US FED / TREASURY LIQUIDITY — WEEKLY MEMO
Week Ending 2026-09-18
The Fed hiked 25bp to 3.75%-4.00% and the September refunding settled in the same week: the TGA jumped +$148.0B, reserves fell -$115.0B back below $3T, and net liquidity drained -$116.2B.
URLI Score
-68.00
Bearish liquidity contraction
Net Liquidity
-$116.2B
Huge drain
Bank Reserves
-$115.0B
Reserve drain
TGA Change
+$148.0B
Cash drain
RRP Change
-$25.9B
Cash released
Fed Regime
Tightening --
3.75%-4.00%
Treasury Outlook
Neutral --
Neutral
Market Bias
RISK OFF
Liquidity drag
Executive Conclusion
Supportive
- Funding markets absorbed the hike without strain: SOFR-IORB averaged -3.4bp and set at -5bp on both September 17 and 18, the first two sessions under the new 3.90% IORB, lifting the Funding Stress score from +10 to +20.
- The same implementation note that raised rates ended balance-sheet runoff -- the Fed will roll over all Treasury principal at auction and reinvest agency principal into Treasury bills, and may buy bills to keep reserves adequate. Policy is now tightening on price while easing at the margin on quantity.
- The TGA rebuild is complete and has overshot: at $991.7B the balance sits roughly $42B above Treasury's ~$950B end-September target, so the mechanical drain that took reserves down this week is spent rather than ongoing. The Treasury Outlook score improves from -50 to 0.
- The RRP drained -$25.9B to $323.8B, cushioning roughly a fifth of the TGA build before it reached reserves.
- Risk assets took the hike without a growth scare: Bitcoin rallied +4.6% to ~$80.8K and the Nasdaq rose +0.7% to 26,522.55, with the S&P 500 essentially flat at 7,650.50 (-0.1%).
Restrictive
- Net liquidity fell an estimated -$116.2B, the largest weekly drain since July, driven almost entirely by the +$148.0B TGA build.
- Bank reserves dropped -$115.0B to $2,921.5B, back below the $3T threshold they had regained in August.
- The Fed actually tightened for the first time this cycle -- a unanimous 12-0 hike to 3.75%-4.00% -- moving the Fed Rate Path score from -50 to its floor of -80.
- The market repriced hawkishly on the Friday AFTER the decision rather than around it: the 2-year rose to 4.76% from 4.67%, the 10-year +5bp to 5.01%, the 30-year to 5.34%, and the broad dollar firmed +1.1% to 119.51. The Dollar / Yield Pressure score stays at -30.
- China's credit impulse stayed negative: August M2 slowed to +7.5% YoY (356.81T CNY) from 7.7% in July, and cumulative aggregate financing over the first eight months ran 2.64T CNY BELOW the same period last year.
- The ECB balance sheet contracted again, -EUR0.9B on the week with policy-purpose securities down -EUR1.6B, so the second-largest central bank is not offsetting the Fed's rate move.
- Gold slipped -0.9% to $4,348.15 (LBMA PM) after the hike, giving back part of the September run.
Main Warning
- Two things in this week deserve to be held apart. The headline drain is calendar, not stance: the TGA build came from the September 15 refunding settlement and the corporate tax date landing in the same window, and with the balance now ~$42B above its end-September target that specific drain does not repeat. The hike is stance, and it is the first of this cycle. Note the repricing arrived late -- the curve was near pre-meeting levels through Thursday and did all its work on Friday September 18 -- so a decision that was roughly 86% priced still cost 5bp on the 10-year and 1.1% on the dollar once digested. The tension to watch is the split inside the Fed's own implementation note: a 25bp increase alongside the end of runoff and an explicit willingness to buy Treasury bills to keep reserves adequate. With reserves at $2.92T and back under $3T, that reinvestment language may matter more than the quarter-point. Watch September 30 quarter-end as the first real test of the 3.90% IORB floor, whether SOFR-IORB holds its widened cushion, and the October 27-28 FOMC.
NEGATIVE URLI -68.00 — 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+$148.0BDRAIN
Fed B/S+$5.9BADD
Reserves-$115.0BDRAIN
RRP-$25.9BADD
Net Liquidity
US Net Cash-116.2BDRAIN
Risk Gate
Risk AssetsURLI -68.0DRAIN
Crypto Markets
Crypto Beta$2.94TNEUTRAL
Meme Beta$38BADD
AddDrainWatchNeutralLast week3-month avg
Liquidity tanks update weekly (Fed H.4.1 / FRED · as of Sep 18, 2026). Crypto & meme market cap and read use the weekly report snapshot (CoinGecko · as of Sep 22, 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 | $6,740.6B | $6,746.5B | +$5.9B (+0.1%) | POSITIVE |
| Bank reserves | $3,036.5B | $2,921.5B | -$115.0B (-3.8%) | NEGATIVE |
| TGA | $843.7B | $991.7B | +$148.0B (+17.5%) | NEGATIVE |
| RRP | $349.7B | $323.8B | -$25.9B (-7.4%) | POSITIVE |
| Fed rate path | — | tightening -- the Committee hiked 25bp on September 16, unanimously | 3.75%-4.00% | NEGATIVE |
| Dollar / yields | — | the curve sold off and the dollar firmed after the hike (10Y +5bp to 5.01%, broad USD +1.1%) | Broad USD 119.51 (FRED/H.10 DTWEXBGS, 2026-09-18); prior 118.21 (2026-09-11) | NEGATIVE |
Previous week: 2026-09-11 (H.4.1 weekly levels).
