# Macro Stress — 16 September 2026

Cross-asset market stress report for 16 September 2026: Rates is Severe while credit, funding and liquidity have not confirmed systemic deleveraging.



Scores are research indicators, not loss probabilities.

## Desk read

Rates is Severe. Spreads, funding and liquidity have not confirmed it. This is a single-factor reading, not a deleveraging signal.

## Layer scores

| Layer | Score | State |
| --- | --- | --- |
| Rates and inflation | 52 | Building |
| Spreads and prices | 46 | Building |
| Funding transmission | 47 | Building |
| Cross-asset stress confirmation | 44 | Building |

## Risk factors

| Factor | Score | State |
| --- | --- | --- |
| Credit spreads | 44 | Building |
| Price trend | 51 | Building |
| Volatility | 46 | Building |
| Rates | 78 | Severe |
| Inflation | 39 | Contained |
| Oil stress | 14 | Contained |
| Funding | 50 | Building |
| Labour | 47 | Building |

## Limits

Downturn probabilities are unavailable pending sufficient historical validation.

- Constituent breadth, A/D and highs/lows: historical membership and price feed required.
- Earnings revisions: consistent consensus estimates and revision history required; direction unknown.
- Private credit: filings extraction and representative issuer coverage required.
- Forced selling: dealer gamma, CTA and vol-control exposure feeds unavailable.
- VIX3M, VVIX and SKEW are diagnostics only; futures contango, relative indices and equity correlation still require data.
- Credit comparisons have limited historical coverage.
- Liquidity is a mixed-basis proxy: Wednesday Fed assets, weekly-average TGA and daily RRP. Historical release timing is unverified.

