US FED / TREASURY LIQUIDITY — WEEKLY MEMO
Week Ending 2026-09-04
The plumbing turned mildly supportive -- net liquidity +$19.8B as the TGA drew down -$15.1B to $944.4B and bank reserves rose +$12.5B to $2,929.3B, their first weekly gain in a month -- but the policy signal hardened sharply: the August jobs report blew past expectations (+162k, unemployment 4.1%) and markets now price a September rate hike as more likely than not.
URLI Score
-3.50
Neutral
Net Liquidity
+$19.8B
Small injection
Bank Reserves
+$12.5B
Reserve build
TGA Change
-$15.1B
Cash injection
RRP Change
+$1.6B
Cash parked
Fed Regime
Hold
3.50%-3.75%
Treasury Outlook
Coupon issuance
Liquidity risk
Market Bias
MIXED
Mixed
Executive Conclusion
Supportive
- Net liquidity rose +$19.8B: the -$15.1B TGA drawdown and a broadly flat Fed balance sheet (+$6.3B) outweighed a small +$1.6B RRP uptick, scoring 0 (the neutral band) after four straight negative weeks.
- Bank reserves rose +$12.5B to $2,929.3B, the first weekly increase after three consecutive declines, scoring +30.
- SOFR-IORB averaged +1.0bp with only a brief +3bp blip on the August 31 month-end turn; funding markets remain on the administered floor with reserves still below $3T.
- The $211B of 2Y/5Y/7Y/FRN coupon supply that settled August 31 was absorbed without any funding-market strain.
- Equities were resilient (S&P 500 +0.1% to 7,718.60, Nasdaq +0.4% to 26,506.99) and the HY spread held near 2.65%, roughly flat on the week despite the hawkish repricing.
- Bitcoin rose +2.3% to about $79,700, recovering part of the prior week's give-back.
Restrictive
- The August employment report (September 4) came in at +162,000 payrolls versus a ~53,000 consensus, with about +55,000 in upward revisions and unemployment steady at 4.1% -- a labour market re-accelerating while core PCE sits at 3.3%.
- Fed funds futures now price roughly a 60% chance of a 25bp hike at the September 15-16 FOMC, up from about one-in-three a week earlier, with no 2026 cut priced anywhere; Chair Warsh has called the economy 'at full employment'.
- Yields backed up across the curve on the repricing: the 2-year rose +14bp to 4.34%, the 10-year +10bp to 4.77% and the 30-year +6bp to 5.25% versus the prior report, and the broad dollar firmed +0.6% against its prior confirmed print.
- The TGA drawdown is a timing artefact, not a trend: Treasury is still building cash toward the QRA's ~$1.05T late-October peak, and $119B of September refunding supply settles September 15.
- Bank reserves, despite this week's bounce, are still below the $3T threshold and the medium-term path points lower as the TGA rebuilds.
- Gold fell about -0.5% to roughly $4,433 and slipped further intraday Friday as the dollar strengthened on the jobs print.
Main Warning
- The liquidity data and the policy signal are pointing in opposite directions this week, and the policy signal is the one that matters for the next fortnight. Mechanically the plumbing eased -- the TGA fell, reserves rose, funding stayed calm -- and URLI lifts back to roughly neutral from -29.50. But that TGA drawdown is a calendar wrinkle inside a refunding-quarter cash build that Treasury's own guidance takes to ~$1.05 trillion by late October, so the mechanical drain resumes soon. Meanwhile the August jobs report removed the last argument for Fed patience: payrolls re-accelerated, unemployment held at 4.1%, and with core PCE stuck at 3.3% the market now prices a 25bp hike on September 16 as more likely than not. The August CPI on September 11 is the hinge -- a firm print locks in the hike and the -50 rate-path score understates the drag; a soft print reopens the hold case. Funding markets give no warning and reserves have room, but a Fed that is tightening into a TGA rebuild is a two-sided liquidity headwind, and there is no rate relief priced anywhere in 2026.
NEUTRAL URLI -3.50 — Neutral.
