ssurmic Macro Liquidity Monitor — USD Funding & Repo Plumbing
The one question this answers
Is the banking system's overnight funding loose, normal, tightening, or stressed — and what's the next pressure point?
This is NOT the equity-warning radar (macro-warning). That one watches valuation /
VIX / sentiment. This one watches the plumbing: where overnight cash actually
clears, how much buffer is left, and whether anyone is tapping the Fed's backstop.
Two lenses, both served by the same data:
- "Too loose → bubble" (the SLR-relief / deregulation worry): watch for SOFR printing below IORB while the RRP buffer is gone — cash with nowhere to go.
- "Too tight → funding stress" (a repo crisis): watch for SOFR above IORB, reserves near LCLoR, and SRF takeup spiking.
When to invoke
- Manual: "流动性怎么样 / liquidity check / SOFR-IORB / when does liquidity tighten".
- Twice-daily batch (GitHub Actions, weekdays): 08:30 ET morning preview
(prior-day SOFR/EFFR) + 16:30 ET post-close confirm (same-day ON RRP + SRF).
Both push a Telegram digest; a 🔔 REGIME CHANGED banner is prepended on a band flip
(tracked via committed
state.json). - Around month-end / quarter-end and big Treasury-issuance / debt-ceiling weeks.
⭐ Canonical data pull: scripts/liquidity_pull.py
Only dependency is requests. No API key. Run it:
PY=/tmp/.insider_venv/bin/python; [ -x "$PY" ] || PY=python3
$PY ~/.claude/skills/macro-liquidity-monitor/scripts/liquidity_pull.py # human card
$PY ~/.claude/skills/macro-liquidity-monitor/scripts/liquidity_pull.py --json-only
$PY ~/.claude/skills/macro-liquidity-monitor/scripts/liquidity_pull.py --telegram # send if regime changed
TEST_MODE=1 $PY .../liquidity_pull.py --telegram --force # print the Telegram msg, don't send
Data sources (all public, no key)
| Metric | Series / endpoint | Source | Freshness |
|---|---|---|---|
| SOFR + p1/p99 + volume | markets.newyorkfed.org/api/rates/secured/sofr/last/N.json |
NY Fed | prior day ~8am ET |
| EFFR (unsecured) | .../rates/unsecured/effr/... |
NY Fed | prior day ~8am ET |
| ON RRP ops + counterparties | .../rp/reverserepo/all/results/... |
NY Fed | same day ~1:15pm ET |
| SRF takeup (stress alarm) | .../rp/repo/all/results/... (sum same-day "Repo") |
NY Fed | same day |
| IORB (admin ceiling) | FRED IORB |
FRED CSV | daily |
| ON RRP level ($B) | FRED RRPONTSYD |
FRED CSV | next day |
| Bank reserves ($M, weekly) | FRED WRESBAL |
FRED CSV | Thu, Wed-dated |
| TGA ($M, weekly) | FRED WTREGEN |
FRED CSV | weekly |
| Fed balance sheet ($M) | FRED WALCL |
FRED CSV | Thu, Wed-dated |
FRED rejects a Chrome User-Agent — the script calls FRED with the default requests UA (
browser=False). NY Fed needs the browser UA.
No public feed → manual event flags: SLR / eSLR rule changes, GSE balance shifts,
debt-ceiling / issuance calendar. These are the structural drivers; note them in the
wiki page investing/wiki/dollar-liquidity-plumbing.md when they happen.
The 0-100 Liquidity Score (higher = more abundant / looser)
Additive from a neutral 50. SOFR−IORB is the spine; the rest nudge it:
| Component | Effect on score |
|---|---|
| SOFR − IORB spread (spine) | −spread_bp × 2.5, clamped −30…+35 (SOFR below IORB = loose = up) |
| SRF takeup | <$1B: 0 · $1–10B: −15 · >$10B: −35 |
| Reserves vs LCLoR | >$3.4T: +8 · $3.1–3.4T: +4 · $2.9–3.1T: 0 · <$2.9T: −10 |
| TGA weekly flow | draining: +5 · flat: 0 · building $25–150B: −5 · >$150B: −10 |
| SOFR p99 − IORB (tail) | <10bp: 0 · 10–25: −3 · >25: −8 |
| Net-liq 13wk momentum ⭐ | >+$300B: +12 · +$100–300B: +6 · ±$100B: 0 · −$100–300B: −6 · <−$300B: −12 |
Bands → 🟢 ABUNDANT (≥80) · 🟡 AMPLE (60–79) · ⚪ BALANCED (45–59) · 🟠 TIGHTENING (25–44) · 🔴 STRESS (<25). **Override:** SRF ≥ $10B, or SOFR > IORB+5bp with RRP < $10B, forces 🔴.
⭐ The forward-looking factor. A 2yr backtest (
scripts/backtest_liquidity.py) showed every level gauge here is coincident (≈0 correlation to next-week returns), but the 13-week CHANGE in net liquidity (WALCL−TGA−RRP) leads forward-3m returns (corr +0.26 SPX / +0.33 NDX). The net-liquidity level is a spurious −0.71 trap. So this row is the one that tilts the score toward what's coming; the rest describe what is. Regime-bucketed fwd-3m: 🟢/🟡 ≈ +4–6%, 🔴 ≈ NDX −1% (value is downside avoidance).
Why an empty ON RRP does NOT drag the score down: that cash already flowed into the system (loose), so it isn't current tightness. An empty buffer is a forward fragility flag — surfaced as a trigger, not subtracted from the abundance number. The per-layer
layers{}block still scores RRP 0–3 as evidence.
How to read it (the mental model)
- SOFR − IORB is the headline. SOFR is what the market pays to borrow cash against Treasuries overnight; IORB is what the Fed pays banks. SOFR far below IORB = so much cash banks lend it out below the risk-free admin rate = too loose. SOFR climbing to/above IORB = cash is getting scarce = tightening.
- ON RRP is the shock absorber. It was $2.5T in 2023; near $0 now. With the sponge empty, any drain (TGA rebuild, QT) hits reserves directly, so SOFR spikes get sharper and faster. This is the key fragility today.
- TGA + WALCL set the direction. Treasury issuing debt and rebuilding its TGA account drains reserves; spending it adds. QT (WALCL falling) drains. Net liquidity ≈ WALCL − TGA − RRP.
- SRF takeup > a few $B = the alarm. Dealers only tap the Fed's backstop when private repo is too tight. Quarter-ends produce transient spikes; a persistent one means genuine scarcity.
Output contract
scoring.liquidity_score (0-100), scoring.regime, scoring.score_detail{},
scoring.layers{...}, scoring.triggers[], scoring.headline_metrics{liquidity_score, sofr,iorb,spread_bp,effr,rrp_bn,reserves_t,tga_bn,srf_bn,net_liquidity_bn},
calendar{month_end,days_to_month_end,is_quarter_end_month}.
Hard rules
- Never claim timing certainty — say "tightening risk rising", not "crunch on X date".
- Always show SOFR−IORB and the RRP buffer; they're the two that matter most.
- Tag the data date — the plumbing moves daily and month/quarter-ends distort it.
- Distinguish a month/quarter-end technical spike from a structural drain.
- Cite the series — every number above has a verifiable NY Fed / FRED source.
Companion
investing/wiki/dollar-liquidity-plumbing.md— the methodology + standing read.macro-warning— equity-valuation/sentiment regime (different question).- SLR / deregulation context lives in the wiki page as a manual event log.