US FED / TREASURY LIQUIDITY — WEEKLY MEMO
Week Ending 2026-08-28
The plumbing drained modestly -- net liquidity -$20.3B as the TGA rebuilt +$23.0B to $959.4B and reserves fell a third straight week to $2,916.8B -- while the policy signal hardened: July PCE held at 3.7% and Chair Warsh's first Jackson Hole keynote said the Fed 'has more work to do' on inflation.
URLI Score
-29.50
Mild liquidity drain
Net Liquidity
-$20.3B
Meaningful drain
Bank Reserves
-$14.0B
Reserve drain
TGA Change
+$23.0B
Cash drain
RRP Change
-$17.5B
Cash released
Fed Regime
Hold
3.50%-3.75%
Treasury Outlook
Coupon issuance
Liquidity risk
Market Bias
RISK OFF
Liquidity drag
Executive Conclusion
Supportive
- The RRP fell -$17.5B to $356.2B, releasing cash back into the system and partly offsetting the TGA rebuild.
- SOFR-IORB averaged -0.20bp, a third straight week essentially on the administered floor, with no funding stress despite reserves falling further below $3T.
- Long-end yields eased: the 30-year closed at 5.19%, down -8bp on the week and well below the 5.31% multi-decade high of August 17, and the 10-year fell -7bp to 4.67%, helped by Treasury's expanded buyback programme starting September 9.
- H.8 bank credit rose +$33.7B in the August 19 week -- its largest weekly gain in months -- with C&I loans +$11.8B, real estate +$9.3B and consumer +$3.7B all expanding.
- Equities gained (S&P 500 +0.5% to 7,711.76, Nasdaq +0.8% to 26,402.42) and the HY spread tightened -7bp to 2.63%, a mild risk-on tone.
- The broad dollar's latest confirmed print eased -0.7% (118.06 on August 21 vs 118.90 on August 14), a modest easing of dollar pressure.
Restrictive
- Net liquidity fell -$20.3B: the +$23.0B TGA rebuild outweighed the -$17.5B RRP release and the -$14.8B balance-sheet decline, scoring -40 (mild drain).
- Bank reserves fell -$14.0B to $2,916.8B, a third consecutive weekly decline and deeper below the $3T threshold.
- The July PCE price index (released August 26) held at 3.7% headline and 3.3% core -- inflation has plateaued well above target, leaving the July minutes' condition for further tightening unrelieved.
- Chair Warsh's first Jackson Hole keynote (August 28) said inflation is still too high and the Fed 'has more work to do', keeping a September rate hike on the table; September FOMC pricing carries no cut and roughly a one-in-three chance of a hike.
- The Fed's balance sheet contracted -$14.8B, with Reserve Bank credit down -$14.8B and a large month-end MBS paydown of -$17.1B; $211B of coupon supply settling August 31 will lift the TGA a projected +$45B next week.
- Bitcoin slipped -0.4% to $77,839 and gold fell -2.9% to about $4,455, giving back part of last week's debasement-driven spike.
Main Warning
- This was a mirror image of last week on the surface -- the TGA rebuilt the exact -$23.0B it drained, crypto and gold gave back part of their spike, and long yields came in -- but the direction of travel on policy is one way. July PCE did not decline, and the Fed's own Chair used Jackson Hole to say the job is not done. The base case is still a September hold, but a hike is a live tail and there is no cut priced anywhere in 2026. On the plumbing, the story for the next month is the TGA: it is now above its $950B quarter-end target and Treasury's own guidance points to a ~$1.05T late-October peak, so the mechanical drag from cash building at Treasury -- a projected +$45B next week alone as $211B of coupons settle -- is the dominant near-term liquidity headwind. Funding markets remain calm and give no warning, but reserves have now fallen three weeks running and are further below $3T; that buffer is what to watch if the TGA build accelerates. The August employment report on September 4 is the next test of whether the hawkish framing holds.
