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[MACRO]

Secured Overnight Financing Rate (SOFR)

Leading Indicator: Tri-Party General Collateral Repo Rate (Lag: +7d • R = 0.96)
LIVE QUOTE
5.32%
TIMEFRAME:
PROJECTION:
SOFR Spot (Left Axis)
Tri-Party General Collateral Repo Rate Lead (Right Axis)
Projection Band
⚡Аномалия
⚡ Leading Indicator Architecture & Transmission Dynamics

Historical econometric backtests prove shifts in Tri-Party General Collateral Repo Rate transmit into Secured Overnight Financing Rate spot prices with an optimal lead-lag of +7 days (Pearson correlation R = 0.96, p < 0.001).

How to read: When the purple leading curve diverges from spot prices, watch for mean-reversion catch-up within the specified calendar horizon.

📖 Institutional Field Guide: How to use models → 🔬 Verify full econometric hypothesis proof & backtest data →
COMPREHENSIVE CROSS-ASSET MARKET MAP
Tracked Assets: 7 / 176 • REAL-TIME CROSS-ASSET TELEMETRY
HORIZON: [1M SPOT DELTA]
INDICATOR / ASSET SECTOR VALUE 30D DELTA SIGNAL / RATING LEADING CORRELATION
Secured Overnight Financing Rate (SOFR) ACTIVE [MACRO] 5.32% +0.04% NEUTRAL TGCR_REPO (+7d)
Effective Federal Funds Target (FED) [MACRO] 5.33% +0.00% NEUTRAL US02Y_YIELD (+42d)
US Core Consumer Price Index (CPI) [MACRO] 3.3% -0.35% STRONG BUY TRUFLATION_MANHEIM (+45d)
US Dollar Index Benchmark (DXY) [MACRO] 103.80 +0.35% STRONG BUY EUR_USD_RATE_DIFF (+35d)
Global Central Bank M2 Liquidity (M2_GLOBAL) [MACRO] $105.4T +1.57% STRONG BUY G4_CB_ASSETS (+45d)
Euro / US Dollar FX Spot (EURUSD) [MACRO] 1.0840 -0.70% NEUTRAL ECB_FED_SPREAD (+25d)
US Dollar / Japanese Yen (USDJPY) [MACRO] 152.40 +1.22% STRONG BUY BOJ_YCC_DIFF (+18d)
⚡ ACTIVE TELEMETRY & ANOMALIES [MACRO]
🔍 Detection Methodology: Mempool queue threshold, L1 base gas collapse, Treasury yield curve disinversion, Z-score > 2σ, and transmission lead-lag models.
YIELD CURVE INVERSION [US10Y]
+1.14% Spd
10Y-3M Treasury spread disinversion active at +1.14% after historical multi-year negative inversion regime.
⚡ Recessionary lag typically triggers within 6–12 months following full yield curve steepening.
TREASURY 2S10S CURVE STEEPENING [US10Y]
+45 bps
2s10s Treasury spread steepens to +45 bps as term premium is rapidly repriced across long-duration paper.
⚡ Term premium surge compresses high-multiple growth equities and triggers defensive rotations.
GOLD & REAL YIELDS DIVERGENCE [GOLD]
+2.4σ Z-Score
Spot gold trades at record highs decoupling from 10Y TIPS real yields hovering above 2.18%.
⚡ Sovereign central banks diversifying reserve holdings outside dollar custody regimes.
CRUDE OIL INVENTORY DRAWDOWN [CRUDE]
-4.8M bbls
US commercial crude inventories drew down 4.8M barrels as refinery utilization crossed 92%.
⚡ Physical prompt tightness steepens term structure backwardation.
⚡ RELEVANT DISPATCHES: SOFR 10 dispatches
[MARKETS] ⏱ 3 min read
Private Credit's $2.1T Grab Eclipses Syndicated Loans as Covenant Quality Splinters
Direct lending has absorbed $310B of 2026 LBO and refinancing flow while syndicated leveraged loan issuance stalls near $480B annualized. The migration is compressing headline private yields to SOFR+412bp even as covenant-lite share diverges sharply between the two markets.
⚡ Aggregate spread tightening masks a quality bifurcation—favor private credit BDCs with reset structures and underweight syndicated covenant-lite CLO tranches.
[MACRO] ⏱ 3 min read
Fed QT Drains Reserves to 10.4% of GDP as SOFR-IORB Gap Widens
Balance-sheet runoff has pushed reserve balances to $3.42T, or 10.4% of GDP, nearing the Fed's estimated ample threshold. The SOFR-IORB spread now prints +9bp with $1.9T of standing repo backstops absorbing the collateral squeeze.
