Monetary Plumbing

Three views of US money-market funding: eight factor cards, a reserves bridge with the Fed corridor, and studies of month ends and other events.

What it answers

Monetary Plumbing tracks US money-market funding. It follows bank reserves, the Treasury's cash account and the reverse repo facility. It also plots repo and funding rates against the Fed's target range. It has three views.

• Summary shows whether funding is under strain today, and in which factors.
• Drill-down shows what changed reserves, and the position of overnight rates in the Fed corridor.
• Research shows the usual effect of month ends, quarter ends, tax dates and other events on a funding rate.

Monetary Plumbing has no symbol selector. It shows the Monetary plumbing section of the Macro Board in depth.

How to read it

1. 1The banner shows the Funding anomaly, then the section's one-line summary. The chips below the banner classify the statement in the summary. Hover a chip to display its meaning.
2. 2Eight cards, one per factor. The order is fixed: Reserve scarcity, Collateral pressure, CP funding stress, Bill cheapness, Bill curve, Secured funding, Unsecured funding and Corridor implementation.
3. 3A card's sentence states the factor's condition and ends with its Factor z-score, such as "(+1.31 vs 5y norm)". The chip shows the same score, signed so that higher means more stress. Below the chip, the card lists the three members furthest from their norms, a sparkline and a freshness label.
4. 4The key rows table groups rows as Plumbing, Corridor, Funding, and Levels & volumes. Its columns are the Macro Board columns.
5. 5The bridge splits the Change in reserve balances into its drivers over the selected window. Bars that add to reserves take one colour, and bars that drain reserves take another.
6. 6The levels chart plots Reserve balances, the Treasury General Account, Reverse repo take-up and Fed total assets, in millions of dollars.
7. 7The corridor chart shades the Fed's target range, in percent. Dashed lines plot the rate on reserves and the reverse repo rate. Solid lines plot EFFR, OBFR, SOFR and TGCR.
8. 8The strip below the corridor chart lists the corridor and funding spreads from the key rows table, with the same columns.
9. 9The path chart plots the Average event path from 10 open market days before the event to 10 after. It shows the mean, the median as a dashed line, and a shaded band from the 25th to the 75th percentile.
10. 10The effects table lists every series studied for the event type, five open market days after the event. Its columns are the Mean event effect, the Median event effect, the Hit rate and the Event count.
11. 11When the selected series has no path for the event type, a sentence with the series name replaces the path chart. The effects table is still displayed.

Card states

Each card's state comes from its factor z-score:

• Quiet: 0.75 or less in size.
• Weak: between 0.75 and 1 in size.
• Elevated: +1 or more on the stress side.
• Easing: -1 or less.
• Degraded: too little data in this run. The card shows no chip and no sparkline.

The chip takes one colour above zero and another below, and fades between -1 and +1. The freshness label shows the worst Row freshness among the card's members.

Reserves bridge

The reserves bridge uses one identity. The change in Fed assets, minus the changes in the TGA, reverse repo and the residual, equals the change in reserves. A rise in the TGA lowers reserves, so it is drawn as a draining bar.

Key rows and spreads

The key rows table and the strip use the Macro Board columns. They are One-week change (Δ1w), Five-year z-score (z), Percentile rank (Pctile), Half-life (HL), Expected 21-day reversion (Rev21) and Sparkline (Spark). Rows in each group are sorted by the size of z. A row with a z of 2 or more in size has a highlighted border. Dollar levels are shown as $T, $B or $M, and rates in percent.

Event studies

A vertical line on the path chart marks the event day. When today is within 2 open market days of an event of the selected type, a second line marks today's Event lag. The line label is that event's date. A hit rate near 100% means the move repeats almost every time. A hit rate near 50% means the direction is close to random.

Update times

The data updates once a day before the open. Reserves, the TGA and Fed assets publish weekly with Wednesday dates, so the bridge and the levels chart change once a week.

Controls

• View is in the header: Summary, Drill-down or Research.
• Event type is in the header in Research. Each chip shows its Event inventory count, such as Quarter end (33). A type with fewer than 8 events is greyed out and has no study.
• Series is in the widget menu in Research. It selects the series for the path chart. The effects table lists every series.
• Bridge window is in the widget menu in Drill-down: 1w, 4w, 13w or 52w.

Click a Summary card to open Drill-down. The Reserve scarcity card highlights the Bridge panel. Every other card highlights the Corridor panel.

Control	What it does
view	Summary, Drill-down or Research
bridgeWindow	Bridge window, 1w to 52w
eventType	Event type, with its event count
eventSeries	Series the path chart follows

Use it with

The Macro Board shows the Monetary plumbing scores beside funding, the Fed corridor, the curve and credit.