and cross-checked against the Table 2 maturity-distribution totals. Reserve Bank credit was $6,700,462M, +$4,299M versus the prior Wednesday; securities held outright +$2,172M (Treasuries +$5,720M, MBS -$3,549M, both matching the Table 2 weekly-change column); Loans rose +$137M to $4,950M (primary credit $4,885M, seasonal $50M, PPPLF $16M); MS Facilities 2020 LLC was $627M, -$1M. Bank reserves fell -$35,552M to $3,064,896M and the TGA rose +$39,441M to $835,417M as Treasury's cash rebuild continued through the July 23 bill settlements and the July 24 19-year bond settlement.
Net Liquidity Calculation
Net Liquidity Change = Fed Balance Sheet Change - TGA Change - RRP Change
| Component | Weekly Change | Effect | Notes |
|---|---|---|---|
| Fed balance sheet | +$4.3B | POSITIVE | Balance-sheet growth adds liquidity. |
| TGA | +$39.4B | NEGATIVE | TGA up pulls cash into Treasury; TGA down injects it. |
| RRP | -$1.4B | POSITIVE | RRP up parks cash at the Fed; RRP down releases it. |
| Net liquidity | -$33.7B | 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% | -70 | -14.00 |
| 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 | -41.50 |
| 4-week moving average | -2.88 |
| 13-week moving average | -2.56 · 2 of 13 reconstructed (4-week MA is fully live) |
Observed URLI history
| Week | URLI | Net Liquidity | Reserves | TGA | RRP | Read |
|---|---|---|---|---|---|---|
| 2026-07-24 | -41.50 | -$33.7B | -$35.6B | +$39.4B | -$1.4B | BEARISH LIQUIDITY CONTRACTION |
| 2026-07-17 | -38.50 | -$44.9B | -$36.9B | +$46.7B | +$5.6B | NEGATIVE |
| 2026-07-10 | +31.75 | +$59.1B | +$60.4B | -$58.1B | +$10.0B | POSITIVE |
| 2026-07-03 | +36.75 | +$81.5B | +$122.6B | -$94.5B | +$1.9B | POSITIVE |
| 2026-06-26 | +25.75 | +$53.0B | +$18.1B | -$54.7B | +$0.9B | POSITIVE |
Show 53 earlier entries
| Week | URLI | Net Liquidity | Reserves | TGA | RRP | Read |
|---|---|---|---|---|---|---|
| 2026-06-19 | -66.50 | -$162.7B | -$175.1B | +$155.4B | +$18.3B | NEGATIVE |
| 2026-06-12 | +29.75 | +$67.0B | +$65.8B | -$44.6B | -$8.5B | POSITIVE |
| 2026-06-05 | -33.50 | -$20.9B | -$21.4B | +$3.1B | +$24.9B | NEGATIVE |
| 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 |
| 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 — 2026-07-31 estimate
| Item | Estimate | Bias |
|---|---|---|
| Mechanical midpoint (review only) | -7.50 | PRELIMINARY |
| Backtested URLI range | -68.50 to +41.50 | RANGE |
| Projected net liquidity | -$102.5B to $128.3B | NEUTRAL |
| Range note | Backtested URLI range -68.50 to +41.50. | NEUTRAL |
| Confidence | Model backtest cleared: RMSE $115.4B vs naive $142.9B; hit rate 52.7%. Manual review required for calendar-risk flags. | WATCH |
| Backtest gate | RMSE improvement 19.25% | MODEL |
| Component | Projected Change | Method |
|---|---|---|
| Fed balance sheet | +2.9B | Trailing 4-week mean |
| TGA | -14.0B | Coupon net + assumed bill roll |
| RRP | +4.0B | Trailing 4-week mean |
| Net liquidity | +12.9B | Fed BS - TGA - RRP |
Projection track record — previous estimator (pre-2026-07-21)
| Metric | Value | Meaning |
|---|---|---|
| Scored weeks (N) | 10 | Produced by the previous estimator (pre-2026-07-21) |
| Directional hit rate | 7/10 | Projected regime sign matched realized |
| Range containment | 4/10 | Realized URLI inside the displayed ±band |
| Avg absolute error | 35.1 pts | Mean |projected − realized| |
| Point bias | +12.3 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, which removed the large phantom TGA drawdowns behind the worst misses). All 10 scored weeks above were produced by the previous estimator, so they are not a track record for the model now running; its first scored week ends 2026-07-31. Published rows are kept exactly as issued and are never recomputed.
Model track record: last 10 completed projections hit 4/10; mean absolute URLI error 35.12.
Assumptions
- TGA projection separates coupon cash flow (-14.0B) from bills. Bills are assumed roll (+0.0B); gross settlements and maturities remain $782.0B and $698.0B.
- Fed balance sheet change carries forward the trailing 4-week mean: +2.9B.
- RRP change carries forward the trailing 4-week mean: +4.0B.
- 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 the latest actual week.