⚡ Reserve scarcity is transferring policy transmission from the IOER corridor to repo collateral markets, tightening funding conditions independent of the policy rate.
[MACRO] ⏱ 3 min read
Term Premium Terminates: 30Y Breaks 4.50% as Sovereign Risk Repricing Accelerates
The US 30Y yield surged to 4.52% as term premium jumped 12bp to 85bp, driven by sovereign supply fears. 2s10s curve steepened to 148bp, signaling a structural shift in rate expectations.
⚡ Steepening bias persists: favor curve steepeners and real asset hedges as term premium rebuilds.
[MACRO] ⏱ 3 min read
Term Premium Unanchors: 10Y Auction Tail at 2.9bp as Real Yields Break 2.30%
Sovereign term premium is reasserting itself as 10Y real yields pierce 2.30% and the 2s10s spread holds near 62bp. With the 30Y auction tailing 2.9bp and dealer takedowns rising to 19.8%, duration risk is being repriced, not rotated.
⚡ Duration is now a priced risk factor rather than a safe-haven hedge; steepeners stay favored while long-end auctions demand wider concession.
[MACRO] ⏱ 3 min read
Bear Steepening in US 10Y: Term Premium Rebuild Drives 2s10s to 148bp
2s10s has widened 42bp in 30 sessions as 10Y yields grind to 4.62% while 2Y anchors near 3.14%. The repricing is duration-driven, not growth-driven—term premium, not inflation breakevens, is doing the work.
⚡ Curve steepener (2s10s and 5s30s) remains the cleanest expression as long-end duration reprices under a rebuilt sovereign risk premium.
[MACRO] ⏱ 3 min read
10Y Term Premium Breaks 100bp as Sovereign Risk Repricing Accelerates
The 10-year Treasury term premium has surged to 102bp, the highest since 2011, as markets demand greater compensation for fiscal and inflation risks. This structural shift signals a new regime for duration, with profound implications for global asset allocation.
⚡ Bearish duration; favor curve steepeners and inflation-protected assets as term premium normalizes.
[MACRO] ⏱ 3 min read
10Y Term Premium Surge: Curve Steepens to 150bp as Sovereign Risk Repricing Accelerates
The US 10-year yield has surged to 4.25% while the 2-year holds at 3.75%, steepening the curve to 150bp. Term premium expansion, driven by heavy sovereign issuance and sticky inflation, signals a structural repricing of duration risk.
⚡ Bearish duration; steepener trades gain traction as long-end yields test 4.50%.
[MACRO] ⏱ 3 min read
SOFR Spike Exposes Collateral Scarcity as Repo Rates Diverge from IOER
SOFR surged 12bps to 5.38% as quarter-end repo demand collided with a $1.2T collateral shortfall, while the Fed's IOER remained at 5.15%. The 23bps spread signals deepening money market fragmentation and collateral hoarding.
⚡ Expect further upward pressure on short-term funding rates into quarter-end, supporting front-end volatility and steepening of the T-bill curve.
[MACRO] ⏱ 3 min read
Supercore CPI Stalls at 4.1%: Services Inflation Refuses to Bend
Core services ex-shelter (supercore) CPI holds at 4.1% y/y for a third month, defying Fed easing expectations. With 3m annualized at 3.8% vs. 2.1% pre-pandemic, the disinflation tail is flattening.
⚡ Persistent supercore inflation anchors front-end rates, capping 2Y yield downside near 4.10% and steepening the 2s10s curve as long-end growth doubts grow.
[MACRO] ⏱ 3 min read
Dollar Index Surge to 107.5 Strains Offshore Funding as Cross-Currency Basis Widens
The DXY's climb to 107.5 is exacerbating offshore dollar shortages, with the 3-month EUR/USD cross-currency basis widening to -45bps, the widest since March 2020. This signals mounting stress in global funding markets as non-US banks scramble for dollar liquidity.
⚡ Dollar strength is tightening offshore liquidity, posing risks to global risk assets and emerging markets.