2026-09-25

Overview The macro regime shifted lower by 0.1646 from yesterday to Neutral, essentially zero with no directional conviction. OSINT clusters note the Dow falling for three sessions, Treasury yields at a new high in over twenty years, and oil prices surging. Macro Regime The composite is driven by a volatility factor of -1.1436, the largest absolute contributor, which offsets a positive growth factor of +0.4331 and a positive risk appetite factor of +0.1413. The liquidity factor sits at -0.3893, adding a mild drag. BIS systemic risk remains elevated in Australia (DSR 20%), Brazil (29%), Canada (25%), and France (21%), with Japan on watch at a 16% DSR and a +6.8% gap. Key Risks High Treasury yields at 5.11% on the 10-year and a 7.03% mortgage rate raise financing costs for households and corporates, while high-yield spreads at 273bps add pressure on the weakest issuers. Market Context The 10-year Treasury yield is 5.11%, the 2-year is 4.85%, and the yield curve slope is +26bps. The 10-year breakeven inflation rate is 2.33%. High-yield OAS is 273bps and investment-grade OAS is 77bps. The Chicago Fed NFCI is -0.5550, indicating loose financial conditions, with the Fed balance sheet at $6,747,704M and reverse repo at $0.63T. Initial jobless claims are 197,000 and UMich consumer sentiment is 55.20. Bitcoin trades at $84,093 (-0.11% 24h), Ethereum at $2,676 (-0.46%), and Solana at $116.39 (+1.12%). Watch Durable Goods Orders MoM for the US is due 2026-09-25 at 12:30 UTC, with a forecast of -0.4 and a prior of 1.1. A print at or below forecast would confirm the liquidity factor drag and high-rate pressure on capital spending, while a positive surprise would contradict the neutral regime's softness and support the growth factor's +0.4331 reading.