The composite reads 45, regime STRAIN. The Tell reads +38. Every number below is checkable on the board.
The composite reads 45 out of 100, STRAIN, on 100% coverage. The pipes are working harder for the same result. This is the regime where surprises stop being cheap.
The heaviest hand on the dial is weather at a score of 84, worth +9.2 points of the total. A composite is only as honest as its decomposition, so here it is.
The Tell, the gap between what the pipes measure and what the screens price, reads +38: plumbing indicators at the 57th percentile of their own history, market indicators at the 19th.
That is a wide disagreement, and it resolves one of two ways: the screens catch up to the pipes, or the pipes calm down to meet the screens. The reading is plumbing leads price.
Overnight, the tape did move: MMF repo with FICC (sponsored) printed 1,168.72 $B (level z +6.7, change z -0.1, as of 2026-05-31); Central bank liquidity swaps outstanding (H.4.1) printed 170.00 $M (level z -0.2, change z -5.3, as of 2026-07-08); Total stablecoin circulation printed 306.37 $B (level z -0.6, change z -5.3, as of 2026-07-14).
The next date that matters is 2026-07-16: $95B auction settlement while reserves sit below the estimated kink, worst case $3,070B. The turn model puts 2026-07-31 (month_end) at +3.0bp with a band of [-1.0, +7.8], severity 2/5. FOMC decides 2026-07-29, 15 days out. The corporate tax date lands 2026-09-15, 63 days out; tax dates drain reserves on a schedule everyone can read.
All sources and engines report live. The misses this board has made sit in PROOF next to the hits; read those before weighting today's letter.
Bathymetry puts the odds of an event inside five business days at 4%, mean first-passage roughly 78 business days. The learned model reads 2% for the same window and calls it does not out-rank the rule-based index. The regime chain gives 0% odds of touching STRESS inside 21 business days, with an expected dwell of 11 business days in the current state. Resonance reads 71: the Year-end (G-SIB surcharge snapshot) mode is amplifying at 6.3x, which is the basin ringing louder to the same calendar.
The most crowded seat is SOFR-3M, leveraged net -0.22 of open interest (z -2.5). Dealer warehouse holds $428B, the 96th percentile of its history, 40% of it long end. Positioning data is COT and carries its native T+3 lag; the lag is shown, never hidden.
| episode | window | similarity |
|---|---|---|
| Mar 2020 dash-for-cash | T−22d | 0.67 |
| Apr 2025 tariff shock basis unwind | T−23d | 0.58 |
| Sep 2025 tax-date squeeze (SOFR +18bp over EFFR) | T−15d | 0.56 |
| Sep 2019 repo spike (SOFR 5.25%, GC 10%) | T−3d | 0.55 |
Similarity is not destiny. The echo table says this rhymes, and PROOF says how often rhymes mattered.
Srf or discount window take-up on a day with no calendar excuse, a mover breaching ±3 z on the funding side, or the composite crossing 60. When one of those prints, the letter will say so, in this same place, with the number.
The board recomputes six times a day; this letter freezes one reading of it. Free public data with native lags. Not investment advice.