Net Liquidity
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
WALCL data available at:
https://fred.stlouisfed.org/series/walcl
Updated Thursday at 4:30 PM Eastern.
Reverse Repo
Reverse Repo data available at:
https://www.newyorkfed.org/markets/desk-operations/reverse-repo
Updated daily at 1:15 PM Eastern.
TGA
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.
TradingView - Net Liquidity
The following can be used to view Net Liquidity on TradingView:
WALCL-WTREGEN-RRPONTSYD
TradingView - SPX Fair Value
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 - SPX Fair Value Bands
TradingView indicator for SPX Fair Value Bands:
https://www.tradingview.com/script/Q3uMZHHU-SPX-Fair-Value-Bands/
PowerShell Script net-liquidity.ps1
https://github.com/dharmatech/net-liquidity.ps1
Why use the script instead of the indicator?
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
How to manually check the reverse repo daily change
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
How to manually check the TGA daily change
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
SPX Fair Value - will it work forever?
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.