2026-09-13

Overview The macro regime remains Risk-Off with high conviction, and the score moved further negative by 0.0271 since yesterday. This combination keeps defensive positioning in focus ahead of Monday's Canada inflation release. Macro Regime The growth factor at -0.7975 is the largest drag on the regime, with risk appetite at -0.5905 and volatility at -0.6299 also firmly negative. Liquidity at -0.2227 is less negative but still not supportive. BIS systemic risk remains elevated in Australia (20% DSR), Brazil (29%), Canada (25%), and France (21%), reinforcing the risk-off label. The transmission channel is potential rerouting and higher freight costs for energy and goods. Elevated household debt in Canada and Australia at 25% and 20% DSR leaves those economies sensitive to the 30-year mortgage rate of 6.76% if risk-off conditions tighten financial conditions further. Market Context The 10-year Treasury yield is 4.95% and the 2-year is 4.56%, leaving a yield curve slope of +39bps. The 10-year breakeven inflation rate is 2.36%. High-yield OAS is 270bps and investment-grade OAS is 80bps. The Chicago Fed NFCI is -0.5640, indicating loose financial conditions, while the DXY proxy sits at 118.07. Initial jobless claims are 206,000 and UMich consumer sentiment is 55.20, with the Fed balance sheet at $6,740,619 million and reverse repo at $5.2550 trillion. Bitcoin trades at $77,134, Ethereum at $2,513, and Solana at $101.25, all slightly lower over 24 hours. Watch Canada inflation rate YoY releases on 2026-09-14 at 12:30 UTC, with prior 3.0 and no forecast available. A print above 3.0 would reinforce the high-conviction risk-off macro impulse by pressuring rate expectations, while a softer print would challenge the negative growth and risk appetite factors currently dominating the regime.