Dashboard Overview
WEEKLYWeekly Snapshot
● Net Liquidity at $5.77T — Inside the Transition Zone ($5.5-6.0T). RRP buffer depleted — TGA movements now drain NL dollar-for-dollar.
● Labour market mixed: Aug26 NFP solid at +162K. 3-month average +71K. UMich sentiment depressed at 55.2 (long-run avg ~77).
● 10Y at 5.1%, curve flat at 94bps (avg ~153). Credit spreads tight (IG 77bps, HY 273bps) — limited cushion if conditions deteriorate.
● Labour market mixed: Aug26 NFP solid at +162K. 3-month average +71K. UMich sentiment depressed at 55.2 (long-run avg ~77).
● 10Y at 5.1%, curve flat at 94bps (avg ~153). Credit spreads tight (IG 77bps, HY 273bps) — limited cushion if conditions deteriorate.
S&P 500
7,704
Sep 24, 2026
VIX
14.2
Elevated
Fed Funds
3.9%
Eff. Daily Rate
10Y UST
5.1%
Real 2.8% | BE 2.3%
Unemployment
4.1%
NFP +162K
CPI YoY
3.4%
Core 2.4%
Net Liquidity
$5.77T
Transition Zone
IG / HY Spread
77 / 273
bps OAS (tight)
Treasury Yield Curve
10Y-3M: 94bps (avg ~153bps)
As of Sep 25, 2026
Real GDP Growth (QoQ SAAR)
Latest: 2.1% (1Q26) | 4Q25 revised to 0.5%
BEA / JPM GTM p.18 — data as of Jun 30 2026
CPI Inflation (YoY)
Headline 3.4% | Core 2.4% | Feb 2026
BLS release Mar 12, 2026
Nonfarm Payrolls (MoM, K)
3mo avg: +71K
BLS release Mar 7, 2026
Net Liquidity Framework
WEEKLYNet Liquidity = Federal Reserve Balance Sheet (WALCL) − Treasury General Account (TGA) − Overnight Reverse Repo (RRP)
Net Liquidity
$5.77T
Transition Zone
WALCL
$6.75T
Fed Balance Sheet
TGA
$0.98T
Treasury Account
ON RRP
$461M
Near zero!
Net Liquidity vs S&P 500
FRED API data, weekly since January 2015
—— Net Liquidity (left, $T)
—— S&P 500 (right)
- - $6T supportive
- - $5.5T stress
As of Sep 25, 2026 (FRED Wednesday close)
Zone Assessment
Thresholds relative to Estimated Lowest Comfortable Level of Reserves (LCLoR)
Above $6.0T (Ample Reserves)
Broadly supportive of risk assets and smooth market functioning.
$5.5T - $6.0T (Transition Zone)
Liquidity cushion declining; heightened market sensitivity to Fed QT and TGA shifts.
Below $5.5T (Reserve Scarcity)
High risk of market stress, elevated funding costs, and asset drawdowns.
$5.77T. RRP buffer depleted — TGA movements now drain NL dollar-for-dollar.
Components (FRED API, Sep 23)
FRED series: WALCL, WTREGEN, RRPONTSYD
| Component | Millions | Trillions |
|---|---|---|
| WALCL (Fed BS) | 6,747,704 | $6.748T |
| TGA Balance | 977,084 | $0.977T |
| ON RRP | 461 | $0.000461T |
| Net Liquidity | 5,770,159 | $5.770T |
Near-zero RRP = structural shift. TGA increases now drain NL dollar-for-dollar with no buffer.
Early Warning Indicators
WEEKLYMoney Market Stress: SOFR − IORB Spread
Banking panic gauge: when reserves dry up, interbank borrowing costs surge above the Fed's IORB floor rate
SOFR
3.87%
Sep 23
IORB
3.90%
Fed floor rate
Spread
-3 bps
Safe
Below 0 bps: Ample Reserves (Healthy)
Banks are flush with cash. Market liquidity is robust and highly supportive of risk assets.