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-$15.1BADD
Fed B/S+$6.3BADD
Reserves+$12.5BADD
RRP+$1.6BNEUTRAL
Net Liquidity
US Net Cash+19.8BNEUTRAL
Risk Gate
Risk AssetsURLI -3.5NEUTRAL
Crypto Markets
Crypto Beta$2.72TADD
Meme Beta$34BADD
AddDrainWatchNeutralLast week3-month avg
Liquidity tanks update weekly (Fed H.4.1 / FRED · as of Sep 4, 2026). Crypto & meme market cap and read use the weekly report snapshot (CoinGecko · as of Sep 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 | $6,730.9B | $6,737.2B | +$6.3B (+0.1%) | POSITIVE |
| Bank reserves | $2,916.8B | $2,929.3B | +$12.5B (+0.4%) | POSITIVE |
| TGA | $959.4B | $944.4B | -$15.1B (-1.6%) | POSITIVE |
| RRP | $356.2B | $357.7B | +$1.6B (+0.4%) | NEGATIVE |
| Fed rate path | — | hold with hike risk -- the August employment report released September 4 was far stronger than expected (nonfarm payrolls +162,000 vs a ~53,000 consensus, plus about +55,000 in net revisions to the prior two months, unemployment steady at 4.1%, average hourly earnings +3.1% year over year), and with July PCE still at 3.7% headline / 3.3% core the labour market gives the Fed no cover to ease. Chair Warsh reiterated at Jackson Hole that he takes little signal from the summer's softer inflation prints and described the economy as at full employment. Fed funds futures now price a roughly 60% probability of a 25bp HIKE at the September 15-16 meeting -- more likely than not -- with no cut priced anywhere in 2026; the August CPI on September 11 is the final input | 3.50%-3.75% | NEGATIVE |
| Dollar / yields | — | neutral on the confirmed data -- the broad dollar's latest confirmed H.10 print (August 28, 118.75) equals the print seven days before the report date, so the scored move is 0.0%, and the 10-year rose only +4bp over the scored window, inside the flat band. Against the prior confirmed weekly print (118.06 on August 21) the broad dollar firmed +0.6%, and yields backed up across the curve on the hawkish repricing, so the balance of risks has shifted mildly against liquidity even though the rubric scores flat | Broad USD 118.75 (FRED/H.10 DTWEXBGS, 2026-08-28 -- the confirmed print advanced one week from last report's 2026-08-21, and the H.10 index's multi-day publication lag means no confirmed print past 2026-08-28 as of this report date). Against the prior confirmed weekly print (118.06 on 2026-08-21) the broad dollar firmed +0.6%, and it strengthened further intraday on September 4 after the strong August jobs report. | NEUTRAL |
Previous week: 2026-08-28 (H.4.1 weekly levels).
Fed Balance Sheet Detail
| Indicator | Latest | Weekly Change | Read |
|---|---|---|---|
| Fed total assets | $6,737.2B | +$6.3B (+0.1%) | POSITIVE |
| Securities held outright | $6,465.3B | +$3.2B (+0.0%) | POSITIVE |
| Treasury securities | $4,549.3B | +$3.2B (+0.1%) | POSITIVE |
| Bank reserves | $2,929.3B | +$12.5B (+0.4%) | POSITIVE |
| Discount window | $5.2B | +$0.2B (+4.3%) | WATCH |
H.4.1 Wednesday levels in millions of dollars for September 2, 2026, from the September 3 release. WALCL (total assets 6,737,204, +6,292), WRBWFRBL (bank reserves 2,929,285, +12,461), WDTGAL (TGA 944,364, -15,071) and WLRRAL (RRP 357,742, +1,584) verified against FRED. Detail lines are read from the Wednesday-level column of H.4.1 Table 1 in the September 3 release: Reserve Bank credit 6,687,445 (avg 6,689,880); Securities held outright 6,465,275 = U.S. Treasury 4,549,343 + agency debt 2,347 + MBS 1,913,585 (component check exact); Loans (discount_window) Wednesday level 5,173, of which primary credit 5,102; other_emergency_facilities = net portfolio holdings of MS Facilities 2020 LLC, Wednesday level 894. Each _change is computed Wednesday-over-Wednesday against the August 27 release (total assets 6,730,912; RBC 6,683,670; securities held outright 6,462,101; Treasuries 4,546,169; MBS 1,913,585; Loans 4,962; MS Facilities 894), not from the release's own average-over-average change column. Securities held outright rose +3,174, entirely in Treasury holdings (+3,174) with MBS flat this week (no month-end paydown settlement in the window). The TGA Wednesday level also matches the Daily Treasury Statement for 2026-09-02.
