US FED / TREASURY LIQUIDITY — WEEKLY MEMO
Week Ending 2026-10-23
The flagged drain arrived: net liquidity fell an estimated -$68.6B as the TGA rose +$59.3B on the October 15 refunding and tax receipts, the RRP rose +$7.3B and Fed assets slipped -$2.0B, pushing reserves back below $3T.
URLI Score
-51.75
Bearish liquidity contraction
Net Liquidity
-$68.6B
Meaningful drain
Bank Reserves
-$61.3B
Reserve drain
TGA Change
+$59.3B
Cash drain
RRP Change
+$7.3B
Cash parked
Fed Regime
Tightening --
3.75%-4.00%
Treasury Outlook
Issuance pressure
Liquidity risk
Market Bias
RISK OFF
Liquidity drag
Executive Conclusion
Supportive
- Funding stayed calm: SOFR averaged 1.8bp below the 3.90% IORB floor and touched it only on October 22, keeping Funding Stress at +10.
- The 10-year fell -13bp to 4.96% and the 30-year -14bp to 5.29%, holding the Dollar / Yield score at +25.
- Markets moved toward a hold at the October 28 FOMC: about 83% per CME FedWatch on October 20, and 94 of 100 economists in a Reuters poll.
- Discount-window loans fell -$1.9B to $9.2B after three weekly increases.
- H.8 bank credit rose +$45.6B in the week to October 14, with C&I loans +$4.8B.
Restrictive
- Net liquidity fell an estimated -$68.6B: the TGA +$59.3B to $945.2B, the RRP +$7.3B and Fed total assets -$2.0B.
- Bank reserves fell -$61.3B to $2,969.5B, back below $3T after two weeks above.
- Securities held outright fell -$0.9B as MBS runoff (-$3.0B) outpaced Treasury-bill reinvestment (+$1.8B).
- The Fed Rate Path score stays at its -80 floor: all 100 economists in the Reuters poll expect a December hike.
- The DTS shows the TGA at $961.8B on October 22, and $213B of month-end coupons settle November 2.
Main Warning
- The drain was larger than the model's -$24.5B projection because the calendar model windows on issue dates of October 17-23 and so missed the October 15 refunding settlement and tax receipts, which landed in this October 15-21 H.4.1 window. The same windowing gap applies next week: the model counts the $26B TIPS settlement of October 30, which falls after the October 28 snapshot, and the $213B month-end coupon block settles November 2. Next week's projection is flagged for manual review because the October 28 FOMC falls in its window. The dollar leg of the Dollar / Yield score reads flat only because FRED's broad-dollar series has not updated past October 16.
NEGATIVE URLI -51.75 — 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+$59.3BDRAIN
Fed B/S-$2.0BNEUTRAL
Reserves-$61.3BWATCH
RRP+$7.3BNEUTRAL
Net Liquidity
US Net Cash-68.6BDRAIN
Risk Gate
Risk AssetsURLI -51.8DRAIN
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 23, 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 | $6,755.6B | $6,753.6B | -$2.0B (-0.0%) | NEGATIVE |
| Bank reserves | $3,030.9B | $2,969.5B | -$61.3B (-2.0%) | NEGATIVE |
| TGA | $885.8B | $945.2B | +$59.3B (+6.7%) | NEGATIVE |
| RRP | $326.8B | $334.1B | +$7.3B (+2.2%) | NEGATIVE |
| Fed rate path | — | tightening -- five weeks after the September hike; markets and economists expect a hold on October 28 but a further hike by the December 8-9 meeting, so the cycle has not turned | 3.75%-4.00% | NEGATIVE |
| Dollar / yields | — | easing on yields -- the 10-year fell -13bp to 4.96%, outside the +-8bp band; the broad-dollar series has not updated past October 16 | Broad USD 121.40 (FRED/H.10 DTWEXBGS, 2026-10-16, latest available); no newer H.10 observation in the window | POSITIVE |
Previous week: 2026-10-16 (H.4.1 weekly levels).
