Data Indicators

WALCL — Federal Reserve Total Assets, weekly frequency.

US Treasury General Account (TGA) balance — daily Treasury cash balance, a core US dollar liquidity and market liquidity indicator.

RRPONTSYD — Overnight Reverse Repo balance (FRED). One of the three net-liquidity components (Fed balance sheet − TGA − ON RRP): cash parked here is sterilized out of the banking system, so a falling ON RRP balance releases liquidity back into reserves (supportive) while a rising balance absorbs it (tightening).

The spread between SOFR, the New York Fed's daily rate on overnight repo loans backed by Treasuries, and IORB, the rate the Fed pays banks on reserves. When reserves are ample, banks lend surplus reserves into repo whenever SOFR rises above IORB, so the spread stays at or below zero. A sustained positive spread means that arbitrage has run out: repo cash is scarce, a funding-stress signal (September 2019 is the textbook case). It is one of the DLI's funding-stress inputs.

Daily aggregate of accepted SRF operations from NY Fed.

FRED H.8 weekly: Cash Assets / Total Assets for commercial banks.

BAMLH0A0HYM2 — ICE BofA US High Yield Option-Adjusted Spread.

The extra yield investment-grade US corporate bonds pay over comparable Treasuries: the option-adjusted spread of the ICE BofA US Corporate Index. FRED publishes it as BAMLC0A0CM, daily on business days with roughly a one-business-day lag, the same cadence as the site's tracked hy-spread (BAMLH0A0HYM2). Read alone it only says whether IG borrowing costs are cheap or expensive. Charted against hy-spread, the gap between the two is the real signal: it shows whether credit stress is confined to junk-rated borrowers or has spread up into investment grade.

VIXCLS — S&P 500 implied volatility (CBOE).

DTWEXBGS — Nominal Broad U.S. Dollar Index.

DFII10 — 10-Year Treasury Inflation-Indexed Security.

The Effective Federal Funds Rate (EFFR) is the volume-weighted median rate on overnight unsecured fed funds loans, published by the New York Fed each business day. It shows where the market really clears, not the FOMC's announced target range (a band, not a single number) and not the interest rate on reserve balances (IORB). Because it moves with real transactions, it is the anchor other short-end rates get read against: comparing it with the 2-year Treasury yield shows whether the market is pricing rate cuts or hikes over roughly the next two years. No prints on weekends or federal holidays.

DGS1 — the 1-Year Treasury Constant Maturity Rate, interpolated daily from the Treasury's par yield curve (H.15 release). Published on business days only; no row on weekends or federal holidays. It is an interpolated par yield, not a directly traded spot rate, and it prices the market's expected average fed funds rate over the next 12 months — so it moves ahead of FOMC meetings as rate-cut or rate-hike odds get repriced, reacting faster to the near-term policy path than the 2-year (DGS2).

DGS2 — the 2-Year Treasury Constant Maturity Rate, published daily by the Treasury (business days only; no print on weekends or holidays), interpolated from the Treasury's daily par yield curve. It is the market's most direct read on the expected average federal funds rate over the next two years, so it moves faster and further than the 10-year on shifts in rate-cut or rate-hike expectations. The published value is not the quoted yield of one specific outstanding note — it is a curve-interpolated constant-maturity figure.

DGS10 — the 10-Year Treasury Constant Maturity Rate, the Treasury's benchmark nominal long-end yield, interpolated daily off the par yield curve. Updates business days only, published the same afternoon, not seasonally adjusted. This is the NOMINAL yield: distinct from this site's real-yield-10y indicator (DFII10, the TIPS-based real yield). Nominal minus real approximates the market's 10-year breakeven inflation rate.

THREEFYTP10 — the term premium on a 10-year zero-coupon Treasury, estimated with the Kim-Wright (2005) three-factor arbitrage-free term structure model and published by the Federal Reserve Board of Governors. This is a MODEL estimate, not an observed market yield: it splits the 10-year Treasury yield into the market's expected path of future short-term rates plus this residual, the extra compensation investors demand for holding duration risk. It is not the New York Fed's separate ACM term-premium estimate, which uses a different model and is not carried on FRED. Daily, back to 1990-01-02, not seasonally adjusted, and the latest print typically lags 2-5 business days.

