Sponsored repo (HF borrowing)
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Three absorption channels for US Treasury duration. Every figure on this dashboard comes from a primary public release with a regular schedule — no speech-derived numbers, no working-paper snapshots, no one-off pilots.
This is a companion to the essay The Dollar. The essay names the structural condition; the dashboard tracks its operational state.
Loading… · The Dollar (essay)
Public-data proxy for dollar funding stress. SOFR above IORB means the repo market is paying more than risk-free Fed deposits — liquidity is tightening. The cross-currency basis (Bloomberg-gated) is a more direct measure of foreign hedged-carry funding stress; SOFR−IORB is its public-data proxy. The Fed swap line outstanding (H.4.1 SWPT) sits alongside as the official-channel backstop indicator.
SOFR
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IORB
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Spread
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basis points
Fed swap line WEEKLY
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Sources: NY Fed SOFR (daily, ~8:00am ET) · Federal Reserve IORB (daily, 4:30pm ET) · Federal Reserve H.4.1 SWPT (weekly Thursdays). All via the FRED API.
Recent coupon auctions: Notes, Bonds, TIPS. Indirect = foreign + intermediated; Direct = domestic real-money; Dealer = primary dealer house account (high = soft demand). Tail = high-yield minus median yield in basis points (high = weak). The 30-year long end is where soft demand surfaces first.
| Date | Security | Size $b | BTC | Tail bp | Indir % | Dir % | Dlr % |
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Source: Treasury Securities Auctions Data · fiscaldata.treasury.gov · published in real-time per auction.
FICC Sponsored Service volumes — the financing leg of the basis trade. The aggregate repo and reverse repo tiles show net direction: hedge funds borrowing cash (repo) versus lending cash (reverse repo). The collateral composition tiles below split the same total by what's being financed: DVP (delivery-vs-payment, specific Treasury issues delivered) is the basis-trade signature — arb traders need a particular CUSIP. GC (general collateral, any eligible Treasury) is general leverage. When the DVP share rises, basis activity is being layered on; when it collapses, basis positions are unwinding even if aggregate volume holds steady.
Source: DTCC FICC Sponsored Membership Volume · dtcc.com/charts/membership · Daily business-day data, ~5 years of history. DVP/GC fields available from 2022 onwards. Rank is current observation in the trailing 120 business days (~24 weeks).
Net leveraged-fund position in CFTC-reportable Treasury futures, by tenor. Net %OI is long minus short, expressed as a percentage of total open interest (CFTC-published). Persistent large net short = the basis trade is sized up. WoW change is the net-position move week-over-week. Rank is current net %OI in the per-contract 24-month percentile distribution — both extremes flagged in red: bottom decile (rank ≤ 10) = most short, basis peak; top decile (rank ≥ 90) = least short, unwind from historical max.
| Contract | Long | Short | Net | Net %OI | WoW Δ | Rank | OI |
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Source: CFTC Traders in Financial Futures · publicreporting.cftc.gov · released Friday 3:30pm ET (data as of prior Tuesday). Six contracts: 2Y / 5Y / 10Y / Ultra 10Y / 30Y / Ultra Bond. 3-Year (Z3N) is not in TFF; 7-Year is part of the 10Y deliverable basket.
Channel 1 reads in two tempos. Flow tiles below show monthly net buying activity from the TIC press release — foreign investors splitting into private and official. Stock tiles show cumulative holdings from TIC Major Foreign Holders. The Rank column is the current observation in its own 24-month distribution — bottom decile = unusually heavy selling, top decile = unusually heavy buying. Rank discipline applies to MoM change for stock tiles and to the absolute monthly value for flow tiles.
| Country | Holdings | MoM Δ | YoY Δ | Rank |
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How foreign holders fund their dollar Treasury holdings. A European pension fund holding US Treasuries hedges via FX swap — short-maturity, off-balance-sheet. Total FX forwards-and-swaps notional outstanding sits at ~$130T globally; the financial-use slice (Other Financial Institutions counterparty) has tripled since the GFC trough — that is the slice that hedges Treasury holdings, and it broke in March 2020 and partially in April 2025. Same dealer banks make markets in FX swaps and hedge-fund repo, so Channel 3 stress propagates here through shared balance-sheet capacity.
Sources: Stock — TIC Major Foreign Holders (Table 5) · home.treasury.gov. Flow — TIC monthly press release Cross-Border Portfolio Financial Flows table · topic index. Both released monthly with ~6-week lag. Holdings on custodial basis — some positions may be held in third-country custody and not reflect ultimate beneficial ownership. FX-swap layer — BIS OTC derivatives statistics (Table D11.3, semi-annual May/November) · stats.bis.org. Net-net basis at full aggregation (publication convention for FX forwards-and-swaps).
The marginal Treasury buyer post-2012 is the leverage-funded basis trade. Channel 3 capacity is the binding constraint. The deposit-puzzle pattern below is the structural backdrop for that condition: when the Fed contracts but cross-border non-bank dollar deposits keep growing, hedge fund balance sheets are absorbing what the Fed released.
Cross-border USD bank deposits held by non-bank entities reached $7.31T at 2025-Q3, up roughly a quarter during QT while Fed assets contracted by roughly the same amount. Of the broader $18.66T cross-border USD bank liability stock that includes interbank positions, 78% sits at non-US-HQ banks (BIS LBS, parent-country basis — a different aggregation base from the headline figure, not its decomposition).
Sources: BIS Locational Banking Statistics (Table A1, quarterly, ~5-month lag) ·
stats.bis.org.
Federal Reserve total assets: H.4.1 release via FRED WALCL (weekly Thursdays).
Filter contracts: WS_LBS_D_PUB / Q.S.L.A.USD.A.5J.A.5A.N.5J.N (headline) ·
Q.S.L.A.USD.A.{5J,US}.A.5A.A.5J.N (parent split).
Phase 4.4 surfaces SOFR, IORB, H.4.1 SWPT, H.4.1 WALCL (Fed total assets), Treasury Auctions, CFTC TFF, TIC MFH, DTCC FICC Sponsored Repo with collateral-type decomposition (DVP/GC/share), TIC press-release monthly flows, BIS OTC FX forwards-and-swaps notional outstanding, and the BIS LBS deposit-puzzle headline plus parent-country annotation. The three-channel framework distinguishes specific-collateral (basis-trade) from general-collateral activity on Channel 3, has stock + flow + funding signals on Channel 1, and the dealer-bank shared-risk-budget transmission from Channel 3 to FX swaps is now diagnosable. Phase 4.4 added the deposit-puzzle tab that frames the dashboard's structural condition: when the Fed contracts but cross-border non-bank dollar deposits grow, hedge fund balance sheets are absorbing what the Fed released. Remaining additions: CIP basis (Phase 4.2.1), repo haircut and convenience yield (Phase 4.3), Pattern B bulk-download for WS_TC public-vs-private credit (Phase 4.5), and additional depth tiles including OFR HFM and Fed Z.1 (Phase 4.6).