Public Kempax report

Weekly Dollar Liquidity Report · 2026-10-03

Kempax Research

Loop report · 2026-10-03

Weekly Dollar Liquidity Report — Week of Sep. 28–Oct. 2, 2026

As of: 2026-10-04 UTC date-level cutoff · Latest complete market close: Oct. 2, 2026

Liquidity stance: Watch — mixed selectively cautious. H.4.1 week-average reserve balances rose $17.897B to $2,948.090B in the week ended Sep. 30 while average TGA balances fell $28.410B to $948.674B ; average reverse-repurchase liabilities rose $13.117B to $329.260B , mainly through foreign-official activity. DTS closing TGA cash fell from $945.290B on Sep. 25 to $893.699B on Oct. 1 , while the Oct. 2 record was unavailable. Domestic ON RRP accepted $25.687B across Sep. 28–Oct. 2, concentrated on Sep. 29–30. Overnight funding stayed orderly through Oct. 1, while HY and IG spreads widened sharply, led by CCC-and-lower credit. Sep. 25–Oct. 2 price action was selective: $SPY −0.22% , $TLT −2.32% , and $UUP +0.94% ; VIX rose 2.96% to 15.31 . The evidence supports a marginal tightening watch signal and risk-off pressure at the margin, not a broad confirmed dollar-funding break.

Executive summary

• Fed balance-sheet averages were mixed, with the point-in-time stock weaker. H.4.1 week-average reserve-bank credit was $6,692.033B and securities held outright $6,462.747B for the week ended Sep. 30, down $9.604B and $9.568B respectively; average reserve balances rose $17.897B to $2,948.090B . The Sep. 30 Wednesday reserve stock fell $88.236B , so weekly average and point-in-time readings diverge Oct. 1 H.4.1, reserve-balance series .
• The TGA signal remains basis-dependent. H.4.1 weekly-average TGA fell $28.410B to $948.674B through Sep. 30, while DTS closing TGA fell $51.591B from Sep. 25 to Oct. 1 , ending at $893.699B . Oct. 2 returned no DTS row and is not inferred Treasury DTS dataset, DTS operating-cash query .
• Reverse-repo measures rose into quarter-end and remain separate. H.4.1 average reverse-repo liabilities rose $13.117B to $329.260B , with the foreign-official international-account line up $9.875B to $325.518B . Domestic ON RRP accepted amounts totaled $25.687B , up from $2.702B in the prior window; the Oct. 1–2 standing-repo records totaled $0 ON RRP results, H.4.1 reverse-repo series .
• Treasury supply is the forward absorption watch. Gross bill offerings settling Oct. 1 totaled $316B , up from $246B settling Sep. 24; bills settling Oct. 6 total $270B , and the next coupon refunding is $119B . These are distinct from total net Treasury issuance and gross auction awards Treasury auction data, refunding statement .
• Overnight funding stayed orderly at the current policy setting. On Oct. 1, SOFR was 3.87% with $3.067T volume, TGCR BGCR were 3.84% with $1.178T $1.221T , and EFFR OBFR were 3.88% with $120B $256B volume. SOFR fell 3bp from Sep. 25 while EFFR held; Oct. 2 had no daily reference-rate row NY Fed SOFR, NY Fed reference rates .
• Credit risk premia widened sharply, led by lower-quality borrowers. HY OAS widened 44bp to 324bp and IG OAS widened 7bp to 86bp from Sep. 24 to Oct. 1; CCC-and-lower OAS widened 103bp to 1,215bp . Commercial paper outstanding fell $55.2B to $1,406.7B through Sep. 30, while the 30-day AA nonfinancial CP weekly-average rate eased 1bp to 3.94% . NFCI was −0.548 and STLFSI4 −0.8074 for the week ended Sep. 25; both remained below zero HY OAS, NFCI, commercial paper .
• Global dollar funding moved to a marginal tightening watch, with incomplete coverage. The CME EUR USD proxy ended at −6.87bp on Oct. 2 , 2.80bp more negative than Sep. 28; Fed central-bank liquidity swaps rose to $207M on Sep. 30 from $72M on Sep. 23. The latest official broad-dollar index rose about 0.68% through Sep. 25, while BIS dollar credit was $14.748T at 2026-Q1 , up 3.5% q q ; no current USD JPY basis observation was verified CME EUR USD basis, Fed H.4.1, BIS dollar credit .
• Cross-asset transmission was risk-off at the margin, not disorderly. $SPY fell 0.22% , $TLT fell 2.32% , $UUP rose 0.94% , and VIX rose 2.96% to 15.31 from Sep. 25 to Oct. 2; current $QQQ, $HYG, and $LQD comparisons were not supplied. Treasury yields showed bear steepening, with the 10-year up 7bp to 5.24% and 2s10s widening 10bp to 46bp from Sep. 25 to Oct. 1. The tape is consistent with a firmer-dollar, duration-pressure, and credit-risk-premium channel, but it does not identify a single liquidity cause market history, Treasury curve .

