2026-08-28

Overview The macro regime score increased from yesterday, keeping the label Risk-On with medium conviction. The move was driven by a strong risk appetite factor at +0.6222 and a positive volatility factor at +0.3613, while growth and liquidity factors remained negative. BIS systemic risk flags remain elevated in Australia, Brazil, Canada, and France. Macro Regime The Risk-On reading is carried by the risk appetite factor at +0.6222, the largest positive contributor, with volatility at +0.3613 adding support. Growth at -0.0404 and liquidity at -0.1017 are small drags. The Chicago Fed NFCI at -0.5660 confirms loose financial conditions. BIS debt service ratios are elevated in Australia at 20%, Brazil at 29%, Canada at 25%, and France at 21%. That combination can amplify volatility if the whale redeems or moves to sell. BIS elevated debt service ratios in Brazil at 29% and Canada at 25% mean those economies have less room to absorb higher funding costs, a channel that could tighten credit if the 10-year Treasury yield stays near 4.66%. Fed Chair Warsh speaks at 14:00 UTC alongside the Non Farm Payrolls annual revision, with the prior revision at -911.0. Market Context The 10-year Treasury yield sits at 4.66% against the 2-year at 4.19%, a +47bps slope. Breakeven inflation is 2.33% and the 30-year mortgage rate is 6.66%. High-yield spreads are 267bps and investment-grade 80bps. The Fed balance sheet is $6,730,912 million, reverse repo is $0.456 trillion, initial jobless claims are 203,000, and UMich consumer sentiment is 49.50. Bitcoin trades at $79,820, Ethereum at $2,500, and Solana at $107.22. Watch Watch the Fed Chair Warsh speech at 14:00 UTC, which lands with the Non Farm Payrolls annual revision (prior -911.0). A large downward revision or hawkish language would test the Risk-On regime's current risk appetite factor at +0.6222, while a benign revision and neutral tone would leave the risk appetite factor at +0.6222 as the dominant support.