0 to +2 bps: Buffer Depleted (Caution)
Excess liquidity is drained. Markets become highly sensitive to Fed QT and Treasury issuance.
+3 to +5 bps: Funding Stress (Tight)
Interbank competition for cash increases. Upward momentum for equities is heavily constrained.
Above +5 bps: Reserve Scarcity (Critical)
Systemic funding stress. High risk of violent equity drawdowns and forced deleveraging.
FRED: SOFR, IORB | As of Sep 25, 2026
Liquidity Support Ratio: NL / S&P 500
Market foundation scanner: how many dollars of net liquidity underpin each index point
Current Ratio
0.80
Below -1σ!
All-Time Mean
1.41
Historical avg
-1σ Level
1.11
Warning threshold
Adaptive Z-Score
-1.42σ
Stressed (3yr window)
At 0.80, the ratio is deep in Critical territory (below 0.90). The S&P 500 has severely outrun its liquidity support.
Calculated: NL ($B) / S&P 500 index | As of Sep 25, 2026
NL/SPX Fixed Zones
All-time thresholds — how extreme is the ratio vs the full 10-year history
Above 1.60: Abundant Liquidity (Euphoria)
Excess cash easily justifies premium valuations. Broadly supportive of sustained rallies.
1.20 – 1.60: Healthy Range (Balanced)
Liquidity and valuations are well-aligned. Market direction is primarily driven by earnings.
1.00 – 1.20: Support Thinning (Caution)
Equities are outpacing liquidity creation. Further upside requires strong fundamental catalysts.
0.90 – 1.00: Overstretched (Fragile)
Below -1σ threshold. Minimal cash buffers leave markets highly vulnerable to macro shocks.
Below 0.90: Extreme Divergence (Critical)
Severe valuation imbalance. Acute risk of mean reversion and aggressive drawdowns.
NL/SPX Adaptive Z-Score
3-year rolling window — how extreme is the ratio vs the recent trend
Above +1.0σ: Liquidity Surplus
Ratio elevated vs recent trend. Liquidity tailwind supporting above-average equity returns.
-0.5 to +1.0σ: Normal Range
Ratio tracking recent trend. Market driven by fundamentals, not liquidity.
-1.0 to -0.5σ: Thinning
Ratio drifting below recent trend. Equities beginning to outpace liquidity creation.
-1.5 to -1.0σ: Stressed
Meaningful divergence from trend. Historically a contrarian zone — forward returns often positive.
Below -1.5σ: Extreme Stretch
Severe divergence from recent trend. High risk of mean reversion via equity correction or NL expansion.
Rates & Credit
WEEKLYFed Funds
3.9%
2Y
4.8%
10Y
5.1%
TIPS 2.8%
30Y
5.4%
IG OAS
77bps
Avg 145
HY OAS
273bps
Avg 500
Yield Curve
Slope: 94bps (avg ~153)
