# Daily Rates-Funding Routine — 5 min/day, single screen

**Created:** 2026-07-07 (Session 19, Block 012 carry-forward)
**Source:** User request — "add a daily routine for these rates to the obsidian deep folder, with some short interpretation guidelines as well as direct links to the relevant pages where I can find the latest rates for free" (Block 012 SOFR-OIS-repo mechanics)
**Status:** Active practice
**Companion to:** `daily-vol-routine.md` (Block 010) and `daily-mbs-routine.md` (Block 011). Run all three back-to-back — vol (5 min) → MBS (5 min) → rates-funding (5 min) — to keep the rhythm. Total 15 min for a full rates-microstructure + funding-layer read.

**Purpose:** A daily routine that turns the Block 012 SOFR-OIS-repo material into lived experience. Five minutes, one screen, five numbers, one exercise, one decision. Same time, same place, same sequence every day. The funding layer is the *plumbing* under every rates trade — it tells you what it actually costs to warehouse the position, and whether the bank-funding backdrop is calm or stressed. Most macro PMs use it as a *signal layer* (read on bank-funding stress, Fed balance-sheet pressure, term-premium dynamics) rather than trading the funding leg directly.

**Anchoring principle:** the bank-balance-sheet / funding-stress read lives in **EFFR − SOFR** (or BGCR−SOFR, TGCR−SOFR), not in Term SOFR-OIS. When the secured-vs-unsecured spread widens, term unsecured is pricing in risk; when it narrows, the system is calm. The MBS basis from Block 011 is funded in this layer — a stressed funding layer erodes carry on every spread trade.

**Naming convention (locked 2026-07-25, post-external-feedback audit):**
- **"SOFR-OIS basis"** = Term SOFR − compounded SOFR OIS. A fixing-convention basis (set-in-advance vs in-arrears). Low single-digit bp normally. Driver: convexity/timing/one-way hedging demand from Term SOFR loan books. NOT a credit or balance-sheet read.
- **"EFFR-SOFR basis"** = secured-vs-unsecured basis (or BGCR−SOFR, TGCR−SOFR). THIS is the bank-balance-sheet / funding-stress read. ±10bp normally, blows out at 2019-09, quarter-end, dealer-intermediation episodes.
- **"LIBOR-OIS basis"** = historical (pre-2023). Term-unsecured-bank-funding premium = tenor + credit. 30-50bp normal, 350bp 2008, 130bp March 2020. Calibrate historical magnitudes against this, not against any current product.

The deck had been using "SOFR-OIS basis" as the bank-funding-stress read; that's actually EFFR-SOFR. Naming corrected across Block 014 / Block 016 cards 2026-07-25.

**Key to abbreviations used in this document:**

| Abbrev | Full name | Notes |
|---|---|---|
| **SOFR** | Secured Overnight Financing Rate | Volume-weighted median of overnight Treasury repo; published NY Fed ~8am ET |
| **BGCR** | Broad General Collateral Rate | Tri-party + GCF, broader than TGCR but narrower than SOFR |
| **TGCR** | Tri-Party General Collateral Rate | Tri-party repo only, the narrowest of the three NY Fed rates |
| **OIS** | Overnight Index Swap | Fixed-for-floating on geometric-average overnight rate; the riskless discount curve |
| **GCF** | General Collateral Finance | DTCC-cleared repo, included in SOFR |
| **FICC** | Fixed Income Clearing Corporation | The DTCC subsidiary that clears repo and Treasuries |
| **SRP** | Standing Repo Facility | Fed facility (rate = bottom of corridor, currently IORB - 10bp) for primary dealers |
| **ON RRP** | Overnight Reverse Repurchase Facility | Fed facility that drains reserves; offering rate = bottom of effective FF range |
| **IORB** | Interest on Reserve Balances | Rate the Fed pays banks on reserves; top of FF range |
| **QT** | Quantitative Tightening | Fed balance-sheet runoff; affects reserve scarcity and repo rates |
| **DV01** | Dollar Value of a Basis Point | Per-$100-face price change for a 1bp yield move |
| **ARRC** | Alternative Reference Rates Committee | Fed-sponsored body that managed LIBOR→SOFR transition (closed 2023, work absorbed by internal Fed staff) |
| **RFR** | Risk-Free Rate | Generic term for post-LIBOR reference rates; SOFR is the USD RFR |
| **OFR** | Office of Financial Research | Treasury office that publishes Short-Term Funding Monitor; partners with NY Fed on SOFR |
| **Fed** | Federal Reserve System | The US central bank |
| **NY Fed** | Federal Reserve Bank of New York | Conducts open market operations; publishes SOFR; the operational arm of the FOMC |

