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"NFCILEVERAGE", "label": "NFCI leverage subindex", "block": "vulnerability", "source_url": "https://fred.stlouisfed.org/graph/fredgraph.csv?id=NFCILEVERAGE", "frequency": "daily_or_weekly", "unit": "index", "aggregation": "mean", "transform": "monthly average", "last_observation_date": "2026-04-30", "stale_days": 0, "is_stale": false, "vintage_type": "current_vintage", "observability": "high", "notes": "" }, { "series_id": "NFCINONFINLEVERAGE", "label": "NFCI nonfinancial leverage subindex", "block": "vulnerability", "source_url": "https://fred.stlouisfed.org/graph/fredgraph.csv?id=NFCINONFINLEVERAGE", "frequency": "daily_or_weekly", "unit": "index", "aggregation": "mean", "transform": "monthly average", "last_observation_date": "2026-04-30", "stale_days": 0, "is_stale": false, "vintage_type": "current_vintage", "observability": "high", "notes": "" }, { "series_id": "BAA10Y", "label": "Moody's Baa minus 10-year Treasury", "block": "market_confirmation", "source_url": "https://fred.stlouisfed.org/graph/fredgraph.csv?id=BAA10Y", "frequency": "daily_or_weekly", "unit": "percent", "aggregation": "mean", "transform": "monthly average", "last_observation_date": "2026-04-30", "stale_days": 0, "is_stale": false, "vintage_type": "current_vintage", "observability": "high", "notes": "" }, { "series_id": "BAMLH0A0HYM2", "label": "ICE BofA high-yield OAS", "block": "market_confirmation", "source_url": "https://fred.stlouisfed.org/graph/fredgraph.csv?id=BAMLH0A0HYM2", "frequency": "daily_or_weekly", "unit": "percent", "aggregation": "mean", "transform": "monthly average", "last_observation_date": "2026-04-30", "stale_days": 0, "is_stale": false, "vintage_type": "current_vintage", "observability": "high", "notes": "FRED public history may be shortened by licensing." }, { "series_id": "VIXCLS", "label": "VIX", "block": "market_confirmation", "source_url": "https://fred.stlouisfed.org/graph/fredgraph.csv?id=VIXCLS", "frequency": "daily_or_weekly", "unit": "index", "aggregation": "mean", "transform": "monthly average", "last_observation_date": "2026-04-30", "stale_days": 0, "is_stale": false, "vintage_type": "current_vintage", "observability": "high", "notes": "" }, { "series_id": "FEDFUNDS", "label": "Effective federal funds rate", "block": "policy", "source_url": "https://fred.stlouisfed.org/graph/fredgraph.csv?id=FEDFUNDS", "frequency": "monthly", "unit": "percent", "aggregation": "mean", "transform": "monthly average", "last_observation_date": "2026-04-30", "stale_days": 0, "is_stale": false, "vintage_type": "current_vintage", "observability": "high", "notes": "" }, { "series_id": "CPIAUCSL", "label": "CPI all urban consumers", "block": "policy", "source_url": "https://fred.stlouisfed.org/graph/fredgraph.csv?id=CPIAUCSL", "frequency": "monthly", "unit": "index", "aggregation": "last", "transform": "month-end latest", "last_observation_date": "2026-04-30", "stale_days": 0, "is_stale": false, "vintage_type": "current_vintage", "observability": "high", "notes": "" }, { "series_id": "T10Y3M", "label": "10-year minus 3-month Treasury spread", "block": "policy", "source_url": "https://fred.stlouisfed.org/graph/fredgraph.csv?id=T10Y3M", "frequency": "daily_or_weekly", "unit": "percent", "aggregation": "mean", "transform": "monthly average", "last_observation_date": "2026-04-30", "stale_days": 0, "is_stale": false, "vintage_type": "current_vintage", "observability": "high", "notes": "" }, { "series_id": "MORTGAGE30US", "label": "30-year fixed mortgage