US FED / TREASURY LIQUIDITY — WEEKLY MEMO
Week Ending 2026-10-16
A quiet Wednesday before the drain: net liquidity rose an estimated +$15.0B as the RRP fell -$6.9B and Fed assets rose +$8.1B, but the TGA jumped +$48.9B on October 15, the day after the H.4.1 observation.
URLI Score
-13.50
Mild liquidity drain
Net Liquidity
+$15.0B
Small injection
Bank Reserves
+$8.8B
Reserve build
TGA Change
+$0.0B
Cash drain
RRP Change
-$6.9B
Cash released
Fed Regime
Tightening --
3.75%-4.00%
Treasury Outlook
TGA rebuild
Liquidity risk
Market Bias
RISK OFF
Liquidity drag
Executive Conclusion
Supportive
- Net liquidity rose an estimated +$15.0B: Fed total assets +$8.1B, the RRP -$6.9B and the TGA flat (+$0.04B).
- Bank reserves rose +$8.8B to $3,030.9B, a second week above $3T.
- Funding stayed calm: SOFR averaged 2bp below the 3.90% IORB floor and never printed above it, keeping Funding Stress at +10.
- The 10-year fell -14bp to 5.10%, lifting the Dollar / Yield score from 0 to +25.
- China September M2 (+7.2%) and Japan September M2 (+2.0%) are now in; H.8 bank credit rose +$57.1B in the week to October 7 with C&I loans +$16.2B.
Restrictive
- The Daily Treasury Statement shows the TGA rising +$48.9B to $934.7B on October 15 (refunding settlement and tax date), a drain that lands in next week's H.4.1.
- September CPI ran hot at 3.7% y/y (core 2.6%), pushing reported odds of an October hike to about 44%; the Fed Rate Path score stays at its -80 floor.
- The Treasury Outlook score drops from 0 to -50 (TGA rebuild expected).
- Risk assets fell: the S&P 500 -1.9% to 7,659.44, the Nasdaq -2.4% to 26,713.03 and Bitcoin -1.3% to ~$81.5K, while high-yield spreads widened +12bp to 3.23%.
- Discount-window loans rose for a third straight week, +$1.1B to $11.1B.
Main Warning
- This week's +$15.0B is a timing artifact: the H.4.1 snapshot was taken on Wednesday October 14, one day before the October 15 refunding settlement and tax date. The Daily Treasury Statement already shows the TGA up +$48.9B to $934.7B on October 15, so next week's H.4.1 should show a net-liquidity drain. The calendar model projects only about -$24B, because it windows on issue dates of October 17-23 and so misses the October 15 settlement and tax receipts; treat its point estimate as too optimistic. Hot September CPI has put an October 28 hike back in play. The dollar leg of the Dollar / Yield score reads flat only because FRED's broad-dollar series has not updated past October 9.
NEGATIVE URLI -13.50 — 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+$40.0MNEUTRAL
Fed B/S+$8.1BADD
Reserves+$8.8BWATCH
RRP-$6.9BNEUTRAL
Net Liquidity
US Net Cash+15.0BNEUTRAL
Risk Gate
Risk AssetsURLI -13.5DRAIN
Crypto Markets
Crypto Beta$2.56TDRAIN
Meme Beta$26BDRAIN
AddDrainWatchNeutralLast week3-month avg
Liquidity tanks update weekly (Fed H.4.1 / FRED · as of Oct 16, 2026). Crypto & meme market cap and read use the weekly report snapshot (CoinGecko · as of Nov 7, 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 | $6,747.6B | $6,755.6B | +$8.1B (+0.1%) | POSITIVE |
| Bank reserves | $3,022.1B | $3,030.9B | +$8.8B (+0.3%) | POSITIVE |
| TGA | $885.8B | $885.8B | +$0.0B (+0.0%) | NEUTRAL |
| RRP | $333.7B | $326.8B | -$6.9B (-2.1%) | POSITIVE |
| Fed rate path | — | tightening -- four weeks after the first hike of the cycle; the September minutes signal another increase by year-end, and the hotter September CPI (3.7% y/y) pushed October hike odds back up | 3.75%-4.00% | NEGATIVE |
| Dollar / yields | — | easing on yields -- the 10-year fell -14bp to 5.10%, outside the +-8bp band; the broad-dollar series has not updated past October 9 | Broad USD 121.60 (FRED/H.10 DTWEXBGS, 2026-10-09, latest available); no newer H.10 observation in the window | POSITIVE |
Previous week: 2026-10-09 (H.4.1 weekly levels).