Net Liquidity Calculation
Net Liquidity Change = Fed Balance Sheet Change - TGA Change - RRP Change
| Component | Weekly Change | Effect | Notes |
|---|---|---|---|
| Fed balance sheet | +$6.3B | POSITIVE | Balance-sheet growth adds liquidity. |
| TGA | -$15.1B | POSITIVE | TGA up pulls cash into Treasury; TGA down injects it. |
| RRP | +$1.6B | NEGATIVE | RRP up parks cash at the Fed; RRP down releases it. |
| Net liquidity | +$19.8B | SMALL INJECTION | 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% | +0 | +0.00 |
| 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 | -3.50 |
| 4-week moving average | -21.94 |
| 13-week moving average | -10.27 |
Observed URLI history
| Week | URLI | Net Liquidity | Reserves | TGA | RRP | Read |
|---|---|---|---|---|---|---|
| 2026-09-04 | -3.50 | +$19.8B | +$12.5B | -$15.1B | +$1.6B | NEUTRAL |
| 2026-08-28 | -29.50 | -$20.3B | -$14.0B | +$23.0B | -$17.5B | NEGATIVE |
| 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 |
Show 59 earlier entries
| Week | URLI | Net Liquidity | Reserves | TGA | RRP | Read |
|---|---|---|---|---|---|---|
| 2026-07-31 | -64.50 | -$128.6B | -$120.4B | +$135.0B | -$15.7B | NEGATIVE |
| 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 — 2026-09-11 estimate
| Item | Estimate | Bias |
|---|---|---|
| Projected URLI point | -15.50 | MILD LIQUIDITY DRAIN |
| Backtested URLI range | -64.50 to +45.50 | RANGE |
| Projected net liquidity | -$127.8B to $103.0B | 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 | -2.8B | Trailing 4-week mean |
| TGA | +0.0B | Coupon net + assumed bill roll |
| RRP | +9.6B | Trailing 4-week mean |
| Net liquidity | -12.4B | Fed BS - TGA - RRP |
Projection track record — current estimator
| Metric | Value | Meaning |
|---|---|---|
| Scored weeks (N) | 6 | Scored since the 2026-07-21 model change |
| Directional hit rate | 4/6 | Projected regime sign matched realized |
| Range containment | 6/6 | Realized URLI inside the displayed ±band |
| Avg absolute error | 35.7 pts | Mean |projected − realized| |
| Point bias | +0.7 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 37.62.
Assumptions
- TGA projection separates coupon cash flow (+0.0B) from bills. Bills are assumed roll (+0.0B); gross settlements and maturities remain $493.0B and $535.0B.
- Fed balance sheet change carries forward the trailing 4-week mean: -2.8B.
- RRP change carries forward the trailing 4-week mean: +9.6B.
