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: Single Series

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

Description

Returns all the data and metadata for the given series. A hashed object is returned with a top-level key of the mnemonic.

KeyDescription
timeseriescontains each of the series of data points associated with this mnemonic. Each series is keyed by its subseries name.
metadatacontains a full hash of all series information associated with this mnemonic.

Parameters

  • mnemonic - The unique identifier for the series for which you want to retrieve data. This parameter is required.
  • 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:
    ValueDescription
    ACalendar Year End
    ASCalendar Year Start
    DDaily
    MCalendar Month End
    MSCalendar Month Start
    WWeekly (Sunday Start)
    BBusiness Day (Weekday)
    BMBusiness Month End
    BMSBusiness Month Start
    QQuarter End
    BQBusiness Quarter End
    QSQuarter Start
    BQSBusiness Quarter Start
    BABusiness Year End
    BASBusiness 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:
    ValueDescription
    firstFirst Value of the Period
    lastLast Value of the Period
    meanMean Value for the Period
    medianMedian Value for the Period
    sumSum 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:
    ValueDescription
    dateReturned as a string in the format: YYYY-MM-DD
    msReturned as an integer of the number of milliseconds since epoch (1970-01-01)

Examples

Call:
https://data.financialresearch.gov/v1/series/full?mnemonic=repo-dvp_ar_le30-P
Output:
{
  "REPO-DVP_AR_LE30-P": {
    "timeseries": {
      "aggregation": [
        [
          "2019-10-21",
          1.9
        ],
        [
          "2019-10-22",
          1.93
        ],
        [
          "2019-10-23",
          1.93
        ],
        [
          "2019-10-24",
          1.96
        ],
      ...
      "disclosure_edits": [
        [
          "2019-12-26",
          null
        ],
        [
          "2019-12-30",
          null
        ],
      ...
      "metadata": {
      "mnemonic": "REPO-DVP_AR_LE30-P",
      "description": {
        "vintage_approach": "Prototype",
        "vintage": "Prototype",
        "notes": "The interest rate information published in this release is provided for informational purposes only. In particular, the rate information is not administered to International Organization of Securities Commissions (IOSCO) standards and is not intended to be referenced in contracts. Missing values in this series represent observation periods in which either no trading took place or in which disclosure edits were applied to protect business-confidential information.",
        "name": "DVP Service Average Rate: Term, <=30 Days (Prototype)",
        "subsetting": "Tenor",
      ...
}
Call:
https://data.financialresearch.gov/v1/series/full?mnemonic=REPO-DVP_AR_G30-P&start_date=2020-02-01&end_date=2020-02-26
Output:
{
  "REPO-DVP_AR_G30-P": {
    "timeseries": {
      "aggregation": [
        [
          "2020-02-03",
          1.63
        ],
        [
          "2020-02-04",
          1.64
        ],
        [
          "2020-02-05",
          1.65
        ],
        [
          "2020-02-06",
          1.65
        ],
  ...
  "disclosure_edits": [
        [
          "2019-12-26",
          null
        ],
        [
          "2019-12-30",
          null
        ],
  ...
  "metadata": {
      "mnemonic": "REPO-DVP_AR_G30-P",
      "description": {
        "vintage_approach": "Prototype",
        "vintage": "Prototype",
  ...
}

Version

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

1.0