# Macro Stress — 26 September 2026

Cross-asset market stress report for 26 September 2026: Rates is Severe while credit, funding and liquidity have not confirmed systemic deleveraging.

Scores are relative to each series' own history, not loss probabilities. Building pressure begins at 55. A severe factor is not book-level stress until credit, funding and liquidity confirm it.

## 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 |
| --- | --- | --- |
| Macro and valuation | 55 | Building |
| Spreads and prices | 44 | Contained |
| Funding transmission | 47 | Contained |
| Liquidity and deleveraging | 43 | Contained |

## Risk factors

| Factor | Score | State |
| --- | --- | --- |
| Credit spreads | 44 | Contained |
| Price trend | 45 | Contained |
| Volatility | 41 | Contained |
| Rates | 81 | Severe |
| Inflation | 39 | Contained |
| Oil stress | 19 | Contained |
| Funding | 52 | Contained |
| Labour | 47 | Contained |

## Limits

No validated 63-session model artifact. Long equity/credit history and out-of-sample calibration are required.

- 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 normalization uses available history; FRED HY/IG history is limited to three years.
- Liquidity uses same-date Wednesday Fed assets, TGA and RRP balances. It remains a balance-sheet proxy; historical release timing is unverified.

## Sources

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

Model 2026.09.17.6. Current-vintage inputs as of the report date; historical publication timestamps are not verified. Daily horizon changes use observed S&P sessions; levels retain the latest source print. Oil volatility uses available oil prints.