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The context behind every risk score
Macro tilt by asset class — Crypto -5.9 (tailwind) · Equity / ETF / index -5.5 (tailwind) · Defensive / dividend -2.7 (tailwind)
Net liquidity is the Fed's balance sheet (WALCL) minus the Treasury's cash balance (TGA) and money parked in overnight reverse repo (RRP) — the dollars actually available to flow into markets. It's the single number liquidity-driven assets like crypto tend to track most closely, and it feeds directly into the Global Liquidity Score below.
A 0–100 blend of four trailing percentiles — net liquidity, M2 growth, the Baa credit spread, and the dollar index — each ranked against its own history and oriented so higher always means looser. It's a percentile, not a level: 70 means looser than 70% of history, not that liquidity is abundant. Above 60 reads as expanding, below 40 as contracting, and it nudges every asset's risk score via the macro tilt.
Global Liquidity Score at 67.1 (expanding) — driven mainly by M2 growth.
The Global Liquidity Score today minus the score 63 calendar days (about a quarter) ago — the score's own momentum, not a level in its own right. It can read as expanding even while the score itself is still historically tight, if conditions have been loosening from there. This momentum is also its own macro-tilt term, applied to every asset's risk score alongside the level, credit, and dollar terms.
Liquidity conditions have been little changed over the past ~3 months, with the drivers largely offsetting.
The 2-year and 10-year Treasury yields, and the spread between them (10Y minus 2Y). Investors normally demand extra yield for locking up money for longer, so a positive spread is the ordinary state; the curve's shape — and whether that premium has flattened or inverted — tracks the market's current expectations for the path of Fed policy.
Fed funds at 3.63%, unchanged over the past 90 days — the 10Y−2Y curve is normal, sloping upward by 39bp.
Moody's Baa corporate bond yield, and the spread it trades over the 10-year Treasury — how much extra return investors demand to hold investment-grade corporate debt over risk-free government debt. A widening spread means credit markets are pricing in more risk; it's the input behind the Credit Stress badge and one of the four macro-tilt terms applied to every asset's score.
Baa spread at 1.50pp — in a neutral range, roughly flat over the past week.
CPI YoY at 3.4%, up from 2.4% six months ago; the market's 10Y inflation expectation sits below it at 2.4%.
Headline Consumer Price Index, year-over-year — the official measure of realized inflation. It's one of the readings the Fed weighs when setting the path of rates, which shapes the balance-sheet and Treasury-financing decisions behind the net liquidity chain above.
The market-implied inflation rate over the next 10 years, derived from the gap between nominal and inflation-protected Treasury yields. Unlike CPI, which reports the past, breakevens show what bond markets are pricing in right now — a real-time read investors trade on, not a survey or a forecast published after the fact.
The Fed's broad trade-weighted US Dollar Index against a wide basket of trading-partner currencies. A stronger dollar tightens global financial conditions — dollar-denominated debt gets more expensive worldwide — and it plays two roles in this app's scoring: one of the four inputs behind the Global Liquidity Score, and a separate macro-tilt term applied directly to every asset's risk score.
Broad USD Index at 118.1, down 1.7% over the past 90 days.
Net liquidity fell $119B over 90 days, driven mainly by the Treasury rebuilding its cash balance.
2026-06-17 → 2026-09-15 · net $-119B. Contributions sum to the net change exactly — the Treasury account and reverse repo subtract from liquidity, so a rising balance shows as a drain.
| Driver | Contribution |
|---|---|
| Fed balance sheet | +$12B |
| Treasury account | $-140B |
| Reverse repo | +$9B |