The composite reads 46, regime STRAIN. The Tell reads +10. Every number below is checkable on the board.
The composite reads 46 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 100, worth +11.0 points of the total. When one component carries the reading, watch that component, not the headline.
The Tell, the gap between what the pipes measure and what the screens price, reads +10: plumbing indicators at the 45th percentile of their own history, market indicators at the 35th.
The gap is modest. Modest gaps are what most days look like, and saying so is part of the record.
Overnight, the tape did move: Japan uncollateralized call rate (OECD MEI, monthly) printed 0.84 % (level z +5.8, change z +15.4, as of 2026-06-01); MMF repo with FICC (sponsored) printed 1,301.06 $B (level z +7.5, change z +3.3, as of 2026-06-30); 2y Treasury constant maturity yield printed 4.21 % (level z +2.9, change z +0.7, as of 2026-07-20).
The next date that matters is 2026-07-28: $282B auction settlement while reserves sit below the estimated kink, worst case $3,096B. The turn model puts 2026-07-31 (month_end) at +3.0bp with a band of [-1.0, +8.0], severity 2/5. FOMC decides 2026-07-29, 7 days out. The corporate tax date lands 2026-09-15, 55 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 -0.21 of open interest (z -2.4). Dealer warehouse holds $445B, the 97th percentile of its history, 38% 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−16d | 0.67 |
| Apr 2025 tariff shock basis unwind | T−18d | 0.58 |
| Sep 2025 tax-date squeeze (SOFR +18bp over EFFR) | T−29d | 0.56 |
| Sep 2019 repo spike (SOFR 5.25%, GC 10%) | T−2d | 0.54 |
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.