---

## Tool stack (single source of truth)

All sources below are free, no institutional subscription required. Each data point has exactly one primary URL.

**Primary:** NY Fed Reference Rates — `https://www.newyorkfed.org/markets/reference-rates/sofr`
- **SOFR** (overnight, ~8am ET prior-business-day)
- **BGCR** (overnight tri-party + GCF)
- **TGCR** (overnight tri-party only)
- **SOFR 30/90/180-day compounded averages** (rolling averages — the cleanest "term SOFR proxy" without CME licensing)
- The reference page has a "Markets Data Dashboard" with all four series side-by-side
- Historical: downloadable CSV per series

**Primary:** FRED — `https://fred.stlouisfed.org/series/SOFR`
- `SOFR` (the headline)
- `SOFR30DAYAVG`, `SOFR90DAYAVG`, `SOFR180DAYAVG` (the compounded averages)
- `RRPONTSYD` (ON RRP volume) and `RRPONTSYOFFR` (ON RRP offering rate, 3.50% — the floor of the FF range)
- `IORB` (Interest on Reserve Balances) — the top of the FF range
- `DFF` (Daily Federal Funds Effective Rate) — the actual traded FF rate, between the floor and the ceiling

**Primary:** CME Term SOFR (view-only) — `https://www.cmegroup.com/market-data/cme-group-benchmark-administration/term-sofr.html`
- 1m / 3m / 6m / 12m forward-looking term SOFR
- Free to view, not downloadable without API license ($25/mo)
- Mirror at `https://www.global-rates.com/en/interest-rates/cme-term-sofr/` for current-day reading

**Primary:** DTCC GCF Repo Index — `https://www.dtcc.com/charts/dtcc-gcf-repo-index`
- Daily Treasury and MBS GCF repo rates
- Free, downloadable
- Also in the WSJ "Money Rates" table daily print

**Primary:** OFR Short-Term Funding Monitor — `https://www.financialresearch.gov/short-term-funding-monitor/datasets/repo/`
- Centrally cleared + tri-party repo rates and volumes, broken out by tenor and collateral
- Free, daily ~3pm ET, one-day lag on cleared, two-day lag on tri-party
- The most detailed free view of repo plumbing

**Secondary (corroboration):** WSJ Money Rates table — `https://www.wsj.com/market-data/bonds/money-rates`
- Daily print of SOFR, BGCR, DTCC GCF, DTCC MBS, FedFunds, OIS, repo specials
- Free-tier, paid tier for historical

**Tertiary (analytical):** St. Louis Fed FRED Blog / NY Fed Markets Group posts — irregular but free, context for big moves

**Write destination:** `01-journal/` daily-journal template. One line per day, same format every day. Append to the same line as the vol routine (vol first) and the MBS routine (vol + MBS already, now adding rates-funding):

```
2026-07-07 | ZN ATM 5.5% RR -0.3 BF 0.4 | CVOL 4.7 | FedWatch cut-by-Sep 35% | 30y PMMS 6.43% / 30y UST 4.97% / gross sprd 146bp / refi share 35% / current coupon ~5.58% | SOFR 5.32% / BGCR 5.31% / TGCR 5.30% / SOFR 90d avg 5.34% / 3m term SOFR 5.36% / DTCC Tsy GCF 5.31% / DTCC MBS GCF 5.40% / ON RRP take $0.4bn
```

If running a separate rates-funding-only line, use:
```
2026-07-07 | SOFR 5.32% | SOFR 90d avg 5.34% | 3m term SOFR 5.36% | DTCC Tsy GCF 5.31% | ON RRP vol $0.4bn
```

**Why this minute matters:** The act of writing is the recall. Anki covers recall over weeks; this covers recall over days. They're complementary, not redundant.

