US FED / TREASURY LIQUIDITY — WEEKLY MEMO
Week Ending 2026-09-25
A mechanical give-back week: the TGA fell -$44.4B to $947.3B, right on Treasury's ~$950B end-September target, reserves recovered +$48.4B and net liquidity rose an estimated +$48.6B -- while the 10-year sold off +17bp to 5.18%.
URLI Score
+15.00
Mildly supportive
Net Liquidity
+$48.6B
Meaningful injection
Bank Reserves
+$48.4B
Reserve build
TGA Change
-$44.4B
Cash injection
RRP Change
-$3.1B
Cash released
Fed Regime
Tightening --
3.75%-4.00%
Treasury Outlook
Neutral --
Neutral
Market Bias
RISK ON
Supportive
Executive Conclusion
Supportive
- Net liquidity rose an estimated +$48.6B, reversing part of last week's -$116.2B drain, as the TGA fell -$44.4B with no coupon settlement in the data week.
- Bank reserves recovered +$48.4B to $2,969.9B, within about $30B of the $3T threshold.
- The TGA is now at $947.3B, essentially on Treasury's ~$950B end-September assumption, so the September rebuild is complete and the Treasury Outlook score holds at 0.
- The reinvestment regime is visible on the balance sheet: Treasury holdings rose +$3.9B (bills +$3.6B) while MBS ran off -$3.1B, so securities held outright grew +$0.8B instead of shrinking and total assets edged up +$1.2B.
- Funding stayed calm: SOFR set below the 3.90% IORB floor every day, averaging -3.6bp, and the Funding Stress score holds at +20. The October 1 shutdown risk was cleared in advance by a continuing resolution through December 11.
- Risk assets rallied: Bitcoin +4.0% to ~$84.0K, the Nasdaq +2.1% to 27,068.72 and the S&P 500 +1.2% to 7,743.41.
Restrictive
- The long end sold off again: the 10-year rose +17bp to 5.18%, a new cycle high, with the 2-year at 4.87% and the 30-year at 5.47%. The Dollar / Yield Pressure score stays at -30 on the yield leg alone.
- The Fed Rate Path score stays at its -80 floor: the September dot plot signals at least one more hike by year-end.
- The SOFR-IORB cushion is narrowing into quarter-end -- SOFR drifted from 3.85% to 3.88% -- even as reserves rose.
- Next week carries ~$202B of September 30 coupon settlements on quarter-end; the calendar-mechanical model projects a -$26.9B net liquidity drain and a URLI near -33.
- The ECB balance sheet shrank -EUR12.8B in the week to September 18, with policy-purpose securities down -EUR12.5B, its largest weekly runoff in several weeks.
- Gold fell -2.0% to $4,261.05 (LBMA PM), a second straight weekly decline, and high-yield spreads widened to 2.80%.
Main Warning
- This week's liquidity gain is the calendar reversing, not a change in stance: last week's overshoot of the TGA above its target unwound in a week with no coupon settlement, and reserves recovered by nearly the same amount. The stance signals point the other way -- the 10-year broke to a new cycle high of 5.18% one week after a hike, the dot plot leans toward another increase, and SOFR crept up toward the IORB floor even with reserves rising. Note that the dollar leg of the Dollar / Yield score reads flat only because FRED's broad-dollar series has not updated past September 18. The week ahead concentrates three tests in two days: ~$202B of coupon settlements and quarter-end balance-sheet window dressing on September 30, then new-fiscal-year bill settlements on October 1. Watch whether SOFR stays below 3.90% through quarter-end, the RRP spike on September 30, and the September payrolls report on October 2.
POSITIVE URLI +15.00 — Mildly supportive.
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-$44.4BADD
Fed B/S+$1.2BNEUTRAL
Reserves+$48.4BADD
RRP-$3.1BNEUTRAL
Net Liquidity
US Net Cash+48.6BADD
Risk Gate
Risk AssetsURLI +15.0ADD
Crypto Markets
Crypto Beta$2.89TNEUTRAL
Meme Beta$36BDRAIN
AddDrainWatchNeutralLast week3-month avg
Liquidity tanks update weekly (Fed H.4.1 / FRED · as of Sep 25, 2026). Crypto & meme market cap and read use the weekly report snapshot (CoinGecko · as of Sep 26, 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 | $6,746.5B | $6,747.7B | +$1.2B (+0.0%) | POSITIVE |
| Bank reserves | $2,921.5B | $2,969.9B | +$48.4B (+1.7%) | POSITIVE |
| TGA | $991.7B | $947.3B | -$44.4B (-4.5%) | POSITIVE |
| RRP | $323.8B | $320.7B | -$3.1B (-1.0%) | POSITIVE |
| Fed rate path | — | tightening -- one week after the first hike of the cycle, with the September dot plot signalling at least one more increase by year-end | 3.75%-4.00% | NEGATIVE |
| Dollar / yields | — | long-end selloff resumed (10Y +17bp to 5.18%); the broad-dollar print has not updated past September 18 | Broad USD 119.51 (FRED/H.10 DTWEXBGS, 2026-09-18, latest available); no newer H.10 observation in the window | NEGATIVE |
Previous week: 2026-09-18 (H.4.1 weekly levels).
