Public Kempax report

Weekly Dollar Liquidity Report · 2026-08-22

Kempax Research

Loop report · 2026-08-22

Weekly Dollar Liquidity Report — Week of Aug 17–21, 2026

Liquidity stance: Ample, but the long end is stretched and policy expectations turned hawkish. Bank reserves fell another $16.8B to $2.931T H.4.1 week ending Aug 19 — but unlike the prior week, the drain now comes from a Treasury General Account draw −$23.0B to $936.4B as the August refunding cash raise unwinds and cash returns to the market, not from a build. Funding markets stayed calm through it: SOFR held 3.62–3.66% across the mid-month tax date, Fed swap lines remain idle, and high-yield spreads stayed tight at 275bp. The week's real events were elsewhere: the Treasury doubled its long-end buyback to "at least $4B" per operation Sep 9–Nov 4 as the 10-year hit 4.74% — the 100th percentile of its 52-week range — and the FOMC minutes showed a hawkish 9–3 hold with three dissents for an immediate hike September hike odds now 34.6% . Equities had their first down week after three up $SPY −1.4% to 765.72 ; the dollar broke below 99 DXY 98.77 ; gold surged 4% to $4,577.99.

Executive summary

  • Balance sheet drifted lower: total assets −$14.3B to $6.746T; reserves −$16.8B to $2.931T H.4.1 week ending Aug 19 — second consecutive weekly reserve decline −$72B over two weeks , but now driven by a TGA draw, not a build : the TGA fell −$23.0B to $936.4B weekly average $953.6B as the August refunding cash raise unwinds Fed H.4.1, IndexBox Aug 19 .
  • Fed T-bill buying continued but slowed: +$4.2B WoW to $537.8B vs +$8.6B prior week ; cumulative +$342.3B since Dec 3, 2025. MBS runoff flat −$0.1B . ON RRP $0.20B Aug 21 — still effectively zero; the facility offers no cushion H.4.1, eco3min ON RRP .
  • The week's story: Treasury doubled its long-end buyback to "at least $4B" per operation Aug 19 — liquidity-support purchases in the 10–20yr and 20–30yr buckets, effective Sep 9–Nov 4, with Bessent signaling more possible framed as making him "the most interventionist Treasury chief in decades" . The 30-yr fell 9bp on the announcement 5.31% Aug 17 → 5.19% Aug 19 , then partially unwound +4bp to 5.23% by Aug 20 as the market refocused on the $40T debt stock and deficits Reuters, CNBC, Politico, ecmsource .
  • FOMC minutes Aug 19 were hawkish: 9–3 hold with three dissents for an immediate hike Hammack, Logan, Kashkari ; "many" participants said a hike would "likely be necessary if inflation did not decline"; the inflation outlook is "highly uncertain" with the Iran war re-escalation clouding it. CME FedWatch: 34.6% September hike odds, 68.4% by December, 82.2% by April 2027 Fed minutes release, CNBC, Forbes .
  • Money markets calm: SOFR 3.62–3.66% this week Aug 17: 3.66% — the mid-month corporate tax-date settlement high; Aug 18: 3.65%; Aug 19: 3.62%; Aug 20: 3.63%; MTD avg 3.64% — no funding stress despite the two-week reserve drain sofrrate.com .
  • The long end repriced to multi-decade extremes: 10-yr 4.74% Aug 21, 100th pct of 52-wk range, +6bp WoW , 2-yr 4.24% 96th pct , 30-yr 5.23% — levels "not seen in nearly two decades"; the Aug 19 20-yr auction stopped at 5.204% B C 2.53, indirect 65.6% vs 15.1% prior with "stable demand" yieldcurve.pro, gate.com, WSJ .
  • Dollar broke down: DXY 98.77 Aug 21, −0.8%+ WoW on buyback debasement concerns; gold $4,577.99 + 4% WoW, +11% MTD, 3rd straight weekly gain ; Bitcoin $77k — best week in two years naturalresourcestocks .
  • Equities: first down week after three up. $SPY closed 765.72 on Aug 21 −1.4% WoW ; Friday rebounded on strong PMIs Dow +1.0%, S&P +0.4%, Nasdaq +0.4% but the week finished lower, driven by the long-end repricing and hawkish minutes rather than funding stress Kempax market-data feed, recorded 2026-08-23, alainguillot, Investopedia .
  • Credit still tight: HY OAS 275.0bp Aug 20 , +4bp WoW from 271bp — remains near the tight end of the range dollarliquidity.com .
  • Macro: flash PMIs beat hard — Composite 56.0 52-month high , Services 56.8 20-month high , Mfg 53.2 5-month low ; employment at its highest since Jan 2025; Q3 growth tracking 3% annualized. Meanwhile US public debt crossed $40 trillion — the deficit long-end supply narrative behind the buyback intervention neilsethi substack, alainguillot .
  • Global dollar funding: Fed swap-line usage $123M — still idle ; no stress signals on the Fed's books. Cross-currency basis live levels remain unavailable this week H.4.1 .