Fed Balance Sheet Detail
| Indicator | Latest | Weekly Change | Read |
|---|---|---|---|
| Fed total assets | $6,753.6B | -$2.0B (-0.0%) | NEGATIVE |
| Securities held outright | $6,470.2B | -$0.9B (-0.0%) | NEGATIVE |
| Treasury securities | $4,572.7B | +$2.1B (+0.0%) | POSITIVE |
| Bank reserves | $2,969.5B | -$61.3B (-2.0%) | NEGATIVE |
| Discount window | $9.2B | -$1.9B (-17.0%) | POSITIVE |
H.4.1 Wednesday levels in millions of dollars for October 21, 2026 (release dated October 22, 2026). All figures are Wednesday levels, not the averages-of-daily-figures column, and every weekly change is computed Wednesday-over-Wednesday against 2026-10-14. 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 2026-10-14 level. Total assets minus Reserve Bank credit is $46,753M versus $46,693M last week, confirming the Wednesday column. Securities held outright fell -$881M: Treasuries +$2,102M (bills +$1,827M to $567.9B, FRED WSHOBL) under the reinvestment-into-bills regime, while MBS ran off -$2,983M. On the liability side the TGA rose +$59,330M to $945,153M, capturing the October 15 refunding settlement and tax date that fell after last week's snapshot (the Daily Treasury Statement matches $945,153M on October 21). The RRP rose +$7,284M to $334,083M and bank reserves fell -$61,332M to $2,969,522M, back below $3T. Discount-window loans fell -$1,882M to $9,199M after three weekly increases.
Net Liquidity Calculation
Net Liquidity Change = Fed Balance Sheet Change - TGA Change - RRP Change
| Component | Weekly Change | Effect | Notes |
|---|---|---|---|
| Fed balance sheet | -$2.0B | NEGATIVE | Balance-sheet growth adds liquidity. |
| TGA | +$59.3B | NEGATIVE | TGA up pulls cash into Treasury; TGA down injects it. |
| RRP | +$7.3B | NEGATIVE | RRP up parks cash at the Fed; RRP down releases it. |
| Net liquidity | -$68.6B | 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% | -70 | -14.00 |
| Fed Rate Path | 15% | -80 | -12.00 |
| Treasury Outlook | 10% | -30 | -3.00 |
| Funding Stress | 10% | +10 | +1.00 |
| Dollar / Yield Pressure | 10% | +25 | +2.50 |
| Metric | Value |
|---|---|
| Weekly URLI | -51.75 |
| 4-week moving average | -19.62 |
| 13-week moving average | -15.54 |
Observed URLI history
| Week | URLI | Net Liquidity | Reserves | TGA | RRP | Read |
|---|---|---|---|---|---|---|
| 2026-10-23 | -51.75 | -$68.6B | -$61.3B | +$59.3B | +$7.3B | BEARISH LIQUIDITY CONTRACTION |
| 2026-10-16 | -13.50 | +$15.0B | +$8.8B | +$0.0B | -$6.9B | NEGATIVE |
| 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 |
Show 66 earlier entries
| Week | URLI | Net Liquidity | Reserves | TGA | RRP | Read |
|---|---|---|---|---|---|---|
| 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 |
| 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 — 2026-10-30 estimate
| Item | Estimate | Bias |
|---|---|---|
| Mechanical midpoint (review only) | -31.50 | PRELIMINARY |
| Backtested URLI range | -66.50 to +34.75 | RANGE |
| Projected net liquidity | -$143.3B to $87.5B | NEUTRAL |
| Range note | Backtested URLI range -66.50 to +34.75. | NEUTRAL |
| Confidence | Model backtest cleared: RMSE $115.4B vs naive $142.9B; hit rate 52.7%. Manual review required for calendar-risk flags. | WATCH |
| Backtest gate | RMSE improvement 19.25% | MODEL |
| Component | Projected Change | Method |
|---|---|---|
| Fed balance sheet | +1.5B | Trailing 4-week mean |
| TGA | +26.0B | Coupon net + assumed bill roll |
| RRP | +3.3B | Trailing 4-week mean |
| Net liquidity | -27.9B | 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 $352.0B and $543.0B.
- Fed balance sheet change carries forward the trailing 4-week mean: +1.5B.
- RRP change carries forward the trailing 4-week mean: +3.3B.
- 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.
- 2026-10-28 scheduled FOMC decision falls in this projection window; rate-path and balance-sheet guidance can dominate the mechanical estimate.
