US FED / TREASURY LIQUIDITY — WEEKLY MEMO
Week Ending 2026-07-31
The drain peaked and the rebuild ended in the same week: the TGA jumped +$135.0B to $970.4B, pulling net liquidity down ~$128.6B and reserves below $3T to $2.945T -- but at the ~$1T target, the mechanical drain that caused it is now largely spent.
URLI Score
-64.50
Bearish liquidity contraction
Net Liquidity
-$128.6B
Huge drain
Bank Reserves
-$120.4B
Reserve drain
TGA Change
+$135.0B
Cash drain
RRP Change
-$15.7B
Cash released
Fed Regime
Hold
3.50%-3.75%
Treasury Outlook
TGA rebuild
Liquidity risk
Market Bias
RISK OFF
Liquidity drag
Executive Conclusion
Supportive
- The TGA rebuild is effectively complete. At $970.4B the balance is inside Treasury's guided ~$1T (+/- $50B) late-July band, which removes the step-function drain that took roughly $210B out of reserves across three weeks.
- The FOMC held at 3.50%-3.75% and the front end rallied: the 2Y fell -10bps to 4.23%, lifting the Dollar / Yield Pressure score back to 0 from -30 last week.
- Equities recovered on the hold: the S&P 500 rose +1.1% to 7,489.72 and the Nasdaq +1.6% to 25,373.85, both reversing the prior week's decline.
- The RRP drained -$15.7B to $337.1B, absorbing part of the TGA build so that reserves fell less than the Treasury cash move alone implied.
- Broad money is still expanding with participation broadening: euro area M3 accelerated to +3.3% YoY in June (from 3.0%) and UK M4ex to +5.0% (from 4.8%), with UK net lending up a sharp £39.1B.
Restrictive
- Net liquidity fell an estimated -$128.6B, by far the largest single-week drain of this cycle and the third consecutive negative week.
- Bank reserves dropped -$120.4B to $2,944.5B, falling below the $3T threshold for the first time in this cycle.
- The SOFR-IORB cushion has closed completely -- 0bps on July 28, 29 and 30 -- so SOFR is now trading exactly at the administered floor rather than below it; the derived Funding Stress score eases to +10 from +20.
- Three FOMC members (Hammack, Kashkari, Logan) dissented in favour of a 25bp HIKE, the first three-way unified dissent since September 2016; the only live directional pressure inside the Committee is upward, keeping the Fed Rate Path score at -50.
- US bank credit reversed: H.8 for the week to July 22 shows total bank credit -$21.7B to $19,719.4B and C&I loans -$2.1B, giving back part of the prior week's exceptional +$96.8B.
- The Fed's balance sheet shrank -$9.2B with securities held outright -$9.9B as -$13.9B of MBS runoff outran +$4.0B of Treasury growth; BTC fell -1.9% to ~$62.9K and gold slipped -0.3% to ~$4,042.7.
Main Warning
- Reserves are below $3T and the SOFR-IORB cushion is exactly zero for three consecutive sessions -- SOFR is at the floor, not through it, so this is a compressed cushion rather than funding stress, but it is the level at which the distinction stops being academic. The decisive event is the August 5 Quarterly Refunding Statement: if Treasury raises its TGA target above ~$1T or lifts coupon auction sizes, the drain restarts from an already-thin reserve base; if the target is unchanged, the July rebuild was the whole of it and reserves should stabilise. Watch whether SOFR-IORB turns positive, whether the discount window (now $6.6B, the largest weekly rise this cycle but still negligible) stays quiet, and the August 7 payrolls print, which will either harden or defuse the three dissenters' hike case.
NEGATIVE URLI -64.50 — 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+$135.0BDRAIN
Fed B/S-$9.2BWATCH
Reserves-$120.4BDRAIN
RRP-$15.7BADD
Net Liquidity
US Net Cash-128.6BDRAIN
Risk Gate
Risk AssetsURLI -64.5DRAIN
Crypto Markets
Crypto Beta$2.26TDRAIN
Meme Beta$25BADD
AddDrainWatchNeutralLast week3-month avg
Liquidity tanks update weekly (Fed H.4.1 / FRED · as of Jul 31, 2026). Crypto & meme market cap and read use the weekly report snapshot (CoinGecko · as of Aug 3, 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 | $6,747.4B | $6,738.2B | -$9.2B (-0.1%) | NEGATIVE |
| Bank reserves | $3,064.9B | $2,944.5B | -$120.4B (-3.9%) | NEGATIVE |
| TGA | $835.4B | $970.4B | +$135.0B (+16.2%) | NEGATIVE |
| RRP | $352.7B | $337.1B | -$15.7B (-4.4%) | POSITIVE |
| Fed rate path | — | hold with hike risk | 3.50%-3.75% | NEGATIVE |
| Dollar / yields | — | front end rallied on the FOMC hold (2Y -10bp) while the long end backed up (30Y +5bp); dollar flat on a lagged H.10 print | Broad USD 120.71 (FRED/H.10 DTWEXBGS, 2026-07-24 -- latest available; the H.10 broad dollar index's multi-day publication lag means no confirmed print past 2026-07-24 as of this report date, so the week-over-week comparison used for the score reads flat) | NEUTRAL |
Previous week: 2026-07-24 (H.4.1 weekly levels).
