Net Liquidity formula:
Net Liquidity = Federal Reserve Balance sheet - Treasury General Account - Reverse Repo
Twitter thread by Max Anderson:
https://twitter.com/maxjanderson/status/1546472693234470912
SPX Fair Value thread by Max Anderson:
https://twitter.com/maxjanderson/status/1576609692675362817
WALCL data available at:
https://fred.stlouisfed.org/series/walcl
Updated Thursday at 4:30 PM Eastern.
Reverse Repo data available at:
https://www.newyorkfed.org/markets/desk-operations/reverse-repo
Updated daily at 1:15 PM Eastern.
TGA data available at:
https://fiscaldata.treasury.gov/datasets/daily-treasury-statement/operating-cash-balance
https://fsapps.fiscal.treasury.gov/dts/issues
Updated daily at 4:00 PM Eastern. Value is for the previous day.
The following can be used to view Net Liquidity on TradingView:
WALCL-WTREGEN-RRPONTSYD
The following can be used to view SPX Fair Value on TradingView:
(FRED:WALCL-FRED:WTREGEN-FRED:RRPONTSYD)/1000/1000/1000/1.1-1625
TradingView indicator for SPX Fair Value Bands:
https://www.tradingview.com/script/Q3uMZHHU-SPX-Fair-Value-Bands/
https://github.com/dharmatech/net-liquidity.ps1
The TGA value on TradingView comes from FRED:
https://fred.stlouisfed.org/series/WTREGEN
which is a weekly average.
The script retrieves the most recent TGA value directly from treasury.gov via API:
https://fiscaldata.treasury.gov/datasets/daily-treasury-statement/operating-cash-balance
Go to:
https://www.newyorkfed.org/markets/desk-operations/reverse-repo
Click on this button:
Note the Accepted value of the two most recent entries:
In this case, RRP increased:
$2,158 - $2,146 = $12
Go to:
https://fiscaldata.treasury.gov/datasets/daily-treasury-statement/operating-cash-balance
Change Rows Per Page to 10:
Note the two most recent values for Treasury General Account (TGA) Closing Balance:
In this case, the TGA dropped:
$343,699 - $370,897 = -$27,198
The SPX Fair Value starts to breakdown before Jan 2022. It's likely it will stop working at some point in the future.
Do not rely on it as a sole signal for your trading.
That said, the three components of Net Liquidity (WALCL, TGA, RRP) will always be something to keep an eye on.
https://twitter.com/dampedspring/status/1604467327768018945
Significant dates for SSA - Benefits Payments:
- 3rd
- 2nd Wed
- 3rd Wed
- 4th Wed
The periodicity can be viewed here:
Thanks to John Comiskey who pointed out the pattern here:
https://twitter.com/Johncomiskey77/status/1626440181883494402
The TGA tends to experience a large withdrawal on the 1st of every month, largely due to:
- HHS - Federal Supple Med Insr Trust Fund
- HHS - Federal Hospital Insr Trust Fund
Every 3 months, there's a large withdrawal on the 15th due to:
- Interest on Treasury Securities
Article by John Comiskey on the correlation behind markets and Net Liquidity:
https://johncomiskey.substack.com/p/the-true-cause-behind-net-liquidity
https://johncomiskey.substack.com/p/projecting-the-debt-ceilings-impact
RRP tends to increase at end-of-month and then decrease right after.
