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Comprehensive Liquidity Warning · 2026-10-30

As of 2026-10-30 · 2026-11-04 16:54 JST

Watch

Overall liquidity warning 79/100 (Watch): not an acute funding crisis, but with RRP depleted, further TGA rebuilds/QT will directly drain reserves; only if SOFR−IORB breaks 10bp and VIX rises in tandem does it escalate to 'warning'.

05080100

Overall = 40% funding stress + 35% liquidity quantity + 25% gold vulnerability; macro headwind is reference only and not included.

Funding stress

z +0.71

84% pct

Elevated

Triggers 0/3

SOFR-IORB, STLFSI4, VIX

USD liquidity

z +0.49

67% pct

Elevated

Triggers 4/4

Net liquidity, reserves, RRP, TGA

Gold vulnerability

z +0.15

33% pct

Low

Triggers 0/3

GVZ, COT positioning, realised vol

Macro headwind (ref.)

z +0.59

86% pct

Elevated

Triggers 1/3

Real yield, DXY, 2Y

Indicator detail

Indicator	Latest	13w change	z	Status	Condition	Source
Funding stress
St. Louis Fed Financial Stress Index	-0.58	—	+0.12	No	> 0.5	FRED STLFSI4
SOFR − IORB spread	5.0 bp	—	+1.53	No	> 10bp	FRED SOFR/IORB
VIX	19.42	—	+0.47	No	> 25	FRED VIXCLS
USD liquidity quantity
Net liquidity (Fed assets − TGA − RRP)	5741.53 bn	-83.7 bn	+0.38	Yes	13w < −$50bn	FRED WALCL/WTREGEN/RRPONTSYD
Bank reserves	2893.77 bn	-90.8 bn	+0.40	Yes	13w < −$50bn	FRED WRESBAL
ON RRP balance	4.38 bn	+2.2 bn	+0.85	Yes	< $50bn (buffer depleted)	FRED RRPONTSYD
Treasury General Account	999.73 bn	+89.0 bn	+0.34	Yes	13w > +$50bn	FRED WTREGEN
Gold vulnerability
Gold implied vol (GVZ)	26.15	—	+0.92	No	> 30	CBOE GVZ
CFTC managed money net / OI	26.16%	—	-0.33	No	> 40%	CFTC disaggregated COT
Gold 20d realised vol	18.95%	—	-0.13	No	> 25%	Yahoo GC=F
Macro headwind (reference)
10Y TIPS real yield	2.60%	+13 bp	+0.30	No	13w > +20bp	FRED DFII10
Broad dollar index	121.67	+1.96%	+0.76	No	13w > +2%	FRED DTWEXBGS
2Y Treasury yield	4.56%	+28 bp	+0.71	Yes	13w > +25bp	FRED DGS2

Current read

Funding 0/3: STLFSI4 -0.58 and VIX 19.42 are low; SOFR−IORB 5.0 bp is still below the 10bp warning line.
Liquidity quantity 4/4: net liquidity 13w -83.7bn, reserves -90.8bn, TGA +89.0bn, RRP only 4.4bn (buffer essentially depleted).
Gold vulnerability 0/3: GVZ 26.15, COT net/OI 26.2%, 20d realised vol 18.9% — positioning and volatility are not stretched.
Macro headwind 1/3 (reference): 10Y real yield 13w +13bp, 2Y +28bp, DXY +2.0%; 2Y has triggered, real yields/dollar are near thresholds.

How to use

Start with liquidity quantity: net liquidity, reserves, TGA and RRP are slow variables that set the medium-term backdrop. With RRP depleted, the same TGA rebuild/QT drains reserves faster.

Then look at funding stress: SOFR−IORB, STLFSI4 and VIX are fast variables. Only when they rise together does it resemble a crisis-style deleveraging where gold is sold for cash.

Finally, gold vulnerability: COT net length, GVZ and realised vol determine whether a decline is likely to trigger crowded liquidation. Thresholds are monitoring levels, not trading signals.

Data and limits

Sources: FRED (STLFSI4, SOFR, IORB, WALCL, WTREGEN, RRPONTSYD, WRESBAL, DFII10, DGS2, DTWEXBGS, VIXCLS), CBOE GVZ, CFTC gold disaggregated COT, Yahoo GC=F. COT is weekly with a 3-day lag; weekly FRED data lag 1-2 days; z-scores are relative to the last 3 years. Not included: cross-currency basis, MOVE, gold lease rates/EFP, option skew, ETF flows (some are paid sources).

This page is a liquidity risk monitor, not trading advice. Liquidity stress can persist, and gold can rally on safe-haven/central-bank demand even when stress indicators are red. Leveraged futures/options require separate margin, expiry, implied-volatility and max-loss analysis.