Rate ComplexFed policy corridor, repo market, overnight funding
▼
Current Levels
| SOFR | 3.67% |
| EFFR | 3.64% |
| IORB (Reserve Floor) | 3.65% |
| SOFR / IORB Spread | +2.0 bps |
| O/N RRP Rate | 3.50% |
| O/N RRP Volume | $16.3B Alert |
| SRF Rate (Ceiling) | 3.75% |
| SRF Usage | $0.0B Normal |
| SOFR Term 1M | 3.67% |
| SOFR Term 3M | 3.67% |
| SOFR 30d Compound | 3.67% |
| SOFR 90d Compound | 3.73% |
| Discount Window Rate | 3.75% |
Treasury Yields
| 1M T-Bill | 3.67% |
| 3M T-Bill | 3.66% |
| 6M T-Bill | 3.62% |
| 2Y UST | 3.37% |
| 5Y UST | 3.50% |
| 10Y UST | 3.94% |
Rate Corridor — Daily (2-Year)
O/N RRP Outstanding ($B) — Daily
Yield Curve Snapshot — Treasury vs. FHLB Notes
Reserve SystemFed balance sheet, bank reserves, TGA — H.4.1 weekly
▼
Current Levels
| Bank Reserves | $2.97T Watch |
| Treasury General Acct (TGA) | $887.6B Alert |
| Fed Total Assets | $0.00T |
| Fed Treasury Holdings | $0.00T |
| Fed MBS Holdings | $0.00T |
| BTFP Outstanding (legacy)Closed Mar 2024 | — |
| Currency in Circulation | $2.4B |
| O/N RRP (Reserve View) | $0.0B |
Bank Reserves ($T) & TGA ($B) — H.4.1 Weekly Steps
Fed Balance Sheet — Total Assets ($T) & QT Rundown
Fed Holdings: Treasuries vs. MBS ($T)
Funding MarketsFHLB advances, commercial paper, MBS basis
▼
FHLB & Secured Funding
| FHLB 1M Advance Rate | 3.86% |
| FHLB 3M Advance Rate | 3.86% |
| FHLB LOC Rate | 3.87% |
| FHLB 1M / SOFR Spread | +0.190% |
Commercial Paper
| CP 3M Financial | 3.66% |
| CP / SOFR Spread | -1.0 bps |
MBS Basis
| MBS Current Coupon OAS | 13.9 bps |
| MBS Current Coupon I-Spread | 81.0 bps |
FHLB Advance Rates vs. SOFR — Daily
CP 3M Financial vs. SOFR — Daily
MBS OAS & I-Spread — Daily
Market StressVolatility, credit spreads, funding basis, cross-currency
▼
Volatility
| VIX | 19.86 Normal |
| VVIXVol-of-Vol | 110.9 Alert |
| MOVE | 73.38 Normal |
| SKEW | 146.67 Watch |
Credit Spreads
| US IG OAS | 120.4 bps Normal |
| US HY OAS | 365.0 bps |
| CDX IG 5Y | 56.0 bps |
| CDX HY 5Y | 332.0 bps |
Funding Stress
| FRA/OIS 3M | 3.7 bps Normal |
| EUR/USD xccy 3M | 0.4 bps Normal |
FX
| DXY Dollar Index | 97.61 |
| EUR/USD | 1.1812 |
| USD/CNY | 6.8624 |
VIX & MOVE — Daily
IG & HY OAS + CDX — Daily
FRA/OIS 3M & EUR xccy Basis — Daily
DXY Dollar Index — Daily
VVIX (Vol-of-Vol) — Daily
Macro & InflationTIPS breakevens, financial conditions, inflation expectations
▶
Inflation Expectations
| TIPS 5Y Breakeven | 2.45% |
| 5Y5Y Forward Inflation | 2.38% |
Financial Conditions
| US FCI (Bloomberg) | 0.504 Normal |
Auction Demand
| 3M T-Bill Bid/Cover | 3.30x |
TIPS 5Y & 5Y5Y Forward Inflation — Daily
US Financial Conditions Index — Daily (↑ = Tighter)
3M T-Bill Bid-to-Cover — Auction Demand
Shadow PlumbingStablecoins, MMF, BDC credit, leveraged loans, sector spreads
▶
Digital & Non-Bank Liquidity
| USDC Market Cap | $75.2B |
| USDT Market Cap | $183.5B |
| Total Stablecoin | $258.7B |
| MMF Total Assets | $7797B |
| Bank Deposits | $18778B |
Private Credit Stress
| Leveraged Loan Index | 7.79 |
| Energy HY OAS | 277.1 bps |
| Technology HY OAS | 560.8 bps |
MMF Assets & Bank Deposits ($B) — Daily
Stablecoin Market Cap ($B) — USDC + USDT
Energy & Technology HY OAS — Sector Stress
BDC Price / NAV Monitor
— proxy for private credit market stress
| BDC | Price | NAV/Share | P/NAV |
|---|---|---|---|
| ARCC | $18.62 | $19.94 | 0.93x |
| OBDC | $11.29 | $14.81 | 0.76x |
| FSK | $10.80 | $20.89 | 0.52x |
P/NAV <0.95 = Watch; <0.80 = Stress. FSK NAV may lag — verify with SEC filings.
