Funding Microstructure: TGCR and CP Spreads as a Stress-Monitoring Framework, Q2 2026

Short-term funding conditions remain calm on the surface. This memo reconstructs the relevant market plumbing from Fed, NY Fed, Treasury, and dealer-facing primary sources and isolates the indicators — TGCR minus IORB, EFFR minus IORB, and the A2/P2 minus AA commercial-paper spread — that may warrant daily attention into Q3. No active stress signal is present; the framework specifies the joint conditions under which one would emerge.