Bottom line: dollar liquidity is ample and this week's reserve decline was the benign direction — the TGA returned cash to the market rather than draining it. Funding markets are calm SOFR 3.63%, swap lines idle, HY 275bp , but the stress is concentrated in two places: the long end 10-yr at the 100th percentile of its range despite an unprecedented Treasury buyback intervention and policy expectations hawkish minutes lifted September hike odds to 34.6% . Net: constructive on funding, defensive on duration; a weaker dollar and record gold argue the market is pricing debasement risk into the fiscal long-end complex.

Charts

Reserves −$16.8B this week on a TGA draw; the QT-era cushion ON RRP is still exhausted

The long end repriced to extremes this week while SOFR stayed calm

$SPY fell 1.4% on the week — the first down week after three up

The curve at extremes: long yields at multi-decade highs, overnight funding calm

$SPY daily price chart Kempax market-data feed, Aug 21 close

Detailed findings

1. Federal Reserve balance sheet H.4.1 release Aug 20 — week ending Aug 19 - Total assets: $6,745,699M $6.746T , −$14.3B WoW prior $6.760T — second consecutive weekly decline H.4.1 . - Treasury securities held outright: $4,542,228M , of which T-bills $537,752M +$4.2B WoW — the bill-buying program continues but at a slower pace than the prior $10B week cumulative +$342.3B since Dec 3, 2025 , when bills were $195.5B . Agency MBS: $1,930,728M −$0.1B — runoff effectively flat H.4.1 . - Reserve balances: $2,930,817M $2.931T , −$16.8B WoW from $2.948T Aug 12; −$72.2B over two weeks from $3.003T on Aug 5 — still within the $2.88–3.18T "ample" plateau of 2026 H.4.1 . - Reverse repurchase agreements total : $373,686M — dominated by foreign-official accounts $373,369M, +$15.6B WoW ; the ON RRP facility itself $0.20B on Aug 21 7.1st percentile , effectively zero H.4.1, eco3min . - Central bank liquidity swaps: $123M — swap lines remain effectively idle; no global dollar-funding stress on the Fed's books H.4.1 . - Net liquidity total assets − TGA − ON RRP ≈ $5.81T , roughly flat WoW — the TGA draw offset the balance-sheet decline. The ON RRP cushion remains exhausted.

2. Treasury General Account - Weekly H.4.1, Aug 19 : $936,406M level; weekly average $953,612M — −$23.0B WoW from $959.4B weekly average −$10.3B ; 95.2nd percentile since 2003 — still historically high but now drawing H.4.1, eco3min TGA . - Daily DTS : Aug 18 $961.95B ; Aug 19 −$25.5B to $936.4B — day's outflows $48.9B vs inflows $23.4B: Social Security benefit payments $31.8B vs withheld individual FICA taxes $16.7B in IndexBox Aug 18, IndexBox Aug 19 . - Interpretation: the August refunding cash raise peak $997.3B on Aug 11 is unwinding — benefit payments and redemptions are returning cash to the market. A $935–960B TGA remains elevated 95th pct , so the level is still a passive reserve drain, but this week's flow was mildly reserves-positive. Daily prints for Aug 20–21 were unavailable.

3. Reverse repo facility - ON RRP: $0.20B on Aug 21 — effectively zero 7.1st percentile; unchanged from $0.25B a week ago eco3min . The cushion that absorbed QT is fully spent; any renewed TGA build or balance-sheet contraction now hits bank reserves one-for-one.

4. Bank reserves - See §1: $2.931T Aug 19 , −$16.8B WoW −$72.2B over two weeks — within the ample plateau; the draw is refunding-season plumbing TGA outflow , not funding stress, and SOFR confirmed it 3.62–3.66% .

