MACRO DIGEST

April 15, 2026 · 18yr percentile window
S&P PE
27.7x
+3.2%
VIX
18.18
-14.4%
DXY
98.10
-0.8%
UST 10Y
4.30%
-4bp
Net Liq
$5.95T
+118B
Liq Stress
37%
-2pp
Stress
0/3
-1
ERP
-0.69%
-8bp
▸ TGA drain (-$99B) juicing net liq; rally is fiscal, not earnings
▸ HY p6 + SPX PE p96: credit and equity both pricing perfection
▸ Copper p100, DXY <99: China restock + weak dollar = reflation
▸ SKEW p96 under crushed VIX/MOVE: tail hedging rising quietly
Liquidity & Basis Monitor
Pozsar framework · RRP, TGA, auctionsSmil: Energy Transitions
297pp analytical summary
Equities
Value1W1M%ileSignal
S&P PE 27.7x +3.2% +4.3%
p96		 Expensive
ERP -0.69% -8bp -17bp
p15		 Expensive
VIX 18.18 -14.4% -22.7%
p53		 Neutral
SPY/RSP 3.49x +2.3% +1.8%
p98		 Tightening
Rates
Value1W1M%ileSignal
UST 2Y 3.78% -6bp +5bp
p39		 Trend-Down
UST 10Y 4.30% -4bp +2bp
p39		 Trend-Down
UST 30Y 4.90% +1bp +0bp
p42		 Trend-Up
2s10s 0.52% +2bp -3bp
p40		 Steepening
10Y Real 1.92% -6bp +0bp
p78		 Neutral
FX+Commodities
Value1W1M%ileSignal
DXY 98.10 -0.8% -1.6%
p63		 Trend-Down
Gold $4,815.00 +1.2% -3.9%
p99		 Trend-Up
Crude $92.50 -2.8% -2.1%
p84		 Risk-On
Nat Gas $2.61 -3.7% -14.1%
p17		 Risk-Off
Copper $6.09 +5.5% +4.3%
p100		 Risk-On
USDJPY 159.07 +0.4% -0.0%
p100		 JPY-Weak
Crypto
Value1W1M%ileSignal
BTC $74,242 +3.3% -0.7%
p89		 Risk-On
ETH $2,349 +5.4% -0.7%
p67		 Trend-Up
Credit & Spreads
Value1W1M%ileSignal
HY OAS 2.84% -28bp -44bp
p6		 Stress-Down
IG OAS 0.81% -5bp -12bp
p7		 Easing
C&I YoY +5.9% +1.5pp —
p40		 Expanding
Sentiment & Volatility
Value1W1M%ileSignal
UMich 56.6 +0.0 +0.2
p3		 Pessimistic
SKEW 150 +1.0% +6.0%
p96		 Expensive
MOVE 74.35 -10.6% -22.0%
p41		 Neutral
Stress 0/3 -1 -2
p0		 Clear
Liquidity & Conditions
Value1W1M%ileSignal
5Y BE 2.59% -2bp +1bp
p91		 Heating
Claims 219k +17k +6k
p7		 Heating
NFCI -0.47 +7.4% -9.5%
p47		 Trend-Down
ANFCI -0.47 -0.0 +0.0
p43		 Neutral
Net Liq $5.95T +118B +137B
p80		 Flush
Liquidity
Value1W1M%ileSignal
SOFR 3.66% +4bp —
p59		 Neutral
EFFR 3.64% +0bp —
p73		 Neutral
SOFR-EFFR +2.0bp +4.0bp —
p75		 Normal
Swap Lines $0.1B -0B —
p48		 Normal
Reserves $3.12T +90B —
p81		 Low
UST 3M 3.62% -2bp —
p43		 Neutral
SRF $0.1B -1B —
p66		 Normal
ACM TP10 0.66% +0bp —
p0		 Neutral
10Y B/C 2.39 -0.04 —
p0		 Normal
10Y Indirect 64.1% -1.2pp —
p0		 Normal
T-bill % 22.1% +0.0pp —
p0		 High
Dealer Net $540B -18B —
p0		 Elevated
Liq Stress 37% -2pp —
p38		 MODERATE

Market Commentary

Notable Moves

Extreme Readings

Data shifts

TGA drain (-$99B) juicing net liq; rally is fiscal, not earnings

HY p6 + SPX PE p96: credit and equity both pricing perfection

Copper p100, DXY <99: China restock + weak dollar = reflation

SKEW p96 under crushed VIX/MOVE: tail hedging rising quietly

Risk posture: Liquidity flush supports risk short-term, but UMich p3 vs SPX p100 is the widest sentiment-price gap on the board. TGA-funded rally — when Treasury rebuilds, the bid disappears.

