US FED / TREASURY LIQUIDITY — WEEKLY MEMO
Week Ending 2026-10-30
Net liquidity fell an estimated -$70.2B for a second straight drain: the TGA rose +$70.5B to $1,015.6B, its highest Wednesday level since March 2021, Fed assets slipped -$8.0B and the RRP eased -$8.2B, pushing reserves down -$74.3B to $2,895.2B.
URLI Score
-57.25
Bearish liquidity contraction
Net Liquidity
-$70.2B
Meaningful drain
Bank Reserves
-$74.3B
Reserve drain
TGA Change
+$70.5B
Cash drain
RRP Change
-$8.2B
Cash released
Fed Regime
Tightening --
3.75%-4.00%
Treasury Outlook
Issuance pressure
Liquidity risk
Market Bias
RISK OFF
Liquidity drag
Executive Conclusion
Supportive
- The RRP fell -$8.2B to $325.8B, a small offset to the TGA build.
- HY spreads tightened -12bp to 3.26% over the week to October 29.
- The month-end coupon block that settles November 2 ($213B) is smaller than the $248B of coupons maturing October 31, so the model projects a -$35B TGA move next week.
- H.8 bank credit rose +$28.9B in the week to October 21, with C&I loans +$5.2B.
- The 10-year slipped -2bp to 4.98% and the 2-year -4bp to 4.61%.
Restrictive
- Net liquidity fell an estimated -$70.2B: the TGA +$70.5B to $1,015.6B, Fed total assets -$8.0B, partly offset by the RRP -$8.2B.
- Bank reserves fell -$74.3B to $2,895.2B, the lowest Wednesday level since October 2 ($2,881.7B).
- Funding Stress drops from +10 to -20: SOFR averaged +3.6bp above the 3.90% IORB floor and printed above it every day of the window.
- The October 28 FOMC held, but Cook and Hammack dissented for a hike, and a December hike stays the base case, so Fed Rate Path stays at -80.
- Securities held outright fell -$7.7B as MBS runoff (-$11.7B) outpaced Treasury-bill reinvestment (+$3.7B).
Main Warning
- The drain was larger than the model's -$27.9B projection because the TGA kept building on bill settlements between October 22 and October 28. The Daily Treasury Statement shows the TGA at $1,040.2B on October 29, so cash is still rising after the snapshot. Next week's projection was corrected this run: Fiscal Data has not yet posted the October 26-29 auctions and the TreasuryDirect upcoming feed had already dropped them, so the model briefly saw $248B of October 31 coupon maturities with none of the $213B November 2 settlements, a fake -$248B TGA drain. The settlement leg now also reads TreasuryDirect's auctioned feed. The model still windows on the Friday label, so it skips the $26B TIPS settlement of October 30 that falls inside the next H.4.1 window. FRED's broad-dollar series has not updated past October 23.
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+$70.5BDRAIN
Fed B/S-$8.0BWATCH
Reserves-$74.3BWATCH
RRP-$8.2BNEUTRAL
Net Liquidity
US Net Cash-70.2BDRAIN
Risk Gate
Risk AssetsURLI -57.2DRAIN
Crypto Markets
Crypto Beta$2.56TADD
Meme Beta$26BDRAIN
AddDrainWatchNeutralLast week3-month avg
Liquidity tanks update weekly (Fed H.4.1 / FRED · as of Oct 30, 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 | $6,753.6B | $6,745.6B | -$8.0B (-0.1%) | NEGATIVE |
| Bank reserves | $2,969.5B | $2,895.2B | -$74.3B (-2.5%) | NEGATIVE |
| TGA | $945.2B | $1,015.6B | +$70.5B (+7.5%) | NEGATIVE |
| RRP | $334.1B | $325.8B | -$8.2B (-2.5%) | POSITIVE |
| Fed rate path | — | tightening -- the October 28 FOMC held at 3.75%-4.00% but two voters (Cook, Hammack) dissented for another hike, and a December 8-9 hike remains the market base case | 3.75%-4.00% | NEGATIVE |
| Dollar / yields | — | stable -- the 10-year slipped -2bp to 4.98% and the broad-dollar series has not updated past October 23 | Broad USD 121.32 (FRED/H.10 DTWEXBGS, 2026-10-23, latest available); no newer H.10 observation in the window | NEUTRAL |
Previous week: 2026-10-23 (H.4.1 weekly levels).