Bottom line: the evidence supports watch mixed with a selectively cautious bias , not a broad-liquidity expansion or funding-stress call. The TGA draw and reserve-average rebound are offsets, but higher reverse-repo liabilities, the weaker Sep. 30 reserve stock, heavier bill settlement, wider credit spreads, and a more negative EUR USD proxy keep the balance mixed-to-tighter. Overnight funding remains orderly, so the current evidence does not establish a broad dollar-liquidity seizure. Owner-facing stance: maintain selective caution and do not treat the plumbing as a standalone risk-on signal. Next step: refresh the Oct. 2 DTS record and the next H.4.1 H.10 releases, then reassess the Oct. 6–8 coupon auctions and Oct. 15 settlement alongside credit and basis persistence.

Charts

TGA drew $51.591B by Oct. 1; Oct. 2 is missing

Overnight funding remained orderly through Oct. 1; Oct. 2 is missing

$SPY was near flat while duration, dollar, and volatility moved defensively

Detailed findings

1. Federal Reserve balance sheet H.4.1 release Oct. 1 — week ending Sep. 30

The Oct. 1 H.4.1 release covers the week ended Sep. 30. Week-average reserve-bank credit was $6,692.033B , down $9.604B from $6,701.637B, and securities held outright were $6,462.747B , down $9.568B . The latest Wednesday total-assets stock was $6,743.031B , down $4.673B from Sep. 23. The balance-sheet contraction was modest, while the reserve-liquidity signal was driven by liability composition H.4.1 Oct. 1, H.4.1 Sep. 24 .

Week-average reserve balances rose $17.897B to $2,948.090B . Average total reverse-repurchase liabilities rose $13.117B to $329.260B , led by a $9.875B increase in the foreign-official international-account line to $325.518B ; the derived “Others” average rose to $3.742B . The Sep. 30 Wednesday reserve stock fell $88.236B to $2,881.686B , while Wednesday reverse-repo liabilities rose to $361.883B , so these are not a one-for-one daily net-liquidity calculation. The average plumbing is mixed, and quarter-end timing with daily Treasury cash matters reserve balances, reverse-repo liabilities, foreign-official reverse repos .

2. Treasury General Account

The H.4.1 weekly-average TGA fell $28.410B to $948.674B through Sep. 30 from $977.084B in the prior week. The verified DTS closing path was $945.290B Sep. 25 → $959.572B Sep. 28 → $936.600B Sep. 29 → $984.046B Sep. 30 → $893.699B Oct. 1 . The Sep. 25–Oct. 1 close-to-close change was −$51.591B −5.46% ; Oct. 2 returned no row, so the daily window is incomplete Treasury DTS dataset, latest-week DTS TGA API .

The two observations are directionally consistent because H.4.1 is a week-average liability stock ending Sep. 30 while DTS is a daily closing cash balance through Oct. 1. On Oct. 1, withdrawals of $463.997B exceeded deposits of $373.651B by $90.346B ; the table does not attribute that movement to a particular outlay, receipt, or financing transaction. A TGA draw is mechanically reserve-supportive all else equal, but neither series identifies the complete settlement attribution or a standalone net-liquidity total.

3. Reverse repo facility

Domestic ON RRP accepted amounts were $0.851B Sep. 28, $11.446B Sep. 29, $11.539B Sep. 30, $0.350B Oct. 1, and $1.501B Oct. 2 , totaling $25.687B . The current window was $22.985B higher than Sep. 21–25, with the increase concentrated on Sep. 29–30. The accepted operation amount is reserve-absorbing while outstanding, but it remains a transaction flow rather than an H.4.1 liability stock NY Fed ON RRP, FRED domestic ON RRP .

H.4.1 average reverse-repurchase liabilities were $329.260B , up $13.117B , of which the foreign-official international-account line accounted for $9.875B of the increase. The Oct. 1–2 standing-repo records showed $0 accepted. The quarter-end ON RRP spike is a watch flag, but low standing-repo take-up and orderly rates do not evidence an acute official-facility funding break H.4.1 reverse-repo series, NY Fed repo results .

