Cross-asset stress
Reading market observations
In progressCalculating cross-asset stress
WaitingAssembling the risk report
WaitingDisclaimer. For informational and research purposes only. Not investment, financial, legal, or tax advice, and not an offer or solicitation to buy, sell, or hold any security or to take any action.
Market Fragility
3 Oct 2026
53
/ 100Elevated
High-yield 3.24% is confirming stress. This is a crash warning, not only a valuation setup.
Stress impulse
Average
47 / 100
About typical. Mean of the five channels. 50 is typical — not how much fragility moved in 3 months.
Spreads
87
Repo
42
FCI
59
Price
47
Labor
0
Credit and funding conditions are quiet
Valuation and rates are the sourced pressure.
Doing the damage
Valuation
64
Rates
72
10Y
5.24%
3m Δ
0.75 pp
CPI
+3.4% YoY
Brent YoY
+66.3% YoY
A crash warning needs credit, labor, or trend to break.
What would confirm
HY OAS
3.24%
SLOOS
0.00%
Level, 0–100. Higher is worse.
Rates and monetary conditions
72
Valuation, risk appetite and earnings pressure
64
Liquidity, leverage and funding
56
Market internals and vol
48
Macro deterioration
45
Credit and financial stress
43
Ares Capital Corporation (ARCC): non-accruals at amortized cost increased to 2.4% from 1.8%.
2026-06-30 versus 2025-12-31. Published 2026-07-29. Checked 2026-09-16.
One issuer, dated filing evidence. Excluded from scores; no industry-wide default or private-credit conclusion.
View SEC source · amortized cost basis2026 midterm · 32 days to 3 Nov
Late summer / autumn
A 15–20% drawdown remains a credible 2026 bear-case, especially given expensive assets, high real yields, and little downside currently priced. Midterm seasonality raises the vulnerability of the September–October window, but history alone does not imply another 20% decline from today's level.
Midterm-year max drawdown
~18%
vs ~12.4% other years
Aug 1 to election
+1.7%
Average S&P return since 1974
From S&P 7,722.72
Ordinary 10% correction
6,950
-10%
Typical midterm intra-year drawdown
6,333
-18%
Bear-case 20% zone
6,178
-20%
Deeper reset (~23%)
5,946
-23%
HY spreads widening
Elevated
HY 3.24%
| Metric | Date | Value | Z (up to 10y) | Risk |
|---|---|---|---|---|
| 10Y Treasury Term Premium | 2026-09-25 | 1.02% | 2.43 | +2.29 |
| Brent Crude YoY | 2026-09-29 | +66.3% YoY | 1.10 | +1.94 |
| 10Y Yield 3m Change | 2026-10-01 | 0.75 pp | 1.54 | +1.78 |
| 10Y Real Yield 3m Change | 2026-10-01 | 0.62 pp | 1.58 | +1.78 |
| 10Y Real Yield (TIPS) | 2026-10-01 | 2.88% | 1.98 | +1.49 |
| 10Y Treasury Yield |
EBP
-0.32 pp
Claims
200k
Sahm
0.00 pp
Impulse vs level
Spreads
87
3-month HY Δ 0.52 pp · level still 3.24%
Credit stress
43
Pillar level — not the impulse tape
Labor
0
Claims and Sahm are not deteriorating
Macro
45
Slower growth / housing / labour level
Vulnerability conditions
Index still near highs
Observed
S&P 52w drawdown -0.98%
High or rising 10-year yields
Observed
10Y 5.24% · 3m Δ 0.75 pp
Inflation or energy constraint
Observed
CPI +3.4% YoY · Brent YoY +66.3% YoY
Market confirmation
Credit confirmation
Observed
HY OAS 3.24% · SLOOS 0.00%
Trend / drawdown confirmation
Not observed
3m return 2.46% · vs 200d 6.88% · drawdown -0.98%
| 2026-10-01 |
| 5.24% |
| 1.92 |
| +1.39 |
| Initial Jobless Claims (4w avg) | 2026-09-26 | 200k | -0.31 | -1.30 |
| Excess Bond Premium | 2026-07-01 | -0.32 pp | -0.62 | -0.91 |
| Continuing Claims | 2026-09-19 | 1.70M | -0.33 | -0.69 |
| CPI YoY | 2026-08-01 | +3.4% YoY | 0.05 | +0.61 |
| 10Y - 3M Treasury Spread | 2026-10-02 | 1.09 pp | 0.71 | -0.59 |
| NFCI Leverage Subindex | 2026-09-25 | 0.08 | 0.51 | +0.57 |
| HY OAS (valuation / tightness) | 2026-10-01 | 3.24% | 0.27 | -0.56 |
| High Yield OAS | 2026-10-01 | 3.24% | 0.27 | +0.56 |
| NFCI Credit Subindex | 2026-09-25 | -0.06 | -0.57 | -0.56 |
| 10Y Breakeven Inflation | 2026-10-02 | 2.36% | 0.72 | +0.56 |
| Real Fed Funds Rate | 2026-09-01 | 0.74 pp | 0.57 | +0.50 |
| Fed Balance Sheet | 2026-09-30 | $6.74T | 0.18 | -0.44 |
| TGA 3m Change | 2026-09-30 | $68.4B | 0.20 | +0.38 |
| S&P 500 3m Return | 2026-10-02 | 2.46% | -0.15 | +0.38 |
| BBK Leading Index | 2026-07-01 | -0.60 | -0.38 | +0.35 |
| SLOOS Net Tightening (C&I) | 2026-07-01 | 0.00% | -0.40 | -0.35 |
| S&P 500 20d Realized Vol | 2026-10-02 | 10.32% | -0.44 | -0.32 |
| ON Reverse Repo (RRP) | 2026-10-02 | $1.5B | -1.04 | +0.30 |
| S&P 500 Drawdown (52w High) | 2026-10-02 | -0.98% | 0.56 | -0.27 |
| Building Permits YoY | 2026-08-01 | +4.2% YoY | 0.14 | -0.27 |
| Sahm Rule | 2026-09-01 | 0.00 pp | -0.34 | -0.20 |
| TGA 1m Change | 2026-09-30 | $-19.3B | -0.17 | -0.18 |
| Bank Reserves | 2026-09-30 | $2.95T | 0.16 | +0.15 |
| VIX | 2026-10-01 | 16.39 | -0.31 | -0.11 |
| S&P 500 vs 200d MA | 2026-10-02 | 6.88% | 0.28 | -0.10 |
| Investment Grade OAS | 2026-10-01 | 0.86% | -0.28 | +0.10 |