rate", "block": "growth_conditions", "source_url": "https://fred.stlouisfed.org/graph/fredgraph.csv?id=MORTGAGE30US", "frequency": "daily_or_weekly", "unit": "percent", "aggregation": "mean", "transform": "monthly average", "last_observation_date": "2026-04-30", "stale_days": 0, "is_stale": false, "vintage_type": "current_vintage", "observability": "high", "notes": "" }, { "series_id": "DTWEXBGS", "label": "Nominal broad dollar index", "block": "growth_conditions", "source_url": "https://fred.stlouisfed.org/graph/fredgraph.csv?id=DTWEXBGS", "frequency": "daily_or_weekly", "unit": "index", "aggregation": "mean", "transform": "monthly average", "last_observation_date": "2026-04-30", "stale_days": 0, "is_stale": false, "vintage_type": "current_vintage", "observability": "high", "notes": "" }, { "series_id": "CSUSHPINSA", "label": "S&P CoreLogic Case-Shiller U.S. home price index", "block": "growth_conditions", "source_url": "https://fred.stlouisfed.org/graph/fredgraph.csv?id=CSUSHPINSA", "frequency": "monthly", "unit": "index", "aggregation": "last", "transform": "month-end latest", "last_observation_date": "2026-02-28", "stale_days": 61, "is_stale": false, "vintage_type": "current_vintage", "observability": "high", "notes": "" }, { "series_id": "NASDAQCOM", "label": "Nasdaq Composite", "block": "asset_response", "source_url": "https://fred.stlouisfed.org/graph/fredgraph.csv?id=NASDAQCOM", "frequency": "daily_or_weekly", "unit": "index", "aggregation": "last", "transform": "month-end latest", "last_observation_date": "2026-04-30", "stale_days": 0, "is_stale": false, "vintage_type": "current_vintage", "observability": "high", "notes": "" }, { "series_id": "SP500", "label": "S&P 500", "block": "asset_response", "source_url": "https://fred.stlouisfed.org/graph/fredgraph.csv?id=SP500", "frequency": "daily_or_weekly", "unit": "index", "aggregation": "last", "transform": "month-end latest", "last_observation_date": "2026-04-30", "stale_days": 0, "is_stale": false, "vintage_type": "current_vintage", "observability": "high", "notes": "FRED public history may be shortened by licensing." }, { "series_id": "DJIA", "label": "Dow Jones Industrial Average", "block": "asset_response", "source_url": "https://fred.stlouisfed.org/graph/fredgraph.csv?id=DJIA", "frequency": "daily_or_weekly", "unit": "index", "aggregation": "last", "transform": "month-end latest", "last_observation_date": "2026-04-30", "stale_days": 0, "is_stale": false, "vintage_type": "current_vintage", "observability": "high", "notes": "FRED public history starts in 2016; merged with long historical close series for validation." }, { "series_id": "USREC", "label": "NBER recession indicator", "block": "validation", "source_url": "https://fred.stlouisfed.org/graph/fredgraph.csv?id=USREC", "frequency": "daily_or_weekly", "unit": "binary", "aggregation": "last", "transform": "month-end latest", "last_observation_date": "2026-04-30", "stale_days": 0, "is_stale": false, "vintage_type": "current_vintage", "observability": "high", "notes": "" }, { "series_id": "CAPE", "label": "Multpl monthly Shiller PE table", "block": "valuation", "source_url": "https://www.multpl.com/shiller-pe/table/by-month", "frequency": "monthly", "unit": "ratio", "aggregation": "last", "transform": "monthly table value assigned to month end; not forward-filled past latest completed month", "last_observation_date": "2026-04-30", "stale_days": 0, "is_stale": false, "vintage_type": "current_vintage", "observability": "high", "notes": "Benchmark CAPE input uses the current monthly Shiller PE/CAPE table; partial current-month rows are excluded from the model cut." }, { "series_id": "SYNTHETIC_ERP", "label": "Synthetic Damodaran-style ERP