Methodology

MarketPlumb aggregates publicly available market data to visualize the plumbing behind rates, liquidity, and credit. Indicators are interpretive and for informational purposes only.

Data Sources

  • SOFR (SOFR): New York Fed (secured overnight Treasury repo rate)
  • IORB (IORB): Board of Governors / FRED (interest on reserve balances)
  • Treasury Yields (DGS1MO...DGS30): FRED (U.S. constant maturity yields)
  • Inflation Expectations (T10YIE): FRED (10-year breakeven inflation)
  • Credit Stress (IG proxy) (BAA10Y): FRED (Moody's Baa yield minus 10-year Treasury)
  • U.S. Dollar (trade-weighted) (DTWEXAFEGS): Federal Reserve via FRED (advanced foreign economies)

Note: Most series are updated daily but not necessarily every calendar day (e.g., weekends/holidays). MarketPlumb displays the latest available observation.

Units & Conventions

Levels

  • Rates and yields: %
  • Rate differences / spreads: bp (basis points)
  • Dollar index: index level (no %)

Day-over-day changes

  • Metrics in % (e.g., 10Y Treasury): shown in pp (percentage points).
    Example: 4.24% → 4.26% = +0.02 pp.
  • Spreads in bp (e.g., SOFR − IORB): shown in bp.
    Example: 71 bp → 76 bp = +5 bp.
  • Conversion: 1 pp = 100 bp.

Key Metrics

Repo Stress (SOFR − IORB)

Definition: SOFR - IORB

When SOFR trades meaningfully above IORB, it can signal tighter funding conditions in the Treasury repo market—often reflecting increased demand for cash, balance sheet constraints, or reduced intermediation capacity.

Yield Curve & Slope (10Y − 2Y)

Yield Curve: Snapshot of Treasury yields across maturities (DGS1MO...DGS30).

Slope: DGS10 - DGS2. Negative values indicate an inverted curve, historically associated with elevated recession risk.

10Y Treasury (Nominal)

Reflects long-run growth expectations, inflation expectations, and term premium. Rising yields generally tighten financial conditions.

Real Rates & Breakevens

Breakeven (10Y): T10YIE — market-implied average inflation expectation.

Real Rate: Nominal 10Y - Breakeven. Rising real rates indicate a higher real cost of capital.

Credit Spreads (Baa vs 10Y)

Definition: BAA10Y — Moody's seasoned Baa yield relative to the 10-year Treasury.

Baa tends to be sensitive to early credit deterioration. Widening spreads indicate tightening credit conditions.

Trade-Weighted U.S. Dollar Index

Measures the dollar’s macro strength against major partners. This is the Fed's trade-weighted index (DTWEXAFEGS), not the ICE DXY.

How to Read This Dashboard

  • Repo Stress ↑ + Credit spreads ↑: Funding stress transmitting into credit.
  • Real rates ↑ + Dollar index ↓: Possible capital flow shifts or fiscal concerns.
  • Breakeven ↑ + Nominal ↑: Inflation expectations driving long rates.

Disclaimer

MarketPlumb is for informational purposes only and does not provide investment advice. Indicators are interpretive based on publicly available data and are not predictive of future performance.