Macro Regime Score Holds Neutral as Volatility and Liquidity Weigh

Overview The macro regime score moved down 0.0899 from the previous day to a Neutral level (essentially zero, no directional conviction) with a high-conviction reading, indicating that the neutral score is stable.

Macro Regime

• The volatility factor is -0.1455, representing the largest negative contribution.
• Liquidity contributes -0.0803.
• Risk appetite contributes -0.0518.
• Growth adds +0.0791, the only positive factor.
• BIS systemic-risk percentages remain elevated in Australia (20 %), Brazil (29 %), Canada (25 %) and France (21 %). Japan is on watch with a 6.8 % credit gap.

Key Risks

• Five going-concern filings (OLB, OBA, NWAX, NCPL, CSAI) each have a multiplier of 1.00, indicating acute solvency stress among smaller issuers. This stress could affect high-yield spreads if defaults increase.
• The SEC has proposed rules for crypto investment contracts. At the same time, 50 million USDC moved from Coinbase to an unidentified large holder, reducing immediately available exchange liquidity.

Market Context

• The Treasury yield curve is flat at +53 basis points, with the 10-year yield at 4.72 % and the 2-year yield at 4.19 %.
• Breakeven inflation, the market-based inflation expectation, is 2.30 %.
• The 30-year mortgage rate is 6.67 %.
• High-yield option-adjusted spread (OAS) is 270 basis points; investment-grade OAS is 81 basis points.
• The NFCI (National Financial Conditions Index) is -0.5490, indicating loose financial conditions.
• The Federal Reserve balance sheet totals 6,759,955 million dollars, with reverse-repo operations at 0.1550 trillion dollars.
• Initial jobless claims are 209,000; the University of Michigan consumer sentiment index is 49.50.
• Cryptocurrency prices: Bitcoin 64,332, Ethereum 1,919, Solana 77.04.

Watch

• The Federal Open Market Committee (FOMC) minutes will be released at 18:00 UTC today. No prior forecast is available.
• The minutes may contain language on the future path of policy rates. Such language is relevant given the volatility factor at -0.1455, the risk-appetite factor at -0.0518, and the 10-year breakeven inflation rate of 2.30 %, which serves as an inflation reference point.

Correction (Phase 623, 2026-09-27): this note gave the Federal Reserve's overnight reverse repo (ON RRP) usage as 0.1550 trillion. The source series, FRED RRPONTSYD, is published in billions of dollars, so the correct figure for this date is $155 million. The stated figure was 1,000 times too large.