Basis trade is a Tier 2 trigger at prior 0.12, status quiet. sofrrate.com (aggregating Federal Reserve Bank of New York data) (2026-05-26) reports SOFR at 3.55% as of May 22, 2026; the framework's threshold requires SOFR-IORB to exceed 25 bps. The position de-loads when the spread falls persistently short of that threshold under stable money-market conditions.
Basis trade is a Tier 2 trigger at prior 0.12, status quiet. sofrrate.com (aggregating Federal Reserve Bank of New York data) (2026-05-26) reports SOFR at 3.55% as of May 22, 2026; the framework's threshold requires SOFR-IORB to exceed 25 bps. The position de-loads when the spread falls persistently short of that threshold under stable money-market conditions.
Federal Reserve PRATES JSON reports Value 3.65, ForDate 07/13/2026, EffectiveDate 12/11/2025, and LastUpdated 07/10/2026, providing the current IORB comparator for the operator threshold SOFR-IORB > 25 bps.
Value: 3.65; ForDate: 07/13/2026; EffectiveDate: 12/11/2025; LastUpdated: 07/10/2026
sofrrate.com (aggregating New York Federal Reserve data) reports SOFR at 3.55% for July 10, 2026. Against Federal Reserve Board PRATES IORB at 3.65, the operator threshold SOFR-IORB > 25 bps is not met.
The Secured Overnight Financing Rate (SOFR) is 3.55% for July 10, 2026, as published by the New York Federal Reserve.
Federal Reserve H.4.1 dated July 9, 2026 reports Wednesday July 8, 2026 balance-sheet entries in millions of dollars: repurchase agreements at 1, reverse repurchase agreements at 348,804, and other deposits held by depository institutions at 3,137,377. No SRF utilization figure is present in the fetched release.
Release Date: July 09, 2026; Millions of dollars; Wednesday Jul 8, 2026; Repurchase agreements 1; Reverse repurchase agreements 348,804; Other deposits held by depository institutions 3,137,377.
Federal Reserve FEDS note (Phillip J. Monin, June 22, 2026) quantifies aggregate basis trade volumes at approximately $830 billion in September 2025, close to doubling their peak from early 2020, and hedge fund repo cash borrowing at $3.0 trillion as of September 2025.
Hedge funds' repo cash borrowing has grown to $3.0 trillion as of September 2025. Aggregate basis trade volumes reached approximately $830 billion in September 2025, close to doubling their peak from early 2020.
Federal Reserve Bank of New York repo operations data reports operationDate 2026-06-12 with two overnight full-allotment repo windows. The quote states totalAmtSubmitted 0 and totalAmtAccepted 0 for both releaseTime 08:15 and releaseTime 13:30 at minimumBidRate 3.75.
operationDate: 2026-06-12; operationType: Repo; operationMethod: Full Allotment; term: Overnight; releaseTime: 08:15; totalAmtSubmitted: 0; totalAmtAccepted: 0; minimumBidRate: 3.75. operationDate: 2026-06-12; operationType: Repo; operationMethod: Full Allotment; term: Overnight; releaseTime: 13:30; totalAmtSubmitted: 0; totalAmtAccepted: 0; minimumBidRate: 3.75.
Federal Reserve Bank of New York repo operations data reports the June 11, 2026 morning overnight full-allotment repo window had totalAmtSubmitted 0 and totalAmtAccepted 0 at minimumBidRate 3.75. The row updates the SRF usage input for the basis trade trigger and does not show a utilization spike.
operationDate: 2026-06-11; operationType: Repo; operationMethod: Full Allotment; term: Overnight; releaseTime: 08:15; totalAmtSubmitted: 0; totalAmtAccepted: 0; minimumBidRate: 3.75.
Federal Reserve Bank of New York SOFR API reports effectiveDate 2026-06-11, type SOFR, percentRate 3.60, and volumeInBillions 3061. This updates the funding-spread input for the trigger threshold_definition SOFR-IORB > 25 bps.
effectiveDate: 2026-06-11; type: SOFR; percentRate: 3.60; percentPercentile1: 3.57; percentPercentile25: 3.58; percentPercentile75: 3.66; percentPercentile99: 3.70; volumeInBillions: 3061
Federal Reserve H.4.1 dated June 11, 2026 reports Wednesday Jun 10, 2026 balance-sheet entries in Millions of dollars. The quote contains Repurchase agreements 6 5, Reverse repurchase agreements 12 317,298, and Other deposits held by depository institutions 3,111,454.
Release Date: June 11, 2026; Millions of dollars; Wednesday Jun 10, 2026; Repurchase agreements 6 5; Reverse repurchase agreements 12 317,298; Other deposits held by depository institutions 3,111,454.
Federal Reserve Bank of New York SOFR API reports SOFR at 3.59 percent for effective date 2026-06-10, with volumeInBillions 3023. Against the Federal Reserve Board IORB value in the separate PRATES row, the operator threshold SOFR-IORB > 25 bps is not met.
effectiveDate: 2026-06-10; type: SOFR; percentRate: 3.59; percentPercentile1: 3.55; percentPercentile25: 3.57; percentPercentile75: 3.64; percentPercentile99: 3.67; volumeInBillions: 3023
Federal Reserve PRATES JSON reports the interest on reserve balances rate value at 3.65, with ForDate 06/11/2026 and LastUpdated 06/10/2026. This provides the current IORB comparator for the operator threshold SOFR-IORB > 25 bps.
Value: 3.65; ForDate: 06/11/2026; EffectiveDate: 12/11/2025; LastUpdated: 06/10/2026