Liquidity Signal: 🟡 YELLOW — IMPROVING Reporting period: November 2–6, 2026 Previous signal: 🟡 YELLOW — DETERIORATING Assessment completed: Monday, November 9, 2026 U.S. dollar-funding conditions improved materially during November 2–6, reversing much of the deterioration observed throughout October. SOFR briefly reached 7 basis points above IORB on Tuesday , but subsequently declined to 1 basis point below IORB on Friday , while TGCR and BGCR also returned below the administered rate. The imp

Liquidity Signal: 🟡 YELLOW — IMPROVING

Reporting period: November 2–6, 2026
Previous signal: 🟡 YELLOW — DETERIORATING
Assessment completed: Monday, November 9, 2026

U.S. dollar-funding conditions improved materially during November 2–6, reversing much of the deterioration observed throughout October. SOFR briefly reached 7 basis points above IORB on Tuesday, but subsequently declined to 1 basis point below IORB on Friday, while TGCR and BGCR also returned below the administered rate. The improvement coincided with a recovery in bank reserves and a reduction in the Treasury General Account, reversing part of October's liquidity drain. Crucially, the SOFR distribution shifted lower without significant widening, and unsecured funding rates remained stable.

The signal remains YELLOW, but its direction changes to IMPROVING. The latest observations suggest that the funding system has regained some elasticity, although one week of normalization is insufficient to establish that October's underlying deterioration has been fully reversed.

Friday's November 6 reference rates were published on Monday, November 9, completing the prior business week. Monday's own trading conditions are excluded.

Weekly Liquidity Scorecard

The rate observations are sourced from the Federal Reserve Bank of New York reference-rate series, with the SOFR observations independently corroborated by FRED. Balance-sheet figures come directly from the November 5 H.4.1 release. 500metrics

1. What changed last week?

Repo funding pressure reversed decisively

The daily SOFR observations provide the clearest evidence.

IORB remained at 3.90% throughout the week. 500metrics

Three developments are particularly important.

First, Tuesday represented the highest funding premium of the current tightening sequence.

SOFR reached 3.97%, or 7 bp above IORB.

The 25th percentile reached 3.95%, while the 75th percentile climbed to 4.03%.

This was not isolated upper-tail pressure. The distribution had shifted higher across a substantial portion of the repo market.

However, the subsequent reversal was equally broad.

By Friday, the 25th percentile had fallen 8 bp from Tuesday's peak, the 75th percentile had declined 9 bp, and the 99th percentile had declined 8 bp.

Second, dispersion remained contained.

The 99th-minus-25th percentile spread fluctuated between 9 and 11 bp, finishing at 10 bp.

The improvement therefore reflected a general reduction in funding costs rather than a narrowing of extreme outlier transactions alone.

Third, Friday's SOFR fell below IORB for the first time since October 22.

That breaks the persistent positive funding premium that developed during the second half of October.

It is the strongest evidence supporting the change in direction from Deteriorating to Improving.

General collateral confirms the reversal

TGCR followed:

3.92% → 3.95% → 3.93% → 3.90% → 3.86%.

BGCR followed a nearly identical path, finishing Friday at 3.87%.

Both rates moved from 5 bp above IORB on Tuesday to below IORB by Friday.

This matters because the improvement was not restricted to the broader DVP financing component of SOFR.

General-collateral funding became cheaper simultaneously.

The SOFR−TGCR spread remained between 1 and 3 bp throughout the week.

There is therefore no evidence that the decline in headline SOFR concealed a growing divergence between general collateral and other cleared financing transactions. 500metrics

Transaction volumes remained substantial

SOFR volume ranged between approximately $3.17 trillion and $3.27 trillion.

Tuesday's elevated funding premium occurred alongside $3.260 trillion of transaction volume.

By Friday, SOFR had declined 8 bp from Tuesday while volume remained substantial at $3.174 trillion.

This is constructive.

Funding rates normalized without an accompanying collapse in market activity.

However, transaction volume alone cannot establish whether dealer balance-sheet capacity improved or whether the composition of financing demand changed.

The more persuasive evidence comes from the simultaneous normalization across SOFR, TGCR and BGCR.

2. Standing Repo Facility

Classification: No evidence of persistent material borrowing in the verified operations.

The available New York Fed operation records confirm zero accepted borrowing in both scheduled operations on November 4, 5 and 6.

