Macro Regime Score Edges Up, Risk-Off Label Maintained

Overview The primary change from the previous day is a marginal increase in the macro regime score, up 0.0012. The label remains “Risk-Off” with high conviction.

Macro Regime The “Risk-Off” reading is driven most by the risk-appetite factor at -0.4800, the weakest component, followed by growth at -0.4670. Liquidity is at -0.1149 and volatility at -0.1645; both are negative but less so, indicating tightening conditions. The Chicago Fed NFCI (National Financial Conditions Index) is at -0.5580, which signals loose financial conditions. BIS (Bank for International Settlements) systemic-risk flags are elevated for Australia (debt service ratio 20%), Brazil (29%), Canada (25%) and France (21%), adding a structural layer to the cyclical risk-off signal.

Key Risks

• Unknown large holders moved 692 BTC ($55 M) and 506 BTC ($40 M) into the OKX exchange in the last 24 hours, a combined $95 M of exchange inflow that increases available spot supply.
• BIS-elevated debt service ratios in Australia, Brazil, Canada and France raise sensitivity to refinancing costs. High-yield OAS (option-adjusted spread) is at 265 bps and the 30-year mortgage rate is at 6.71%, keeping borrowing costs elevated.

Market Context

• The yield curve is positively sloped: 10-year Treasury at 4.77%, 2-year at 4.34%, slope at +43 bps.
• The 10-year breakeign inflation is 2.35%.
• Credit spreads are 265 bps for high-yield bonds and 81 bps for investment-grade bonds.
• Liquidity measures: NFCI at -0.5580, Fed balance-sheet WALCL (total assets and liabilities) at $6,737,204 million, reverse repo RRPONTSYD at $0.675 trillion, initial jobless claims at 206,000, and UMich (University of Michigan) consumer sentiment at 55.20.

Crypto Prices

• Bitcoin is $79,904 (up 0.36% over 24 h).
• Ethereum is $2,490 (up 1.47%).
• Solana is $103.34 (up 1.41%).

Watch The next scheduled event in the 48-hour window is the Westpac Consumer Confidence Change for Australia, due 2026-09-08 at 00:30 UTC, with a prior reading of 6.0 and no forecast. A print below 6.0 is associated with domestic stress implied by Australia’s elevated BIS debt service ratio of 20% and the “Risk-Off” regime. A stable or higher reading is associated with a challenge to that systemic-risk flag and indicates that the Australian consumer is holding up despite the “Risk-Off” label and the 20% debt service ratio.

Correction (Phase 623, 2026-09-27): this note gave the Federal Reserve's overnight reverse repo (ON RRP) usage as $0.675 trillion. The source series, FRED RRPONTSYD, is published in billions of dollars, so the correct figure for this date is $675 million. The stated figure was 1,000 times too large.