US FED / TREASURY LIQUIDITY — WEEKLY MEMO
Week Ending 2026-10-02
Quarter-end drained the plumbing: the TGA rose +$36.7B on coupon settlements and the RRP jumped +$41.2B on window dressing, pulling reserves down -$88.2B to $2,881.7B and net liquidity an estimated -$82.6B.
URLI Score
-57.25
Bearish liquidity contraction
Net Liquidity
-$82.6B
Meaningful drain
Bank Reserves
-$88.2B
Reserve drain
TGA Change
+$36.7B
Cash drain
RRP Change
+$41.2B
Cash parked
Fed Regime
Tightening --
3.75%-4.00%
Treasury Outlook
Neutral --
Neutral
Market Bias
RISK OFF
Liquidity drag
Executive Conclusion
Supportive
- The drain was calendar-driven and largely anticipated: last week's model projected a +$40B coupon TGA build for this week, and the TGA rose +$36.7B.
- Funding held: SOFR never printed above the 3.90% IORB floor through quarter-end and eased to 3.87% on October 1, so the Funding Stress score stays positive at +10.
- The 10-year rose only +7bp on the week, inside the stable band, so the Dollar / Yield Pressure score improves from -30 to 0.
- The reinvestment regime keeps adding bills: Treasury holdings rose +$5.8B, all in bills (now $560.2B).
- Next week has no coupon settlements; the calendar-mechanical model projects a roughly flat net liquidity week (+$0.4B) for October 3-9.
- Risk assets held up into the payrolls miss: the Nasdaq rose +0.5% to 27,190.86, Bitcoin +0.5% to ~$84.5K, and broad money growth firmed abroad (euro area M3 3.5% in August, UK M4ex 4.4%).
Restrictive
- Net liquidity fell an estimated -$82.6B: the TGA rose +$36.7B, the RRP +$41.2B and Fed total assets -$4.7B.
- Bank reserves fell -$88.2B to $2,881.7B, moving further below the $3T threshold, and discount-window loans rose +$2.5B to $8.8B.
- Securities held outright fell -$6.5B as quarter-end MBS paydowns (-$12.3B) outran bill reinvestment.
- The SOFR-IORB cushion closed: SOFR sat at the 3.90% floor on three of five days, cutting the 5-day average to -1.0bp and the Funding Stress score from +20 to +10.
- Credit spreads widened sharply: high-yield OAS rose +31bp to 3.24%, and the 30-year yield reached 5.61% as the curve steepened.
- The Fed Rate Path score stays at its -80 floor, and H.8 bank credit fell -$25.1B in the week to September 23.
Main Warning
- The quarter-end drain was mechanical, but it hit when the system had less room: reserves are now $2,881.7B, about $118B below $3T, and SOFR sat on the 3.90% IORB floor for most of the week even though it never broke above it. The week ahead has no coupon settlements, so the calendar model projects a roughly flat net-liquidity week (+$0.4B); it carries the RRP forward at its trailing mean and does not model a post-quarter-end unwind, which would be upside. The bigger shift is outside the plumbing: high-yield spreads widened +31bp in a week, and the September payrolls report (+29,000, unemployment 4.2%) came in well below expectations, which cools October hike odds but also raises growth risk. Note that the dollar leg of the Dollar / Yield score reads flat only because FRED's broad-dollar series has not updated past September 25. Watch the October 6-8 refunding auctions, which settle with the October 15 tax date, and September CPI on October 14.
NEGATIVE URLI -57.25 — 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+$36.7BDRAIN
Fed B/S-$4.7BNEUTRAL
Reserves-$88.2BDRAIN
RRP+$41.2BDRAIN
Net Liquidity
US Net Cash-82.6BDRAIN
Risk Gate
Risk AssetsURLI -57.2DRAIN
Crypto Markets
Crypto Beta$2.91TADD
Meme Beta$36BADD
AddDrainWatchNeutralLast week3-month avg
Liquidity tanks update weekly (Fed H.4.1 / FRED · as of Oct 2, 2026). Crypto & meme market cap and read use the weekly report snapshot (CoinGecko · as of Oct 4, 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 | $6,747.7B | $6,743.0B | -$4.7B (-0.1%) | NEGATIVE |
| Bank reserves | $2,969.9B | $2,881.7B | -$88.2B (-3.0%) | NEGATIVE |
| TGA | $947.3B | $984.0B | +$36.7B (+3.9%) | NEGATIVE |
| RRP | $320.7B | $361.9B | +$41.2B (+12.8%) | NEGATIVE |
| Fed rate path | — | tightening -- two weeks after the first hike of the cycle; the September dot plot still signals at least one more increase by year-end, though a weak September payrolls print has cooled October hike pricing | 3.75%-4.00% | NEGATIVE |
| Dollar / yields | — | stable by the rubric -- the 10-year rose +7bp to 5.24%, inside the +-8bp band; the broad-dollar print has not updated past September 25 | Broad USD 120.33 (FRED/H.10 DTWEXBGS, 2026-09-25, latest available); no newer H.10 observation in the window | NEUTRAL |
Previous week: 2026-09-25 (H.4.1 weekly levels).