Fed Balance Sheet Detail
| Indicator | Latest | Weekly Change | Read |
|---|---|---|---|
| Fed total assets | $6,755.6B | +$8.1B (+0.1%) | POSITIVE |
| Securities held outright | $6,471.1B | +$4.2B (+0.1%) | POSITIVE |
| Treasury securities | $4,570.6B | +$4.2B (+0.1%) | POSITIVE |
| Bank reserves | $3,030.9B | +$8.8B (+0.3%) | POSITIVE |
| Discount window | $11.1B | +$1.1B (+10.7%) | WATCH |
H.4.1 Wednesday levels in millions of dollars for October 14, 2026 (release dated October 15, 2026). All figures are Wednesday levels, not the averages-of-daily-figures column, and every weekly change is computed Wednesday-over-Wednesday against 2026-10-07. 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); each prior-week FRED value matches the stored 2026-10-07 level. Total assets minus Reserve Bank credit is $46,693M versus $46,756M last week, confirming the Wednesday column. Securities held outright rose +$4,239M: Treasuries +$4,168M (bills +$3,891M to $566.0B, FRED WSHOBL) under the reinvestment-into-bills regime and MBS +$71M. On the liability side the TGA was flat (+$40M) at $885,823M because the October 15 refunding settlement and tax date fell the day after the Wednesday observation; the RRP fell -$6,940M to $326,799M and bank reserves rose +$8,788M to $3,030,854M. Discount-window loans rose for a third week, +$1,075M to $11,081M.
Net Liquidity Calculation
Net Liquidity Change = Fed Balance Sheet Change - TGA Change - RRP Change
| Component | Weekly Change | Effect | Notes |
|---|---|---|---|
| Fed balance sheet | +$8.1B | POSITIVE | Balance-sheet growth adds liquidity. |
| TGA | +$0.0B | NEUTRAL | TGA up pulls cash into Treasury; TGA down injects it. |
| RRP | -$6.9B | POSITIVE | RRP up parks cash at the Fed; RRP down releases it. |
| Net liquidity | +$15.0B | 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% | +0 | +0.00 |
| Fed Rate Path | 15% | -80 | -12.00 |
| Treasury Outlook | 10% | -50 | -5.00 |
| Funding Stress | 10% | +10 | +1.00 |
| Dollar / Yield Pressure | 10% | +25 | +2.50 |
| Metric | Value |
|---|---|
| Weekly URLI | -13.50 |
| 4-week moving average | -2.94 |
| 13-week moving average | -14.75 |
Observed URLI history
| Week | URLI | Net Liquidity | Reserves | TGA | RRP | Read |
|---|---|---|---|---|---|---|
| 2026-10-16 | -13.50 | +$15.0B | +$8.8B | +$0.0B | -$6.9B | MILD LIQUIDITY DRAIN |
| 2026-10-09 | +44.00 | +$130.9B | +$140.4B | -$98.3B | -$28.1B | POSITIVE |
| 2026-10-02 | -57.25 | -$82.6B | -$88.2B | +$36.7B | +$41.2B | NEGATIVE |
| 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 |
Show 65 earlier entries
| Week | URLI | Net Liquidity | Reserves | TGA | RRP | Read |
|---|---|---|---|---|---|---|
| 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 |
| 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 — 2026-10-23 estimate
| Item | Estimate | Bias |
|---|---|---|
| Projected URLI point | -33.50 | MILD LIQUIDITY DRAIN |
| Backtested URLI range | -68.50 to +32.75 | RANGE |
| Projected net liquidity | -$139.9B to $90.9B | NEUTRAL |
| Range note | Backtested URLI range -68.50 to +32.75. | 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 | +2.3B | Trailing 4-week mean |
| TGA | +26.0B | Coupon net + assumed bill roll |
| RRP | +0.7B | Trailing 4-week mean |
| Net liquidity | -24.5B | Fed BS - TGA - RRP |
Projection track record — current estimator
| Metric | Value | Meaning |
|---|---|---|
| Scored weeks (N) | 15 | Scored since the 2026-07-21 model change |
| Directional hit rate | 10/15 | Projected regime sign matched realized |
| Range containment | 15/15 | Realized URLI inside the displayed ±band |
| Avg absolute error | 32.0 pts | Mean |projected − realized| |
| Point bias | -7.3 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 12/12; mean absolute URLI error 28.00.
