Net Liquidity (daily)

Think of it this way

It is exactly the same measurement, but reading the meter every day instead of once a week. The same movie, with more frames per second.

What is Net Liquidity (daily)?

It is the same net liquidity as the weekly chart, calculated every business day. What changes is how it is obtained, not what it measures. The official version only exists on Wednesdays because the Fed's balance sheet is published once a week, and waiting seven days to find out whether liquidity is being drained is too long when the Treasury can move 100 billion in a single day.

How to read Net Liquidity (daily)

This is how it is built, and it is worth knowing before trading with it. It is EXACTLY the same formula as the weekly one, not a different approximation: on Wednesdays the two lines match to the cent. Two of the three components are genuinely daily and are used as they are, the Treasury account and the reverse repo, which are published every business day. The third, the Fed's balance sheet, is only published on Wednesdays, so between two Wednesdays it is interpolated in a straight line and those days are drawn with a dashed line. The balance sheet moves slowly and predictably, so the interpolation error is small, but it is not zero: if the Fed does something unexpected on a Wednesday, the previous days were showing a straight line that never happened. Lag: none, or +15 days at most: the cash is already in the accounts.

What Net Liquidity (daily) means for the market

Its value is lead time. A sharp drain from a tax deadline shows up here on the same day and in the weekly version up to six days later, which is more than enough time for the move to have already happened.

Where the money flows

The same path as the weekly version: from the Fed to the private sector, minus what the Treasury account and the money market funds in the RRP hold back. What changes here is not where the money flows, but how often we look at it.

What to watch in Net Liquidity (daily)

Use it to see ON WHICH DAY something moved, which is what the weekly version cannot tell you. A daily move of 18 billion is routine; above 70 something specific is happening, and you can almost always name it by checking the liquidity calendar: a tax deadline, an auction settlement or early-month payments. Also watch the dashed-line stretches: there the balance sheet is interpolated, so a move that happens only on those days is not data, it is the straight line.

The same measure in daily detail. Part of the data is reconstructed, not observed.