Fed Balance Sheet Detail
| Indicator | Latest | Weekly Change | Read |
|---|---|---|---|
| Fed total assets | $6,747.7B | +$1.2B (+0.0%) | POSITIVE |
| Securities held outright | $6,471.1B | +$0.8B (+0.0%) | POSITIVE |
| Treasury securities | $4,558.3B | +$3.9B (+0.1%) | POSITIVE |
| Bank reserves | $2,969.9B | +$48.4B (+1.7%) | POSITIVE |
| Discount window | $6.3B | -$0.6B (-9.2%) | POSITIVE |
H.4.1 Wednesday levels in millions of dollars for September 23, 2026 (release dated September 24, 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 2026-09-16. 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). This is the first full week under the reinvestment regime announced on September 16: securities held outright rose +$768M, with the Treasury leg up +$3,882M (bills +$3.6B on the week, now $554.4B) while MBS ran off -$3,114M, and the components reconcile to the total. On the liability side the TGA fell -$44,391M to $947,317M -- essentially at Treasury's ~$950B end-September assumption -- and bank reserves recovered +$48,386M to $2,969,922M, still below $3T. The RRP slipped -$3,078M to $320,725M and discount-window loans eased -$639M to $6,311M.
Net Liquidity Calculation
Net Liquidity Change = Fed Balance Sheet Change - TGA Change - RRP Change
| Component | Weekly Change | Effect | Notes |
|---|---|---|---|
| Fed balance sheet | +$1.2B | POSITIVE | Balance-sheet growth adds liquidity. |
| TGA | -$44.4B | POSITIVE | TGA up pulls cash into Treasury; TGA down injects it. |
| RRP | -$3.1B | POSITIVE | RRP up parks cash at the Fed; RRP down releases it. |
| Net liquidity | +$48.6B | MEANINGFUL 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% | +40 | +14.00 |
| Bank Reserves | 20% | +70 | +14.00 |
| 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 | +15.00 |
| 4-week moving average | -4.00 |
| 13-week moving average | -10.38 |
Observed URLI history
| Week | URLI | Net Liquidity | Reserves | TGA | RRP | Read |
|---|---|---|---|---|---|---|
| 2026-09-25 | +15.00 | +$48.6B | +$48.4B | -$44.4B | -$3.1B | MILDLY SUPPORTIVE |
| 2026-09-18 | -68.00 | -$116.2B | -$115.0B | +$148.0B | -$25.9B | NEGATIVE |
| 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 |
Show 62 earlier entries
| Week | URLI | Net Liquidity | Reserves | TGA | RRP | Read |
|---|---|---|---|---|---|---|
| 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 |
| 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 — 2026-10-02 estimate
| Item | Estimate | Bias |
|---|---|---|
| Projected URLI point | -33.00 | MILD LIQUIDITY DRAIN |
| Backtested URLI range | -68.00 to +33.25 | RANGE |
| Projected net liquidity | -$142.3B to $88.4B | NEUTRAL |
| Range note | Backtested URLI range -68.00 to +33.25. | 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 | +4.2B | Trailing 4-week mean |
| TGA | +40.0B | Coupon net + assumed bill roll |
| RRP | -8.9B | Trailing 4-week mean |
| Net liquidity | -26.9B | Fed BS - TGA - RRP |
Projection track record — current estimator
| Metric | Value | Meaning |
|---|---|---|
| Scored weeks (N) | 9 | Scored since the 2026-07-21 model change |
| Directional hit rate | 5/9 | Projected regime sign matched realized |
| Range containment | 9/9 | Realized URLI inside the displayed ±band |
| Avg absolute error | 34.8 pts | Mean |projected − realized| |
| Point bias | -8.9 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 9/12; mean absolute URLI error 41.48.
Assumptions
- TGA projection separates coupon cash flow (+40.0B) from bills. Bills are assumed roll (+0.0B); gross settlements and maturities remain $765.0B and $745.0B.
- Fed balance sheet change carries forward the trailing 4-week mean: +4.2B.
