전 세계 매크로 애널리스트가 사용하는 순유동성 공식 종합 가이드 — 작동 원리, 각 구성 요소의 중요성, 그리고 2020년 이후 모든 주요 시장 전환점을 어떻게 예측했는지.
If you spend time in macro finance circles, you have seen one equation repeated endlessly: Net Liquidity = Fed Balance Sheet (WALCL) − Treasury General Account (TGA) − Overnight Reverse Repo (ONRRP). This formula, popularized by analysts like Darius Dale and Arthur Hayes, attempts to measure the "usable" dollar liquidity in the financial system — the cash that is actually available to support lending, trading, and risk-taking.
The intuition is simple. The Fed balance sheet represents total reserves injected into the system. But not all of those reserves are freely circulating. The TGA is cash locked up in the Treasury's bank account at the Fed — it is not available to the private sector until the government spends it. The ONRRP is cash parked by money market funds at the Fed overnight — also temporarily removed from productive financial channels.
By subtracting TGA and ONRRP from the Fed balance sheet, you get a cleaner measure of the liquidity that is actually working in markets. When net liquidity rises, markets tend to rally. When it falls, markets tend to struggle. The correlation is not perfect, but over multi-month horizons it has been one of the most reliable macro indicators available.
WALCL — the Federal Reserve's total assets — is the foundation of the formula. This number includes all the Treasuries, MBS, and lending facility balances the Fed holds. When the Fed does QE, WALCL rises. When it does QT, WALCL falls. As of early 2026, WALCL is approximately $6.8 trillion, down from a peak of $8.96 trillion in April 2022.
WALCL updates every Wednesday on the Fed's H.4.1 statistical release, and DollarLiquidity.com captures this data automatically. The weekly cadence means that short-term noise is filtered out, but major shifts (like the March 2020 QE explosion, which added $586 billion in a single week) are captured immediately.
The direction and pace of WALCL changes matter more than the absolute level. A Fed balance sheet at $7 trillion that is growing $50B/month is more bullish than a $8 trillion balance sheet that is shrinking $95B/month. The z-score on DollarLiquidity.com normalizes for this, making cross-period comparison straightforward.
The TGA is the US government's checking account at the Federal Reserve. When the Treasury collects taxes or issues bonds, cash flows into the TGA — this drains liquidity from markets because that money moves from private bank accounts to the government's account at the Fed. When the Treasury spends (Social Security, defense, infrastructure), cash flows out of the TGA back into the private sector — this adds liquidity.
The TGA is subtracted in the net liquidity formula because it represents cash that has been removed from the banking system. A TGA balance of $800 billion means $800 billion in reserves are sitting idle in the government's account rather than supporting financial activity. When the TGA drops (as during debt ceiling episodes), that cash re-enters the system and net liquidity rises.
TGA data updates daily from the US Treasury's Daily Treasury Statement, making it one of the most timely indicators on DollarLiquidity.com. Major TGA swings — like the $480 billion drawdown during the 2023 debt ceiling or the $557 billion rebuild after resolution — have historically corresponded to significant market moves.
The ONRRP facility allows eligible institutions (primarily money market funds) to deposit cash at the Fed overnight in exchange for Treasury collateral. A high ONRRP balance means excess liquidity is being warehoused at the Fed rather than flowing into financial markets. It is subtracted from the formula because, like the TGA, it represents reserves removed from productive use.
The ONRRP peaked at $2.554 trillion in December 2022 and has since drained to approximately $100-200 billion by early 2026. This $2+ trillion drainage was one of the most important liquidity events of the 2023-2024 cycle — it effectively offset the Fed's QT program and fueled the stock and crypto rally that most analysts did not anticipate.
With ONRRP now near its floor, this component contributes less to net liquidity changes going forward. This is why DollarLiquidity.com watchers should increasingly focus on the other two components — Fed balance sheet direction and TGA flows — for the marginal liquidity signal.
From January 2020 to the present, net liquidity has had a rolling 90-day correlation of approximately +0.70 with the S&P 500 and +0.65 with Bitcoin. These are remarkably high correlations for a single macro variable. The formula correctly signaled the March 2020 bottom (net liquidity surging on QE + TGA drawdown), the January 2022 top (net liquidity peaking as QE ended), and the January 2023 bottom (net liquidity rising on ONRRP drainage + TGA drawdown).
The formula is not a precise timing tool — it does not tell you the exact day to buy or sell. But it provides directional guidance that has been correct at every major inflection point in the past six years. When net liquidity trends up for 4+ weeks, risk assets follow. When it trends down for 4+ weeks, risk assets struggle.
On DollarLiquidity.com, the composite liquidity score incorporates net liquidity alongside other indicators like VIX, high yield spreads, and real yields. This multi-factor approach is more robust than using net liquidity alone, because market-risk indicators can warn of volatility events (like August 2024) that the structural formula misses. Check the score daily to see how all components are interacting in real time.