Liquidity Conditions 63.4 · YELLOW
Level 3 · weight 15%
Metrics
| Metric | Value | Z | Status | Source |
|---|---|---|---|---|
|
10Y Real Yield (TIPS)
10-Year TIPS yield. Real cost of capital.
|
2.64 % | 2.55 | RED | FRED:DFII10 |
|
10Y Treasury Yield
10-Year Treasury constant maturity nominal yield. Higher rates compete with equities.
|
4.96 % | 2.54 | RED | FRED:DGS10 |
|
High-Yield Credit Spread (OAS)
ICE BofA US High Yield OAS. Credit often cracks before equities.
|
3.40 bps | 0.89 | YELLOW | FRED:BAMLH0A0HYM2 |
|
Bank Credit Stress Score
Aggregate GPT score of credit stress signals (reserve builds, tightening standards, rising delinquencies) from JPM/BAC/GS/MS/WFC earnings calls. Higher = more stress.
|
0.40 score | 0.88 | YELLOW | transcripts + GPT |
|
Fed Communication Hawkishness
Mean GPT hawkishness score of Fed speeches and FOMC press releases over the last 30 days. Higher = more hawkish (tighter financial conditions).
|
0.07 score | -0.44 | GREEN | news_digest + GPT |
|
Yield Curve (10Y-2Y)
10Y minus 2Y spread. Inversion historically precedes recessions.
|
31.00 bps | -0.25 | GREEN | FRED:DGS10-DGS2 |
|
Investment-Grade Credit Spread (OAS)
ICE BofA US Corporate OAS. Lower-frequency stress signal.
|
0.89 bps | 0.09 | GREEN | FRED:BAMLC0A0CM |