---

## The 5-minute routine

### Minute 0:00 — Read the secured-overnight stack (45 sec)
**Question:** Is the Treasury repo market trading tight or loose at the front end?
**Action:** NY Fed reference rates page. Read all four series: **SOFR, BGCR, TGCR, SOFR 30-day compounded average**. They should be tightly clustered (a few bp apart at most). If they diverge materially, there's a specific segment of the repo market under stress.
**Reference levels (recall):**
- Normal cluster width: SOFR, BGCR, TGCR all within 1-3bp of each other
- 30d compounded average tracks SOFR within 5bp in calm markets
- Diverging cluster (e.g., SOFR > TGCR by 5-10bp) → FICC-cleared bilateral is paying a premium → some kind of balance-sheet pressure at the dealer level
- Current 2026-07: ~5.32% SOFR, cluster tight
**State aloud:** "SOFR X, BGCR Y, TGCR Z, 30d avg W. Cluster width +V bp. [Tight / normal / diverging]."

### Minute 0:45 — Read the SOFR-OIS basis (60 sec)
**Question:** Is the term-unsecured bank-funding layer pricing in stress?
**Action:** Compare **3-month CME Term SOFR** (or SOFR 90-day compounded average if CME is gated) against SOFR. The gap is the term-tenor slice; compare to the **OIS fixed rate at 3m** (view via WSJ Money Rates or your broker screen — the "3m OIS" or "3m SOFR OIS" line). The full term-unsecured-credit read is `3m Term SOFR − 3m OIS`. The simpler read is `3m Term SOFR − SOFR` which is the term-tenor slice only (no credit, since both are ~zero credit).
**Reference levels (recall):**
- 3m Term SOFR − SOFR: normal 0-3bp (just the tenor slice)
- 3m Term SOFR − 3m OIS: normal 0-15bp (tenor + bank-funding stress premium)
- 3m Term SOFR − 3m OIS at 50-100bp: meaningful bank-funding stress
- 3m Term SOFR − 3m OIS at 200bp+ (2008: 350bp+, March 2020: 130bp+): full dash-for-cash
- Current 2026-07: SOFR 5.32%, 3m Term SOFR ~5.36%, 3m OIS ~5.34% → term-tenor 4bp, full basis 2bp — **calm**
**State aloud:** "3m term SOFR X, SOFR Y, term-tenor +Z bp, 3m OIS W, full basis +V bp. [Calm / mild stress / acute stress]."

### Minute 1:45 — Read the Fed balance-sheet pressure (45 sec)
**Question:** Is QT affecting the repo plumbing?
**Action:** Two reads. (1) **DTCC GCF Repo Index** for Treasuries — daily. (2) **ON RRP take** (FRED `RRPONTSYD`) — the volume parked at the Fed's overnight reverse repo facility. Two states:
- ON RRP take *high* (>$1T, 2022-2023 peak): system has excess cash, repo rates pinned to floor
- ON RRP take *near zero* (<$50bn, current 2026-07): reserves scarce, repo rates more sensitive to any shock
- DTCC Tsy GCF persistently *above* SOFR → repo specialness at the dealer level, often quarter-end / month-end / Treasury settlement dates
**Reference levels (recall):**
- ON RRP <$50bn: reserves ample-but-not-abundant, repo market fragile (current state)
- ON RRP $50-500bn: mid-cycle, normal
- ON RRP >$1T: system awash in cash, Fed has been actively draining
- DTCC Tsy GCF − SOFR: normal +0-2bp, specialness if +5-15bp
- Current 2026-07: ON RRP $0.4bn, DTCC Tsy GCF ~5.31% (~SOFR − 1bp) — **reserves scarce but stable, no specialness**
**State aloud:** "DTCC Tsy GCF X, SOFR Y, spread Z bp. ON RRP take $V bn. [Scarce / mid-cycle / abundant reserves]."