Fed Balance Sheet Detail
| Indicator | Latest | Weekly Change | Read |
|---|---|---|---|
| Fed total assets | $6,743.0B | -$4.7B (-0.1%) | NEGATIVE |
| Securities held outright | $6,464.6B | -$6.5B (-0.1%) | NEGATIVE |
| Treasury securities | $4,564.2B | +$5.8B (+0.1%) | POSITIVE |
| Bank reserves | $2,881.7B | -$88.2B (-3.0%) | NEGATIVE |
| Discount window | $8.8B | +$2.5B (+39.5%) | WATCH |
H.4.1 Wednesday levels in millions of dollars for September 30, 2026 (release dated October 1, 2026). All figures are Wednesday levels, not the averages-of-daily-figures column, and every weekly change is computed Wednesday-over-Wednesday against 2026-09-23. Verified against FRED Wednesday-level series at the same 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). Total assets minus Reserve Bank credit is unchanged at $46,944M week over week, confirming the Wednesday column. Quarter-end week: securities held outright fell -$6,491M as MBS paydowns of -$12,320M outran the Treasury leg's +$5,829M (bills +$5.8B to $560.2B under the reinvestment-into-bills regime); agency debt was unchanged and the components reconcile to the total. On the liability side the TGA rose +$36,729M to $984,046M on the September 30 coupon settlements, the RRP jumped +$41,158M to $361,883M on quarter-end window dressing, and bank reserves fell -$88,236M to $2,881,686M. Discount-window loans rose +$2,493M to $8,804M.
Net Liquidity Calculation
Net Liquidity Change = Fed Balance Sheet Change - TGA Change - RRP Change
| Component | Weekly Change | Effect | Notes |
|---|---|---|---|
| Fed balance sheet | -$4.7B | NEGATIVE | Balance-sheet growth adds liquidity. |
| TGA | +$36.7B | NEGATIVE | TGA up pulls cash into Treasury; TGA down injects it. |
| RRP | +$41.2B | NEGATIVE | RRP up parks cash at the Fed; RRP down releases it. |
| Net liquidity | -$82.6B | 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% | -75 | -26.25 |
| Bank Reserves | 20% | -100 | -20.00 |
| Fed Rate Path | 15% | -80 | -12.00 |
| Treasury Outlook | 10% | +0 | +0.00 |
| Funding Stress | 10% | +10 | +1.00 |
| Dollar / Yield Pressure | 10% | +0 | +0.00 |
| Metric | Value |
|---|---|
| Weekly URLI | -57.25 |
| 4-week moving average | -17.44 |
| 13-week moving average | -17.62 |
Observed URLI history
| Week | URLI | Net Liquidity | Reserves | TGA | RRP | Read |
|---|---|---|---|---|---|---|
| 2026-10-02 | -57.25 | -$82.6B | -$88.2B | +$36.7B | +$41.2B | BEARISH LIQUIDITY CONTRACTION |
| 2026-09-25 | +15.00 | +$48.6B | +$48.4B | -$44.4B | -$3.1B | POSITIVE |
| 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 |
Show 63 earlier entries
| Week | URLI | Net Liquidity | Reserves | TGA | RRP | Read |
|---|---|---|---|---|---|---|
| 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 |
| 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 — 2026-10-09 estimate
| Item | Estimate | Bias |
|---|---|---|
| Projected URLI point | -11.00 | MILD LIQUIDITY DRAIN |
| Backtested URLI range | -66.00 to +44.00 | RANGE |
| Projected net liquidity | -$115.0B to $115.8B | NEUTRAL |
| Range note | Backtested URLI range -66.00 to +44.00. | 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 | +1.5B | Trailing 4-week mean |
| TGA | +0.0B | Coupon net + assumed bill roll |
| RRP | +1.0B | Trailing 4-week mean |
| Net liquidity | +0.4B | Fed BS - TGA - RRP |
Projection track record — current estimator
| Metric | Value | Meaning |
|---|---|---|
| Scored weeks (N) | 10 | Scored since the 2026-07-21 model change |
| Directional hit rate | 6/10 | Projected regime sign matched realized |
| Range containment | 10/10 | Realized URLI inside the displayed ±band |
| Avg absolute error | 33.7 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 10/12; mean absolute URLI error 42.35.
