Cross-asset stress
Preparing the risk report Checking the latest stored observations, evidence coverage and risk-state calculations.
Reading market observations
In progress Calculating cross-asset stress
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How the score is built
This print
As of 2026-10-03
Fragility 53 / 100
Official metrics live 32/32 · 18/18 votes
Spec 2026.09.17.5 Assumptions What the live score is allowed to do
Pipeline. Raw FRED series → transforms (YoY, spreads, real rates, drawdowns) → 32 official metrics → one vote per subfactor → six pillars → weighted Fragility 0–100.One vote. Correlated metrics in the same subfactor share a single vote so HY OAS and IG OAS cannot both dominate credit.Thin coverage shrinks to 50. A pillar with few live subfactors is pulled toward neutral so one print cannot own the composite.Frozen pillar priors. Credit 25% · internals 20% · rates 15% · macro 15% · leverage 15% · valuation 10%. Economic assumptions, not a fitted backtest.10-year z-scores. The current print is excluded from mean and std. The window expands until 10 years of history exist. It is not retuned for fit.Gaps stay gaps. Missing series are unavailable. CAPE, breadth, and the VIX curve are listed, not invented. 3m/6m probabilities stay experimental.Architecture Live votes under the frozen priors
32 official metrics → 18 subfactors → 6 pillars → Fragility. Each subfactor is one vote. Pillar weights below are the frozen priors.
Credit and financial stress25% prior
43
5/5 metrics · 2/2 votes
Corporate spread level (hy_oas, ig_oas) 58 Lending standards / EBP / NFCI credit (sloos, nfcicredit, ebp) 35 Market internals and vol20% prior
48
5/5 metrics · 2/2 votes · not scored: % above 200/50DMA, EW/CW, A-D, VIX curve
Volatility (vix, sp500_realized_vol) 45 Trend / drawdown (sp500_drawdown, sp500_vs_200ma, sp500_3m_return) 50 Rates and monetary conditions15% prior
72
8/8 metrics · 6/6 votes
Yield curve (t10y3m) 36
Policy / real fed funds (real_fed_funds) 62
Real and nominal rate level (t10y_real, dgs10) 81
Rate momentum (t10y_real_3m_change, dgs10_3m_change) 86
Inflation compensation (t10yie) 64
Term premium (t10y_term_premium) 91 Macro deterioration15% prior
45
5/5 metrics · 3/3 votes
Leading growth (bbk_leading) 59 Labour (sahm, initial_claims, continuing_claims) 33 Housing / activity (building_permits_yoy) 43 Liquidity, leverage and funding15% prior
56
6/6 metrics · 3/3 votes
Liquidity stock (fed_bs, bank_reserves, on_rrp) 50 TGA liquidity impulse (tga_1m_change, tga_3m_change) 52 NFCI leverage (nfcileverage) 64 Valuation, risk appetite and earnings pressure10% prior
64
3/3 metrics · 2/2 votes · not scored: CAPE, ERP, EPS revisions, concentration
Inflation / energy pressure (cpi_yoy, brent_yoy) 76 Credit / risk-appetite valuation (hy_oas_richness) 36