NEGATIVE URLI -29.50 — 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+$23.0BDRAIN
Fed B/S-$14.8BWATCH
Reserves-$14.0BWATCH
RRP-$17.5BADD
Net Liquidity
US Net Cash-20.3BDRAIN
Risk Gate
Risk AssetsURLI -29.5DRAIN
Crypto Markets
Crypto Beta$2.65TNEUTRAL
Meme Beta$32BNEUTRAL
AddDrainWatchNeutralLast week3-month avg
Liquidity tanks update weekly (Fed H.4.1 / FRED · as of Aug 28, 2026). Crypto & meme market cap and read use the weekly report snapshot (CoinGecko · as of Aug 29, 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 | $6,745.7B | $6,730.9B | -$14.8B (-0.2%) | NEGATIVE |
| Bank reserves | $2,930.8B | $2,916.8B | -$14.0B (-0.5%) | NEGATIVE |
| TGA | $936.4B | $959.4B | +$23.0B (+2.5%) | NEGATIVE |
| RRP | $373.7B | $356.2B | -$17.5B (-4.7%) | POSITIVE |
| Fed rate path | — | hold with hike risk -- Chair Warsh used his first Jackson Hole keynote on August 28 to say inflation is still too high and that the Fed 'has more work to do', a clearer signal than before that rate increases may be needed; the July PCE released August 26 showed headline inflation holding at 3.7% and core at 3.3%, so the July minutes' condition ('tightening likely necessary if inflation did not decline') was not relieved. Futures price no September cut and roughly a one-in-three chance of a hike | 3.50%-3.75% | NEGATIVE |
| Dollar / yields | — | neutral on the confirmed data -- the broad dollar's latest confirmed H.10 print (August 21, 118.06) is flat against the print seven days before the report date, and the 10-year fell only -7bp net, so both legs score flat under the rubric; long-end yields eased more (-8bp on the 30-year) but not enough to move the score | Broad USD 118.06 (FRED/H.10 DTWEXBGS, 2026-08-21 -- the confirmed print advanced one week from last report's 2026-08-14, and the H.10 index's multi-day publication lag still means no confirmed print past 2026-08-21 as of this report date). Against the prior confirmed print (118.90 on 2026-08-14) the broad dollar eased -0.7%. | NEUTRAL |
Previous week: 2026-08-21 (H.4.1 weekly levels).
Fed Balance Sheet Detail
| Indicator | Latest | Weekly Change | Read |
|---|---|---|---|
| Fed total assets | $6,730.9B | -$14.8B (-0.2%) | NEGATIVE |
| Securities held outright | $6,462.1B | -$13.2B (-0.2%) | NEGATIVE |
| Treasury securities | $4,546.2B | +$3.9B (+0.1%) | POSITIVE |
| Bank reserves | $2,916.8B | -$14.0B (-0.5%) | NEGATIVE |
| Discount window | $5.0B | -$0.1B (-2.7%) | POSITIVE |
H.4.1 Wednesday levels in millions of dollars for August 26, 2026, from the August 27 release. WALCL (total assets 6,730,912, -14,787), WRBWFRBL (bank reserves 2,916,824, -13,993), WDTGAL (TGA 959,435, +23,029) and WLRRAL (RRP 356,158, -17,528) verified against FRED; the reserve-balances Wednesday level also reconciles exactly with the H.4.1 Table 1 print (2,916,824). Detail lines are read from the Wednesday-level column of H.4.1 Table 1 in the August 27 release: Reserve Bank credit 6,683,670 (avg 6,694,609); Securities held outright 6,462,101 = U.S. Treasury 4,546,169 + agency debt 2,347 + MBS 1,913,585 (component check exact); Loans (discount_window) Wednesday level 4,962, of which primary credit 4,890; other_emergency_facilities = net portfolio holdings of MS Facilities 2020 LLC, Wednesday level 894. Each _change is computed Wednesday-over-Wednesday against the August 20 release (RBC 6,698,426; securities held outright 6,475,303; Treasuries 4,542,228; MBS 1,930,728; Loans 5,101; MS Facilities 727), not from the release's own average-over-average change column. The month-end MBS decline (-17,143) is a paydown effect and is partially offset by the +3,941 in Treasury holdings. The TGA Wednesday level also matches the daily Treasury statement for 2026-08-26.