Treasury Supply & DemandAuction scorecards, debt composition, issuance calendar
▼
Last Auction Scorecards A+→A-: Strong demand | B+→B-: Average | C+→C-: Weak demand
4W Bill
B-
Feb 26
3.625% · $105B
BTC 2.88x (-2.8%)
Tail 5.5bps
Indir 63% (+2pp)
Dlr 26% (-0pp)
Tail 5.5bps
Indir 63% (+2pp)
Dlr 26% (-0pp)
8W Bill
C+
Feb 26
3.630% · $95B
BTC 2.80x (-1.1%)
Tail 2.0bps
Indir 50% (-6pp)
Dlr 41% (+6pp)
Tail 2.0bps
Indir 50% (-6pp)
Dlr 41% (+6pp)
13W Bill
A
Feb 23
3.590% · $89B
BTC 3.30x (+17.4%)
Tail 3.5bps
Indir 63% (+10pp)
Dlr 23% (-10pp)
Tail 3.5bps
Indir 63% (+10pp)
Dlr 23% (-10pp)
26W Bill
B
Feb 23
3.525% · $77B
BTC 3.03x (+0.2%)
Tail 2.5bps
Indir 58% (-1pp)
Dlr 26% (+0pp)
Tail 2.5bps
Indir 58% (-1pp)
Dlr 26% (+0pp)
5Y Note
C+
Feb 25
3.615% · $70B
BTC 2.32x (-2.2%)
Tail 6.0bps
Indir 56% (-2pp)
Dlr 11% (+2pp)
Tail 6.0bps
Indir 56% (-2pp)
Dlr 11% (+2pp)
7Y Note
B-
Feb 26
3.790% · $44B
BTC 2.50x (-1.2%)
Tail 5.0bps
Indir 57% (-2pp)
Dlr 9% (-0pp)
Tail 5.0bps
Indir 57% (-2pp)
Dlr 9% (-0pp)
10Y Note
C+
Feb 11
4.177% · $42B
BTC 2.39x (-2.1%)
Tail 6.7bps
Indir 50% (-6pp)
Dlr 10% (-1pp)
Tail 6.7bps
Indir 50% (-6pp)
Dlr 10% (-1pp)
30Y Bond
A-
Feb 12
4.750% · $25B
BTC 2.66x (+10.3%)
Tail 3.2bps
Indir 54% (-2pp)
Dlr 5% (-8pp)
Tail 3.2bps
Indir 54% (-2pp)
Dlr 5% (-8pp)
Marketable Debt Composition as of Jan 2026
| Bills | $6.60T | 21.7% |
| Notes | $15.72T | 51.8% |
| Bonds | $5.27T | 17.4% |
| TIPS | $2.06T | 6.8% |
| FRNs | $0.70T | 2.3% |
| Total Marketable | $30.35T |
Source: Treasury MSPD · Bills share >20% of mkt = elevated rollover risk
Upcoming Auctions
| Date | Type | Term | Size |
|---|---|---|---|
| 2026-03-02 | 🟦 Bill | 26-Week ↻ | $77B |
| 2026-03-02 | 🟦 Bill | 13-Week ↻ | $89B |
| 2026-03-03 | 🟦 Bill | 6-Week ↻ | $90B |
| 2026-03-04 | 🟦 Bill | 17-Week | TBD |
| 2026-03-05 | 🟦 Bill | 8-Week ↻ | TBD |
| 2026-03-05 | 🟦 Bill | 4-Week ↻ | TBD |
| 2026-03-09 | 🟦 Bill | 26-Week | TBD |
| 2026-03-09 | 🟦 Bill | 13-Week ↻ | TBD |
| 2026-03-10 | 🟩 Note | 3-Year | TBD |
| 2026-03-10 | 🟦 Bill | 6-Week ↻ | TBD |
| 2026-03-11 | 🟩 Note | 9-Year 11-Month ↻ | TBD |
| 2026-03-12 | 🟧 Bond | 29-Year 11-Month ↻ | TBD |
↻ = Reopening of existing CUSIP
Scoring Methodology
| Bid-to-Cover vs. 12mo avg | ≥+7%=+2 · ≥+2%=+1 · ±2%=0 · ≤-5%=-2 |
| Yield Tail (bps) | <0.5=+2 · <1.5=+1 · <3.5=0 · <5.5=-1 · ≥5.5=-2 |
| Indirect Bidders vs. 12mo avg | ≥+5pp=+2 · ≥+2pp=+1 · ±2pp=0 · ≤-5pp=-2 |
| Primary Dealers vs. 12mo avg | ≤-5pp=+2 · ≥+5pp=-2 (inverted) |
Total score range: −8 to +8.