- 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 |
|---|---|---|---|---|
| 2026-09-08 | 3-year note auction ($58B); 17-week bill auction | $58B 3-year, per the TreasuryDirect announcement | Settles September 15, one business day outside the week ending September 11; flagged as the front of the September refunding supply test | NEGATIVE |
| 2026-09-09 | 10-year note reopening auction ($39B) | $39B, per the TreasuryDirect announcement | Settles September 15, outside next week's window; the key mid-curve demand read after the hawkish repricing | NEGATIVE |
| 2026-09-10 | 30-year bond reopening auction ($22B); expanded Treasury 10-30y liquidity-support buybacks in effect | $22B, per the TreasuryDirect announcement | Settles September 15, outside next week's window; long-end demand test with the 30-year near 5.25% | NEGATIVE |
| 2026-09-11 | August CPI, 8:30 a.m. ET | N/A | No direct plumbing effect, but the single decisive input for the September 15-16 FOMC and the rate-path score; a hot print would lock in the priced hike, a soft print would reopen the hold case | WATCH |
| 2026-09-15 | Settlement of the September refunding (3-year, 10-year, 30-year) and 20-year bond auction (September 15) | ~$119B combined 3/10/30-year settlement | Falls in the week ending September 18, not September 11; the mechanical TGA build from this supply lands the following week | NEGATIVE |
| 2026-09-16 | FOMC decision, 2:00 p.m. ET, with Summary of Economic Projections and Chair Warsh press conference (meeting September 15-16) | N/A | No direct plumbing effect next week, but the decision and dot plot will reset the Fed rate-path score; markets price ~60% odds of a 25bp hike | WATCH |
| Week of 2026-09-07 | Projected net-liquidity swing: gross settlements ($493B) vs maturities ($535B), bills assumed to roll, no coupon settlement in-window | Net TGA change near zero projected for the week ending September 11 | 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 (-15.5 projected URLI, mild drain from the carried-forward RRP build) | NEUTRAL |
Alerts & Warnings
| Alert | Status | Notes |
|---|---|---|
| Major injection / drain | NEUTRAL | Net liquidity +19.8B; no breach of the +/-$100B threshold. |
| Reserve shock | POSITIVE | Bank reserves +12.5B; inside the +/-$75B shock band. |
| TGA drawdown | POSITIVE | TGA fell -15.1B, injecting liquidity. |
| RRP shock | NEUTRAL | RRP +1.6B; below the $50B shock threshold. |
| Fed rate path | NEGATIVE | No FOMC meeting this week; the next decision is September 16 (meeting September 15-16, with a Summary of Economic Projections and dot plot). Two data points hardened the hawkish read already in place. First, the August employment report on September 4 came in well above expectations: +162,000 nonfarm payrolls against a Dow Jones consensus near 53,000, the strongest monthly gain since March, with roughly +55,000 in upward revisions to June and July, the unemployment rate unchanged at 4.1%, and average hourly earnings up 3.1% year over year. A labour market re-accelerating while core PCE sits at 3.3% is the configuration the July FOMC minutes said would 'likely' require further tightening. Second, Chair Warsh's Jackson Hole remarks (August 28-31 coverage) framed the economy as at full employment and explicitly discounted the summer's cooler inflation data. Market pricing responded: CME FedWatch moved to roughly a 60% probability of a 25bp hike on September 16 (from about one-in-three a week earlier), and there is still no 2026 cut priced. The score stays at -50 (hold with hike risk) rather than moving to -80 (active tightening) because the Committee has not yet acted and a September hold is still a live outcome that will be decided by the August CPI on September 11 -- but the risk is now asymmetric and a hike is the marginal market base case. The fed funds target range is unchanged at 3.50%-3.75%. |
| Funding stress | POSITIVE | FRED-derived: +1.00 bps avg SOFR-IORB (2026-08-28 to 2026-09-03, 5 business days): +0.00 bps Aug 28, +3.00 bps Aug 31 (month-end turn), +1.00 bps Sep 1, +0.00 bps Sep 2, +1.00 bps Sep 3. IORB held at 3.65% throughout; SOFR closed the window at 3.66%. The +3bp month-end print is exactly the kind of single technical spike the 5-day average is designed to damp; the underlying spread is on the administered floor. |
| Historical significance | NEUTRAL | URLI-Core (4 data components, 75% weight) = +7.00 ranks in the 53rd percentile of weeks since 2020 (N=337). |
Market Transmission
| Asset | Bias | Reason |
|---|---|---|
| SPX / QQQ | MIXED | Neutral; index-level liquidity does not support multiple expansion. |
| Small caps / breadth | NEGATIVE | Rate-sensitive; needs reserve support and lower yields. |
| BTC / ETH | MIXED | Crypto tracks net liquidity; this week's flow was +$19.8B. |
| High-beta alts | WATCH | Need both a positive URLI trend and BTC leadership to outperform. |
NEUTRAL Mixed.
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 2026-09-04; previous week 2026-08-28; H.4.1 levels in $M, displayed in $B. |