Dashboard Overview
WEEKLYWeekly Snapshot
● Net Liquidity at $5.91T — Inside the Transition Zone ($5.5-6.0T). RRP at $0.02T still provides some buffer.
● Labour market mixed: Apr26 NFP solid at +115K. 3-month average +48K. UMich sentiment depressed at 53.3 (long-run avg ~77).
● 10Y at 4.6%, curve flat at 89bps (avg ~153). Credit spreads tight (IG 75bps, HY 280bps) — limited cushion if conditions deteriorate.
● Labour market mixed: Apr26 NFP solid at +115K. 3-month average +48K. UMich sentiment depressed at 53.3 (long-run avg ~77).
● 10Y at 4.6%, curve flat at 89bps (avg ~153). Credit spreads tight (IG 75bps, HY 280bps) — limited cushion if conditions deteriorate.
S&P 500
7,446
May 21, 2026
VIX
17.4
Elevated
Fed Funds
3.6%
Eff. Daily Rate
10Y UST
4.6%
Real 2.1% | BE 2.4%
Unemployment
4.3%
NFP +115K
CPI YoY
3.8%
Core 2.7%
Net Liquidity
$5.91T
Transition Zone
IG / HY Spread
75 / 280
bps OAS (tight)
Treasury Yield Curve
10Y-3M: 89bps (avg ~153bps)
As of May 22, 2026
Real GDP Growth (QoQ SAAR)
Latest: 0.7% (4Q25)
BEA advance estimate, Jan 30 2026
CPI Inflation (YoY)
Headline 3.8% | Core 2.7% | Feb 2026
BLS release Mar 12, 2026
Nonfarm Payrolls (MoM, K)
3mo avg: +48K
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
$5.91T
Transition Zone
WALCL
$6.71T
Fed Balance Sheet
TGA
$0.78T
Treasury Account
ON RRP
$24867M
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 May 22, 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.
$5.91T. RRP at $0.02T still provides some buffer.
Components (FRED API, May 20)
FRED series: WALCL, WTREGEN, RRPONTSYD
| Component | Millions | Trillions |
|---|---|---|
| WALCL (Fed BS) | 6,713,643 | $6.714T |
| TGA Balance | 781,293 | $0.781T |
| ON RRP | 24,867 | $0.024867T |
| Net Liquidity | 5,907,483 | $5.907T |
Near-zero RRP = structural shift. TGA increases now drain NL dollar-for-dollar with no buffer.
Early Warning Indicators
WEEKLYMoney Market Stress: SOFR − IORB Spread
Banking panic gauge: when reserves dry up, interbank borrowing costs surge above the Fed's IORB floor rate
SOFR
3.50%
May 20
IORB
3.65%
Fed floor rate
Spread
-15 bps
Safe
Below 0 bps: Ample Reserves (Healthy)
Banks are flush with cash. Market liquidity is robust and highly supportive of risk assets.
0 to +2 bps: Buffer Depleted (Caution)
Excess liquidity is drained. Markets become highly sensitive to Fed QT and Treasury issuance.
+3 to +5 bps: Funding Stress (Tight)
Interbank competition for cash increases. Upward momentum for equities is heavily constrained.
Above +5 bps: Reserve Scarcity (Critical)
Systemic funding stress. High risk of violent equity drawdowns and forced deleveraging.
FRED: SOFR, IORB | As of May 22, 2026
Liquidity Support Ratio: NL / S&P 500
Market foundation scanner: how many dollars of net liquidity underpin each index point
Current Ratio
0.80
Below -1σ!
All-Time Mean
1.41
Historical avg
-1σ Level
1.11
Warning threshold
Adaptive Z-Score
-1.42σ
Stressed (3yr window)
At 0.80, the ratio is deep in Critical territory (below 0.90). The S&P 500 has severely outrun its liquidity support.