A+: ≥7 A: ≥5 A-: ≥3
B+: ≥1 B: ≥−1 B-: ≥−3
C+: ≥−5 C: ≥−7 C-: <−7
Indirect bidders = foreign central banks & custodians.
Primary dealers = forced absorption when end-users don't buy.
Bills use discount rate for tail; coupons use yield.
Total Debt Outstanding
| Total Debt Outstanding | $38.79T |
| Total Marketable | $30.35T |
Total & Held-by-Public Debt ($T) — Daily
10Y Note — Bid-to-Cover & Indirect Bidders (Last 16 Auctions)
30Y Bond — Bid-to-Cover & Indirect Bidders (Last 16 Auctions)
Treasury Auction CalendarUpcoming issuance — run fetch_external_data.py to refresh
▶
Treasury Auction Calendar Not Available
Run python fetch_external_data.py
from your CFP Macro Framework folder (requires internet access) to download the auction schedule.
Data source: TreasuryDirect API — api.treasurydirect.gov — no API key required
EWI Signal SummaryAll 14 monitored signals — current status & rationale
▼
| Signal | Current | Status | Threshold | Rationale |
|---|---|---|---|---|
| O/N RRP Volume | $16.3B | Alert | < $50B = ALERT, < $200B = WATCH | Near-zero RRP means excess reserves have drained; liquidity thinner |
| Bank Reserves | $2.97T | Watch | < $2.8T = ALERT, < $3.2T = WATCH | Reserves near 'ample' floor signal QT stress; Fed may pause |
| TGA Balance | $887.6B | Alert | > $700B = ALERT, > $400B = WATCH | High TGA drains reserves; drawdown injects — watch X-date dynamics |
| SRF Usage | $0.0B | Normal | > $0 = ALERT | Any SRF use signals banks can't fund overnight in open market |
| VIX | 19.86 | Normal | > 30 = ALERT, > 20 = WATCH | Equity implied vol measures broad risk appetite and dealer hedging |
| VVIX | 110.9 | Alert | > 105 = ALERT, > 80 = WATCH | Vol-of-vol spike → tail-hedging demand; precedes VIX spikes |
| MOVE | 73.38 | Normal | > 120 = ALERT, > 80 = WATCH | Rate market vol stresses ALCO repricing and MBS convexity hedging |
| SKEW | 146.67 | Watch | > 140 = WATCH | Elevated put skew = market pricing left-tail risk on rates/credit |
| IG OAS | 120.4 bps | Normal | > 200 = ALERT, > 130 = WATCH | IG spread widening precedes credit tightening and loan spread moves |
| FRA/OIS | 3.7 bps | Normal | > 30 bps = ALERT, > 15 bps = WATCH | Bank credit risk premium in unsecured funding; key stress thermometer |
| EUR xccy basis | 0.4 bps | Normal | < -35 bps = ALERT, < -20 bps = WATCH | Negative xccy = USD scarce offshore; dollar funding squeeze signal |
| US FCI | 0.50 | Normal | > 1.5 = ALERT, > 1.0 = WATCH | Bloomberg FCI aggregates rates, spreads, equities; rising = tighter |
| 10Y Auction Demand | C+ | Alert | C+/C/C- = ALERT, B- = WATCH | Scored: BTC vs avg, tail bps, indirect%, dealer%. Weak = fiscal stress |
| 30Y Auction Demand | A- | Normal | C+/C/C- = ALERT, B- = WATCH | Long-end demand; indirect decline signals reduced foreign appetite |
Overall: 4 ALERT | 2 WATCH | 8 Normal | Data through 2026-02-27