Macroeconomic Phase-Transition Monitor
Last updated: 2026-09-17T16:46:03+00:00 · previous status: PHASE_1 · Portfolio · Deployment · Monitor v4 — research · Historical validation · Backtest v2 · Backtest v3
Total score
0 / 100
Confirmation quorum
0 / 2 (not met)
Gate 1 · credit spreads
CLEAR
Gate 2 · 10Y yield
CLEAR
Credit Bifurcation Watch
806 bps CCC−HY
CCC 1,076 bps · HY 270 bps · as of 2026-09-16
Credit Bifurcation Watch is informational only and never counted in scoring: aggregate HY gates can stay tight while lower-tier credit cracks. Source: FRED BAMLH0A3HYC (fallback — requested series BAMLCC0A0CM does not exist on FRED).
| # | Indicator | Latest value | Trigger condition | State | Points |
|---|---|---|---|---|---|
| 1 | Credit spread gate (HY OAS / Single-B OAS) Tier 1 · gate | HY 270.0 bps · Single-B 278.0 bps | HY OAS >= 375 bps OR Single-B OAS >= 425 bps | CLEAR | 0 / 30 |
| 2 | 10Y Treasury yield (DGS10) Tier 1 · gate | 5.00% | >= 5.10% | CLEAR | 0 / 30 |
| 3 | Initial jobless claims, 4-week MA (ICSA) Tier 2 · confirmation | 203,250 | >= 250,000 (4-week moving average) | CLEAR | 0 / 10 |
| 4 | GLD/CPER ratio (gold vs copper) Tier 2 · confirmation | 10.0030 (SMA50 9.9667, trigger >= 11.4617) | >= 1.15 x 50-day SMA of ratio | CLEAR | 0 / 10 |
| 5 | SPHB/SPLV ratio (high-beta vs low-vol) Tier 2 · confirmation | 1.9960 (SMA200 1.8084) | < 200-day SMA of ratio | CLEAR | 0 / 10 |
| 6 | BNO 20-day return (oil momentum) Tier 2 · confirmation | +16.38% | < -8.0% (20-day return) | CLEAR | 0 / 10 |
How the status is decided
Step 1 · Tier 1 hard gates — at least one must fire (30 pts each)
- Gate 1 · credit spreads: HY OAS ≥ 375 bps OR Single-B OAS ≥ 425 bps
- Gate 2 · 10Y yield: DGS10 ≥ 5.10%
Step 2 · Tier 2 confirmation quorum — at least 2 of 4 must fire (10 pts each)
- Initial jobless claims (ICSA), 4-week moving average ≥ 250,000
- GLD/CPER ratio ≥ 1.15 × its 50-day SMA
- SPHB/SPLV ratio below its 200-day SMA
- BNO 20-day return below -8.0%
Step 3 · State rules
PHASE 2 ACTIVE: ROTATE DURATION TO 35%, EXIT CYCLICALS
Any Tier 1 gate fires AND the confirmation quorum is met (≥ 2 of 4).
Any Tier 1 gate fires AND the confirmation quorum is met (≥ 2 of 4).
TACTICAL WARNING: YIELD PEAK DETECTED, WAIT FOR CREDIT CONFIRMATION
Gate 2 (10Y yield) fires AND the quorum is not met — regardless of Gate 1.
Gate 2 (10Y yield) fires AND the quorum is not met — regardless of Gate 1.
PHASE 1 ACTIVE: MAINTAIN HIGH CASH & REAL CARRY
Anything else — no confirmed phase transition.
Anything else — no confirmed phase transition.
Total score is the sum of all fired triggers (max 100 pts) and is informational only; the status itself is decided by the gates and quorum above. An indicator in an ERROR state never counts as triggered.