Macro LiquiditySAFE

Day1Global Finance Skills Share: US Stock, Macro Market, Crypto

The instruction file, verbatim from the audited commit — this is the text the model reads, and the surface the audit's instruction layer examines. Quoted here so you can judge it without cloning anything.

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name: macro-liquidity
description: Macro liquidity monitoring and risk early-warning system. By tracking 4 core indicators (Fed Net Liquidity, SOFR Overnight Financing Rate, MOVE Treasury Volatility Index, Yen Carry Trade Signals), it provides real-time assessment of liquidity conditions in the global financial system, outputting liquidity ratings and risk response recommendations. When users mention topics such as liquidity, Fed balance sheet reduction (QT), TGA account, reverse repo ON RRP, SOFR rate, MOVE index, Treasury volatility, yen carry trade, USDJPY and interest rate differentials, impact of QT on markets, whether money is tight, liquidity inflection points, tightening financial conditions, etc., this skill should be used. Even if users ask broadly "how is liquidity right now" or "is the Fed draining or injecting liquidity," this skill should be triggered to provide a structured analytical framework.
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# Macro Liquidity Monitoring System

This skill helps you track the most critical "water level" in the global financial system — liquidity. Liquidity can be simply understood as how much money is flowing in the market. When there is plenty of money (ample liquidity), asset prices tend to rise; when money is scarce (tight liquidity), asset prices come under pressure. These 4 indicators cover the complete chain from the Fed's "main faucet" to the market's "end of the pipeline."

## Use Cases

Use this skill when users ask the following types of questions:
- How is liquidity right now / Is the Fed injecting or draining liquidity
- What is the SOFR rate trend
- Is Treasury market volatility high
- Will the yen carry trade blow up
- Is the macro environment friendly for risk assets (stocks, crypto)

## Analytical Framework

### 4 Core Monitoring Indicators

For each indicator, use web_search to find the latest data, then evaluate according to the criteria below.

#### Indicator 1: Fed Net Liquidity

**What it is**: This is the core formula for measuring how much money the Fed has actually injected into the market:

**Net Liquidity = Fed Total Assets - TGA Balance - ON RRP Balance**

Breaking down each component:

- **Fed Total Assets (Fed Balance Sheet)**: The total amount of Treasuries and MBS (Mortgage-Backed Securities) held by the Fed. When the Fed "prints money" to buy bonds → total assets increase → cash is injected into the market. Conversely, "quantitative tightening" (QT) means not reinvesting maturing bonds → total assets decrease → cash is drained from the market. Think of it as "the size of the total water pool."

- **TGA (Treasury General Account)**: The U.S. Treasury's "bank account" at the Fed. Money received from Treasury bond issuance is deposited here. TGA balance rising = money flowing from the market into the government's account (draining); TGA balance falling = the government is spending, money flowing back to the market (injecting). Think of it as "the government's reservoir — saving is draining, spending is injecting."

- **ON RRP (Overnight Reverse Repurchase)**: A facility where money market funds and other institutions "park" excess cash at the Fed to earn interest. High ON RRP balance = large amounts of cash sitting at the Fed not entering the market (money is "frozen"); Low ON RRP balance = that money is flowing back into the market. Think of it as "the Fed's parking lot — money parked here is not circulating."

Therefore: The larger the Fed's total assets, the lower the TGA, and the lower the ON RRP → the higher the net liquidity → the more favorable for risk assets.

**Search keywords**: `Federal Reserve balance sheet total assets` + `Treasury TGA balance` + `ON RRP balance` or search directly for `Fed net liquidity`

**Alert criteria**:
- Net liquidity drops > 5% in a single week → 🔴 Alert: Liquidity contracting sharply
- Net liquidity declining slowly but with a clear trend → 🟡 Watch: Gradually tightening
- Net liquidity stable or rising → ✅ Normal: Friendly liquidity environment

**Key takeaway**: Net liquidity has a strong correlation with risk assets such as the S&P 500 and Bitcoin. The 2022 selloff was largely driven by declining net liquidity. Monitoring weekly trend changes is more important than absolute values.

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#### Indicator 2: SOFR (Secured Overnight Financing Rate)

**What it is**: The interest rate at which Wall Street institutions "borrow money overnight" from each other. When Bank A needs cash today to settle accounts, it pledges Treasuries as collateral and borrows from Bank B for one day, repaying the next day. This borrowing rate is SOFR.

SOFR has replaced the scandal-plagued LIBOR (London Interbank Offered Rate) and become one of the most important benchmark rates globally. Trillions of dollars in loans, derivatives, and mortgages are priced based on SOFR.

An abnormally elevated SOFR means: Short-term funding in the market is in short supply, and institutions are "scrambling for cash." This is the most direct signal of liquidity stress.

**Search keywords**: `SOFR rate today` or `secured overnight financing rate latest`

**Alert criteria**:
- SOFR > Fed Funds Rate upper bound + 10bp → 🔴 Alert: Extreme funding stress, similar to the September 2019 "repo crisis"
- SOFR approaching Fed Funds Rate upper bound → 🟡 Watch: Funding conditions tight
- SOFR fluctuating normally within the Fed Funds Rate range → ✅ Normal

**Additional note**: bp (basis point) = 0.01%. 10bp = 0.1%. So if the Fed Funds Rate upper bound is 5.50%, SOFR exceeding 5.60% warrants caution.

**Key takeaway**: A sudden spike in SOFR is often a precursor to a liquidity crisis. In September 2019, SOFR surged overnight from 2% to above 5%, forcing the Fed to inject emergency liquidity. Small daily fluctuations are not concerning, but abnormal deviations require close attention.

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#### Indicator 3: MOVE Index (Merrill Lynch Option Volatility Estimate)

**What it is**: An indicator measuring U.S. Treasury market volatility, similar to the stock market's VIX 

SAFEgrade B · trust 89/100 Nothing in the source contradicts what it says it does. Grade A is reserved for packages that have also passed the behavioural sandbox.

What the source does

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No findings outside the package's declared scope.

Gates applied: no_behavioural_pass.