### Minute 2:30 — Cross-check the funding layer (45 sec)
**Question:** Does the rates-funding read confirm or contradict the rates curve / MBS read?
**Action:** Mental cross-check. Three lenses on the same rate environment:
- **Vol routine (Block 010):** ZN surface, RR/BF, FedWatch cut-probability
- **MBS routine (Block 011):** PMMS, gross spread, MBA refi, Fed MBS runoff
- **This routine:** SOFR-OIS basis, ON RRP, DTCC GCF, term SOFR
- If all three are saying "calm, no stress, term-premium contained" → coherent calm
- If this routine says "calm" but the vol routine says "rising vol, RR bid" → funding layer hasn't caught up to vol's read, may be a leading signal
- If this routine says "stress" (term SOFR-OIS widening) but vol is calm → funding layer is the leading edge, vol is lagging
**State aloud:** "Funding layer: [calm / mild stress / acute stress]. Cross-check vs vol: [confirming / diverging / lagging]."

### Minute 3:15 — Read the SRP / corridor posture (45 sec)
**Question:** Is the Fed's standing facility attracting any usage?
**Action:** NY Fed Standing Repo Facility (SRP) data — `https://www.newyorkfed.org/markets/domestic-market-operations/monetary-policy-implementation/standing-repo-facility`. The SRP rate is set at IORB − 10bp. Any non-trivial take at the SRP signals the primary dealers can't get repo elsewhere at a better rate — i.e., repo plumbing is squeezed.
**Reference levels (recall):**
- SRP take $0bn: calm, dealers well-funded, repo rates comfortably above SRP
- SRP take $1-10bn: minor plumbing tightness, normal at month-end / quarter-end
- SRP take >$50bn: acute repo squeeze, the Fed is backstopping the dealers
- The SRP existing at all (since 2021) is itself a *post-COVID* feature — created when the Fed worried about QT-velocity repo blowouts
- Cross-check ON RRP offering rate (3.50% currently) vs SOFR (5.32% currently) — the spread is 182bp, the corridor is wide and working as designed
**State aloud:** "SRP take $X bn. ON RRP rate Y, SOFR Z, corridor W bp. [Plumbing normal / minor tightness / acute squeeze]."

### Minute 4:00 — Write the number (60 sec) — NOT OPTIONAL
**Action:** One line in your daily log. Same format every day:
```
2026-07-07 | SOFR 5.32% | SOFR 90d avg 5.34% | 3m term SOFR 5.36% | DTCC Tsy GCF 5.31% | ON RRP vol $0.4bn
```
**Why this minute matters:** The act of writing is the recall. Anki covers recall over weeks; this covers recall over days. They're complementary, not redundant.

### Minute 4:30 — The exercise (60 sec, not optional)
**Question:** "If I had to express a view based on today's funding-layer signals, what would it be? And why would I NOT act on it?"

**Rotate through four daily exercises (don't always do the same):**

**Exercise A — The bank-funding stress read.** "3m term SOFR − 3m OIS is +V bp. The 2008 print was 350bp+, the March 2020 print was 130bp+, the current print is 2bp. If I'm watching for a regime shift in bank-funding stress, what change in this number would I need to see before acting? Where am I on the alert ladder?"

**Exercise B — The Fed balance-sheet read.** "ON RRP take is $X bn. Reserves are scarce (low RRP take) but plumbing is calm. If I have a view that QT is too aggressive, what's the funding-layer signal that confirms it? If I have a view that QT is fine, what's the signal that confirms it?"

**Exercise C — The basis-trade carry read (Block 011 hand-off).** "The MBS basis from yesterday's routine is +146bp gross, funded at ~term SOFR. If 3m term SOFR rises 25bp over the next month while gross basis holds, my carry erodes 25bp. Is that priced in? Where in the term SOFR − OIS read would I see that risk first?"

**Exercise D — The SRP / corridor read.** "SRP take is $X bn, ON RRP at 3.50%, IORB at 4.65%, SOFR at 5.32%. The corridor is wide and working. What would a corridor breach look like? (SOFR < SRP rate, or SOFR < ON RRP rate, would be signs of the floor failing.)"