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 |
|---|---|---|---|---|
| 2026-10-26 | 13-week ($95B) and 26-week ($82B) bill auctions; 2-year note auction ($69B) | $177B of bills settling October 29; $69B 2-year settling November 2 | Bills assumed to roll; the 2-year cash settles after the next H.4.1 window | NEUTRAL |
| 2026-10-27 | 5-year note ($70B), 52-week ($54B) and 6-week ($95B) bill auctions; euro area September M3 (ECB) | $70B coupon settling November 2; $149B of bills settling October 29 | Coupon cash lands November 2, a TGA build for the November 4 H.4.1 | NEGATIVE |
| 2026-10-28 | FOMC decision (October 27-28); 2-year FRN ($30B) and 17-week bill auctions | Target range 3.75%-4.00%; FRN $30B settling November 2 | A hold is priced (~83-94%); the statement and press conference set the December hike odds | WATCH |
| 2026-10-29 | 7-year note auction ($44B); 4- and 8-week bill auctions; H.4.1 for Wednesday October 28 | $44B coupon settling November 2 | The October 22-28 H.4.1 window holds mostly bill rolls plus the $13B 20-year settlement of October 23 | NEUTRAL |
| 2026-10-30 | 5-year TIPS reopening ($26B) settles | $26B | Settles after the October 28 Wednesday snapshot; the calendar model counts it as the +$26B coupon cash flow | NEGATIVE |
| 2026-11-02 | Month-end coupon settlement (2-, 5-, 7-year notes and 2-year FRN) | $213B gross | Large settlement just outside the next H.4.1 window; expect a TGA build in the November 4 data | NEGATIVE |
Alerts & Warnings
| Alert | Status | Notes |
|---|---|---|
| Major injection / drain | NEUTRAL | Net liquidity -68.6B; no breach of the +/-$100B threshold. |
| Reserve shock | NEGATIVE | Bank reserves -61.3B; inside the +/-$75B shock band. |
| TGA rebuild risk | WATCH | The TGA rose +$59.3B to $945.2B on Wednesday October 21, the drain last week's report flagged: the October 15 refunding settlement and individual-extension tax date landed inside this H.4.1 window. The Daily Treasury Statement shows the balance peaking at $973.7B on October 20, dipping to $945.2B on October 21 and rising to $961.8B on October 22 as $272B of bills settled. With the rebuild absorbed, the rubric moves from 'TGA rebuild expected' (-50) to 'issuance pressure' (-30): the next H.4.1 window (October 22-28) holds mostly bill rolls plus the $13B 20-year reopening on October 23, but the month-end coupon block ($69B 2-year, $70B 5-year, $44B 7-year and a $30B 2-year FRN) settles on November 2, and the $26B 5-year TIPS reopening settles October 30. |
| RRP shock | NEUTRAL | RRP +7.3B; below the $50B shock threshold. |
| Fed rate path | NEGATIVE | No FOMC decision this week; the target range stays at 3.75%-4.00% with IORB at 3.90%, and the Fed is in its pre-meeting blackout ahead of the October 27-28 FOMC. Pricing has moved away from an October move: press coverage put CME FedWatch at roughly 83% hold / 17% hike on October 20, and a Reuters poll found 94 of 100 economists expecting no change on October 28 but all 100 expecting a hike in December. Because a further hike is still the base case and the September minutes point the same way, the rubric score stays at -80 (tightening) rather than -50 (hold with hike risk). On the quantity side, securities held outright fell -$0.9B as MBS runoff (-$3.0B) outpaced Treasury-bill reinvestment (+$1.8B). |
| Funding stress | POSITIVE | FRED-derived: -1.80 bps avg SOFR−IORB (2026-10-16 to 2026-10-22, 5 business days): -2 bp October 16, -3 bp October 19, -2 bp October 20, -2 bp October 21, 0 bp October 22. The score holds at +10. SOFR printed at the 3.90% IORB floor on October 22, the day $272B of bills settled, but never above it. Reserves fell -$61.3B to $2,969.5B as the TGA rebuilt, and discount-window loans eased to $9.2B. |
| Historical significance | NEGATIVE | URLI-Core (4 data components, 75% weight) = -36.75 ranks in the 22nd percentile of weeks since 2020 (N=356). |
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 -$68.6B. |
| 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 2026-10-23; previous week 2026-10-16; H.4.1 levels in $M, displayed in $B. |