Fed Balance Sheet Detail
| Indicator | Latest | Weekly Change | Read |
|---|---|---|---|
| Fed total assets | $6,745.6B | -$8.0B (-0.1%) | NEGATIVE |
| Securities held outright | $6,462.5B | -$7.7B (-0.1%) | NEGATIVE |
| Treasury securities | $4,576.6B | +$3.9B (+0.1%) | POSITIVE |
| Bank reserves | $2,895.2B | -$74.3B (-2.5%) | NEGATIVE |
| Discount window | $9.6B | +$0.4B (+4.0%) | WATCH |
H.4.1 Wednesday levels in millions of dollars for October 28, 2026 (release dated October 29, 2026). All figures are Wednesday levels, not the averages-of-daily-figures column, and every weekly change is computed Wednesday-over-Wednesday against 2026-10-21. 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 2026-10-21 level. Total assets minus Reserve Bank credit is $46,731M versus $46,753M last week, confirming the Wednesday column. Securities held outright fell -$7,727M: Treasuries +$3,928M (bills +$3,653M to $571.5B, FRED WSHOBL) under the reinvestment-into-bills regime, while MBS ran off -$11,655M in the larger late-month paydown. On the liability side the TGA rose +$70,479M to $1,015,632M, the highest Wednesday level since March 2021 per FRED WDTGAL; the Daily Treasury Statement matches $1,015,632M on October 28 after a $1,052.5B peak on October 27. The RRP fell -$8,246M to $325,837M and bank reserves fell -$74,286M to $2,895,236M. Discount-window loans rose +$370M to $9,569M.
Net Liquidity Calculation
Net Liquidity Change = Fed Balance Sheet Change - TGA Change - RRP Change
| Component | Weekly Change | Effect | Notes |
|---|---|---|---|
| Fed balance sheet | -$8.0B | NEGATIVE | Balance-sheet growth adds liquidity. |
| TGA | +$70.5B | NEGATIVE | TGA up pulls cash into Treasury; TGA down injects it. |
| RRP | -$8.2B | POSITIVE | RRP up parks cash at the Fed; RRP down releases it. |
| Net liquidity | -$70.2B | 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% | -20 | -2.00 |
| Dollar / Yield Pressure | 10% | +0 | +0.00 |
| Metric | Value |
|---|---|
| Weekly URLI | -57.25 |
| 4-week moving average | -19.62 |
| 13-week moving average | -14.98 |
Observed URLI history
| Week | URLI | Net Liquidity | Reserves | TGA | RRP | Read |
|---|---|---|---|---|---|---|
| 2026-10-30 | -57.25 | -$70.2B | -$74.3B | +$70.5B | -$8.2B | BEARISH LIQUIDITY CONTRACTION |
| 2026-10-23 | -51.75 | -$68.6B | -$61.3B | +$59.3B | +$7.3B | NEGATIVE |
| 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 |
Show 67 earlier entries
| Week | URLI | Net Liquidity | Reserves | TGA | RRP | Read |
|---|---|---|---|---|---|---|
| 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 |
| 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 — 2026-11-06 estimate
| Item | Estimate | Bias |
|---|---|---|
| Projected URLI point | +11.00 | MILDLY SUPPORTIVE |
| Backtested URLI range | -57.25 to +38.00 | RANGE |
| Projected net liquidity | -$68.9B to $158.3B | NEUTRAL |
| Range note | Backtested URLI range -57.25 to +38.00. | NEUTRAL |
| Confidence | Model backtest cleared: RMSE $113.6B vs naive $142.5B; hit rate 53.5%. | WATCH |
| Backtest gate | RMSE improvement 20.29% | MODEL |
| Component | Projected Change | Method |
|---|---|---|
| Fed balance sheet | +0.7B | Trailing 4-week mean |
| TGA | -35.0B | Coupon net + assumed bill roll |
| RRP | -9.0B | Trailing 4-week mean |
| Net liquidity | +44.7B | 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 (-35.0B) from bills. Bills are assumed roll (+0.0B); gross settlements and maturities remain $790.0B and $749.0B.