As of Sep 25, 2026
Rate Decomposition
| Rate | Value | FRED |
|---|---|---|
| Fed Funds | 3.88% | DFF |
| 2-Year | 4.85% | DGS2 |
| 5-Year | 4.99% | DGS5 |
| 10-Year | 5.11% | DGS10 |
| 30-Year | 5.40% | DGS30 |
| TIPS 10Y | 2.76% | DFII10 |
| Breakeven | 2.33% | T10YIE |
| 10Y-3M | 94bps | T10Y3M |
| 30Y Mortgage | 7.03% | MORTGAGE30US |
Fixed Income Detail
QUARTERLYFI Sector Yields & Returns (p.36)
| Sector | Yield | 2026 Ret | Maturity |
|---|---|---|---|
| 2Y UST | 4.14% | 0.53% | 2yr |
| 5Y UST | 4.19% | -0.28% | 5yr |
| 10Y UST | 4.44% | -0.14% | 10yr |
| 30Y UST | 4.91% | 0.74% | 30yr |
| U.S. Agg | 4.73% | 0.62% | 8.2yr |
| IG Corps | 5.20% | 0.86% | 10.5yr |
| U.S. HY | 7.16% | 1.96% | 4.8yr |
| Munis | 3.58% | 2.32% | 13.4yr |
| MBS | 4.97% | 0.99% | 7.2yr |
| Lev. Loans | 8.73% | 1.48% | 4.7yr |
FOMC June 2026 Projections (p.33)
FOMC YE '26: 3.80% | Market YE '26: 4.08% | Long-run: 3.10%
| Metric | 2026 | 2027 | 2028 | L.Run |
|---|---|---|---|---|
| Real GDP 4Q/4Q | 2.2 | 2.3 | 2.2 | 2.0 |
| Unemployment 4Q | 4.3 | 4.3 | 4.2 | 4.2 |
| Headline PCE | 3.6 | 2.3 | 2.0 | 2.0 |
| Core PCE | 3.3 | 2.5 | 2.1 |
Economy — FRED Data
WEEKLYGDP 1Q26
2.1%
SAAR
CPI
3.4%
Core 2.4%
PCE
3.7%
Core 3.3%
Unemp
4.1%
NFP
+162K
Claims
197K
Sentiment
55.2
UMich avg ~77
GDP Growth
Labor & Consumer
| Indicator | Value | FRED |
|---|---|---|
| Unemployment | 4.1% | UNRATE |
| NFP MoM | +162K | PAYEMS |
| Avg Hourly Earnings | $37.75 | CES05 |
| JOLTS Openings | 7,271K | JTSJOL |
| JOLTS Hires | 5,054K | JTSHIL |
| JOLTS Layoffs | 1,666K | JTSLDL |
| Init. Claims | 197K | ICSA |
| UMich Sentiment | 55.2 | UMCSENT |
| Debt Service % | 11.1% | TDSP |
| CC Delinquency | 2.9% | DRCCLACBS |
Economy — PDF Data
QUARTERLYHyperscaler CapEx ($bn) — p.24
GOOGL, AMZN, META, MSFT, ORCL
Tariffs on U.S. Imports — p.26
Eff. rate Jun 30 2026: 10.7% | Statutory inc. IEEPA: 15.9% | Peak Apr 8 2025: 30.0%
AI Adoption by Sector — p.25
% firms using AI, Jun 2026
Federal Budget — p.29
2026: $7.4T spending | Deficit $1,853bn (25%)
Spending
Social Security$1,666bn (22%)
Medicare$1,287bn (17%)
Net Interest$1,039bn (14%)
Non-def. Disc.$996bn (13%)
Defense$885bn (12%)
Medicaid$708bn (10%)
Revenue
Income Tax$2,751bn (37%)
Payroll Tax$1,826bn (25%)
Customs Duties$418bn (6%)
Corporate Tax$404bn (5%)
Net Debt/GDP: 99.4% | CBO projects 120.2% by 2036
Equities
QUARTERLYS&P 500
7,704
Fwd P/E
20.4x
30yr: 17.2x
CAPE
40.7x
Avg: 28.8x
EY Spread
-0.5%
Negative!