The operation records available for this assessment do not provide a complete, independently verified breakdown for November 2–3. Consequently, I am not assigning a fabricated weekly total or claiming that all ten operations recorded zero borrowing. The Fed Gazette

The verified observations are nevertheless reassuring.

By Wednesday, when SOFR remained 4 bp above IORB, the facility recorded no borrowing.

Thursday and Friday also recorded zero usage as funding conditions normalized.

The absence of repeated borrowing during the second half of the week argues against an escalating financing shortage.

One nuance deserves attention.

On Tuesday, SOFR's 75th percentile reached 4.03%, exceeding the SRF's 4.00% offering rate.

That indicates that a meaningful portion of transactions was occurring above the facility's stated rate.

It does not automatically imply dysfunction. SRF access is restricted to eligible counterparties, and market segmentation, collateral arrangements and operational considerations can prevent straightforward arbitrage.

Nevertheless, this remains an important relationship to monitor.

The facility is intended to limit excessive funding-rate pressure, but its effectiveness must be assessed through actual market pricing and borrowing behavior—not simply the existence of the backstop.

3. Transmission check

Classification: 🟢 No confirmed transmission into unsecured dollar funding.

EFFR remained at 3.88% throughout November 2–6.

OBFR also remained at 3.88%.

Both therefore stayed 2 bp below IORB.

Friday's EFFR distribution was:

The OBFR 99th percentile was 3.93%, compared with 3.95% earlier in the week.

Neither benchmark showed a persistent increase in its median or a material widening of its upper tail. 500metrics

The secured-unsecured spread normalized

On Tuesday:

SOFR − EFFR = +9 bp.

By Friday:

SOFR − EFFR = +1 bp.

This represents an 8 bp reduction in the relative cost of Treasury-secured overnight financing.

That is significant because the deterioration throughout October was primarily a secured-market phenomenon.

The latest observations suggest that this relative financing pressure is now easing.

There is no evidence of impaired policy-rate control.

EFFR remains comfortably within the Federal Reserve's 3.75–4.00% target range.

The funding system experienced temporary secured-market tightening without transmitting that pressure into unsecured overnight borrowing.

4. Liquidity backdrop

The November 5 H.4.1 release provides the most important explanation for the improvement.

Bank reserves recovered

Average reserve balances increased:

$2.894tn → $2.930tn

An increase of approximately $36.3 billion.

The Wednesday point-in-time observation was stronger:

$2.895tn → $2.963tn

An increase of approximately $67.6 billion.

This partially reverses the reserve depletion observed during October.

However, reserves remain approximately $100 billion below their early-October weekly-average level.

The recovery is meaningful, but it has not completely reversed the preceding decline. Federal Reserve

Treasury General Account declined

Average TGA fell:

$999.7bn → $957.2bn

A decline of approximately $42.6 billion.

The Wednesday snapshot showed an even larger reduction:

$1.016tn → $936.2bn

A decline of approximately $79.4 billion.

This relationship is important.

When Treasury spends down its account at the Federal Reserve, funds generally return to the banking system, increasing reserve balances unless offset by other flows.

The latest H.4.1 data show precisely that broad configuration.

The Treasury cash decline was accompanied by an increase in reserves of comparable magnitude.

That is consistent with Treasury cash movements being the principal source of the improvement in reserve availability.

The official balance-sheet data do not establish that every dollar moved directly between the two accounts, because other Federal Reserve assets and liabilities also changed. Federal Reserve

Daily Treasury cash balances

The daily Treasury observations further clarify the sequence.

The latest verified Daily Treasury Statement observation in the retrieved records is November 5.

Friday's November 6 closing balance has not been independently confirmed here and is therefore excluded.

The verified observations indicate that Treasury's cash balance remained substantially below the late-October peak of approximately $1.053 trillion. 500metrics

Federal Reserve securities holdings

The Fed's average outright securities holdings declined approximately $4.3 billion.

Within that:

• Treasury holdings increased approximately $2.4 billion.
• Treasury bills increased approximately $2.1 billion.
• Agency MBS holdings declined approximately $6.7 billion.

The net decline in securities holdings contrasts with the substantial increase in reserves.

This is important because the reserve recovery was not primarily the result of a large expansion in Federal Reserve assets.

Rather, it was associated with changes in the composition of Fed liabilities, especially the reduction in the Treasury General Account.

The Wednesday securities snapshot actually increased approximately $2.2 billion, illustrating the difference between weekly averages and point-in-time observations. Federal Reserve

ON RRP remains effectively exhausted

Daily ON RRP usage followed:

$5.087bn → $427m → $225m → $125m → $150m.