Fed Total Assets − TGA − Reverse Repo. A composite measure of system liquidity.

WRESBAL — reserve balances held by depository institutions at the Federal Reserve, in trillions of USD. The raw cash level of the banking system, and the number market participants watch for "reserve scarcity" (the level fell from a ~$4.3T peak toward ~$3T as QT drained it). Display-only context, NOT in the DLI score: the headline tracks the net-liquidity FLOW (is liquidity being added or drained now), and reserves enter that flow via WALCL − TGA − ON RRP. The absolute level is shown here because it is the figure traders quote, while the reserve-buffer ratio normalizes it against bank assets. A reserve LEVEL was deliberately kept out of the score — it anti-tracks financial conditions in an ample regime.

Bank reserves plus ON RRP as a share of total commercial-bank assets — the banking system's cash cushion. It is scored in the DLI (Policy / Reserves tier), but only below 14%: there a draining net-liquidity flow counts for more (up to 2.5× at the 2019 repo-crisis floor of 8%; an injection is never scaled up), and a capped scarcity term adds tightness that cannot by itself push the score into the Tight zone. At 14% or above it has no effect on the score, and the raw level is never ranked as a percentile. A falling ratio (TGA refills, ON RRP exhausted, reserves sliding) means a thinner margin of safety even when the flow reads loose. It halved from ~26% (2021-22) to ~12% (2026).

WM2NS — US M2 Money Stock (weekly, not seasonally adjusted). Broad measure of the money supply including cash, checking deposits, and near-money.

Dollars that foreign central banks have drawn from the Fed through its liquidity swap lines, as reported weekly in the H.4.1 release (SWPT). The Fed hands over dollars against the partner's currency and the swap unwinds on a fixed date at the same exchange rate; the foreign central bank lends the dollars on to its banks. The ECB, BoJ, BoE, SNB and BoC hold standing lines. Balances near zero are normal. A sharp rise, as in 2008 and March 2020, means banks abroad need dollars the private market will not supply: a revealed offshore dollar shortage. Rising swap-line usage is one of the DLI's funding-stress inputs.

H41RESPPALGTRFNWW — the "Repurchase agreements: Foreign official" line of the Fed's H.4.1, which is where FIMA Repo Facility usage is reported. Foreign central banks and international monetary authorities holding accounts at the New York Fed pledge their US Treasuries overnight for dollars instead of selling those Treasuries outright. A non-zero print therefore means an official-sector dollar shortage that the private repo market did not absorb, and it also means someone chose not to dump Treasuries into the market — the reason the Fed built the facility in March 2020 and made it standing in July 2021. Usage peaked at $60B on 2023-03-22, the SVB / Credit Suisse week. Caveat that matters: this is a weekly Wednesday snapshot of an overnight facility, so draws taken and repaid between Wednesdays are invisible, and no daily series exists. Display-only context, NOT in the DLI score.

WLRRAFOIAL — the foreign repo pool: overnight reverse repurchase agreements the New York Fed runs for foreign official and international accounts, the same FIMA account holders who can borrow from the FIMA Repo Facility. This is the other direction. Foreign central banks park surplus dollar reserves here overnight at an administered rate instead of buying bills or leaving the cash with a commercial bank, which is why the pool is read as a gauge of how much of the world's official dollar reserves are sitting idle rather than being deployed. Cash in the pool is sterilized out of the private banking system exactly as ON RRP balances are, so a rising pool drains reserves even though nothing on the Fed's asset side changed. Read it alongside FIMA repo: the pool is where the official sector leaves dollars, FIMA repo is where it comes to get them. Weekly Wednesday snapshot. Display-only context, NOT in the DLI score.

