Macro Regime Shifts to Risk-Off Ahead of ISM Services PMI

Overview The macro-regime score decreased by 0.1376 from the previous day to a Risk-Off level with high conviction. The change was led by a growth factor of -0.7553 and a volatility factor of -0.6329. The upcoming release of the ISM Services PMI will be the immediate test of the growth component.

Macro Regime The Risk-Off reading is most strongly influenced by the growth factor at -0.7553, which is the largest negative contributor. The volatility factor at -0.6329 also moves in the same direction. Liquidity is recorded at -0.4197 and risk appetite at -0.2419, both negative but less extreme. BIS systemic risk remains elevated in Australia, Brazil, Canada, and France, with debt-service ratios of 20 %, 29 %, 25 %, and 21 % respectively. The elevated debt-service ratios in Brazil (29 %) and Canada (25 %) could create refinancing pressure if the 10-year Treasury yield stays near 4.79 %. A movement of 100 million USDC out of Coinbase to an unknown whale, together with a 74 million USDC inflow to Coinbase, occurs while high-yield OAS (option-adjusted spread) sits at 265 bps, linking stable-coin liquidity flows to credit-risk pricing.

Market Context

• 10-year Treasury yield: 4.79 %
• 2-year Treasury yield: 4.39 % (yield-curve slope of +40 bps)
• 10-year breakeven inflation rate: 2.34 % (market-based inflation expectation)
• 30-year mortgage rate: 6.66 %
• High-yield OAS: 265 bps
• Investment-grade OAS: 81 bps
• Chicago Fed NFCI (National Financial Conditions Index): -0.5580, indicating loose financial conditions
• Federal Reserve balance sheet: $6,730,912 million
• Reverse repo facility: $0.525 trillion
• Initial jobless claims: 203,000
• University of Michigan consumer sentiment index: 55.20

Cryptocurrency prices at the time of writing: Bitcoin $77,720, Ethereum $2,401, Solana $100.64.

Upcoming Data (Watch) The ISM Services PMI is scheduled for release today at 14:00 UTC. The market forecast is 54.3, with the prior reading at 54.1. A result below 54.1 would be consistent with the growth factor, while a result above 54.3 would be inconsistent with the current factor scores. Within the next 48 hours, U.S. non-farm payrolls are due on 2026-09-04 at 12:30 UTC. The forecast is 58.0 thousand jobs, compared with a prior change of -23.0 thousand. The ISM Services PMI remains the immediate calendar trigger for the current macro-regime assessment.

Correction (Phase 623, 2026-09-27): this note gave the Federal Reserve's overnight reverse repo (ON RRP) usage as $0.525 trillion. The source series, FRED RRPONTSYD, is published in billions of dollars, so the correct figure for this date is $525 million. The stated figure was 1,000 times too large.