Regime Signals

Neutral (8)Normal (5)Trend-Down (4)Expensive (3)Trend-Up (3)
Variable Definitions
S&P PES&P 500 trailing P/E ratio (SPY). Valuation gauge — higher = more expensive.
ERPEquity Risk Premium. E/P minus 10Y real yield. Compensation for holding stocks over bonds.
VIXCBOE Volatility Index. Implied 30-day S&P 500 vol. Fear gauge.
SPY/RSPCap-weighted vs equal-weight S&P 500 ratio. Rising = mega-cap concentration.
UST 2Y2-Year Treasury yield. Proxy for Fed rate expectations.
UST 10Y10-Year Treasury yield. Benchmark for mortgages, corporate borrowing.
UST 30Y30-Year Treasury yield. Long-term growth and inflation expectations.
2s10s2Y-10Y Treasury spread. Negative = inverted curve, historically signals recession.
10Y Real10Y TIPS yield. Real cost of capital — key equity valuation input.
DXYUS Dollar Index. Trade-weighted basket vs 6 major currencies.
USDJPYDollar/Yen. Carry trade proxy — JPY strength signals risk-off.
GoldGold futures (GC). Inflation/chaos hedge.
CrudeWTI crude oil (CL). Growth proxy and inflation input.
Nat GasHenry Hub natural gas (NG). Energy costs, weather-sensitive.
CopperCopper futures (HG). Industrial demand proxy — "Dr. Copper".
BTCBitcoin (USD). Crypto risk proxy, liquidity-sensitive.
ETHEthereum (USD). Smart-contract ecosystem value.
HY OASHigh-yield bond option-adjusted spread over Treasuries. Credit stress barometer.
IG OASInvestment-grade bond spread. Broad corporate credit conditions.
C&I YoYCommercial & Industrial loans, year-over-year growth. Bank lending impulse.
UMichUniversity of Michigan Consumer Sentiment. Leads spending by 2-3 months.
SKEWCBOE SKEW Index. Tail risk pricing — higher = more demand for downside protection.
MOVEMerrill Lynch bond volatility index. Rate uncertainty gauge.
StressCross-asset stress count (0-3). HY OAS + VIX + DXY each >p75 of trailing 1yr.
Net LiqNet Liquidity = Fed Balance Sheet - TGA - Reverse Repo. Market plumbing.
NFCIChicago Fed National Financial Conditions Index. Positive = tighter than average.
ANFCIAdjusted NFCI. Isolates financial conditions from business cycle.
ClaimsInitial jobless claims (weekly). Labor market real-time pulse.
5Y BE5-Year breakeven inflation rate. Market-implied inflation expectations.
SOFRSecured Overnight Financing Rate. Benchmark repo rate.
EFFREffective Federal Funds Rate. Interbank lending rate.
SOFR-EFFRSOFR minus EFFR spread (bps). >10bps signals repo market stress.
Swap LinesFed central bank swap line usage. >$5B = dollar funding stress abroad.
ReservesBank reserves at the Fed. <$3T = approaching scarcity.
UST 3M3-Month Treasury bill rate. Short-end funding benchmark.
SRFStanding Repo Facility usage. Elevated = banks tapping backstop.
ACM TP10Adrian-Crump-Moench 10Y term premium. Compensation for duration risk.
10Y B/C10-Year Treasury auction bid-to-cover ratio. <2.2 = weak demand.
10Y Indirect10Y auction indirect bidder %. <60% = foreign demand pullback.
T-bill %T-bill share of total marketable debt. TBAC target: 15-20%.
Dealer NetPrimary dealer net Treasury positions. Rising = supply absorption stress.
Liq StressComposite liquidity stress score (0-100). Weighted: SOFR-EFFR, reserves, RRP, TGA, NFCI, credit.
Sources: Yahoo Finance · FRED · Shiller · Generated 2026-04-15