Macro & Systemic Risk Desk
Real-time systemic liquidity tracking, central bank balance sheet plumbing, macro regime classification, and econometric recession probability forecasting. Powered by verified Tier-1 feeds from the Federal Reserve Board of Governors, St. Louis FRED, and NY Fed Open Market Operations.
Systemic Net Liquidity & Volatility Risk Terminal
Continuous institutional dollar liquidity tracking. Calculates the systemic Fed Net Liquidity formula (WALCL - TGA - RRP), momentum deltas, algorithmic regime verdicts, and cross-asset VIX/MOVE volatility disconnect metrics.
• Algorithmic Market Regime Verdicts (Expansion vs. QT Drain)
• Cross-Asset Volatility Disconnect Meter (VIX / MOVE Ratio)
• S&P 500 Equity Multiple Sensitivity Simulator
Live Macro Formula Workbench & Theory Tracker
Interactive financial mathematics playground. Run deterministic calculations for the Taylor Rule, Sahm Rule, Output Gap, Misery Index, and Beveridge Curve with live Federal Reserve and Treasury data hydration.
• Sahm Rule Recession Trigger Diagnostic
• Okun's Law Potential GDP Output Gap
• Arthur Okun Economic Misery Index
• Beveridge Curve Labor Market Tightness
Macro Regime & Portfolio Stress-Test
Four-quadrant macroeconomic regime classification (Bridgewater/Hedgeye framework) mapping Growth and Inflation vectors against dynamic multi-asset portfolio stress-testing.
• Multi-Asset Portfolio Allocation Sliders (Equities, Treasuries, TIPS, Gold, Cash)
• Regime-Specific Expected Annual Return & Max Drawdown Stress-Testing
• Historical Historical Shocks Replay (1970s Stagflation, 2008 GFC, 2020 Crash, 2022 Hike)
Yield Curve & Recession Probability (Estrella-Mishkin)
NY Fed econometric probit model estimating 12-month forward U.S. recession probability directly from the 10Y-3M Treasury spread with live Treasury curve hydration.
• Dual Benchmark: 10Y-3M (NY Fed) vs. 10Y-2Y (Market Standard)
• Historical Spread Thresholds (-150 to +300 bps)
• Regime Classification (Inverted, Flat, Normal, Steep)
Cross-Currency Basis Swap & Global Dollar Liquidity Tracker
Covered Interest Parity (CIP) monitor, synthetic USD borrowing cost analyzer, and global dollar funding strain radar. Quantifies the structural premium foreign institutions pay to borrow U.S. dollars via FX swap markets and tracks Federal Reserve swap line facilities.
• Synthetic vs. Cash USD Borrowing Differential Engine
• G10 FX Basis Benchmark Matrix (EUR, JPY, GBP, CHF, CAD, AUD)
• Global Dollar Funding Strain Index & Fed Swap Facility Radar
• Live SOFR & Benchmark Hydration (/data/macro_rates.json)
Central Bank Plumbing, Balance Sheet T-Accounts & Money Creation Simulator
The non-textbook institutional monetary plumbing framework. Interactive 4-balance-sheet T-accounts (Federal Reserve, U.S. Treasury, Commercial Banks, and Non-Banks), endogenous credit creation, TGA liquidity drain, and the ample reserves floor system.
• Endogenous Money Creation: Proof that Commercial Bank Loans Create Deposits
• Treasury General Account (TGA) Tax Drain & Fiscal Injections
• Fed Administered Rates Corridor HUD: IORB, ON RRP, SRF, SOFR & Discount Window
• Real-Time U.S. Dollar Net Liquidity (WALCL − TGA − ON RRP) & MCLOR Runway
Macro & Systemic Risk Desk Quantitative Architecture & Methodology
The Macro & Systemic Risk Desk analyzes macro monetary plumbing from the Federal Reserve's SOMA portfolio down to commercial bank reserves, money market funds, and cross-border currency basis swaps. These models isolate liquidity shocks from economic sentiment.
Core Mathematical Formulations
The foundational formula determining high-powered dollar liquidity available to primary dealers and capital asset balance sheets.
Calculates the normative optimal Federal Funds target rate based on core inflation deviations from the Fed's 2% target and the real GDP output gap.
Claudia Sahm's empirical early-warning recession indicator tracking the 3-month moving average of national unemployment against its 12-month low.
Quantifies cross-currency basis dislocations and the structural premium foreign institutions pay to borrow U.S. dollars synthetically in FX swap markets.
Target Institutional Audience & Applications
Chief investment officers aligning portfolio beta, duration, and equity allocations to Federal Reserve balance sheet expansion and contraction cycles.
Risk managers monitoring systemic stress, VIX/MOVE volatility disconnects, and Covered Interest Parity dislocations across G10 currencies.
Research analysts evaluating Taylor Rule policy gaps, output gap slack, and empirical recession probabilities via Treasury yield curve inversion signals.
Cross-Asset Concept Guides & Recommended Reading
Deconstructing SOMA securities, bank reserves, currency in circulation, and foreign repo.
Master framework linking WALCL, TGA, ON RRP, and equity risk multiples.
How money market funds and the ON RRP floor rate absorb excess non-bank cash.
Tax receipts, debt ceiling drains, and Treasury cash balance liquidity swings.