4. Bank reserves

The latest verified reserve measure is the H.4.1 week average ended Sep. 30: $2,948.090B , up $17.897B from $2,930.193B in the week ended Sep. 23; the Sep. 30 Wednesday stock was $2,881.686B , down $88.236B from Sep. 23. The weekly-average rebound is supportive in isolation, but the weaker Wednesday stock shows why frequency and quarter-end timing must remain explicit. Neither can be used by itself to reconcile the TGA or domestic ON RRP operations reserve balances, H.4.1 Oct. 1 .

5. Treasury issuance, auctions, and the buyback program

The latest accepted issuance observations show gross bill offerings of $316B settling Oct. 1 , up from $246B settling Sep. 24 , with $270B of bills settling Oct. 6. This is a gross-offering comparison, not total net Treasury issuance or a one-for-one reserve drain Treasury auction data, Oct. 1, Treasury auction data, Sep. 24 .

The next coupon refunding is $119B —$58B 3-year, $39B 9-year-10-month, and $22B 29-year-10-month—auctioning Oct. 6–8 and settling Oct. 15. The Oct. 6 bill slate is $100B 4-week, $95B 8-week, and $75B 17-week . Gross auction offering, issue-date par, maturities, DTS cash, and reserve balances are distinct; no total net Treasury issuance is inferred. No buyback amount is used in this report Treasury auction data, upcoming auctions, August refunding statement .

The Treasury channel is therefore supportive through the observed TGA draw but carries a forward absorption risk from larger bill settlement and the Oct. 15 coupon settlement. The full reserve effect still depends on holder type, maturities, tax receipts, government outlays, ON RRP usage, Fed balance-sheet changes, and settlement timing.

6. Money markets

The latest matched daily observations were SOFR 3.87% with $3.067T volume, TGCR BGCR 3.84% with $1.178T $1.221T , and EFFR OBFR 3.88% with $120B $256B on Oct. 1. SOFR fell 3bp and volume rose $153B from Sep. 25; EFFR held. The target range remained 3.75%–4.00% , and Oct. 2 had no daily reference-rate row NY Fed SOFR, NY Fed EFFR .

SOFR volume was $3.067T on Oct. 1, up 5.25% from Sep. 25, without a rate spike; TGCR BGCR volumes were slightly lower and EFFR OBFR volumes higher. Together with zero standing-repo take-up, the observations point to orderly policy pass-through rather than a secured-funding dislocation, although the ON RRP flow spike is a quarter-end watch flag NY Fed repo results, NY Fed reference rates .

Short-term pricing was mixed: the 30-day AA nonfinancial CP weekly-average rate eased 1bp to 3.94% through Oct. 1 even as total CP outstanding fell $55.2B week over week. The quantity price split is a caution signal, not evidence of broad funding stress by itself Federal Reserve H.15, Federal Reserve CP rates .

7. Credit conditions

The latest available high-yield OAS was 324bp on Oct. 1 , up 44bp from 280bp on Sep. 24. Investment-grade OAS was 86bp , up 7bp , and CCC-and-lower OAS was 1,215bp , up 103bp . HY supplied the larger risk-premium move, with the sharpest repricing in lower-quality credit; these are market spreads, not realized losses or proof of a funding closure ICE BofA current release, ICE BofA prior release .

Commercial paper outstanding fell $55.2B 3.78% to $1,406.7B from Sep. 23 to Sep. 30, led by a $38.1B decline in financial CP and a $19.7B decline in nonfinancial CP. The weekly-average 30-day AA nonfinancial rate eased 1bp to 3.94% through Oct. 1. The quantity decline may reflect month-end, issuance, or rollover effects; the release does not establish why it occurred or identify issuer concentration Federal Reserve commercial paper, Federal Reserve CP rates .

The latest weekly Chicago Fed NFCI was −0.548 and St. Louis Fed Financial Stress Index was −0.8074 , both for the week ended Sep. 25; both remained below zero, although STLFSI4 moved toward more stress. H.8 weekly stocks are latest verified at Sep. 23: bank credit $19,862.5105B and loans and leases $14,097.2232B ; August annualized monthly growth rates were +5.0% for bank credit, +9.0% for loans and leases, and +19.4% for commercial and industrial loans. These are slower-frequency context, not a synchronous weekly liquidity panel NFCI, STLFSI4, H.8 .

