Macro Board
A table of US rate spreads and levels from FRED, grouped by market, that marks the rows far from their five-year norm today.
What it answers
The Macro Board shows whether any US rate, spread or level is unusual today. It uses FRED series, grouped into the nine sections below. Each row is one rate, spread or level. Each section opens with a header row of scores for the whole section.
The sections, top to bottom:
- Funding: overnight rates against each other and against the rate the Fed pays on reserves, such as SOFR minus EFFR spread.
- Fed corridor: the position of overnight rates inside the Fed's target range, such as EFFR versus target range midpoint.
- Policy path: Treasury bill yields against EFFR, the rate change that bill yields price in, such as Policy path, 1 month. This section has no scores.
- Releases: monthly figures such as Consumer price index (CPI) and Nonfarm payroll employment, with their own columns. This section has no scores.
- SOFR trailing averages: the 30, 90 and 180-day SOFR averages against each other and against bill yields, such as SOFR 90-day minus 30-day average.
- Treasury curve: slopes and butterflies such as 2s10s Treasury curve slope (2s10s).
- Real & inflation: breakevens and TIPS slopes, such as 5-year breakeven inflation rate.
- Credit: corporate spreads, such as High-yield option-adjusted spread (HY OAS).
- Monetary plumbing: reserves, bills and repo, such as Reserve balances. The Monetary Plumbing widget shows this section in depth.
The measures page lists every row with its formula and how to read it.
How to read it
- 1The header row shows the section name, its scores and the date of its latest data. Each section has its own set of scores, listed below.
- 2The line labelled Read describes the section's data today in one sentence.
- 3A row with a z-score of 2 or more in size has a highlighted border.
- 4The z cell is the row's Five-year z-score (z): the number of standard deviations between today's value and the row's five-year mean.
- 5A row with too little history or no variation has no z-score. Its z, Pctile and Rev21 cells show a dash, and Last still shows a value.
The columns of a row, left to right:
- Last: today's value, in the row's own unit. Rates are in percent and spreads in percentage points, so 0.05 is 5 basis points. Dollar levels are in millions of dollars. Ratios are plain numbers to 3 significant figures. All other rows show 4 decimals.
- Δ1w: the One-week change (Δ1w).
- z: the Five-year z-score (z). A value of 1 or more takes one colour and a value of -1 or less another. Between -1 and 1, the colour fades.
- Pctile: the Percentile rank (Pctile): 0 at the row's low and 100 at its high.
- HL(d): the Half-life (HL): the number of observations for a gap from the mean to close by half. Daily rows count trading days, and weekly rows count releases. On a daily row, under 10 is fast and 250 or more indicates a regime. On a weekly row, the same cuts are 2 and 50.
- Rev21: the Expected 21-day reversion (Rev21). A daily row forecasts the next 21 trading days. A weekly row forecasts the next 4 weekly releases. A positive value means the row is below its long-run mean and the forecast is a rise. A negative value means the row is above its mean and the forecast is a fall. The cell fades when the forecast interval includes zero. Hover the cell to display the interval.
- Spark: the Sparkline (Spark). A gap in the line is a missing day. The Macro Board does not fill gaps.
Rows in a section are sorted by the size of z, largest first. Rows with no z are last. Rows in Releases keep their own order, and the section has its own columns: Month, Level, m/m, y/y, Published, Next and Age(d). Each change is in its series' unit: percent for price indexes, thousands of jobs for payrolls and percentage points for the unemployment rate.
Section scores
- Section stress score (Stress), 0 to 100: 50 is the five-year norm, and a higher value means more strain. Funding, Fed corridor, Credit and Monetary plumbing show it.
- Section dislocation (Dislocation), 0 to 100: how unusual the section is in either direction, against its own history.
- Section coherence (Coherence), 0 to 100: how far the active factors agree in direction. Only factors with a stress direction count. Such a factor is active when its z-score, signed so that higher means more strain, is 1 or more in size (Active factor count). With fewer than two active factors, the score is N/A. Hover the score to display the reason.
- Section model health (Model health), 0 to 100: how reliable the section's statistics are today. It measures the statistics only, so a section can show high stress and high model health at once.
- Section labels, each describing the state of one section. Fed corridor shows Corridor status (Corridor). SOFR trailing averages shows SOFR trailing-average configuration and SOFR trailing forecastability. Treasury curve shows Treasury curve regime and Section momentum. Credit also shows Section momentum. Real & inflation shows Inflation regime and Real yield curve regime. Credit adds Credit valuation asymmetry, a score from 0 to 100 that is high when spreads are near their lows. Monetary plumbing shows Funding anomaly.
No section score is a probability of a move or a trade signal. When a section has few active factors, each factor has a larger effect on its scores.
Update times
The Macro Board updates once a day before the open. FRED publishes each value one day after its date, so a section's date is usually one trading day older than the options data. Sections publish on different calendars. When a section's date is more than 5 days older than the Macro Board's date, the date is marked stale (Section staleness).
Controls
- Board and Ticker are in the header. Board shows the table. Ticker scrolls the same rows, with each column labelled inline, followed by each section's Read line.
- Speed is in the widget menu and appears only in Ticker mode. It sets the scroll speed to Slow, Med or Fast.
Neither control changes a value. The Macro Board has no symbol selector, and it covers the whole US rates market.
| Control | What it does |
|---|---|
| mode | Board or Ticker, table or scrolling tape |
| speed | Speed of the tape, in Ticker mode only |
Use it with
The Monetary Plumbing widget shows the Monetary plumbing section as factor cards, a reserves bridge and event studies.