**Decision rule:** If you can't articulate why you'd act AND why you wouldn't, you don't have a view. That's the answer. Most days, you don't have a view. The exercise is teaching you to recognize that.

### Minute 5:00 — Set the watch (15 sec)
**Action:** Look at the calendar. In the next 5 trading days, any of:
- **Treasury refunding announcement** (quarterly: Feb/May/Aug/Nov, ~Wed of week 2) — signals QT pace
- **FOMC meeting** (8x/year) — sets corridor rates, dot plot
- **Month-end / quarter-end** — repo specialness window, watch DTCC GCF spread to SOFR
- **Treasury settlement dates** — large Tsy issuance can temporarily drain reserves
- **SOFR Averages publication** (daily) — no event, just continuous
- **OFR Short-Term Funding Monitor** (daily ~3pm) — repo data lag, not event-driven

If yes, note it. The funding signal in the 2-3 days *before* an FOMC or refunding announcement is the signal to watch, not the signal on the day (which is already priced).

---

## What to skip (don't add to daily)

- **The full SOFR distribution (percentiles, volume-at-rate).** NY Fed publishes it but you only need the median. Daily depth is institutional.
- **SOFR futures (SR3, SR1) pricing.** That's Block 058 territory (Phase 2 instruments). Skip for daily purposes.
- **FRA-OIS or other basis structures.** Used for term-premium decomposition but free data sources are limited. Skip.
- **Tri-party repo volumes by collateral type.** OFR has it but it's a monthly/quarterly read, not daily.
- **Fed Funds volume detail.** The DFF rate is enough. Volume is institutional.
- **CD/CP/Bank deposit rates.** Related to bank-funding but at longer tenors and noisier free data. Skip.
- **Fed minutes / speeches.** They're a vol input (Block 010 routine), not a funding-layer read. Different lens.
- **CME Term SOFR API ($25/mo).** The view-only CME website covers daily use. Subscribe only if you trade term SOFR derivatives directly.
- **The full repo specialness table across CUSIPs.** That's Block 011 specified-pool territory. Skip for daily.

---

## The decision tree (the meta-routine)

After every reading, ask these four questions in order:

```
1. Is the secured-overnight stack (SOFR/BGCR/TGCR) tight or diverging?
   - Tight cluster (within 1-3bp): calm
   - Normal spread (3-5bp): some bilateral pressure, normal
   - Diverging (>5bp SOFR-TGCR): FICC-cleared bilateral paying premium, dealer balance-sheet stress

2. Is SOFR-OIS basis (3m Term SOFR − 3m OIS) calm or stressed?
   - 0-15bp: calm, normal
   - 15-50bp: mild bank-funding pressure, watch
   - 50-100bp: meaningful stress, vol should be bid
   - 100bp+: dash-for-cash territory, vol should be very bid

3. Is the Fed balance-sheet (ON RRP) tight or loose?
   - RRP near zero: reserves scarce, repo fragile to shocks
   - RRP $50-500bn: mid-cycle
   - RRP >$1T: system awash, repo pinned to floor

4. Is the SRP / corridor working?
   - SRP take $0bn: corridor working, dealers well-funded
   - SRP take $1-10bn: minor plumbing tightness (normal at month-end)
   - SRP take >$50bn: acute squeeze, Fed backstopping
```

If (1) and (2) and (4) all say calm, the funding layer is boring. If (2) widens while (1) and (4) are calm, watch for it to spread. If (4) lights up while (1) is calm, the Fed is backstopping a specific segment — informational but not systemic.

**The funding layer is the *plumbing*, not the trade.** Most days, it doesn't move. When it does move, the moves matter. The vol routine is the surface, the MBS routine is the household pulse, this routine is the bank-funding stress gauge. They tell you different things.

---

## Weekly extension (+5 min, run on Fridays)

After the daily routine, on Fridays add:

1. **SOFR Averages trend check (60 sec):** NY Fed SOFR 30/90/180-day compounded averages — note direction. Are they moving up or down? If the 30d is rising while the 180d is flat, the recent rate path is steeper — a leading indicator of term-premium dynamics.

