Short-term Funding Monitor - API Full Data Set

Short-term funding markets are the core of liquidity and maturity transformation in financial markets. They provide financing for financial institutions, serve as alternatives to deposits for cash investors, and can be used to obtain securities. However, as unavoidable consequences of their functions, these critical markets are vulnerable to disruptions. Problems faced by financial institutions or other parts of the financial system often appear as stresses in short-term funding markets. As part of the Office of Financial Research’s mission to promote and monitor financial stability, the OFR collects a variety of data on these markets. The Short-term Funding Monitor presents these data and places them in context with other data sources.

Due to changes in form N-MFP, repurchase agreement values displayed for FICC and other counterparties may not be displaying accurately. We are working to resolve the issue and regret any inconvenience this may cause.

Series Information & Data: All Series in Data Set

https://data.financialresearch.gov/v1/series/dataset

Description

Returns a hash of basic information and all the data for a specific dataset. If no specific dataset is given, then a hash containing only basic information about each data set is returned.

Parameters

dataset - The specific data set for which to return the underlying series information and data. Available data sets can be queried by the following keys:

Key	Data Set
mmf	OFR U.S. Money Market Fund Data Release
repo	OFR U.S. Repo Markets Data Release
fnyr	Federal Reserve Bank of New York Reference Rates
nypd	Federal Reserve Bank of New York Primary Dealer Statistics
tyld	Treasury Constant Maturity Rates

vintage - If the vintage isn’t specified then the whole datasets (preliminary, final, and "as of") will be returned. The valid values for this parameter are:

Value	Description
p	Preliminary
f	Final
a	As of

start_date - First date in "YYYY-MM-DD" format for which you want to receive data. If no start_date is given, "1901-01-01" is used.
end_date - Last date in "YYYY-MM-DD" format for which you want to receive data. If no end_date is given, today's date is used.

periodicity - Converts the series to the given periodicity. Available values are:

Value	Description
A	Calendar Year End
AS	Calendar Year Start
D	Daily
M	Calendar Month End
MS	Calendar Month Start
W	Weekly (Sunday Start)
B	Business Day (Weekday)
BM	Business Month End
BMS	Business Month Start
Q	Quarter End
BQ	Business Quarter End
QS	Quarter Start
BQS	Business Quarter Start
BA	Business Year End
BAS	Business Year Start

how - How to calculate the value for the given periodicity. By default the last value in that period is given. Available values are:

Value	Description
first	First Value of the Period
last	Last Value of the Period
mean	Mean Value for the Period
median	Median Value for the Period
sum	Sum of All Values in the Period

remove_nulls - If this parameter is set to "true" all nulls in the series will be removed.

time_format - The format for the dates in the series. By default they are returned as strings in the format: YYYY-MM-DD. Available values are:

Value	Description
date	Returned as a string in the format: YYYY-MM-DD
ms	Returned as an integer of the number of milliseconds since epoch (1970-01-01)

Examples

Call:

https://data.financialresearch.gov/v1/series/dataset

Output:

{
  "fnyr": {
    "long_name": "Federal Reserve Bank of New York Reference Rates",
    "short_name": "Reference Rates"
  },
  "repo": {
    "long_name": "OFR U.S. Repo Markets Data Release",
    "short_name": "U.S. Repo Markets"
  },
  "mmf": {
    "short_name": "U.S. Money Market Funds",
    "long_name": "OFR U.S. Money Market Fund Data Release"
  },
  "nypd": {
    "long_name": "Federal Reserve Bank of New York Primary Dealer Statistics",
    "short_name": "Primary Dealer Statistics"
  },
  "tyld": {
    "long_name": "Treasury Constant Maturity Rates",
    "short_name": "Treasury Constant Maturity Rates"
  }
}

Call:

https://data.financialresearch.gov/v1/series/dataset?dataset=tyld

Output:

{
  "short_name": "Treasury Constant Maturity Rates",
  "long_name": "Treasury Constant Maturity Rates",
  "timeseries": {
    "TYLDR-TCMR-10Yr-A": {
      "timeseries": {
        "aggregation": [
          [
            "1990-01-02",
            7.94
          ],
          [
            "1990-01-03",
            7.99
          ],
          [
            "1990-01-04",
            7.98
          ],
   ...
    "TYLDR-TCMR-1Mo-A": {
      "timeseries": {
        "aggregation": [
          [
            "2001-07-31",
            3.67
          ],
          [
            "2001-08-01",
            3.65
          ],
    ...
    "TYLDR-TCMR-3Mo-A": {
      "timeseries": {
        "aggregation": [
          [
            "1990-01-02",
            7.83
          ],
          [
            "1990-01-03",
            7.89
          ],
          [
            "1990-01-04",
            7.84
          ],
  ...
}

Version

This API endpoint is available in the following versions of the OFR API.