Assumptions
- TGA projection separates coupon cash flow (+0.0B) from bills. Bills are assumed roll (+0.0B); gross settlements and maturities remain $542.0B and $523.0B.
- Fed balance sheet change carries forward the trailing 4-week mean: +1.5B.
- RRP change carries forward the trailing 4-week mean: +1.0B.
- 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 |
|---|---|---|---|---|
| 2026-10-05 | 13-week ($95B) and 26-week ($82B) bill auctions | $177B combined, settling October 8 | Bills assumed to roll against maturing par; broadly neutral absent a size change | NEUTRAL |
| 2026-10-06 | 3-year note auction ($58B) and 6-week bill ($95B); ECB weekly financial statement | $58B note settling October 15; $95B bill settling October 8 | First leg of the October refunding; the note settles outside the projection window, so the cash drain lands the week of October 15 | WATCH |
| 2026-10-07 | 10-year note reopening ($39B) and 17-week bill auction | $39B, settling October 15 | Tests demand at the long end with the 10-year near its 5.29% cycle high; a weak tail would add to the yield pressure | WATCH |
| 2026-10-08 | 30-year bond reopening ($22B); 4- and 8-week bill auctions | $22B bond, settling October 15 | Completes the refunding trio (~$119B of coupons settling October 15, alongside the October 15 tax/settlement date) | WATCH |
| 2026-10-14 | September CPI (BLS) | N/A | First inflation print after the hike and the soft payrolls report; decides whether October hike odds keep fading | 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, but the September payrolls miss has cooled near-term hike pricing | WATCH |
Alerts & Warnings
| Alert | Status | Notes |
|---|---|---|
| Major injection / drain | NEUTRAL | Net liquidity -82.6B; no breach of the +/-$100B threshold. |
| Reserve shock | ALERT | Bank reserves -88.2B, below the -$75B threshold. |
| TGA rebuild risk | WATCH | The TGA rose +$36.7B to $984.0B in the week of the September 30 quarter-end, when roughly $202B of 2-, 5- and 7-year notes and the 10-year TIPS reopening settled. Last week's calendar-mechanical model had projected a +$40B coupon build for exactly this week, so the move is the scheduled settlement landing rather than a change in Treasury's cash strategy; the balance now sits about $34B above the ~$950B end-September assumption from the August 5 Quarterly Refunding Statement. Fiscal year 2027 began October 1 under the continuing resolution through December 11, so no funding-lapse distortion is in play. The week ahead (October 3-9) has no coupon settlements -- the 3-, 10- and 30-year refunding auctions on October 6-8 settle on October 15 -- and the model nets a flat TGA on assumed bill rolls. The score stays at 0 (neutral). |
| RRP shock | NEUTRAL | RRP +41.2B; 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%. The September Summary of Economic Projections showed most participants expecting at least one further increase by year-end, so the rubric score stays at -80 (tightening). The data turned softer at the end of the week: the September Employment Situation (October 2) showed payrolls up only +29,000 with the unemployment rate rising to 4.2% and July-August revised down a combined 60,000, which market commentary read as cooling the odds of an October hike. That is not yet a change in the Committee's stated path. On the quantity side the reinvestment regime continues -- Treasury holdings +$5.8B (all bills) -- but quarter-end MBS paydowns of -$12.3B outweighed it, so securities held outright fell -$6.5B. The next decision is the October 27-28 FOMC. |
| Funding stress | POSITIVE | FRED-derived: -1.00 bps avg SOFR-IORB (2026-09-25 to 2026-10-01, 5 business days): 0 bp September 25, 0 bp September 28, -2 bp September 29, 0 bp September 30, -3 bp October 1. The score steps down from +20 to +10. SOFR touched the 3.90% IORB floor on September 25, 28 and 30 -- the cushion that averaged -3.6bp last week all but closed into quarter-end -- but it never printed above IORB, and it eased back to 3.87% on October 1 once the quarter turned. Reserves fell -$88.2B to $2,881.7B and discount-window loans rose +$2.5B to $8.8B, consistent with quarter-end balance-sheet pressure. |
| Historical significance | NEGATIVE | URLI-Core (4 data components, 75% weight) = -45.25 ranks in the 13th 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 -$82.6B. |
| 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 2026-10-02; previous week 2026-09-25; H.4.1 levels in $M, displayed in $B. |