Fed Balance Sheet Detail
| Indicator | Latest | Weekly Change | Read |
|---|---|---|---|
| Fed total assets | $6,746.5B | +$5.9B (+0.1%) | POSITIVE |
| Securities held outright | $6,470.3B | +$2.1B (+0.0%) | POSITIVE |
| Treasury securities | $4,554.4B | +$2.1B (+0.0%) | POSITIVE |
| Bank reserves | $2,921.5B | -$115.0B (-3.8%) | NEGATIVE |
| Discount window | $7.0B | +$1.0B (+17.7%) | WATCH |
H.4.1 Wednesday levels in millions of dollars for September 16, 2026 (release dated September 17, 2026). All figures are the Wednesday-level column, not the averages-of-daily-figures column, and every weekly change is computed Wednesday-over-Wednesday against 2026-09-09. Verified against FRED at the same Wednesday date: WALCL (total assets), WOFSRBRBC (Reserve Bank credit), WSHOSHO (securities held outright), TREAST (Treasury securities), WSHOMCB (MBS), WRBWFRBL (bank reserves), WDTGAL (TGA), WLRRAL (RRP), WLCFLL (Loans/discount window) and H41RESPPAAENWW (Net portfolio holdings of MS Facilities 2020 LLC). Securities held outright rose +$2,051M, the Treasury leg +$2,113M against -$62M of MBS, and the components reconcile to the total. The dominant movements are on the liability side: the TGA rose +$148,003M to $991,708M as roughly $119B of September 3/10/30-year refunding settled September 15 alongside the quarterly corporate estimated-tax date, and bank reserves fell -$114,972M to $2,921,536M, back below $3T. The RRP partially cushioned the move, falling -$25,860M to $323,803M.
Net Liquidity Calculation
Net Liquidity Change = Fed Balance Sheet Change - TGA Change - RRP Change
| Component | Weekly Change | Effect | Notes |
|---|---|---|---|
| Fed balance sheet | +$5.9B | POSITIVE | Balance-sheet growth adds liquidity. |
| TGA | +$148.0B | NEGATIVE | TGA up pulls cash into Treasury; TGA down injects it. |
| RRP | -$25.9B | POSITIVE | RRP up parks cash at the Fed; RRP down releases it. |
| Net liquidity | -$116.2B | 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% | -80 | -12.00 |
| Treasury Outlook | 10% | +0 | +0.00 |
| Funding Stress | 10% | +20 | +2.00 |
| Dollar / Yield Pressure | 10% | -30 | -3.00 |
| Metric | Value |
|---|---|
| Weekly URLI | -68.00 |
| 4-week moving average | -15.12 |
| 13-week moving average | -9.56 |
Observed URLI history
| Week | URLI | Net Liquidity | Reserves | TGA | RRP | Read |
|---|---|---|---|---|---|---|
| 2026-09-18 | -68.00 | -$116.2B | -$115.0B | +$148.0B | -$25.9B | BEARISH LIQUIDITY CONTRACTION |
| 2026-09-11 | +40.50 | +$112.2B | +$107.2B | -$100.7B | -$8.1B | POSITIVE |
| 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 |
Show 61 earlier entries
| Week | URLI | Net Liquidity | Reserves | TGA | RRP | Read |
|---|---|---|---|---|---|---|
| 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 |
| 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 — 2026-09-25 estimate
| Item | Estimate | Bias |
|---|---|---|
| Projected URLI point | -20.50 | MILD LIQUIDITY DRAIN |
| Backtested URLI range | -69.50 to +40.50 | RANGE |
| Projected net liquidity | -$130.7B to $100.1B | NEUTRAL |
| Range note | Backtested URLI range -69.50 to +40.50. | 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 | +0.2B | Trailing 4-week mean |
| TGA | +28.0B | Coupon net + assumed bill roll |
| RRP | -12.5B | Trailing 4-week mean |
| Net liquidity | -15.3B | Fed BS - TGA - RRP |
Projection track record — current estimator
| Metric | Value | Meaning |
|---|---|---|
| Scored weeks (N) | 8 | Scored since the 2026-07-21 model change |
| Directional hit rate | 5/8 | Projected regime sign matched realized |
| Range containment | 8/8 | Realized URLI inside the displayed ±band |
| Avg absolute error | 34.7 pts | Mean |projected − realized| |
| Point bias | -5.6 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 8/12; mean absolute URLI error 39.08.
Assumptions
- TGA projection separates coupon cash flow (+28.0B) from bills. Bills are assumed roll (+0.0B); gross settlements $521.0B and maturities $540.0B.
