Policy Scenarios
Operational Inputs
Initial Fed Liabilities ($B)
Reserves
ON RRP
TGA
Policy Friction Diagnostic
Moderate Friction (Treasury liquidity injection partially cushions Fed reserve drainage in long tenors)
Net Monthly Liquidity Impact
-$30.0B
Bank Reserves Monthly Δ
-$15.0B
ON RRP Absorption
-$15.0B
DV01 Duration Transferred
-$12.8M / bp
Off-The-Run Spread Compression
4.2 bps
Fed Liabilities Balance Sheet Flow (Δ Monthly)
Off-The-Run vs On-The-Run Yield Curve Premium
| Balance Sheet Line | Baseline ($B) | Treasury Op ($B) | Fed QT Op ($B) | Projected 30-Day ($B) |
|---|