Fed Balance Sheet Detail
| Indicator | Latest | Weekly Change | Read |
|---|---|---|---|
| Fed total assets | $6,738.2B | -$9.2B (-0.1%) | NEGATIVE |
| Securities held outright | $6,452.9B | -$9.9B (-0.2%) | NEGATIVE |
| Treasury securities | $4,519.7B | +$4.0B (+0.1%) | POSITIVE |
| Bank reserves | $2,944.5B | -$120.4B (-3.9%) | NEGATIVE |
| Discount window | $6.6B | +$1.6B (+32.6%) | WATCH |
H.4.1 Wednesday levels in millions of dollars for July 29, 2026 (release dated July 30, 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 (not the averages-of-daily-figures column), and each weekly change was computed Wednesday-over-Wednesday against the July 23, 2026 release's July 22 Wednesday column. Reserve Bank credit was $6,691,432M, -$9,030M versus the prior Wednesday; securities held outright -$9,941M (Treasuries +$3,993M, MBS -$13,933M runoff; the components sum exactly to the total with $2,347M of agency debt). Loans rose +$1,615M to $6,565M (primary credit $6,506M, seasonal $44M, PPPLF $16M) -- still negligible in absolute terms but the largest weekly increase in the series this cycle; MS Facilities 2020 LLC was $628M, +$1M. Bank reserves fell a sharp -$120,355M to $2,944,541M -- below $3T for the first time in this cycle -- and the TGA rose +$135,025M to $970,442M, the single largest weekly build of the rebuild, as the July 27-29 note auctions and July 30 bill settlements moved cash to Treasury ahead of the July 31 month-end coupon settlement.
Net Liquidity Calculation
Net Liquidity Change = Fed Balance Sheet Change - TGA Change - RRP Change
| Component | Weekly Change | Effect | Notes |
|---|---|---|---|
| Fed balance sheet | -$9.2B | NEGATIVE | Balance-sheet growth adds liquidity. |
| TGA | +$135.0B | NEGATIVE | TGA up pulls cash into Treasury; TGA down injects it. |
| RRP | -$15.7B | POSITIVE | RRP up parks cash at the Fed; RRP down releases it. |
| Net liquidity | -$128.6B | 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% | -30 | -3.00 |
| Funding Stress | 10% | +10 | +1.00 |
| Dollar / Yield Pressure | 10% | +0 | +0.00 |
| Metric | Value |
|---|---|
| Weekly URLI | -64.50 |
| 4-week moving average | -28.19 |
| 13-week moving average | -7.37 · 1 of 13 reconstructed (4-week MA is fully live) |
Observed URLI history
| Week | URLI | Net Liquidity | Reserves | TGA | RRP | Read |
|---|---|---|---|---|---|---|
| 2026-07-31 | -64.50 | -$128.6B | -$120.4B | +$135.0B | -$15.7B | BEARISH LIQUIDITY CONTRACTION |
| 2026-07-24 | -41.50 | -$33.7B | -$35.6B | +$39.4B | -$1.4B | NEGATIVE |
| 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 |
Show 54 earlier entries
| Week | URLI | Net Liquidity | Reserves | TGA | RRP | Read |
|---|---|---|---|---|---|---|
| 2026-06-26 | +25.75 | +$53.0B | +$18.1B | -$54.7B | +$0.9B | POSITIVE |
| 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 — 2026-08-07 estimate
| Item | Estimate | Bias |
|---|---|---|
| Projected URLI point | -9.50 | NEUTRAL / MIXED |
| Backtested URLI range | -64.50 to +45.50 | RANGE |
| Projected net liquidity | -$111.6B to $119.1B | NEUTRAL |
| Range note | Backtested URLI range -64.50 to +45.50. | NEUTRAL |
| Confidence | Model backtest cleared: RMSE $115.4B vs naive $142.9B; hit rate 52.7%. | WATCH |
| Backtest gate | RMSE improvement 19.25% | MODEL |
| Component | Projected Change | Method |
|---|---|---|
| Fed balance sheet | +3.4B | Trailing 4-week mean |
| TGA | +0.0B | Coupon net + assumed bill roll |
| RRP | -0.3B | Trailing 4-week mean |
| Net liquidity | +3.8B | Fed BS - TGA - RRP |
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
- TGA projection separates coupon cash flow (+0.0B) from bills. Bills are assumed roll (+0.0B); gross settlements and maturities remain $600.0B and $510.0B.
- Fed balance sheet change carries forward the trailing 4-week mean: +3.4B.
- RRP change carries forward the trailing 4-week mean: -0.3B.
- 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.