## Published inputs

| Input | Reading | Observation date |
| --- | --- | --- |
| HY OAS | 276 bp | 2026-09-15
| HY widening · 1 sessions | 4.999999999999982 bp | 2026-09-15
| HY widening · 5 sessions | 8.999999999999986 bp | 2026-09-15
| HY widening · 20 sessions | 5.999999999999961 bp | 2026-09-15
| HY widening · 60 sessions | 9.999999999999964 bp | 2026-09-15
| HY widening · 63 sessions | 9.999999999999964 bp | 2026-09-15
| IG OAS | 80 bp | 2026-09-15
| IG widening · 1 sessions | 0 bp | 2026-09-15
| IG widening · 5 sessions | -1.0000000000000009 bp | 2026-09-15
| IG widening · 20 sessions | -1.0000000000000009 bp | 2026-09-15
| IG widening · 60 sessions | 6.000000000000005 bp | 2026-09-15
| IG widening · 63 sessions | 7.000000000000006 bp | 2026-09-15
| HY minus IG | 195.99999999999997 bp | 2026-09-15
| HY–IG divergence · 20 sessions | 6.999999999999972 bp | 2026-09-15
| HY acceleration · 20 sessions | 4.999999999999938 bp | 2026-09-15
| C&I lending standards | 0 % | 2026-07-01
| C&I tightening · quarterly change | -8.1 pp | 2026-07-01
| S&P drawdown · 252 sessions | -2.7344566411804605 % | 2026-09-15
| S&P return · 20 sessions | -2.057182255528045 % | 2026-09-15
| S&P return · 60 sessions | 1.135245541011498 % | 2026-09-15
| S&P distance from 50DMA | -0.3325432529588501 % | 2026-09-15
| S&P distance from 200DMA | 5.780112801088899 % | 2026-09-15
| 50DMA relative to 200DMA | 6.133051101686937 % | 2026-09-15
| VIX | 17.2 % | 2026-09-15
| VIX change · 5 sessions | 1.4799999999999986 pp | 2026-09-15
| VIX change · 20 sessions | 2.01 pp | 2026-09-15
| S&P realized volatility · 20 sessions | 9.055863058961371 % | 2026-09-15
| VIX / VIX3M · implied maturity slope | 0.8884297520661157 ratio | 2026-09-15
| VVIX · volatility of volatility | 95.41 index | 2026-09-16
| SKEW · tail pricing | 146.61 index | 2026-09-15
| VIX minus realized volatility | 8.144136941038628 pp | 2026-09-15
| 10Y real yield | 2.62 % | 2026-09-15
| 10Y Treasury | 5 % | 2026-09-15
| 2Y Treasury | 4.67 % | 2026-09-15
| 3M Treasury | 4.11 % | 2026-09-15
| 10Y breakeven | 2.33 % | 2026-09-16
| 10Y term premium · THREEFYTP10 | 0.961 % | 2026-09-11
| 10Y real yield change · 63 sessions | 0.4700000000000002 pp | 2026-09-15
| 10Y yield change · 63 sessions | 0.5300000000000002 pp | 2026-09-15
| 10Y–3M curve | 0.87 pp | 2026-09-16
| Curve inversion pressure | 0 pp | 2026-09-16
| Effective Fed funds · monthly | 3.63 % | 2026-08-01
| Ex-post real policy rate · core PCE | 0.28585699596617165 pp | 2026-07-01
| CPI YoY | 3.353016322755642 % | 2026-08-01
| CPI · 3m annualized | 0.18217169162264568 % | 2026-08-01
| Core CPI YoY | 2.4461631786472537 % | 2026-08-01
| Core CPI · 3m annualized | 1.9708388578664415 % | 2026-08-01
| PPI commodities YoY | 9.85006295066957 % | 2026-08-01
| Brent return · 21 sessions | 42.1430123886112 % | 2026-09-15
| Brent return · 63 sessions | 55.04978662873401 % | 2026-09-15
| Brent return · 252 sessions | 92.72137910711655 % | 2026-09-15
| Brent volatility · 20 available oil prints | 59.81308892292086 % | 2026-09-15
| Mixed-basis liquidity proxy · 1 weeks | 88.10799999999927 $bn | 2026-09-09
| Mixed-basis liquidity proxy · 4 weeks | 61.572000000000116 $bn | 2026-09-09
| Mixed-basis liquidity proxy · 13 weeks | -40.03600000000006 $bn | 2026-09-09
| SOFR minus IORB | -0.9999999999999787 bp | 2026-09-15
| Reserve balances | 2991.31 $bn | 2026-09-09
| NFCI | -0.56 index | 2026-09-11
| NFCICREDIT | -0.071 index | 2026-09-11
| NFCILEVERAGE | 0.06 index | 2026-09-11
| Claims 4w average above 52w low | 3.5175879396984966 % | 2026-09-05
| Continuing claims · 13w slope | -3186.813186813187 claims/week | 2026-08-29
| Continuing claims increasing streak | 0 weeks | 2026-08-29
| Sahm rule | -0.07 pp | 2026-08-01
| Unemployment change · 3m | -0.20000000000000018 pp | 2026-08-01
| Payroll growth · 3m | 0.13470895940477234 % | 2026-08-01
| Manufacturing hours change · 3m | 0.10000000000000142 hours | 2026-08-01
| Temporary employment growth · 3m | 1.1603629647474634 % | 2026-08-01

## Sources

AWHMAN, BAMLC0A0CM, BAMLH0A0HYM2, CBOE_SKEW, CBOE_VIX3M, CBOE_VVIX, CCSA, CPIAUCSL, CPILFESL, DCOILBRENTEU, DFII10, DGS10, DGS2, DGS3MO, DRTSCILM, FEDFUNDS, IC4WSA, IORB, NFCI, NFCICREDIT, NFCILEVERAGE, PAYEMS, PCEPILFE, PPIACO, RRPONTSYD, SAHMREALTIME, SOFR, SP500, T10Y3M, T10YIE, TEMPHELPS, THREEFYTP10, UNRATE, VIXCLS, WALCL, WRESBAL, WTREGEN