2026-08-31

Macro Regime Risk appetite is the largest factor at +0.5941, offset by growth at -0.4598 and liquidity at -0.0863. Volatility contributes +0.2044. The Chicago Fed NFCI at -0.5660 confirms loose financial conditions. BIS systemic risk remains elevated in Australia, Brazil, Canada, and France, with debt service ratios of 20%, 29%, 25%, and 21% respectively. BIS elevated debt service ratios in Brazil at 29% and Canada at 25% transmit through higher sensitivity to the 10-year Treasury yield at 4.67% and the 30-year mortgage rate at 6.66%, tightening domestic credit conditions. Market Context The 10-year Treasury yield is 4.67% against a 2-year at 4.20%, leaving a +47bps curve slope. Breakeven inflation is 2.31% and the 30-year mortgage rate is 6.66%. High-yield spreads are 263bps and investment-grade 79bps. The Fed balance sheet stands at $6,730,912 million, reverse repo at $0.175 trillion, initial jobless claims at 203,000, and UMich sentiment at 55.20. Bitcoin trades at $78,063, down 0.26% over 24 hours, with Ethereum at $2,438 and Solana at $102.75. Watch The next 24 hours bring India GDP growth at 10:30 UTC (forecast 7.1, prior 7.8) and German preliminary CPI at 12:00 UTC (forecast 2.9, prior 2.8). The more important for global rates is the euro area flash CPI on September 1 at 09:00 UTC (forecast 3.2, prior 2.9), which will show whether the recent rise in the risk appetite factor can coexist with accelerating European inflation. A print above 3.2 would contradict the current Neutral regime's tolerance for loose financial conditions.