Net Liquidity Calculation
Net Liquidity Change = Fed Balance Sheet Change - TGA Change - RRP Change
| Component | Weekly Change | Effect | Notes |
|---|---|---|---|
| Fed balance sheet | -$14.8B | NEGATIVE | Balance-sheet growth adds liquidity. |
| TGA | +$23.0B | NEGATIVE | TGA up pulls cash into Treasury; TGA down injects it. |
| RRP | -$17.5B | POSITIVE | RRP up parks cash at the Fed; RRP down releases it. |
| Net liquidity | -$20.3B | 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% | -30 | -3.00 |
| Funding Stress | 10% | +10 | +1.00 |
| Dollar / Yield Pressure | 10% | +0 | +0.00 |
| Metric | Value |
|---|---|
| Weekly URLI | -29.50 |
| 4-week moving average | -10.75 |
| 13-week moving average | -12.58 |
Observed URLI history
| Week | URLI | Net Liquidity | Reserves | TGA | RRP | Read |
|---|---|---|---|---|---|---|
| 2026-08-28 | -29.50 | -$20.3B | -$14.0B | +$23.0B | -$17.5B | MILD LIQUIDITY DRAIN |
| 2026-08-21 | -15.50 | -$6.8B | -$16.8B | -$23.0B | +$15.6B | NEGATIVE |
| 2026-08-14 | -39.25 | -$57.4B | -$55.1B | +$30.1B | +$38.7B | NEGATIVE |
| 2026-08-07 | +41.25 | +$69.2B | +$58.2B | -$41.1B | -$17.7B | POSITIVE |
| 2026-07-31 | -64.50 | -$128.6B | -$120.4B | +$135.0B | -$15.7B | NEGATIVE |
Show 58 earlier entries
| Week | URLI | Net Liquidity | Reserves | TGA | RRP | Read |
|---|---|---|---|---|---|---|
| 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 |
| 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 — 2026-09-04 estimate
| Item | Estimate | Bias |
|---|---|---|
| Projected URLI point | -49.75 | BEARISH LIQUIDITY CONTRACTION |
| Backtested URLI range | -64.50 to +30.75 | RANGE |
| Projected net liquidity | -$167.0B to $63.8B | NEUTRAL |
| Range note | Backtested URLI range -64.50 to +30.75. | 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 | -1.8B | Trailing 4-week mean |
| TGA | +45.0B | Coupon net + assumed bill roll |
| RRP | +4.8B | Trailing 4-week mean |
| Net liquidity | -51.6B | Fed BS - TGA - RRP |
Projection track record — current estimator
| Metric | Value | Meaning |
|---|---|---|
| Scored weeks (N) | 5 | Scored since the 2026-07-21 model change |
| Directional hit rate | 3/5 | Projected regime sign matched realized |
| Range containment | 5/5 | Realized URLI inside the displayed ±band |
| Avg absolute error | 33.6 pts | Mean |projected − realized| |
| Point bias | +10.1 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 12 completed projections hit 6/12; mean absolute URLI error 37.38.
Assumptions
- TGA projection separates coupon cash flow (+45.0B) from bills. Bills are assumed roll (+0.0B); gross settlements and maturities remain $777.0B and $737.0B.
- Fed balance sheet change carries forward the trailing 4-week mean: -1.8B.
- RRP change carries forward the trailing 4-week mean: +4.8B.