EPS '26F
$340
'27:$398 '28:$456
Margin
15.1%
2Q26F
EPS Growth — p.7
Mag 7 vs S&P 493 — p.10
Index Concentration — p.8
| Top 10 | Rest 490 | S&P 500 | |
|---|---|---|---|
| Fwd P/E | 21.6x | 19.6x | 20.4x |
| Avg P/E | 20.8x | 15.9x | 16.9x |
| Mkt Cap % | 37.9% | 62.1% | 100% |
| Earnings % | 33.7% | 66.3% | 100% |
Valuations — p.5
| Measure | Current | 30yr Avg | Signal |
|---|---|---|---|
| Forward P/E | 20.4x | 17.2x | At +1sd (20.5x) |
| CAPE | 40.7x | 28.8x | Elevated |
| Div Yield | 1.4% | 2.0% | Below avg |
| EY Spread | -0.5% | 0.7% | Negative! |
| Margin 2Q26F | 15.1% | ~10% | Record |
Annual Returns vs Drawdowns — p.17
Avg 14.2% intra-year drop, positive 35 of 46 years
Small / Mid / Large — p.14
| Metric | Large | Mid | Small |
|---|---|---|---|
| Fwd P/E | 20x | 18x | 26x |
| Int. Coverage | 8.9x | 4.1x | 1.3x |
| % Unprofitable | 5% | 15% | 43% |
| Down. Revisions | 1% | 3% | 21% |
| Analysts/Co | 26 | 19 | 7 |
43% small caps unprofitable vs 5% large. Interest coverage 1.3x vs 8.9x.
Sector Returns & Valuations — p.16
| Sector | Wt | YTD | P/E | Avg | Grth | DY | Beta | Fgn% |
|---|---|---|---|---|---|---|---|---|
| Energy | 3.0% | 19.7% | 12.5x | 13.9x | 20.2% | 3.1% | 1.0 | 36% |
| Materials | 1.8% | 12.0% | 17.4x | 15.8x | 22.9% | 1.6% | 1.0 | 51% |
| Financials | 11.8% | -1.2% | 15.0x | 13.0x | 10.7% | 2.0% | 1.0 | 28% |
| Industrials | 8.9% | 20.2% | 26.3x | 17.0x | 12.4% | 1.2% | 1.1 | 36% |
| Cons.Disc. | 9.3% | -0.8% | 26.0x | 20.8x | 13.4% | 2.0% | 1.2 | 35% |
| Tech | 38.0% | 19.8% | 23.3x | 18.8x | 39.8% | 0.6% | 1.2 | 54% |
| Comm.Svcs | 9.7% | 0.8% | 19.3x | 15.9x | 14.0% | 0.8% | 0.8 | 50% |
| Real Estate | 1.8% | 14.8% | 18.3x | 17.3x | 5.2% | 3.5% | 0.8 | 19% |
| Health Care | 8.9% | 3.5% | 18.3x | 15.1x | 11.0% | 2.0% | 0.7 | 32% |
| Staples | 4.6% | 8.0% | 21.7x | 18.0x | 6.5% | 2.6% | 0.5 | 40% |
| Utilities | 2.2% | 7.7% | 18.0x | 16.1x | 10.0% | 2.9% | 0.5 | 2% |
International & Global
QUARTERLYDXY
120.6
Trade-Weighted
US % ACWI
64%
vs 40% in 2010
Global Equity Returns (USD) — p.43
| Region | '26 YTD | 2025 | 15yr Ann |
|---|---|---|---|
| ACWI ex-US | 14.0% | 33.1% | 7.1% |
| EAFE | 9.8% | 31.9% | 7.4% |
| Eurozone | 10.1% | 41.3% | 7.6% |
| EM | 24.0% | 34.4% | 5.7% |
| Japan | 16.0% | 25.1% | 8.3% |
| China | -14.9% | 31.4% | 2.9% |
| Taiwan | 62.6% | 39.8% | 16.9% |
| India | -9.7% | 4.3% | 5.7% |
| Brazil | 9.5% | 50.4% | 0.4% |
Global Valuations — p.46
Forward P/E by region vs 20yr avg
ACWI ex-US at -31% discount to US (20yr avg: -20%)
Global PMI (Jun 2026) — p.50
Composite (Mfg + Services) — China & Brazil are May prints
DM Policy Rates — p.51
Fed
3.50-3.75%
BoE
4.00%
BoJ
1.00%
ECB
2.00%
Markets now price net HIKES by end-2026: Fed +38bps, ECB +24, BoJ +23, BoE +21 (p.42) — a sharp flip from the cuts priced in Dec '25 (Fed -59bps).