Assumptions
- TGA projection separates coupon cash flow (+26.0B) from bills. Bills are assumed roll (+0.0B); gross settlements and maturities remain $860.0B and $503.0B.
- Fed balance sheet change carries forward the trailing 4-week mean: +2.3B.
- RRP change carries forward the trailing 4-week mean: +0.7B.
- 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 |
|---|---|---|---|---|
| 2026-10-19 | 13-week ($95B) and 26-week ($82B) bill auctions | $177B, settling October 22 | Bills assumed to roll against maturing par; broadly neutral absent a size change | NEUTRAL |
| 2026-10-20 | 6-week bill auction ($95B) | $95B, settling October 22 | Bill roll; neutral unless the size changes | NEUTRAL |
| 2026-10-21 | 20-year bond reopening ($13B); 17-week bill auction | $13B coupon, settling October 23 | Small coupon settlement after the Wednesday observation; the model counts it in the +$26B coupon cash flow | NEGATIVE |
| 2026-10-22 | 5-year TIPS reopening ($26B); 4- and 8-week bill auctions; settlement of the October 19-20 bills | $26B TIPS settling October 30; $272B of bills settling | Bill settlements roll; the TIPS cash settles in the following week | NEUTRAL |
| 2026-10-22 | H.4.1 for Wednesday October 21 -- first balance-sheet read including the October 15 settlement and tax date | DTS: TGA +$48.9B on October 15 | The TGA rebuild seen in the Daily Treasury Statement should show up as a net-liquidity drain | NEGATIVE |
| 2026-10-27 | Next FOMC meeting (October 27-28, 2026); euro area September M3 (ECB) | N/A | Hot September CPI put an October hike back in play; the minutes already signal another hike by year-end | WATCH |
Alerts & Warnings
| Alert | Status | Notes |
|---|---|---|
| Major injection / drain | NEUTRAL | Net liquidity +15.0B; no breach of the +/-$100B threshold. |
| Reserve shock | POSITIVE | Bank reserves +8.8B; inside the +/-$75B shock band. |
| TGA rebuild risk | WATCH | The H.4.1 TGA was flat (+$0.04B) at $885.8B on Wednesday October 14, because the drain everyone expected fell one day later. The Daily Treasury Statement shows the TGA rising +$48.9B to $934.7B on Thursday October 15, when about $119B of 3-, 10- and 30-year refunding securities settled alongside the individual-extension tax date. That build sits inside the next H.4.1 window (October 15-21), so the rubric reads 'TGA rebuild expected' and the score moves from 0 to -50. Next week's settlements are mostly bill rolls ($272B of 13-, 26- and 6-week bills on October 22) plus a $13B 20-year reopening on October 23; the calendar model, which keys on issue dates of October 17-23, does not include the October 15 settlement or tax receipts. |
| RRP shock | NEUTRAL | RRP -6.9B; below the $50B shock threshold. |
| Fed rate path | NEGATIVE | No FOMC decision this week; the target range stays at 3.75%-4.00% after the September 16 hike, with IORB at 3.90%. September CPI, released October 14, rose 0.6% m/m and 3.7% y/y (from 3.4%), with core +0.3% m/m and 2.6% y/y, both a tenth above consensus; gasoline (+9.1%) drove more than half the monthly gain. Press coverage put CME-implied odds of an October hike at roughly 44% after the release, up from about 20% beforehand, while Chicago Fed President Goolsbee called the print discouraging but preferred to wait for more data. The minutes already point to another hike by year-end, so the rubric score stays at -80 (tightening). On the quantity side, securities held outright rose +$4.2B (Treasury bills). The next decision is the October 27-28 FOMC. |
| Funding stress | POSITIVE | FRED-derived: -2.00 bps avg SOFR−IORB (2026-10-08 to 2026-10-15, 5 business days): -3 bp October 8, -3 bp October 9, -1 bp October 13, -2 bp October 14, -1 bp October 15. The score holds at +10. SOFR never printed above IORB, even on the October 15 settlement and tax date. Reserves rose +$8.8B to $3,030.9B, although discount-window loans rose for a third week to $11.1B. |
| Historical significance | NEUTRAL | URLI-Core (4 data components, 75% weight) = +3.50 ranks in the 49th percentile of weeks since 2020 (N=356). |
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 +$15.0B. |
| 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 2026-10-16; previous week 2026-10-09; H.4.1 levels in $M, displayed in $B. |