5. Treasury issuance, auctions, and the buyback program — the story of the week - 20-yr reopening Aug 19 : high yield 5.204% vs 5.16% prior , bid-to-cover 2.53x vs 2.64 , indirect share 65.58% vs 15.13% prior — foreign indirect demand stepped in ; "stable demand" gate.com, WSJ, Morningstar . - Buyback expansion announced Aug 19 : maximum per-operation size of long-end liquidity-support buybacks doubled from $2B to "at least $4B" in both the 10-to-20-year and 20-to-30-year nominal coupon buckets, effective Sep 9 through Nov 4, 2026 , with later-quarter guidance at the November Quarterly Refunding Reuters, CNBC, Politico, hoodline . - Official rationale: liquidity support let dealers shed hard-to-trade off-the-run bonds, tighten bid-ask spreads , not yield management. Bessent signaled size could rise again ecmsource . - Market reaction: 30-yr −9bp on the day 5.31% Aug 17 → 5.19% Aug 19; 10-yr 4.65%, 20-yr 5.17% , then partial unwind — Aug 20: 30-yr 5.23%, 20-yr 5.20%, 10-yr 4.69%, as investors refocused on the $40 trillion national debt and deficits ecmsource, alainguillot . - Upcoming: 2-yr auction Aug 25, 5-yr 7-yr later in the week standard August schedule ; Q3 net borrowing +$68B estimate unchanged.

6. Money markets - SOFR: 3.66% Aug 17 → 3.65% 18 → 3.62% 19 → 3.63% 20 — the Aug 17 print was the mid-month corporate tax-date settlement bump Aug 15 fell on a Saturday ; the week then eased. MTD avg 3.64%, mid-range of the 3.50–3.75% funds target — no funding stress sofrrate.com . - Front-end yields: 2-yr 4.24% Aug 21, +5bp day; 96th pct of 52-wk range ; 10-yr 4.74% +6bp WoW; 100th pct; 52-wk high 4.75% ; 30-yr 5.23% Aug 20 — long-dated yields at levels "not seen in nearly two decades" yieldcurve.pro, alainguillot . - Money market funds: $7.93T week ended Aug 12, +$18.3B — record . The week-ended-Aug-19 print was not available this week. - CP rates EFFR: not available this week SOFR stability implies no material change .

7. Credit conditions - HY OAS: 275.0bp Aug 20 , +4bp WoW from 271bp Aug 13 — still at the very tight end of the range 9th percentile of the trailing 5 years dollarliquidity.com, FRED . - IG BBB OAS level and Q3 SLOOS content were not available this week.

8. Global dollar funding FX - Fed swap lines: $123M — idle ; no dollar-funding stress on the Fed's books H.4.1 . - Cross-currency basis: no live levels retrievable this week — flagged rather than estimated see globalmarketstructure . - Dollar: broke lower. DXY 98.77 Aug 21 , weekly decline 0.8% from 99.8 — buyback-driven "dollar-debasement concerns" and rising Fed-hike odds vs gold's safe-haven bid naturalresourcestocks . - Gold: $4,577.99 oz Aug 21, +4% WoW, +11% MTD, 3rd straight weekly gain ; silver $68.43 naturalresourcestocks . - Bitcoin $77,000 — best week in two years, risk-on money alongside gold alainguillot .

9. Cross-market impact assessment - Equities: softer — first down week after three up. $SPY closed 765.72 on Aug 21 −1.4% WoW after 776.34 on Aug 14; Friday rebound Dow +1.0%, S&P +0.4%, Nasdaq +0.4% on the strong PMIs, but the week finished lower Kempax market-data feed, recorded 2026-08-23, alainguillot, Investopedia . The driver is the long-end repricing plus hawkish minutes, not funding stress. - Bonds: bearish week. 10-yr at the 100th percentile of its 52-week range 4.74% , 30-yr at 19-year highs; the buyback doubling to ≥$4B op provided only 48 hours of relief; $40T debt and deficit fears dominate the long end; hawkish minutes lifted the front end 2-yr at the 96th pct . Curve remains steep. - Dollar: weak DXY 98.77, −0.8%+ WoW on buyback debasement concerns; gold +4% to $4,578; rate-hike odds did not support the dollar. - Risk appetite: mixed-to-constructive. Record MMF cash $7.93T , tight HY 275bp , PMI composite 56.0 and employment at an 18-month high — vs hawkish minutes 34.6% September hike , long-end yields at two-decade extremes, and the unresolved Iran conflict. The liquidity plumbing is ample TGA draw, stable SOFR ; the stress is concentrated in duration and policy expectations.