- RRP change carries forward the trailing 4-week mean: -8.9B.
- 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.
- September 30 is quarter-end: ~$202B of 2-, 5-, 7-year note and 10-year TIPS settlements land the same day, and quarter-end window dressing typically lifts the RRP for a session, which the trailing-mean RRP input does not model.
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 |
|---|---|---|---|---|
| 2026-09-28 | 13-week ($95B) and 26-week ($82B) bill auctions | $177B combined, settling October 1 | Bills assumed to roll against maturing par; broadly neutral absent a size change | NEUTRAL |
| 2026-09-29 | 52-week ($54B) and 6-week ($85B) bill auctions; BOE August Money and Credit release | $139B bills, settling October 1 | Bills broadly neutral on a roll; the BOE release refreshes the UK M4ex input to GMLCI, currently carried at July | WATCH |
| 2026-09-30 | Quarter-end: 2-, 5-, 7-year note and 10-year TIPS settlement | ~$202B gross coupon settlement ($69B 2Y, $70B 5Y, $44B 7Y, $19B 10Y TIPS) | Model nets a +$40B coupon TGA build for the week; quarter-end window dressing can lift the RRP and press SOFR toward the 3.90% IORB floor | NEGATIVE |
| 2026-10-01 | Fiscal year 2027 begins under a continuing resolution through December 11 | N/A | Shutdown risk cleared in advance (signed September 2), so no funding-lapse distortion to Treasury cash flows | NEUTRAL |
| 2026-10-02 | September Employment Situation (BLS) | N/A | First payrolls print after the September hike; a strong report would harden pricing for a second increase and add to the yield pressure | WATCH |
| 2026-10-27 | Next FOMC meeting (October 27-28, 2026) | N/A | First decision after the September hike; the dot plot signals at least one more increase by year-end | WATCH |
Alerts & Warnings
| Alert | Status | Notes |
|---|---|---|
| Major injection / drain | NEUTRAL | Net liquidity +48.6B; no breach of the +/-$100B threshold. |
| Reserve shock | POSITIVE | Bank reserves +48.4B; inside the +/-$75B shock band. |
| TGA drawdown | POSITIVE | TGA fell -44.4B, injecting liquidity. |
| RRP shock | NEUTRAL | RRP -3.1B; below the $50B shock threshold. |
| Fed rate path | NEGATIVE | No FOMC meeting this week; the target range stays at 3.75%-4.00% after the unanimous 25bp hike on September 16, with IORB at 3.90% and the primary credit rate at 4.00%. The September Summary of Economic Projections showed most participants expecting at least one further increase by year-end, and Chair Warsh's post-meeting message stayed focused on returning inflation to 2 percent. The rubric score therefore stays at -80 (tightening). The quantity side continues to lean the other way: under the implementation note the Fed now rolls over all Treasury principal at auction and reinvests agency paydowns into bills, and this week's H.4.1 shows that shift in action -- Treasury holdings +$3.9B (bills +$3.6B) against MBS runoff of -$3.1B, so the securities portfolio grew slightly instead of shrinking. The next decision is the October 27-28 FOMC. |
| Funding stress | POSITIVE | FRED-derived: -3.60 bps avg SOFR-IORB (2026-09-18 to 2026-09-24, 5 business days): -5 bp September 18, -5 bp September 21, -3 bp September 22, -3 bp September 23, -2 bp September 24. The score stays at +20. SOFR stayed below the 3.90% IORB floor on every day of the window, but the cushion is narrowing -- SOFR rose from 3.85% to 3.88% as quarter-end approached -- even though reserves recovered +$48.4B to $2,969.9B. Discount-window loans eased -$0.6B to $6.3B. September 30 quarter-end, with ~$202B of coupon settlements on the same day, is the next test of whether SOFR holds below IORB. |
| Historical significance | POSITIVE | URLI-Core (4 data components, 75% weight) = +27.00 ranks in the 66th percentile of weeks since 2020 (N=337). |
Market Transmission
| Asset | Bias | Reason |
|---|---|---|
| SPX / QQQ | SUPPORTED | Mildly supportive; index-level liquidity supports multiple expansion. |
| Small caps / breadth | NEUTRAL | Rate-sensitive; needs reserve support and lower yields. |
| BTC / ETH | SUPPORTED | Crypto tracks net liquidity; this week's flow was +$48.6B. |
| High-beta alts | WATCH | Need both a positive URLI trend and BTC leadership to outperform. |
POSITIVE Supportive.
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 2026-09-25; previous week 2026-09-18; H.4.1 levels in $M, displayed in $B. |