- 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 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 |
|---|---|---|---|---|
| 2026-08-31 | Settlement of $69B 2-year, $70B 5-year, $44B 7-year notes and $28B 2-year FRN | $211B combined, per the TreasuryDirect auction results | All settle Monday August 31, inside the week ending September 4; this is the mechanical driver of the projected ~+$45B TGA build and the -49.75 projected URLI | NEGATIVE |
| 2026-09-01 | ISM Manufacturing PMI (August) and construction spending, 10:00 a.m. ET | N/A | No direct plumbing effect; first hard read on August activity ahead of the September 16-17 FOMC | WATCH |
| 2026-09-03 | Bill settlements: 13-week ($92B), 26-week ($79B), 52-week ($52B), 6-week ($85B) | ~$308B, sizes per the TreasuryDirect announcements | Bills assumed to roll per the projection model; no net TGA effect unless announced sizes change | NEUTRAL |
| 2026-09-04 | August employment report (nonfarm payrolls, unemployment rate, average hourly earnings), 8:30 a.m. ET | N/A | No direct plumbing effect, but the single largest data input for the September 16-17 FOMC and the rate-path score; a weak print would test the hike-risk framing | WATCH |
| 2026-09-08 | 3-year note auction; 10-year note and 30-year bond auctions September 9-10 | September refunding, sizes per the TreasuryDirect announcements | All settle September 15, outside the week ending September 4; flagged here as the next long-end supply test | NEGATIVE |
| Week of 2026-08-31 | Projected net-liquidity swing: gross settlements ($777B) vs maturities ($737B), bills assumed to roll | Net TGA change of ~+$45B (coupon) projected for the week ending September 4 | The calendar-mechanical model clears its ship gate and flags no tax-date or quarter-end risk, so the projection is published as a normal directional estimate | NEGATIVE |
Alerts & Warnings
| Alert | Status | Notes |
|---|---|---|
| Major injection / drain | NEUTRAL | Net liquidity -20.3B; no breach of the +/-$100B threshold. |
| Reserve shock | NEGATIVE | Bank reserves -14.0B; inside the +/-$75B shock band. |
| RRP shock | NEUTRAL | RRP -17.5B; below the $50B shock threshold. |
| Fed rate path | NEGATIVE | No FOMC meeting this week. Two events reinforced the hawkish read already in place from the July 28-29 minutes. First, on August 26 the BEA's July personal income and outlays report showed the PCE price index holding at 3.7% year over year (headline came in slightly above expectations) and core PCE unchanged at 3.3% -- inflation has plateaued well above target rather than resuming its decline, which is precisely the state the minutes said would 'likely' require further tightening. Second, on August 28 Chair Warsh delivered his first Jackson Hole keynote: he said he was impressed with the economy's strength but concerned that underlying inflation trends have not meaningfully improved, that summer's better prints do not change that, and that the Fed 'has more work to do' -- read by markets as leaving a rate increase on the table. He deliberately avoided committing to forward guidance or a reaction function. Market pricing for the September 16-17 meeting stayed tilted toward tightening: essentially no cut priced and roughly a one-in-three probability of a 25bp hike. The score stays at -50 (hold with hike risk); it does not move to -80 (active tightening) because the Committee is still on hold and a September hold remains the base case. The next scheduled signal is the August employment report on September 4. |
| Funding stress | POSITIVE | FRED-derived: -0.20 bps avg SOFR-IORB (2026-08-21 to 2026-08-27, 5 business days): +0.00 bps Aug 21, +0.00 bps Aug 24, +1.00 bps Aug 25, -1.00 bps Aug 26, -1.00 bps Aug 27. IORB held at 3.65% throughout; SOFR closed the window at 3.64%. |
| Historical significance | NEGATIVE | URLI-Core (4 data components, 75% weight) = -19.00 ranks in the 32nd 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 -$20.3B. |
| 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 2026-08-28; previous week 2026-08-21; H.4.1 levels in $M, displayed in $B. |