Calculated: NL ($B) / S&P 500 index | As of May 22, 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
3.6%
2Y
3.8%
10Y
4.6%
TIPS 1.9%
30Y
5.1%
IG OAS
75bps
Avg 145
HY OAS
280bps
Avg 502
Yield Curve
Slope: 89bps (avg ~153)
As of May 22, 2026
Rate Decomposition
| Rate | Value | FRED |
|---|---|---|
| Fed Funds | 3.62% | DFF |
| 2-Year | 4.04% | DGS2 |
| 5-Year | 4.22% | DGS5 |
| 10-Year | 4.57% | DGS10 |
| 30-Year | 5.11% | DGS30 |
| TIPS 10Y | 2.13% | DFII10 |
| Breakeven | 2.39% | T10YIE |
| 10Y-3M | 89bps | T10Y3M |
| 30Y Mortgage | 6.51% | MORTGAGE30US |
Fixed Income Detail
QUARTERLYFI Sector Yields & Returns (p.35)
| Sector | Yield | 2026 Ret | Maturity |
|---|---|---|---|
| 2Y UST | 3.79% | 0.23% | 2yr |
| 5Y UST | 3.92% | -0.14% | 5yr |
| 10Y UST | 4.30% | -0.31% | 10yr |
| 30Y UST | 4.88% | -0.14% | 30yr |
| U.S. Agg | 4.57% | -0.05% | 8.2yr |
| IG Corps | 5.14% | -0.54% | 10.4yr |
| U.S. HY | 7.40% | -0.50% | 4.8yr |
| Munis | 3.77% | -0.18% | 13.4yr |
| MBS | 4.83% | 0.40% | 7.1yr |
| Lev. Loans | 8.80% | -0.44% | 4.7yr |
FOMC March 2026 Projections (p.33)
FOMC YE: 3.62% | Market: 3.40% | Long-run: 3.10%
| Metric | 2026 | 2027 | 2028 | L.Run |
|---|---|---|---|---|
| Real GDP 4Q/4Q | 2.4 | 2.3 | 2.1 | 2.0 |
| Unemployment 4Q | 4.4 | 4.3 | 4.2 | 4.2 |
| Headline PCE | 2.7 | 2.2 | 2.0 | 2.0 |
| Core PCE | 2.7 | 2.2 | 2.0 |
Economy — FRED Data
WEEKLYGDP 4Q25
0.7%
SAAR
CPI
3.8%
Core 3.2%
PCE
3.5%
Core 3.2%
Unemp
4.4%
NFP
+115K
Claims
209K
Sentiment
53.3
UMich avg ~77
GDP Growth
Labor & Consumer
| Indicator | Value | FRED |
|---|---|---|
| Unemployment | 4.3% | UNRATE |
| NFP MoM | +115K | PAYEMS |
| Avg Hourly Earnings | $37.41 | CES05 |
| JOLTS Openings | 6,866K | JTSJOL |
| JOLTS Hires | 5,554K | JTSHIL |
| JOLTS Layoffs | 1,867K | JTSLDL |
| Init. Claims | 209K | ICSA |
| UMich Sentiment | 53.3 | UMCSENT |
| Debt Service % | 11.3% | TDSP |
| CC Delinquency | 2.9% | DRCCLACBS |
Economy — PDF Data
QUARTERLYHyperscaler CapEx ($bn) — p.24
GOOGL, AMZN, META, MSFT, ORCL
Tariffs on U.S. Imports — p.26
Eff. rate Mar 31 2026: 12.0% | Peak Apr 8 2025: 30.0%
AI Adoption by Sector — p.25
% firms using AI, Mar 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
7,446
Fwd P/E
19.7x
30yr: 17.2x
CAPE
37.2x
Avg: 28.7x
EY Spread
-0.3%
Negative!