- 2026-07-29 scheduled FOMC decision falls in this projection window; rate-path and balance-sheet guidance can dominate the mechanical estimate.
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 |
|---|---|---|---|---|
| 2026-07-27 | 2-Year ($69B) and 5-Year ($70B) Note auctions, plus 13-week ($92B) and 26-week ($79B) bills | $139B in notes (settlement July 31); $171B in bills (settlement July 30) | Large end-of-month coupon and bill settlements drain cash to Treasury, reinforcing the TGA rebuild toward the ~$1T target | NEGATIVE |
| 2026-07-28 | FOMC meeting begins (July 28-29); 7-Year Note ($44B) and 6-week bill ($95B) auctions | $44B 7-Year, settlement July 31; $95B 6-week bill, settlement July 30 | Coupon and bill settlements drain cash to Treasury; the two-day FOMC meeting opens with the rate decision due the following afternoon | NEGATIVE |
| 2026-07-29 | FOMC rate decision (2:00 p.m. ET) and Chair Warsh press conference; additional 2-Year Note auction ($30B); 17-week bill | N/A (rate decision, no SEP); $30B 2-Year Note settling July 31 | Rate decision -- the Committee holds at 3.50%-3.75% entering the meeting with roughly half the June SEP dots showing at least one more hike this year and the curve having repriced +16 to +19 bps this week. Rate-path and balance-sheet guidance can dominate the mechanical liquidity estimate for the week. No market-implied probability is asserted without a stored source snapshot. | WATCH |
| 2026-07-31 | Month-end coupon settlement day (2Y, 5Y, 7Y, additional 2Y, and the July 23 10-Year TIPS) | ~$213B in note par plus the ~$21B 10-Year TIPS | The single largest scheduled drain of the projection window; cash moves from bank reserves into the TGA on settlement | NEGATIVE |
| Week of 2026-07-25 | Projected net-liquidity swing: gross settlements ($782B) vs. maturities ($698B), with bills assumed to roll | Net TGA change of ~-$14B projected by the calendar-mechanical model for the week ending July 31 | The mechanical estimate is roughly flat (+$12.9B net liquidity), but it is flagged for manual review because the July 29 FOMC decision falls inside the window and can dominate the calendar arithmetic | WATCH |
Alerts & Warnings
| Alert | Status | Notes |
|---|---|---|
| Major injection / drain | NEUTRAL | Net liquidity -33.7B; no breach of the +/-$100B threshold. |
| Reserve shock | NEGATIVE | Bank reserves -35.6B; inside the +/-$75B shock band. |
| TGA rebuild risk | WATCH | The TGA rose a further +$39.4B on the week to $835.4B as of July 22, a second consecutive weekly build that lifts Treasury's cash balance roughly $165B above its early-July trough. The rebuild is tracking the path Treasury set out in the May quarterly refunding statement (SB0489), which guided the TGA to peak near $1T (+/- $50B) in late July and flagged marginal bill-auction-size increases across the curve to fund it. With the balance still roughly $165B short of the $1T target and a heavy month-end coupon settlement due July 31 (2Y, 5Y, 7Y and an additional 2Y note totaling ~$213B in par, plus the ~$21B 10-year TIPS), the drain on reserves is set to continue into early August. The score stays at TGA rebuild underway (-50). |
| RRP shock | NEUTRAL | RRP -1.4B; below the $50B shock threshold. |
| Fed rate path | NEGATIVE | No FOMC meeting occurred this week; the Committee convenes July 28-29, 2026, with the decision at 2:00 p.m. ET on July 29 and no accompanying Summary of Economic Projections. The stance carried into the meeting is a restrictive hold with hike risk: the June SEP showed roughly half of the Committee penciling at least one more increase by year-end, and Chair Kevin Warsh's July 14 semiannual testimony stressed that the Committee has 'no tolerance' for persistently elevated inflation. The Treasury curve repriced hawkishly into the meeting this week -- 2Y +19 bps to 4.37%, 10Y +16 bps to 4.71%, 30Y +11 bps to 5.17% (FRED DGS2/DGS10/DGS30, July 17 to July 23). No market-implied July decision probability is asserted because a sourced market-probability snapshot is not stored. |
| Funding stress | POSITIVE | FRED-derived: -4.40 bps avg SOFR−IORB (2026-07-17 to 2026-07-23, 5 business days). The weekly average remains comfortably negative, but the spread compressed steadily through the week -- -6 bps on July 17 to -1 bp on July 23 (SOFR 3.64% vs IORB 3.65%) -- as the TGA rebuild pulled reserves down to $3.065T. Reserves remain ample and no repo-market stress signals appeared, but the narrowing cushion is the first mechanical sign of the rebuild biting at the margin. |
| Historical significance | NEGATIVE | URLI-Core (4 data components, 75% weight) = -29.00 ranks in the 26th 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 -$33.7B. |
| 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 2026-07-24; previous week 2026-07-17; H.4.1 levels in $M, displayed in $B. |