OFR Short-term Funding Monitor - API

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.

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
  • 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.

1.0