Daily macro signal · model —
US dollar liquidity,
made legible.
A transparent measure of balance-sheet liquidity and the financial conditions that determine whether risk assets face a supportive or restrictive environment.
Latest model date —
Overall score
—
out of 100
4w —
Current regime
Loading
Reading the latest model output.
Data confidence
—
01 / Snapshot
The liquidity equation today
Levels are in USD billions. Changes use business-day offsets.
Liquidity—4w —
Rates—4w —
Credit—4w —
Volatility—4w —
US dollar—4w —
02 / Development
Follow the signal through time
Historical model data is being backfilled.
03 / Inputs
Latest source readings
Official data retrieved by the worker and normalized before scoring.
| Indicator | Latest value | 4 weeks ago | 4-week move | As of | Liquidity effect |
|---|---|---|---|---|---|
| Loading source readings… | |||||
04 / Legend & methodology
What the values mean — and how the regime is derived
The index separates the amount of balance-sheet liquidity from the conditions under which that liquidity reaches markets. Every step is deterministic: no machine learning, discretionary overrides, or fitted weights.
Core liquidity identity
Net liquidity = Fed assets − TGA − RRP
Federal Reserve assets are the source. Treasury cash and reverse repo balances are subtracted because those dollars are parked away from private markets. The model measures the level, 1-day, 1-week, 4-week, and 12-week changes, plus a trailing 52-week z-score.
- Fed assets ↑
- Usually supportive
- TGA ↑
- Liquidity drain
- RRP ↑
- Liquidity drain
Signals become comparable scores
Score = 50 + 50 × tanh(signal ÷ scale)
This maps every signal smoothly onto 0–100. A score of 50 is neutral. Supportive changes move toward 100; restrictive changes move toward 0. The tanh curve limits outliers without discarding them.
- Liquidity4w / 12w / z-score
- Ratesfalling scores higher
- Creditnarrowing scores higher
- Volatilitylower / falling scores higher
- US dollarfalling scores higher
Five components form one index
Liquidity40%
Rates20%
Credit20%
Volatility15%
US dollar5%
Overall = 0.40 × liquidity + 0.20 × rates + 0.20 × credit + 0.15 × volatility + 0.05 × USD.
The score determines the regime
80–100Strong risk-on liquidity
65–79.99Constructive
45–64.99Neutral / mixed
30–44.99Tightening / caution
0–29.99Risk-off liquidity stress
The regime is a direct lookup from the final score. It describes the liquidity backdrop, not a buy or sell instruction. Confidence separately reports whether inputs are complete and fresh.
Detailed input legend
Weekly size of the Fed balance sheet. Expansion normally creates reserves and supports liquidity.
Government cash at the Fed. Tax receipts and debt issuance can raise the TGA and remove cash from markets; spending reverses the drain.
Cash lent to the Fed overnight. A falling RRP releases cash back toward the financial system.
Four-week yield changes proxy the price of short- and long-term capital. Falling yields are treated as more supportive.
The realized overnight policy rate. A falling rate reduces financing pressure and improves the rates component.
The extra yield demanded from lower-quality borrowers. Narrowing spreads mean easier credit and a higher credit score.
Expected equity volatility. Both the level relative to 20 and its four-week direction contribute to the volatility score.
A broad trade-weighted dollar. Dollar appreciation often tightens global funding, so a weaker dollar scores higher.