Treasury Market Monitor

SOFR-EFFR is -2.0 bps; upgrade funding to a market driver only if it persists and is confirmed by TGCR/BGCR, SRF/repo, or fails.

Dealer inventory is Extreme; it approaches balance-sheet constraint only when weak auctions, funding watch, or rising fails confirm it.

7-day supply is $276 billion; size alone is context, so watch whether demand metrics, dealer takedown, and post-auction performance weaken too.

Data mode is partial-live; mixed-frequency or stale inputs can provide context but should not upgrade confidence.

Funding Rate Stress is Normal, while Dealer Inventory is Extreme. Normal spreads with high inventory look more like warehousing/absorption; funding and fails need to worsen before calling balance-sheet constraint.

Auction Risk is High, and Dealer Inventory is Extreme. Both high create an absorption watch; without WI/post-auction or live dealer confirmation, confidence remains capped.

Repo financing is Elevated / High usage, and Fails Direction is stable / falling. High financing with stable fails points first to inventory/activity; financing, fails, and reference rates rising together look more like plumbing stress.

Policy Expectations Risk is Watch, while Auction Risk is High. If policy and supply pressure coexist, the long end needs confirmation from Macro Pricing.

Macro Pricing Signal is Watch, while Auction Risk is High. Alignment strengthens long-end pressure, but mixed daily/event/weekly horizons should lower same-day attribution strength.

Real Yield Pressure is Elevated, and Breakeven Pressure is Normal. This is nominal-real-breakeven decomposition; an inflation-shock label still needs CPI/PCE, commodities, or inflation-expectations confirmation.

Macro Pricing Signal is Watch, while Macro Conditions Signal is High. Alignment strengthens the yield story; divergence or frequency mismatch lowers confidence.

Financial Conditions Signal is Loose. NFCI/ANFCI are weekly context: loose conditions with pressured yields point more to supply/real yields than credit stress.

Wage Pressure Signal is Cooling, while Inflation Signal is High. Alignment supports higher-for-longer; wage data is monthly smoothed confirmation, not an intraday yield driver.