The temporary increase on November 2 largely disappeared the following day.

Friday's $150 million balance confirms that the facility remains negligible as a substantial source of additional liquidity.

This is an important structural distinction from earlier periods of quantitative tightening.

When ON RRP held hundreds of billions of dollars, reductions in facility usage could offset reserve drains.

That buffer is no longer available at comparable scale.

The system therefore remains more directly exposed to changes in Treasury cash balances and other reserve-absorbing liabilities. The Fed Gazette

5. The elasticity test

This is the central finding of the week.

The October deterioration suggested that the marginal availability of reserves was becoming increasingly important to repo-market pricing.

Between early October and October 30, average reserves declined approximately $136 billion while SOFR moved progressively higher relative to IORB.

That was the basis for the Yellow classification.

The latest week provides the reverse observation.

Average reserves: +$36.3bn

Average TGA: −$42.6bn

SOFR−IORB: +7 bp Tuesday → −1 bp Friday

TGCR−IORB: +5 bp Tuesday → −4 bp Friday

The funding response was substantial relative to the size of the observed liquidity improvement.

This is consistent with a system in which modest changes in reserve availability can produce noticeable movements in repo rates.

That observation cuts both ways.

When reserves are drained, funding costs can rise relatively quickly.

When liquidity returns, funding costs can normalize just as rapidly.

The latest data therefore suggest improving funding conditions, but they do not necessarily establish that the system has become structurally less sensitive to reserve fluctuations.

Indeed, the magnitude of the weekly repo-rate reversal reinforces the importance of monitoring elasticity.

The important distinction is that the response remained orderly.

There was no significant widening of the SOFR distribution, no confirmed unsecured transmission and no persistent material SRF demand in the verified operations.

The system responded to changing liquidity conditions without displaying the nonlinear characteristics of an acute funding squeeze.

6. The 2025 analogue

The comparison with late 2025 remains instructive.

The historical comparison highlights the difference between early liquidity sensitivity and acute funding stress.

In late 2025, SOFR premiums exceeded 20 bp during important reporting periods, accompanied by substantial demand for central-bank repo liquidity.

The December 31 operation reached approximately $74.6 billion, compared with negligible or zero usage in the latest verified November operations. Reuters

The current episode has not approached that magnitude.

Even Tuesday's +7 bp SOFR premium remained far below the historical stress observations.

More importantly, the latest premium reversed within three business days.

General-collateral financing normalized simultaneously, and unsecured funding remained stable.

What does the comparison tell us about elasticity?

The late-2025 episode demonstrated that relatively ordinary reporting-date and reserve-liquidity pressures could generate disproportionate increases in financing costs.

The October 2026 deterioration suggested that some sensitivity was returning.

November 2–6 shows that this sensitivity remains reversible.

The system has not entered a self-reinforcing funding squeeze in which higher financing costs generate persistent demand for central-bank liquidity.

That is the key distinction.

The latest week resembles a normalization following a period of reserve scarcity concerns, rather than the escalation that characterized late 2025.

7. Bottom line / risk implication

Plumbing: TIGHTENING PRESSURE EASING — NOT SYSTEMIC.

Weekly signal: 🟡 YELLOW — IMPROVING.

The latest data provide meaningful evidence that the October deterioration has begun reversing.

Repo rates declined across the distribution, general-collateral financing returned below IORB, reserves recovered and the Treasury General Account released liquidity.

The improvement was not confined to a handful of expensive transactions.

It was broad-based.

However, the structural vulnerabilities have not disappeared.

Reserve balances remain below their early-October levels, ON RRP is effectively exhausted, and the system has demonstrated noticeable sensitivity to relatively modest liquidity movements.

What would change the signal?

Final assessment

The most important development is the reversal in the relationship between Treasury cash balances, bank reserves and repo-market pricing.

Throughout October, Treasury cash accumulation coincided with declining reserves and progressively higher secured funding costs.

During November 2–6, Treasury cash balances declined, reserves recovered and repo rates normalized.

That is a constructive development for the U.S. dollar-liquidity outlook.

Nevertheless, the underlying sensitivity of the system to reserve movements remains important.

The latest week demonstrates that liquidity conditions can improve quickly when Treasury releases cash back into the banking system.

It does not yet demonstrate that the system could absorb another sustained reserve drain without renewed funding pressure.

The Weekly Liquidity Warning Signal therefore remains YELLOW, but shifts decisively from DETERIORATING to IMPROVING.