Alerts
- RRP at $1B (threshold: $50B) — liquidity cushion depleted
- TGA at $876B (threshold: $800B) — liquidity drain
Dollar Funding Stress
| Indicator | Current | 1w Ago | Signal |
|---|---|---|---|
| SOFR | 3.62% | 3.65% | — |
| EFFR | 3.64% | 3.64% | — |
| SOFR-EFFR Spread | -2.0bps | 1.0bps | NORMAL |
Reserve Plumbing & Net Liquidity
| Indicator | Current | 1w Ago | Threshold | Signal |
|---|---|---|---|---|
| RRP | $1B | $0B | <$50B | WARNING |
| TGA | $876B | $911B | >$800B | WARNING |
| Reserves | $3.02T | $2.94T | <$3.0T | NORMAL |
| SRF Usage | $0.0B | $0.1B | >$5B | NORMAL |
IG OAS: 90bps (NORMAL) — investment grade credit spread
T-bill Supply & Dealer Positioning
| Bucket | Net Position |
|---|---|
| Bills | $76B |
| Coupons ≤3yr | $155B |
| Coupons 3-11yr | $143B |
| Coupons 11yr+ | $121B |
| FRN | $6B |
T-bill Outstanding: $6,808B (22.2% of marketable debt) [HIGH]
Primary Dealer Net Treasury Positions: $530B (+19B WoW)
Positive = net long (dealers absorbing supply). Rising positions may signal supply absorption stress.
Treasury Auction Demand
| Date | Security | Bid/Cover | Indirect % | Direct % | Signal |
|---|---|---|---|---|---|
| 2026-03-19 | 9-Year 10-Month | 2.47 | 68.5% | 24.0% | OK |
| 2026-03-17 | 19-Year 11-Month | 2.76 | 69.2% | 21.6% | OK |
| 2026-03-12 | 29-Year 11-Month | 2.45 | 63.4% | 27.2% | OK |
| 2026-03-11 | 9-Year 11-Month | 2.45 | 74.5% | 12.8% | OK |
| 2026-03-10 | 3-Year | 2.55 | 59.8% | 20.7% | LOW FOREIGN |
| 2026-02-26 | 7-Year | 2.50 | 63.6% | 26.0% | OK |
| 2026-02-25 | 5-Year | 2.32 | 62.5% | 24.7% | OK |
| 2026-02-25 | 1-Year 11-Month | 3.01 | 57.8% | 0.7% | LOW FOREIGN |
| 2026-02-24 | 2-Year | 2.63 | 55.9% | 34.3% | LOW FOREIGN |
| 2026-02-19 | 30-Year | 2.75 | 78.3% | 19.2% | OK |
Term Premium (ACM 10-Year)
Current: 62bps (-1bps vs 1w ago)
Date: 2026-02-27
Interpretation
- RRP at $1B (threshold: $50B) — liquidity cushion depleted
- TGA at $876B (threshold: $800B) — liquidity drain
- RRP $1B — liquidity buffer depleted
- T-bill Supply Note
- T-bill share 22.2% is well above TBAC's 15-20% target. Treasury is funding heavily at the front end, crowding RRP/money market capacity.
- Dealer Positioning Note
- Dealers holding $530B net Treasuries — moderate. Room to absorb supply but watch for rapid accumulation.
- Current regime: GOLDILOCKS — Growth positive, inflation contained
- Supportive of risk assets. Rebalancing thesis is not urgent.
- Watch for: NFCI turning positive, credit spreads widening, curve inversion — signals of regime transition.
- FRED (St. Louis Fed): SOFR, EFFR, RRP, TGA, reserves, WALCL, swap lines, FX spot, NFCI, IG OAS
- NY Fed: ACM term premium, primary dealer statistics (Markets API)
- Treasury Fiscal Data API: Auction results, T-bill supply
- Policy rates: manual (update in script config)
- Framework: Zoltan Pozsar (Net Liquidity = WALCL - TGA - RRP)
- Regime classification uses NFCI, IG OAS, and SOFR as proxies. Better with ISM/PMI and breakeven data (planned).
- Net Liquidity uses WALCL (total Fed assets), not reserve balances, per Pozsar framework.
- NFCI is Chicago Fed index: negative=loose, positive=tight financial conditions.
- IG OAS from FRED is in percentage points (×100 for bps display).