EPS '26F
$320
'27:$373 '28:$414
Margin
14.1%
4Q25
EPS Growth — p.7
Mag 7 vs S&P 493 — p.9
Index Concentration — p.8
| Top 10 | Rest 490 | S&P 500 | |
|---|---|---|---|
| Fwd P/E | 23.0x | 18.0x | 19.7x |
| Avg P/E | 20.8x | 15.9x | 16.8x |
| Mkt Cap % | 37.9% | 62.1% | 100% |
| Earnings % | 33.2% | 66.8% | 100% |
Valuations — p.5
| Measure | Current | 30yr Avg | Signal |
|---|---|---|---|
| Forward P/E | 19.7x | 17.2x | Near +1sd |
| CAPE | 37.2x | 28.7x | Elevated |
| Div Yield | 1.6% | 2.0% | Below avg |
| EY Spread | -0.3% | 0.7% | Negative! |
| Margin 4Q25 | 14.1% | ~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 | 17x | 23x |
| Int. Coverage | 8.3x | 4.0x | 1.4x |
| % Unprofitable | 5% | 14% | 39% |
| Down. Revisions | 1% | 3% | 21% |
| Analysts/Co | 26 | 18 | 7 |
39% small caps unprofitable vs 5% large. Interest coverage 1.4x vs 8.3x.
Sector Returns & Valuations — p.16
| Sector | Wt | YTD | P/E | Avg | Grth | DY | Beta | Fgn% |
|---|---|---|---|---|---|---|---|---|
| Energy | 4.0% | 38.2% | 20.1x | 13.8x | 12.7% | 2.6% | 1.1 | 37% |
| Materials | 2.1% | 9.7% | 18.5x | 15.7x | 24.6% | 1.7% | 1.0 | 53% |
| Financials | 12.6% | -9.3% | 14.0x | 12.9x | 9.5% | 2.1% | 1.1 | 29% |
| Industrials | 9.0% | 4.6% | 23.5x | 16.9x | 9.9% | 1.5% | 1.1 | 36% |
| Cons.Disc. | 9.9% | -9.2% | 24.7x | 20.6x | 10.8% | 2.1% | 1.2 | 35% |
| Tech | 32.9% | -9.1% | 20.0x | 18.7x | 34.6% | 0.7% | 1.2 | 52% |
| Comm.Svcs | 10.3% | -6.9% | 19.1x | 18.6x | 11.2% | 0.9% | 1.1 | 49% |
| Real Estate | 2.0% | 4.9% | 16.9x | 17.3x | 4.3% | 3.8% | 0.9 | 19% |
| Health Care | 9.5% | -4.9% | 16.9x | 15.1x | 8.3% | 2.2% | 0.7 | 33% |
| Staples | 5.3% | 7.7% | 22.0x | 17.9x | 6.6% | 2.6% | 0.6 | 40% |
| Utilities | 2.5% | 8.3% | 18.7x | 16.0x | 10.3% | 2.8% | 0.5 | 2% |
International & Global
QUARTERLYDXY
120.6
Trade-Weighted
US % ACWI
63%
vs 40% in 2010
Global Equity Returns (USD) — p.44
| Region | '26 YTD | 2025 | 15yr Ann |
|---|---|---|---|
| ACWI ex-US | -0.6% | 33.1% | 6.1% |
| EAFE | -1.1% | 31.9% | 6.8% |
| Eurozone | -4.2% | 41.3% | 6.8% |
| EM | -0.1% | 34.4% | 4.1% |
| Japan | 1.5% | 25.1% | 7.3% |
| China | -8.9% | 31.4% | 3.2% |
| Taiwan | 9.1% | 39.8% | 13.9% |
| India | -18.1% | 4.3% | 4.8% |
| Brazil | 19.2% | 50.4% | 0.7% |
Global Valuations — p.48
Forward P/E by region vs 20yr avg
ACWI ex-US at -29% discount to US (20yr avg: -19%)
Global PMI (Mar 2026) — p.50
Composite (Mfg + Services)
DM Policy Rates — p.51
Fed
4.25-4.50%
BoE
4.50%
BoJ
0.50%
ECB
2.50%
Bull avg 70 months (+221%), Bear avg 14 months (-39%). Expansions avg 49 months.