Unresolved risks

  • September FOMC Sep 15–16 is a live two-way event, now hawkish-skewed: minutes showed a 9–3 hold with three dissents favoring an immediate hike and "many" participants ready to hike if inflation doesn't decline; FedWatch at 34.6% Sep 68.4% Dec 82.2% by April 2027. Jackson Hole Aug 27–29 is the next policy input Forbes, financecalendar .
  • Long-end duration valuation risk at extremes: 10-yr at the 100th percentile of its 52-week range, 30-yr at 19-year highs, $40T debt and deficits; the buyback ≥$4B op, Sep 9–Nov 4 is temporary and officially liquidity-only, and its Aug 19 effect partially unwound within 48 hours — expect continued yield volatility around each operation yieldcurve.pro, ecmsource .
  • Inflation Iran: minutes flag the Iran war re-escalation as clouding the inflation outlook; oil remains expensive and a supply-restriction risk Forbes, alainguillot .
  • ON RRP cushion exhausted: any renewed TGA build or balance-sheet contraction hits reserves one-for-one; this week's TGA draw was the benign direction eco3min .
  • Data notes: all key values this week were cross-checked between at least two independent sources; series not retrievable cross-currency basis live levels, ICI MMF week-ended Aug 19, IG BBB OAS, EFFR CP, TGA daily Aug 20–21 are flagged rather than estimated. The next H.4.1 release Aug 27 and Jackson Hole are the key checkpoints; re-verify second-tier page values against primary sources Fed H.4.1, FRED, ICI, Treasury DTS before any investment decision.

Sources index primary

  • Fed H.4.1 current release 2026-08-20, week ending Aug 19 · Fed minutes release Aug 19
  • eco3min: TGA dataset $953.6B wk-avg, 95.2nd pct · eco3min: ON RRP dataset $0.20B Aug 21
  • IndexBox: TGA Aug 18 $961.95B · IndexBox: TGA Aug 19 −$25.5B to $936.4B
  • sofrrate.com SOFR Aug 2026 · FRED SOFR · FRED RRPONTSYD · FRED WTREGEN
  • Buyback: Reuters · CNBC · Politico · ecmsource detail · hoodline 30-yr 19-yr high
  • Minutes: CNBC · Reuters · Forbes detail
  • Auctions: gate.com 20-yr 5.204% · WSJ 20-yr card · Morningstar · Treasury auctions data
  • yieldcurve.pro 10-yr 4.74%, 100th pct · yieldcurve.pro 2-yr 4.24%, 96th pct · dollarliquidity.com HY OAS 275bp Aug 20 · FRED HY OAS
  • Markets: alainguillot Aug 21 recap · Investopedia Aug 21 · naturalresourcestocks gold DXY Aug 21 · $SPY daily chart Kempax market-data feed, recorded 2026-08-23
  • Macro: neilsethi flash PMI Aug 2026 · financecalendar Jackson Hole Aug 27–29
  • ICI MMF weekly wk ended Aug 12: $7.93T record · globalmarketstructure xccy basis
  • Prior-week baseline Aug 10–14 used for WoW deltas: total assets $6.760T, reserves $2.948T, TGA $959.4B avg $964.0B, SOMA bills $533.5B, HY OAS 271bp, SOFR 3.62–3.64%, S&P 7,785.76, DXY 99.8.

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<sub Report details — Prepared 2026-08-23 · Coverage week Mon Aug 17 – Fri Aug 21, 2026 vs Aug 10–14 · Data as of: H.4.1 week ending Aug 19 released Aug 20 ; ON RRP through Aug 21; SOFR through Aug 20; HY OAS Aug 20; TGA daily DTS through Aug 19; $SPY market data through Aug 21 close · Loop: Weekly Dollar Liquidity Report loop-095c989a-df34-4d81-836c-e6c12657aea7 · Run: looprun-4eb43a99-f889-43df-b2f5-9c520296b6b8 · Session: Author weekly dollar liquidity report · Workspace ws-01 · Status: research complete. This report is for internal review, does not constitute an investment recommendation, and no trading actions were taken.< sub