DCPF3M − DTB3 — 90-day AA financial commercial paper rate minus 3-month Treasury Bill rate. The TED-style post-LIBOR funding-stress proxy: financial issuers include large US branches of foreign banks, so the spread carries a real offshore component. Widens at SVB-style stress events.

FDHBFIN — Federal debt held by foreign and international investors. Long-run reference for offshore demand for US dollar assets. Quarterly cadence and 1-2 quarter publication lag — context indicator, not a real-time stress signal.

ECBASSETSW — Eurosystem total assets, weekly, in millions of EUR. Aggregated as part of the global central-bank liquidity context; ECB and BoJ QE indirectly support USD-asset demand via FX-swap-funded purchases. EUR-denominated — reading USD-comparable values requires applying the prevailing EUR/USD spot, which we do not auto-convert.

JPNASSETS — Bank of Japan total assets, monthly, in billions of JPY. Tracks the world's most structurally USD-borrowing economy (Japanese lifers / banks fund US fixed-income via JPY/USD FX swaps). Monthly cadence — context indicator. JPY-denominated, no auto-currency-conversion.

Debt to the Penny — total public debt outstanding, published daily by the US Treasury. It is the sum of debt held by the public and intragovernmental holdings, so it is larger than the figure most deficit discussions use. Updated every business day with a two-to-four-day lag. A stock, not a flow: it is displayed as fiscal context and is not part of the DLI score.

MTSDS133FMS — the Monthly Treasury Statement bottom line. The sign is the source's: a NEGATIVE value is a deficit, a positive one a surplus. Single months say very little on their own, because the series is dominated by calendar effects — April usually posts a surplus on tax receipts, and a month whose first day falls on a weekend pulls benefit payments forward into the month before. Read the 12-month rolling sum, or compare a month with the same month a year earlier. Released about eight business days after month end.

A091RC1Q027SBEA — federal government current expenditures on interest, from the BEA national accounts. Quarterly, and reported at a seasonally adjusted ANNUAL rate: the latest print is the run-rate the government is paying per year, not what it paid in that quarter. This is gross accrued interest and runs above the Treasury's "net interest" outlay line, which nets out intragovernmental receipts. Published about a month after the quarter closes, then revised.

GFDEGDQ188S — total public debt as a percent of GDP. The standard way to compare a debt stock across eras, since it scales the number by the economy that has to carry it. Numerator is the same total the national-debt series shows, so it includes intragovernmental holdings and sits above the debt-held-by-the-public ratios the CBO usually quotes. The slowest series on this site: it is gated by the quarterly Financial Accounts release and normally runs one to two quarters behind.

MSPD Table 1 — Treasury bills (securities maturing in one year or less) as a share of total marketable Treasury debt outstanding, from the Treasury's Monthly Statement of the Public Debt. Treasury's own debt-management advisory committee (TBAC) has recommended keeping this share in a roughly 15–20% band; a higher share means more of the debt stock has to be rolled over in the near term, which raises how sensitive federal borrowing costs are to short-term rate moves and how much bill supply money-market funds have to absorb. Monthly and slow: the point is stamped at month-end and released around the 8th business day of the following month, so the latest stamp can be close to six weeks old before the next one lands. A forward-looking structural indicator, not a coincident one — it speaks to issuance plans, not to current funding stress.

The average interest rate Treasury reports each month on its marketable debt outstanding (bills, notes, bonds, TIPS and FRNs), from the Fiscal Data dataset "Average Interest Rates on U.S. Treasury Securities", with history back to January 2001. It is the rate the whole debt stock carries, not the rate on new issuance: it moves slowly because each month only the securities that mature are refinanced at current market yields. The gap between today's yields and this average is how far the interest bill still has to reprice; the panel below estimates it from the securities that actually mature in the next 12 months. TIPS enter at their real coupon, which pulls the average down. Monthly: the point is stamped at month-end, and the latest one can be more than five weeks old before the next lands. Display only: a stock-weighted average moves over years, not days, carries no coincident liquidity signal and never enters the DLI score.