U.S. Treasury Market Research

Treasury Conditions Monitor

Weekly volatility and funding pressure in U.S. Treasury markets

Latest Completed Week
Static snapshot · manual refresh required for future updates
Instability Index
Constraint Index

How to Read This Monitor
Instability Reflects surface volatility in Treasury yields. Higher values mean yields are swinging more than usual over the prior 20 business days. Instability tends to produce visible spikes in the chart.
Constraint Reflects funding and intermediation pressure — the market's "plumbing." Constraint often matters through sustained elevation rather than sharp spikes, so it can be easy to underread on a shared axis.

When both axes rise together, conditions may be more strained. When instability rises without constraint, the week may reflect volatility without deeper funding stress. Conversely, elevated constraint without much surface volatility suggests underlying pressure despite quiet prices.

Trend History
Instability
Constraint
Optional normalized overlays (52-week z-score)

These overlays are standardized to compare shape against the main axes. They are interpretive only and do not affect the classifier.

Joint elevation — weeks where both indices are meaningfully raised
ⓘ

Reading the chart: Instability typically appears as sharper, more visible spikes. Constraint tends to matter more through sustained elevation and whether it rises alongside instability. The amber joint-elevation strip marks weeks where both dimensions were meaningfully raised. Shaded regions mark known episodes of market stress.

Latest overlay/context read
Carry overlay
Dealer positions
Treasury fails
SOMA lending
Repo activity

Interpretive only. Carry is the retained overlay; positions, fails, SOMA, and repo activity remain context-only signals.

Constraint — sustained elevation detail
Constraint (left axis)
Instability (right axis)

This lower view is scaled to make sustained constraint pressure easier to see. The main chart above remains the primary, scale-consistent view.

Project 2 Overlay & Context Layer

Secondary interpretive signals for funding, collateral, and settlement conditions. Not part of the locked baseline classifier.

What this adds: a secondary layer that helps describe funding/carry and plumbing texture around already-defined episodes.

What this does not do: it does not classify regimes, prove dealer losses, or change the baseline model.

How the displayed measures were judged in Project 2
Retained overlay QC only Context only Weak / limited
2y–BGCRMost useful of the new measures. Kept as a modest overlay because it adds funding/carry texture around some episodes, but not enough to become a classifier input.
2y–SOFRNear-duplicate of 2y–BGCR. Kept only as a QC / overlap check, not as separate evidence.
Dealer positions & Treasury failsHelpful as added context on balance-sheet use and settlement strain, but still not strong enough to reopen integration.
SOMA & repo activityUseful for collateral/plumbing texture and “non-calm” conditions. Not a proof of impaired stress on their own.
How to read the context chartsUse them to compare local departures from their own recent range. Raw upward drift alone is not a “stress” conclusion.
Carry overlay

2y–BGCR shown by default with a zero line. The QC comparator is hidden unless toggled on.

2y–BGCR (retained overlay) 2y–SOFR (QC only)
Latest carry QC off
Dealer Treasury positions

Aggregate dealer inventory context

Treasury fails

Settlement-strain context

SOMA lending

Collateral / plumbing activity

Repo activity

BGCR volume family

This overlay/context card follows the same range buttons as the main history chart. The carry panel stays in raw carry terms with a zero line; the context mini-panels default to normalized local deviations so structural trend does not dominate the read.

Data Downloads
↓ Full CSV ↓ Full JSON ↓ Latest Week JSON ↓ Overlay CSV ↓ Overlay JSON
Documentation

Interpretation rules, rebuild notes, caveats, and change history.

Methodology Limitations Changelog