# US Data Box — US financial and macro data monitor

> Two datasets, published as static pages in 繁體中文, English and 日本語. The first is a
> weekly, Wednesday-aligned monitor of liquidity in the US banking system: Federal Reserve
> net liquidity (WALCL − TGA − ON RRP), the SOFR−IORB spread, four anomaly rules, and
> matched S&P 500 / Nasdaq 100 weekly returns. The second is three US recession signals —
> the Sahm rule, the 10-year minus 2-year Treasury spread, and the NBER recession indicator
> — each shown as a raw reading, never combined into a probability. The same dataset also
> carries ten US economic indicators grouped as leading, coincident and lagging. Independent
> personal project by echan.xyz; not affiliated with the Federal Reserve, the US Treasury or
> any government body. Data monitoring only — not investment advice.

Pages:
- Weekly liquidity — https://usdatabox.com/ (English) · https://usdatabox.com/zh/ (繁體中文) · https://usdatabox.com/ja/ (日本語)
- Recession signals — https://usdatabox.com/recession/ · https://usdatabox.com/zh/recession/ · https://usdatabox.com/ja/recession/
- Economic indicators — https://usdatabox.com/indicators/ · https://usdatabox.com/zh/indicators/ · https://usdatabox.com/ja/indicators/

Raw data: https://usdatabox.com/data/liquidity.json · https://usdatabox.com/data/indicators.json
Data as of: 2026-09-16 · Generated: 2026-09-18
Units: all dollar amounts are in units of USD 100 million (1 = $100M). Rates in percent, spreads in basis points.

## Definition

net liquidity = WALCL − TGA − ON RRP

- WALCL — total assets of the Federal Reserve, from the weekly H.4.1 release.
- TGA — the Treasury General Account balance; cash the Treasury holds at the Fed, outside the banking system.
- ON RRP — overnight reverse repo, total amount accepted; cash parked at the Fed overnight, also outside the banking system.

All three component series are aligned to the same Wednesday before any differencing, so the
weekly change reflects one week of the same calendar, not a mix of publication frequencies.

## Latest week (2026-09-16)

- Net liquidity: 57,495 (change vs prior week: -1,470)
- WALCL: 67,465 (+59)
- TGA: 9,917 (+1,480)
- ON RRP: 53.75 (+49.43)
- SOFR: 3.62% · IORB: 3.65% · spread: -3 bp
- S&P 500: 7,551.81 (-1.11% for the week)
- Nasdaq 100: 28,945.06 (-1.62% for the week)
- Anomaly rules fired: R1

## Anomaly rules

- R1 — Reserve squeeze risk — TGA rises more than $50bn in a week without a matching ON RRP drawdown. Status for 2026-09-16: FIRED.
- R2 — Funding stress — SOFR−IORB flips positive, or widens more than 5bp in one week. Status for 2026-09-16: not fired.
- R3 — Liquidity drain — net liquidity falls two consecutive weeks. Status for 2026-09-16: not fired.
- R4 — Cash pool draining — ON RRP falls more than 20% of the prior balance in one week. Status for 2026-09-16: not fired.

## Recent weeks

| Wednesday | WALCL | TGA | ON RRP | Net liquidity | Δ net | SOFR−IORB (bp) |
|---|---|---|---|---|---|---|
| 2026-07-29 | 67,382 | 9,704 | 25.76 | 57,652 | -1,464 | 0 |
| 2026-08-05 | 67,486 | 9,293 | 16.50 | 58,176 | +524 | -1 |
| 2026-08-12 | 67,600 | 9,594 | 7.25 | 57,998 | -178 | -3 |
| 2026-08-19 | 67,457 | 9,364 | 3.17 | 58,090 | +92 | -3 |
| 2026-08-26 | 67,309 | 9,594 | 7.02 | 57,708 | -382 | -1 |
| 2026-09-02 | 67,372 | 9,444 | 5.25 | 57,923 | +215 | 0 |
| 2026-09-09 | 67,406 | 8,437 | 4.32 | 58,965 | +1,042 | -1 |
| 2026-09-16 | 67,465 | 9,917 | 53.75 | 57,495 | -1,470 | -3 |

Full history (37 weeks, from 2026-01-07) is in https://usdatabox.com/data/liquidity.json.

## Liquidity versus equity returns

Sample correlations between the weekly change in net liquidity and index returns, over
36 overlapping weeks: same-week S&P 500 0.04, same-week
Nasdaq 100 0.03, one-week-lead S&P 500 -0.04,
four-week cumulative S&P 500 -0.2. These are descriptive statistics on a
short sample, not a forecast, and the site does not present them as a timing signal.

## Recession signals (https://usdatabox.com/recession/)

Three independent US recession signals, each shown as a raw reading with its own trigger
flag. The site publishes no composite score and no recession probability: weighting the
three into one percentage would require coefficients that have no published source and
cannot be reproduced from the data on the page.

- Sahm rule — the three-month moving average of the unemployment rate minus its lowest
  value over the previous twelve months; the rule triggers at 0.50 percentage points.
  The value shown is the official FRED series SAHMCURRENT, not a local recomputation.
  Latest: -0.07 pp as of 2026-08-01 — not fired.
  Context computed here from UNRATE: three-month average 4.13%, lowest
  three-month average of the previous twelve months 4.20%.
- Yield curve — the 10-year minus 2-year Treasury constant maturity spread (T10Y2Y).
  A negative spread is an inversion. Historically the gap between inversion and the start
  of a recession has run roughly 6 to 24 months and has varied widely.
  Latest: +0.20% as of 2026-09-21 — not inverted;
  counting month-end values, with the current month taken at that same daily reading, the
  spread has been negative for 0 consecutive months.
- NBER recession indicator — the monthly 0/1 series USREC, derived from the NBER Business
  Cycle Dating Committee reference dates. The committee dates turning points well after
  the fact, so this is a record, not a live alarm.
  Latest: USREC = 0 for 2026-08-01 — not a recession month;
  most recent recession 2020-03-01 to 2020-04-01.