8. Global dollar funding FX

The public CME EUR USD Cross Currency Basis Index was −6.87bp on Oct. 2 , versus −4.07bp on Sep. 28 , a 2.80bp move more negative over the displayed week. The public page did not expose a Sep. 25 value, so this is not a prior-Friday comparison. It is a futures-implied EUR USD benchmark, not a primary OTC dealer quote and not a full global funding measure CME EUR USD basis .

Fed central-bank liquidity swaps rose to $207M on Sep. 30 from $72M on Sep. 23 ; the New York Fed operation table identifies a matching $207M, seven-day ECB dollar-liquidity swap . BIS dollar credit to non-bank borrowers outside the United States was $14,748B at 2026-Q1 , up $494B 3.5% q q and 7.3% y y . These quarterly measures are structural context, not current-week stress gauges; no dated USD JPY or GBP USD basis, offshore dollar-deposit, or counterparty-level flow was verified Fed H.4.1 Oct. 1, New York Fed swap operations, BIS dollar credit .

The status is therefore contained pressure in covered indicators , not proof of no stress across global funding markets. A confirming deterioration would be a sharp widening in basis across currencies alongside rising official swap usage and declining offshore dollar credit; the current source set does not show that combination.

9. Cross-market impact assessment

Close-to-close market history for Sep. 25–Oct. 2, 2026 shows:

• Equities: $SPY fell 0.22% from 771.35 to 769.64 . This week's $QQQ history was not supplied; its Sep. 25 close and prior-week return remain historical context only. These are raw price changes, not total returns $SPY price history, $QQQ price history .
• Bonds: $TLT fell 2.32% from 79.32 to 77.48 . Treasury yields moved from 2-year 4.81%, 10-year 5.17%, and 30-year 5.49% on Sep. 25 to 4.78%, 5.24%, and 5.61% on Oct. 1; 2s10s widened from 36bp to 46bp . Inference: the observed bear steepening is compatible with supply term-premium pressure; the source does not attribute the move uniquely to liquidity $TLT price history, Treasury H.15 .
• U.S. dollar: $UUP rose 0.94% from 28.62 to 28.89 . This is a dollar-index ETF proxy, not a direct DXY observation $UUP price history .
• Overall risk appetite: VIX rose from 14.87 to 15.31 , a 2.96% move. This week's $HYG and $LQD histories were not supplied; their Sep. 25 closes and prior-week changes remain historical context only. The VIX increase was modest relative to the CCC-and-lower spread widening, so the risk signal is selective rather than a broad volatility shock Cboe VIX, ICE BofA current release .

The implications are conditional: the TGA draw and higher reserve average are offsets, while higher reverse-repo liabilities, a weaker Sep. 30 reserve stock, larger bill settlement, and wider credit spreads are cautions. The market tape showed $SPY near flat, weaker $TLT, a firmer dollar, and higher VIX; current $QQQ $HYG $LQD returns were not supplied. Inference: the data support monitoring a firmer-dollar duration-pressure and lower-quality-credit channel, but they do not establish one liquidity cause.

Unresolved risks

• Release-lag gap: Oct. 2 DTS and daily SOFR TGCR BGCR EFFR OBFR rows were not present; H.4.1 averages end Sep. 30, Treasury cash and overnight rates end Oct. 1, OAS ends Oct. 1, H.8 stocks end Sep. 23, stress indexes end Sep. 25, and BIS H.10 measures are slower. No missing value is interpolated.
• TGA and reserve reconciliation: H.4.1 weekly-average TGA fell $28.410B while DTS closing TGA fell $51.591B over different windows and bases; the Sep. 30 reserve stock also fell while its weekly average rose. Weekly averages, Wednesday stocks, daily DTS cash, and ON RRP accepted amounts cannot be netted one-for-one.
• Treasury supply: gross bills settling Oct. 1 totaled $316B , bills settling Oct. 6 total $270B , and the Oct. 15 coupon settlement is $119B . Gross auction offering, maturities, DTS cash, and reserve balances are distinct; the current records do not close the net liquidity effect.
• Credit and global funding: HY and IG OAS widened sharply, CCC-and-lower widened more, CP outstanding fell while its observed rate eased, and stress indexes remained below zero. Global evidence is an EUR USD proxy plus small aggregate official-swap usage and quarterly structural measures, with no dated USD JPY or GBP USD basis or current offshore-flow series. These are cautions and coverage limits, not a systemic-stress call.
• Plumbing versus prices: reserve-average improvement coexisted with weaker $SPY $TLT, a firmer dollar, higher VIX, and missing current $QQQ $HYG $LQD observations. Market prices are a transmission check, not proof of a single liquidity driver. Human approval is required before any investment decision.