2. **CME Term SOFR curve check (60 sec):** CME 1m / 3m / 6m / 12m — note the term curve shape. Inverted (front > back) → market expects rate cuts, consistent with Fed easing. Upward sloping → market expects hikes or holds with term premium. Compare to FedWatch (Block 010 routine) — should agree directionally. If they diverge, the term SOFR curve is pricing something FedWatch isn't (often technicals or supply-demand).

3. **Repo specialness window check (60 sec):** On month-end / quarter-end weeks, check DTCC Tsy GCF and DTCC MBS GCF for specialness. DTCC Tsy GCF − SOFR: positive spread = some collateral going on special. DTCC MBS GCF > DTCC Tsy GCF = agency MBS collateral is scarcer (relevant for the MBS basis from Block 011).

4. **Fed balance-sheet cumulative check (60 sec):** FRED `WTREGEN` (Total Reserve Balances) or `RESBALNS` (Reserve Balances) — month-over-month change. Note: "Reserves $X bn, down $Y bn this month, $Z bn YTD since QT start."

5. **Trade log link (60 sec):** If you took a position during the week that the funding-layer signal influenced, write the entry price, the funding-layer reading at entry, and the thesis. If you didn't, write "no trade — funding-layer was: [one sentence]." The exercise is *not* acting on a calm funding layer.

6. **Funding-layer move summary (60 sec):** Compare this Friday's numbers to last Friday's. Note moves: 3m term SOFR up/down X bp, ON RRP take up/down Y bn, DTCC GCF moved Z bp. This is the "what did the funding layer do this week" record. Over time, you build an instinct for which moves matter (regime shifts in bank-funding stress) and which are noise (week-to-week data jitter around a stable level).

---

## What this routine does for retention

- **5 minutes/day × ~250 trading days = ~21 hours/year** of deliberate practice on the funding-layer signal
- **Spaced across 4 distinct concepts:** secured-overnight stack, SOFR-OIS basis, Fed balance sheet, corridor mechanics
- **Written down daily:** look back at what you thought last week
- **Anki covers recall over weeks** (definitions, formulas, anti-patterns from Block 012)
- **Daily routine covers application over days** (reading live data, classifying regime, articulating a view)
- **You need both.** Recall without application is academic. Application without recall is unreliable.

## Practical notes

- **Set a daily reminder** for the same time every day. Variance is the enemy of routines. Suggest: do the vol routine (Block 010) first, then MBS (Block 011), then rates-funding (Block 012) — total 15 minutes, all three lenses covered.
- **Don't skip the write-the-number minute** even if "you'll remember." You won't.
- **Don't skip the exercise minute** even if "you don't have a view." Recognizing no-view is the practice. Most days the funding layer is calm; the practice is teaching you to notice when it isn't.
- **The 5-minute routine works in any market regime** — the numbers change, the questions don't.
- **If you miss a day, don't double up the next day.** Just resume. The point is the cumulative pattern, not daily perfect execution.
- **The 3m Term SOFR − 3m OIS spread is the single most important read.** If you only have time for one number, this is it. Free data via WSJ Money Rates table daily print, or via the CME view-only page.
- **When SOFR-OIS blows out, drop everything else and figure out why.** This is a rare event (last major: March 2020, March 2023 regional-bank stress). When the number moves 30bp+ in a day, the rest of the market reprices around it.

## Interpretation guidelines (quick reference)

**SOFR-OIS basis interpretation (the single most important read):**

| Spread (3m Term SOFR − 3m OIS) | Read | What it implies |
|---|---|---|
| 0-15bp | Calm | Normal bank-funding backdrop, no special stress |
| 15-50bp | Mild stress | Something is making banks cautious; check headlines (regional bank, sovereign event, year-end) |
| 50-100bp | Meaningful stress | Term unsecured is pricing in default risk; vol should be bid |
| 100-300bp | Severe stress | Dash-for-cash dynamic, Fed response likely |
| 300bp+ | Crisis | 2008 territory; Fed will act |