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 |
|---|---|---|---|---|
| 2026-08-03 | 13-week ($92B) and 26-week ($79B) bill auctions | $171B in bills, settlement August 6 | Routine bill supply; assumed to roll against maturing bills, so the net cash effect is close to neutral absent an auction-size change | NEUTRAL |
| 2026-08-04 | 52-week ($52B) and 6-week ($95B) bill auctions | $147B in bills, settlement August 6 | Routine bill supply settling alongside the August 6 13/26-week settlement; net effect depends on the size of the same-day maturity roll | NEUTRAL |
| 2026-08-05 | Quarterly Refunding Statement (8:30 a.m. ET) and announcement of the 3-Year, 10-Year and 30-Year refunding auctions | N/A (policy announcement); sets coupon auction sizes and the next TGA cash target | The single most important scheduled item of the week. Treasury's next TGA target and any coupon auction-size increases determine whether the drain that ended in July restarts in August. A target above ~$1T or larger coupon sizes would reopen the reserve drain; an unchanged target confirms the rebuild is done. | WATCH |
| 2026-08-06 | 4-week, 8-week and 17-week bill auctions (announced August 4-5) | Sizes announced August 4; settlement August 11 | Short-bill rollover; settles outside the report week, so no in-window cash effect | NEUTRAL |
| 2026-08-07 | Employment Situation for July 2026 (8:30 a.m. ET) | N/A (data release) | No direct liquidity effect, but the first major labour print after a hold with three hike dissents; a hot report would harden the hike case that the dissenters already pressed and lift the front end | WATCH |
| Week of 2026-08-03 | Projected net-liquidity swing: gross settlements ($600B) vs. maturities ($510B), with bills assumed to roll | Net TGA change of ~$0B projected by the calendar-mechanical model for the week ending August 7 | With no coupon settlements inside the window and the TGA rebuild complete, the mechanical estimate is a small net injection (+$3.8B) driven by the Fed balance-sheet and RRP carry-forwards rather than by Treasury cash flow | NEUTRAL |
Alerts & Warnings
| Alert | Status | Notes |
|---|---|---|
| Huge liquidity drain | ALERT | Net liquidity -128.6B breached the -$100B major threshold. |
| Reserve shock | ALERT | Bank reserves -120.4B, below the -$75B threshold. |
| TGA rebuild risk | WATCH | The TGA rose +$135.0B on the week to $970.4B as of July 29 -- by far the largest single-week build of this cycle and the week the rebuild effectively reached its destination. Treasury's May quarterly refunding statement (SB0489) guided the cash balance to peak near $1T (+/- $50B) in late July; at $970.4B the balance is now inside that band, roughly $30B from the midpoint. That materially changes the forward setup: the mechanical driver that pulled ~$210B out of reserves over three weeks is largely spent, and the July 31 month-end coupon settlement (~$213B of note par plus the ~$21B 10-year TIPS) was funded by auctions that already settled into this week's number. The score improves from -50 (rebuild underway) to -30 (ordinary issuance pressure): net bill and coupon supply still absorbs cash, but the step-function TGA drain is over unless the August 5 quarterly refunding raises the target. |
| RRP shock | NEUTRAL | RRP -15.7B; below the $50B shock threshold. |
| Fed rate path | NEGATIVE | The FOMC met July 28-29 and held the target range at 3.50%-3.75%, as the implementation note confirms (IORB unchanged at 3.65%, effective July 30). The decision was not unanimous: three regional presidents -- Hammack (Cleveland), Kashkari (Minneapolis) and Logan (Dallas) -- dissented in favour of a 25 bp INCREASE, the first time since September 2016 that three policymakers dissented with a single unified direction. No Summary of Economic Projections accompanied this meeting. The hold with three hike dissents keeps the regime at 'hold with hike risk' (-50): the Committee is not cutting, and the only live directional pressure inside the Committee is upward. The curve's reaction was a modest bull-flattening at the front end into the decision and a give-back after -- 2Y -10 bps to 4.23%, 10Y -1 bp to 4.68%, 30Y +5 bps to 5.21% (FRED DGS2/DGS10/DGS30, July 24 to July 30). |
| Funding stress | POSITIVE | FRED-derived: -0.40 bps avg SOFR−IORB (2026-07-24 to 2026-07-30, 5 business days). The cushion that averaged -4.4 bps last week has now closed entirely: -1 bp on July 24 and July 27, then exactly 0 bps on July 28, 29 and 30 (SOFR 3.65% = IORB 3.65%). This is the mechanical consequence of reserves falling -$120.4B to $2.945T, below $3T for the first time this cycle. The derived score falls to +10 from +20. Important qualification: a zero spread is a compressed cushion, not stress -- SOFR is trading AT the administered floor, not above it, and no repo-market dislocation, spike in the SOFR 99th percentile, or discount-window surge appeared (Loans rose to only $6.6B). The signal to watch is whether the spread goes positive. |
| 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 -$128.6B. |
| 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 2026-07-31; previous week 2026-07-24; H.4.1 levels in $M, displayed in $B. |