Unemployment rate (UNRATE): 4.1% as of 2026-08-01;
480 monthly observations from 1986-08-01. The USREC
series covers 680 months from 1970-01-01. Missing months are
omitted rather than interpolated — UNRATE has a real gap at 2025-10, when the Bureau of Labor
Statistics did not publish the household survey during the federal government shutdown.

Recession-signal sources, all redistributed by FRED:

- FRED · UNRATE (Bureau of Labor Statistics) — https://fred.stlouisfed.org/series/UNRATE
- FRED · SAHMCURRENT (Federal Reserve Bank of St. Louis) — https://fred.stlouisfed.org/series/SAHMCURRENT
- FRED · T10Y2Y (Federal Reserve Board H.15) — https://fred.stlouisfed.org/series/T10Y2Y
- FRED · USREC (NBER reference dates) — https://fred.stlouisfed.org/series/USREC

These four series are refetched once every weekday and published in full at
https://usdatabox.com/data/indicators.json (data as of 2026-09-21, generated 2026-09-22).

## Economic indicators (https://usdatabox.com/indicators/)

Ten US economic indicators from FRED, grouped by when they turn over the business cycle.
Leading indicators change before the wider economy turns, coincident indicators turn with it,
and lagging indicators follow afterwards. The grouping is about timing, not reliability, and
the ten series are never combined into a composite index.

Each line below gives the FRED id, the group, the transform stored and drawn on the page, the
source units, the latest observation and its date. Where a transform is applied it is computed
from the source observations alone; missing observations are omitted rather than filled.

- T10Y2Y (leading) — 10-year minus 2-year Treasury constant maturity spread, taken at each month end. Negative is an inversion. Stored as level; source units percent; monthly. Latest: 0.41 for 2026-08-01, from 600 observations starting 1976-09-01.
- UMCSENT (leading) — University of Michigan index of consumer sentiment. The survey moved to a web-only methodology during 2024, which shifts the level of the series. Stored as level; source units index; monthly. Latest: 55.2 for 2026-07-01, from 120 observations starting 2016-08-01.
- PERMIT (leading) — New privately owned housing units authorized by building permits. Stored as level; source units thousands; monthly. Latest: 1,394 for 2026-08-01, from 132 observations starting 2015-09-01.
- HOUST (leading) — New privately owned housing units started. Stored as level; source units thousands; monthly. Latest: 1,275 for 2026-08-01, from 132 observations starting 2015-09-01.
- GDPC1 (coincident) — Real gross domestic product. Quarterly, and the advance estimate lands about a month after the quarter ends. Stored as quarterly change at an annual rate; source units billions usd; quarterly. Latest: 1.48 for 2026-04-01, from 40 observations starting 2016-07-01.
- RSXFS (coincident) — Advance retail sales excluding food services. Stored as year-over-year percent change; source units millions usd; monthly. Latest: 6.04 for 2026-08-01, from 132 observations starting 2015-09-01.
- INDPRO (coincident) — Industrial production: manufacturing, mining and utilities. Stored as year-over-year percent change; source units index; monthly. Latest: 1.42 for 2026-08-01, from 132 observations starting 2015-09-01.
- UNRATE (lagging) — The U-3 civilian unemployment rate. Stored as level; source units percent; monthly. Latest: 4.1 for 2026-08-01, from 480 observations starting 1986-08-01.
- CPILFESL (lagging) — Consumer prices less food and energy. Stored as year-over-year percent change; source units index; monthly. Latest: 2.45 for 2026-08-01, from 132 observations starting 2015-08-01.
- PAYEMS (lagging) — All employees, total nonfarm. Stored as change from the previous month; source units thousands; monthly. Latest: 162 for 2026-08-01, from 132 observations starting 2015-09-01.

Headline readings: unemployment rate 4.1% (2026-08-01),
core CPI 2.45% year over year (2026-08-01), real GDP
+1.48% at an annual rate (quarter beginning 2026-04-01), and
nonfarm payrolls +162 thousand on the month (2026-08-01).

These ten series are refetched once every weekday alongside the recession signals and published
in full at https://usdatabox.com/data/indicators.json (data as of 2026-09-21, generated 2026-09-22).

## Sources

- Federal Reserve H.4.1 statistical release — https://www.federalreserve.gov/releases/h41/current/
- FRED · WALCL — https://fred.stlouisfed.org/series/WALCL
- FRED · WDTGAL (Treasury General Account) — https://fred.stlouisfed.org/series/WDTGAL
- FRED · IORB — https://fred.stlouisfed.org/series/IORB
- Federal Reserve Bank of New York · ON RRP operations — https://www.newyorkfed.org/markets/desk-operations/reverse-repo
- Federal Reserve Bank of New York · SOFR — https://www.newyorkfed.org/markets/reference-rates/sofr

## Update schedule

Two pipelines, two cadences. The Federal Reserve publishes H.4.1 on Thursday afternoon, US
Eastern time; the liquidity dataset behind https://usdatabox.com/ refetches all series and recomputes shortly
afterwards, once a week. The recession signals and the ten economic indicators share one
dataset, refetched every weekday at 14:30 UTC, because the ten series are released on dates
spread across the month and the Treasury spread is daily. Values in both are revised in place
when the source releases are revised.

## Attribution

If you quote these figures, please attribute to US Data Box (https://usdatabox.com) and note the
"as of" date — the series is revised when the source releases are revised.