**ON RRP interpretation (the reserves-scarcity read):**

| ON RRP take | Read | What it implies |
|---|---|---|
| Near $0bn (current) | Reserves scarce | Repo fragile to shocks; small negative surprise can spike rates |
| $50-500bn | Mid-cycle | Normal operating range; system has cushion |
| $500bn-$1T | Abundant reserves | Repo rates pinned near floor; QT still draining effectively |
| >$1T (2022-2023 peak) | Excess cash | Fed actively draining, repo at floor |

**SRP take interpretation (the Fed-corridor read):**

| SRP take | Read | What it implies |
|---|---|---|
| $0bn | Calm | Dealers well-funded, no Fed backstop needed |
| $1-10bn (month-end) | Minor tightness | Normal at month/quarter-end |
| $10-50bn | Plumbing stress | Watch for spillover to wider repo |
| >$50bn | Acute squeeze | Fed is the marginal lender — informational about market dysfunction |

**DTCC GCF − SOFR interpretation (the dealer-balance-sheet read):**

| Spread | Read | What it implies |
|---|---|---|
| 0-2bp | Normal | Dealers balance sheets comfortable |
| 2-5bp | Mild tightness | Often quarter-end or large settlement |
| >5bp | Specialness emerging | Specific collateral scarcer than general; check if it persists >2 days |
| Persistent >10bp | Dealer balance-sheet stress | Vol surface should react |

---

## Cross-references

- Block 012 synthesis: `~/Obsidian-Macro/00-methodology/study-program/blocks/012-sofr-ois-repo-mechanics.md`
- Vol routine (Block 010): `~/Obsidian-Macro/03-research/deep/daily-vol-routine.md`
- MBS routine (Block 011): `~/Obsidian-Macro/03-research/deep/daily-mbs-routine.md`
- Risk framework v0.3 (sizing reference): `~/Obsidian-Macro/00-methodology/risk-framework.md`
- Pre-trade validation: process.md §4.5 reward:risk check (the funding-layer signal is a *confirmation layer*, not a *trade trigger* by itself)
- ARRC Closing Report (Block 012 pre-read): explains why SOFR replaced LIBOR and the spread-adjustment methodology
- Anki deck: `Macro Study::Phase 1 — Components::Rates` — Block 012 cards tagged `block-012 sofr ois repo fed-corridor` (pushed at block close)

## Source URL reference card (one page, all free)

| Data | URL | Free? | Cadence |
|---|---|---|---|
| SOFR / BGCR / TGCR / SOFR Averages | https://www.newyorkfed.org/markets/reference-rates/sofr | Yes | Daily ~8am ET |
| SOFR on FRED | https://fred.stlouisfed.org/series/SOFR | Yes | Daily |
| SOFR 30/90/180-day averages on FRED | https://fred.stlouisfed.org/series/SOFR30DAYAVG | Yes | Daily |
| ON RRP volume | https://fred.stlouisfed.org/series/RRPONTSYD | Yes | Daily |
| ON RRP offering rate | https://fred.stlouisfed.org/series/RRPONTSYOFFR | Yes | Daily |
| IORB (top of FF range) | https://fred.stlouisfed.org/series/IORB | Yes | Daily |
| Daily Fed Funds (DFF) | https://fred.stlouisfed.org/series/DFF | Yes | Daily |
| CME Term SOFR (1m/3m/6m/12m) | https://www.cmegroup.com/market-data/cme-group-benchmark-administration/term-sofr.html | Yes (view) | Daily ~5am CT |
| CME Term SOFR mirror | https://www.global-rates.com/en/interest-rates/cme-term-sofr/ | Yes | Daily |
| DTCC GCF Repo Index | https://www.dtcc.com/charts/dtcc-gcf-repo-index | Yes (download) | Daily |
| OFR Short-Term Funding Monitor | https://www.financialresearch.gov/short-term-funding-monitor/datasets/repo/ | Yes | Daily ~3pm ET |
| SRP operations | https://www.newyorkfed.org/markets/domestic-market-operations/monetary-policy-implementation/standing-repo-facility | Yes | Daily |
| WSJ Money Rates (corroboration) | https://www.wsj.com/market-data/bonds/money-rates | Yes (free tier) | Daily print |