RATES — Short-End / Repo / Fed Funds

NY Fed reference rates + funding microstructure spreads.

1. STEP 01 / 04

   Five reference rates

   SOFR (Treasury repo), EFFR (effective fed funds), OBFR (overnight bank funding), BGCR (broad general collateral), TGCR (tri-party). Each is the previous-day weighted-median print, published next morning by the New York Fed.

2. STEP 02 / 04

   Key stress spreads

   SOFR-EFFR widening > 5bp = repo-stress event (2019 Sep-19 spike, Mar-2020). BGCR-TGCR > 3bp = collateral-segmentation issues. OBFR-EFFR > 2bp = bank funding pressure. Spreads are the early-warning system; absolute levels are the lagging confirmation.

3. STEP 03 / 04

   SOFR averages strip

   30-day, 90-day, 180-day SOFR averages. Used as reference for variable-rate corporate debt + new-issue floaters. The 90-day average is the FRA-OIS proxy now that LIBOR is retired.

4. STEP 04 / 04

   When repo spikes, watch carefully

   Sustained SOFR-EFFR > 5bp historically precedes Fed standing-repo-facility activation, dealer balance-sheet constraints, and broader liquidity events. Day-of: pair with the yield curve and credit spreads to triangulate stress.

   PaletteGC

The official short-end reference rates published daily by the NY Fed Markets Data office. SOFR, EFFR, OBFR, BGCR, TGCR — the rates desk's daily reading on funding microstructure. Plus SOFR averages (30/90/180 day) and key stress-watch spreads.

• Palette: add shortrates, sofr, repo, fedfunds.
• Symbol-agnostic.

• SOFR — Secured Overnight Financing Rate. Volume-weighted median on overnight repo backed by Treasuries. The dollar-LIBOR replacement; benchmark for $4T+ of derivatives.
• EFFR — Effective Federal Funds Rate. Volume-weighted median on overnight unsecured fed-funds trades. Tracks the Fed's policy target.
• OBFR — Overnight Bank Funding Rate. Combines fed-funds + Eurodollars. Slightly broader than EFFR.
• BGCR — Broad General Collateral Repo. Volume-weighted median on bilateral GC repo. Captures dealer-balance-sheet funding cost.
• TGCR — Tri-Party General Collateral Repo. Volume-weighted median on tri-party GC repo. Cleaner / more standardized than bilateral.

• SOFR − EFFR — repo-vs-unsecured stress. Blow-out signals dealer-balance-sheet limits or Treasury supply pressure (quarter-end, large auctions).
• BGCR − TGCR — bilateral-vs-triparty stress. Bilateral repo prices in counterparty risk; tri-party doesn't. Widening = bilateral counterparties getting picky.
• OBFR − EFFR — bank-vs-fed-funds stress. Eurodollar segment vs domestic. Subtle but tracks USD funding pressure abroad.

Hero chip ranks the largest absolute spread across the three watch-spreads:

• CALM — all spreads < 3 bps. Funding is normal.
• WATCH — 3–10 bps. Worth checking what's causing it.
• ELEVATED — 10–25 bps. Meaningful stress; size positions accordingly.
• STRESS — 25 bps+. Material funding stress. Pre-2008-style or quarter-end repo squeeze territory.

Server queries markets.newyorkfed.org/api/rates/all/latest.jsonfor current rates and /api/rates/secured/sofrai/all/latest.jsonfor SOFR averages. Public API, no auth, gentle rate limits. 5-minute server cache — NY Fed publishes once daily ~8 AM ET, so faster polling is wasted.

• AUCTIONS — Treasury auction results pair with funding stress reads.