GLOSSARY · DIVERGENCE

FRFI

Fed Rate Fragility Index

DEFINITION

A composite index quantifying the gap between Fed dot plot guidance and market-implied rate paths. Higher scores indicate greater fragility — meaning the market and the Fed disagree more about the future path of interest rates, creating repricing risk.

Components & Weights

40%

Dot Plot Dispersion

Spread among individual FOMC members' rate projections. Wide dispersion = internal disagreement within the Fed itself.

35%

Market-vs-Fed Gap

Difference between Fed funds futures implied rate and the median dot plot projection. Large gaps precede volatility events.

25%

Forward Guidance Drift

Change in the median dot plot projection between consecutive FOMC meetings. Rapid drift signals shifting Fed reaction function.

Score Interpretation

Score Range Signal Interpretation
0–30 Low Fragility Market and Fed broadly aligned on rate path
30–60 Elevated Fragility Growing gap; watch for FOMC communication shifts
60–100 High Fragility Severe disconnect; rate volatility risk elevated

Related Terms

TYFI DCDI UFFI
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Fed dot plot data sourced from FOMC Summary of Economic Projections. Market-implied rates derived from publicly available Fed Funds futures settlement data. FRFI is an independent AhaSignals methodology. For research purposes only — not investment advice.