Macro / Liquidity

Size and stress in the repo financing market — a gauge of short-term funding supply and demand

Short-end benchmark rates like SOFR and their spreads — reflecting overnight funding costs and market tiering

Usage of Fed facilities like ON RRP and SRF — showing whether reserves are abundant or scarce

Volume of Treasury settlement fails — an early-warning signal of liquidity stress or securities scarcity

Demand strength and tail risk in Treasury auctions — assessing the market's capacity to absorb new supply

Fed's SOMA portfolio size — tracking how QT/QE affects market liquidity

Primary dealer net inventory — reflecting market-makers' risk appetite and market depth

Treasury trading volume and liquidity — measuring secondary market activity and price discovery efficiency

Dealer concentration — showing whether a handful of firms dominate trading, which affects liquidity resilience

Market-implied policy rate expectations — reflecting investors' pricing of the Fed's next moves