- Fed balance sheet change carries forward the trailing 4-week mean: +0.7B.
- RRP change carries forward the trailing 4-week mean: -9.0B.
- 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 |
|---|---|---|---|---|
| 2026-11-02 | Month-end coupon settlement (2-, 5-, 7-year notes and 2-year FRN); 13-week ($95B), 26-week ($82B) and 6-week ($100B) bill auctions; Treasury marketable-borrowing estimate expected | $213B gross coupons settling against $248B of coupons maturing October 31 (net -$35B) | Coupon cash roughly offsets maturities inside the next H.4.1 window; the borrowing estimate sets the year-end TGA assumption | NEUTRAL |
| 2026-11-03 | ECB weekly financial statement (week to October 30); 4-, 8- and 17-week bill auctions announced | Bill sizes not yet announced | Bills assumed to roll | NEUTRAL |
| 2026-11-04 | Quarterly Refunding announcement (3-, 10-, 30-year sizes); H.4.1 Wednesday snapshot | Refunding sizes not yet announced; settle November 16 | Coupon-size guidance and the bill-share outlook set Q4 issuance pressure | WATCH |
| 2026-11-05 | Settlement of $277B of 13-, 26- and 6-week bills; H.4.1 release for Wednesday November 4 | $277B of bills | Bills assumed to roll; the H.4.1 shows the October 30 TIPS and November 2 coupon settlements | NEUTRAL |
| 2026-11-06 | October employment report (BLS) | Payrolls and unemployment for October | A strong print firms December hike pricing; a soft print would ease the Fed Rate Path drag | WATCH |
Alerts & Warnings
| Alert | Status | Notes |
|---|---|---|
| Major injection / drain | NEUTRAL | Net liquidity -70.2B; no breach of the +/-$100B threshold. |
| Reserve shock | NEGATIVE | Bank reserves -74.3B; inside the +/-$75B shock band. |
| RRP shock | NEUTRAL | RRP -8.2B; below the $50B shock threshold. |
| Fed rate path | NEGATIVE | The FOMC held the target range at 3.75%-4.00% on October 28, five weeks after the September hike, with IORB unchanged at 3.90% effective October 29. The vote was 10-2: Lisa D. Cook and Beth M. Hammack preferred a further 1/4-point hike. The statement says economic activity is expanding at a strong pace, domestic spending has been resilient and inflation remains elevated. Before the meeting, press coverage put CME FedWatch at roughly 75% for a December hike. Because a further hike remains the base case and two voters already wanted it, the rubric score stays at -80 (tightening) rather than -50 (hold with hike risk). On the quantity side, securities held outright fell -$7.7B as MBS runoff (-$11.7B) outpaced Treasury-bill reinvestment (+$3.7B). |
| Funding stress | NEGATIVE | FRED-derived: +3.60 bps avg SOFR−IORB (2026-10-23 to 2026-10-29, 5 business days): +2 bp October 23, +3 bp October 26, +5 bp October 27, +4 bp October 28, +4 bp October 29. The score falls from +10 to -20. SOFR moved above IORB on every day of the window, while the TGA climbed past $1T and reserves fell -$74.3B to $2,895.2B. Discount-window loans edged up +$0.4B to $9.6B. |
| Historical significance | NEGATIVE | URLI-Core (4 data components, 75% weight) = -42.25 ranks in the 15th 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 -$70.2B. |
| 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 2026-10-30; previous week 2026-10-23; H.4.1 levels in $M, displayed in $B. |