backcast", "block": "valuation", "source_url": "../docs/SYNTHETIC_ERP_BACKCAST_v0.1.md", "frequency": "monthly", "unit": "decimal_percent", "aggregation": "month_end", "transform": "primary valuation pressure uses -rolling_z(synthetic ERP); lower ERP means richer valuation", "last_observation_date": "2026-04-30", "stale_days": 0, "is_stale": false, "vintage_type": "current_vintage", "observability": "model_derived", "notes": "Synthetic ERP is model-derived from annual Damodaran ERP anchors, monthly S&P 500 price, and monthly 10-year Treasury rates." }, { "series_id": "SP500_LONG", "label": "S&P 500 merged long/current monthly price series", "block": "asset_response", "source_url": "../docs/SYNTHETIC_ERP_BACKCAST_v0.1.md plus https://fred.stlouisfed.org/series/SP500", "frequency": "monthly", "unit": "index", "aggregation": "month-end price", "transform": "long Shiller-style monthly S&P price from the synthetic ERP backcast, overlaid with current FRED SP500 observations where available", "last_observation_date": "2026-04-30", "stale_days": 0, "is_stale": false, "vintage_type": "current_vintage", "observability": "medium", "notes": "Used as the S&P response target to avoid the shortened public FRED SP500 history." }, { "series_id": "DAMODARAN_ERP", "label": "Damodaran monthly implied ERP workbook", "block": "valuation", "source_url": "https://pages.stern.nyu.edu/~adamodar/pc/implprem/ERPbymonth.xlsx", "frequency": "monthly", "unit": "decimal_percent", "aggregation": "start-of-month workbook row aligned to prior month-end", "transform": "valuation pressure uses -rolling_z(ERP); lower ERP means richer valuation", "last_observation_date": "2026-04-30", "stale_days": 0, "is_stale": false, "vintage_type": "current_vintage", "observability": "high", "notes": "Current monthly workbook includes S&P 500, risk-free rate, trailing cash flow, expected growth, expected return, and implied ERP." }, { "series_id": "DOW", "label": "Dow Jones Industrial Average merged long/current series", "block": "asset_response", "source_url": "https://raw.githubusercontent.com/fja05680/dow-sp500-100-years/master/DJA.csv plus https://fred.stlouisfed.org/series/DJIA", "frequency": "monthly", "unit": "index", "aggregation": "month-end close", "transform": "long historical close series through 2019, overlaid with current FRED DJIA monthly closes from the 2016 overlap onward", "last_observation_date": "2026-04-30", "stale_days": 0, "is_stale": false, "vintage_type": "current_vintage", "observability": "medium", "notes": "Added as a third equity response target; it does not affect the primary four-factor signal." } ], "methodology": { "headline": "V0.7 uses a primary 75/25 decile rank model: 75% four-factor equal-score percentile plus 25% breadth percentile. The four inputs are synthetic Damodaran-style ERP tightness, Baa spread tightness, broad stock saturation, and Composite B broker-customer leverage saturation. S&P validation uses a merged long/current monthly price series to avoid the shortened public FRED response history.", "liquidity_index_formula": "0.55 official liquidity + 0.45 bank capacity; market prices are excluded from core supply.", "impulse_formula": "Headline impulse = 0.45 supply impulse + 0.45 Biggs-style private credit impulse + 0.10 growth-conditions impulse.", "vulnerability_formula": "0.35 credit-stock vulnerability + 0.25 bank funding stress + 0.25 policy restrictiveness + 0.15 market fragility.", "false_positive_control": "Policy quality is a continuous score using NPL flow, reserve flow, TGA/RRP offsets, and transmission breadth.", "caveat": "Current-vintage public-data model. Hidden leverage is proxied, not fully observed." } }