Next-week watch

• Capture the missing Oct. 2 DTS and daily overnight-rate observations when released, then reassess the TGA close, reserve response, and funding-rate path.
• Monitor the Oct. 6 bill settlement, Oct. 6–8 coupon auctions, Oct. 15 coupon settlement, and post-tax TGA behavior ; gross supply remains a forward absorption watch.
• Refresh HY IG CCC OAS, H.8 stocks, NFCI, STLFSI4, commercial-paper rates outstanding, and EUR USD basis ; seek dated primary USD JPY and GBP USD measures before broadening the global-dollar read.
• Watch whether $TLT, $SPY, $QQQ, $HYG, $LQD, and $UUP confirm or reverse the selective pattern; preserve explicit gaps where this week's evidence is unavailable.

Sources index primary

• Federal Reserve H.4.1 Sep. 24, 2026 · reserve balances · reverse-repo liabilities · TGA weekly series
• Treasury Daily Treasury Statement · Oct. 1 operating-cash query · Oct. 2 gap query
• Treasury securities auctions · upcoming auctions · August refunding statement
• New York Fed reference rates · SOFR · ON RRP · standing repo
• Federal Reserve H.15 · commercial paper · H.8 Sep. 25
• ICE BofA credit spreads, Oct. 1 · Chicago Fed NFCI · St. Louis Fed Financial Stress
• CME EUR USD basis · Fed central-bank liquidity swaps · BIS dollar credit
• Treasury Sep. 18 curve · Treasury Sep. 25 curve · Cboe VIX
• \$SPY price history · \$QQQ price history · \$TLT price history · \$UUP price history
• \$HYG price history · \$LQD price history · \$VIXY history this week's observation unavailable
• Federal Reserve H.4.1 Sep. 10, 2026 · H.4.1 Sep. 3, 2026 · reserve balances
• Treasury Daily Treasury Statement · Treasury securities auctions · TreasuryDirect results
• Treasury buyback operation, Sep. 10 · Treasury borrowing estimates · August refunding statement
• New York Fed reference rates · repo operations · swap operations
• FRED HY OAS · FRED RRPONTSYD · FRED financial stress · Chicago Fed NFCI
• CME EUR USD basis · CME FX Swap Rate Monitor · NY Fed swap operations
• Treasury daily curve rates · Sep. 11 curve display
• Market-history references: $SPY · $QQQ · $TLT · $UUP · $HYG · $LQD · $VIXY
• Federal Reserve H.4.1 Sep. 17, 2026 · H.4.1 Sep. 10, 2026 · reserve balances · reverse-repo liabilities
• Treasury Daily Treasury Statement · Treasury securities auctions · public-debt transactions · buybacks
• Treasury liquidity-support buyback policy · Treasury borrowing estimates · August refunding statement
• New York Fed reference rates · SOFR · EFFR · ON RRP · repo operations · swap operations
• FRED HY OAS · FRED IG OAS · FRED commercial paper · FRED financial stress · Chicago Fed NFCI
• CME EUR USD basis · Fed SWPT · BIS global liquidity · BIS USD credit
• Treasury Sep. 11 curve · Treasury Sep. 18 curve · Cboe VIX
• Market-history references: $SPY · $QQQ · $TLT · $UUP · $HYG · $LQD · $VIXY this week's observation unavailable

<sub Report details — Coverage: Sep. 28–Oct. 2, 2026 latest complete market close Oct. 2 · Data as of: 2026-10-04 UTC; H.4.1 week ended Sep. 30, Treasury DTS through Oct. 1 with Oct. 2 unavailable, overnight rates through Oct. 1, OAS through Oct. 1, stress indexes through Sep. 25, commercial paper through Sep. 30–Oct. 1, global basis through Oct. 2 and market closes through Oct. 2 where available · Status: research complete; candidate for human review · Owner: research lead portfolio managers · Run: looprun-92dc89bc-fcb8-45b2-960d-64ace55d31ee · Session: loopsession-e68b6071-1684-4fff-bf0a-bc6882ddc5c5 · Closure: report candidate written; no trading, scheduling, external communication, or publication action was taken · Next step: refresh the dated gaps and monitor the Oct. 6–8 auctions and Oct. 15 settlement before any investment decision.< sub