Liquidity desk · v3

Fed plumbing situation report — not a crisis predictor until track record proves otherwise.

Relative stress
12.0
QUIET
EASING
Quiet 0–34 · Elevated 35–59 · High 60–100
Factor percentiles (trailing): spread 75.3 · net-drain 30.8 · res-drain 35.9 · RRP 32.7 · TGA 20.5 · 30y 54.2

The message

Relative stress is Quiet (12.0). Net liquidity rose over 4 weeks (+$61.6B). Watch: RRP near floor ($5.38B). Relative confluence easing. Track record (relative): 3 hit / 0 miss / 40 false-alarm High weeks.

Track record

3
HIT
0
MISS
40
FA High wks

HIT = relative ≥35 in lead 4w + window. FA = relative ≥60 outside ±2w event buffers. Scored from reconstructed history — not marketing.

Sep 2019 HIT
2019-09-01 → 2019-10-15
Peak relative 84.1 · abs 51.7 · during window only
Dealer balance-sheet / overnight funding (repo rates spiked)
Mar 2020 HIT
2020-02-15 → 2020-04-30
Peak relative 46.1 · abs 30.9 · during window only
COVID liquidity / Treasury market dysfunction / funding scramble
2023 banking HIT
2023-03-01 → 2023-05-15
Peak relative 35.9 · abs 38.9 · 14d lead
SVB / regional bank runs (deposit flight; BTFP followed)

Top High false-alarm weeks: 2025-09-17 (83.2), 2025-09-24 (81.0), 2025-05-07 (80.4), 2025-11-12 (80.0), 2025-04-30 (79.4)

Weekly relative stress
SepMar2023 20192020202120222023202420252026

Weekly relative stress · Quiet≤34 / Elevated≤59 · red dots ≈ labeled events

SOFR from 2018-04-03 · IORB from 2021-07-29; IOER proxy before that · Timeline 2019-01-02 → 2026-09-09 (402 pts)

What I'm looking for

Net liquidity trend
rising
+$61.6B over 4 weeks
RRP buffer
floor
$5.38B under $50B thresh
SOFR vs IORB
easy
spread -26.0bp — funding calm
TGA
draining into system
$-80.6B / 4w adds private liq
Reserves
steady
+$47.3B / 4w
Long yields
warm
30y 5.36% — elevated but under thresh

Current regime gauges

Absolute regime gauge
18.8
QUIET

⚠ Absolute 0–100 is a current regime gauge only — NOT a crisis predictor. Prefer Relative above.

Net liq
$5,856.9B
+$61.6B /4w
TGA
$883.3B
$-80.6B /4w
ON RRP
$5.38B
+$5.1B /4w
Reserves
$2,991.3B
+$47.3B /4w
SOFR−IORB
-26.0 bp
10y / 30y
5.00% / 5.36%

What the metrics mean

Live numbers

SeriesLatestAs-ofΔ1wΔ4w
Net liq$5,856.9B2026-09-09 +$88.1B+$61.6B
WALCL$6,740.6B2026-09-09 +$3.4B$-19.3B
TGA$883.3B2026-09-09 $-84.6B$-80.6B
ON RRP$5.38B2026-09-16 +$4.9B+$5.1B
Reserves$2,991.3B2026-09-09 +$96.8B+$47.3B
SOFR3.64%2026-09-15 ——
IORB3.90%2026-09-17 ——
SOFR−IORB-26.0 bp 2026-09-15 -25.0bp —
10y5.00%2026-09-15 +20bp—
30y5.36%2026-09-15 +11bp +8bp

Δ13w net liq: $-40.0B. Generated 2026-09-16 21:00 ET.

Sources: FRED graph CSV (no key); NY Fed SOFR API. Units: WALCL/TGA/reserves millions→$B; RRP already $B. Misses this run: none. H.4.1 lag: WALCL / TGA / reserves are weekly Fed prints and typically lag ~1–8 days — treat net-liq as-of accordingly. Pre-Jul 2021 spread uses IOER proxy (IORB starts later). Relative method: rolling 3y percentiles; 10d-max funding spread; excess from p70; agg 0.50×mean+0.25×max+0.25×spread (weights: spread 35%, net/res drain 20% each, RRP 12%, TGA 8%, 30y 5%). Situation report only — not a trade call. Do not invent FOMC causation.