- Fed balance sheet change carries forward the trailing 4-week mean: +0.2B.
- RRP change carries forward the trailing 4-week mean: -12.5B.
- 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.
- The TGA is already ~$42B above its ~$950B end-September target, so the projected +$28B coupon build may overstate the refill Treasury actually needs; September 30 quarter-end falls outside this window.
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 |
|---|---|---|---|---|
| 2026-09-22 | 13-week and 26-week bill auctions | Routine weekly bill supply | Bills assumed to roll against maturing par; broadly neutral absent an auction-size change | NEUTRAL |
| 2026-09-23 | 2-year note auction and 17-week bill auction | Month-end coupon cycle begins; sizes maintained per the August 5 refunding | Settles September 30 at quarter-end, inside the following data week rather than this projection window | NEUTRAL |
| 2026-09-24 | BOE August M4ex money-and-credit release (expected) | N/A | No direct US plumbing effect; refreshes the UK broad-money input to GMLCI, currently carried at July | WATCH |
| 2026-09-30 | Quarter-end: September 30 coupon settlements and balance-sheet date | N/A | Quarter-end window dressing typically lifts the RRP and can tighten repo for a session or two; the first real test of the new 3.90% IORB floor | WATCH |
| 2026-10-27 | Next FOMC meeting (October 27-28, 2026) | N/A | First decision after the September hike; a second increase would take the Fed Rate Path score no lower (already -80) but would harden the tightening regime | WATCH |
Alerts & Warnings
| Alert | Status | Notes |
|---|---|---|
| Huge liquidity drain | ALERT | Net liquidity -116.2B breached the -$100B major threshold. |
| Reserve shock | ALERT | Bank reserves -115.0B, below the -$75B threshold. |
| TGA rebuild risk | WATCH | The rebuild that last week's file called 'close to mechanical' arrived in full: the TGA rose +$148.0B to $991.7B, the largest single-week build since July, as roughly $119B of 3/10/30-year refunding settled Tuesday September 15 on the same day quarterly corporate estimated taxes were collected, with the $13B 20-year reopening settling September 18. The balance is now ABOVE Treasury's own ~$950B end-September assumption from the August 5 Quarterly Refunding Statement, by roughly $42B, with about two weeks of the quarter left. That flips the forward setup: the cash balance no longer has to climb, so the step-function drain that removed ~$115B of reserves this week is spent rather than ongoing. The score improves from -50 (rebuild expected) to 0 (neutral). The caveat is that quarter-end on September 30 still falls outside this window and the October borrowing calendar has not been set, so this is a pause in the drain rather than a confirmed turn toward drawdown. |
| RRP shock | NEUTRAL | RRP -25.9B; below the $50B shock threshold. |
| Fed rate path | NEGATIVE | The FOMC raised the target range 25 basis points to 3.75%-4.00% at the September 15-16 meeting, the first increase of this cycle, on a unanimous 12-0 vote with no dissents. The statement cited solid economic expansion and the need to support 'a timelier return to the Committee's 2 percent' inflation goal. The implementation note sets the interest rate on reserve balances at 3.90% and the primary credit rate at 4.00%, both effective September 17. The hike was well telegraphed: last week's file recorded CME FedWatch odds of roughly 86% after the hot August core CPI print (+0.3% m/m against a +0.2% consensus), and the three hike dissents at the July 28-29 meeting had already signalled the direction inside the Committee. The rubric score moves from -50 (hold with hike risk) to -80 (tightening), because the Committee has now acted rather than merely leaned. One material offset sits in the same implementation note and cuts the other way: the Fed will roll over at auction all principal payments from its Treasury holdings and reinvest all agency principal into Treasury bills, and may add T-bills to maintain adequate reserves. That ends balance-sheet runoff. The rate path and the balance-sheet path have therefore separated for the first time this cycle -- policy is tightening on price and easing at the margin on quantity -- and the Fed Rate Path score captures only the former. |
| Funding stress | POSITIVE | FRED-derived: -3.40 bps avg SOFR-IORB (2026-09-14 to 2026-09-18, 5 business days): -3 bp September 14, -1 bp September 15, -3 bp September 16, -5 bp September 17, -5 bp September 18. The score improves from +10 to +20. The last two sessions are the first under the new administered rates (IORB 3.90%): SOFR set at 3.85% on both, five basis points BELOW the floor, so the cushion widened through the hike rather than compressing. That is the reassuring detail in an otherwise heavy week -- reserves fell -$115.0B to $2,921.5B and are back under $3T, yet repo showed no sign of absorbing the strain. The discount window rose +$1.0B to $7.0B, a normal level rather than a stress signal, and no dislocation appeared around the September 15 tax and settlement date. |
| Historical significance | NEGATIVE | URLI-Core (4 data components, 75% weight) = -56.00 ranks in the 4th 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 -$116.2B. |
| 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 2026-09-18; previous week 2026-09-11; H.4.1 levels in $M, displayed in $B. |