# Macro Stress — 5 October 2026

Cross-asset market stress report for 5 October 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 |
| --- | --- | --- |
| Rates and inflation | 56 | Building |
| Spreads and prices | 51 | Contained |
| Funding transmission | 48 | Contained |
| Cross-asset stress confirmation | 46 | Contained |

## Risk factors

| Factor | Score | State |
| --- | --- | --- |
| Credit spreads | 57 | Building |
| Price trend | 47 | Contained |
| Volatility | 45 | Contained |
| Rates | 83 | Severe |
| Inflation | 39 | Contained |
| Oil stress | 21 | Contained |
| Funding | 55 | Building |
| Labour | 48 | 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.

## Published inputs

| Input | Reading | Observation date | Prior observations / target |
| --- | --- | --- | --- |
| HY OAS | 310 bp | 2026-10-02 | 807 / 2520
| HY widening · 1 sessions | -14.000000000000012 bp | 2026-10-02 | 771 / 2520
| HY widening · 5 sessions | 16.999999999999993 bp | 2026-10-02 | 767 / 2520
| HY widening · 20 sessions | 45.000000000000014 bp | 2026-10-02 | 752 / 2520
| HY widening · 60 sessions | 39.99999999999999 bp | 2026-10-02 | 712 / 2520
| HY widening · 63 sessions | 37.999999999999986 bp | 2026-10-02 | 709 / 2520
| IG OAS | 85 bp | 2026-10-02 | 806 / 2520
| IG widening · 1 sessions | -1.0000000000000009 bp | 2026-10-02 | 769 / 2520
| IG widening · 5 sessions | 3.9999999999999925 bp | 2026-10-02 | 765 / 2520
| IG widening · 20 sessions | 3.9999999999999925 bp | 2026-10-02 | 750 / 2520
| IG widening · 60 sessions | 8.999999999999996 bp | 2026-10-02 | 710 / 2520
| IG widening · 63 sessions | 9.999999999999998 bp | 2026-10-02 | 707 / 2520
| HY minus IG | 225 bp | 2026-10-02 | 806 / 2520
| HY–IG divergence · 20 sessions | 41 bp | 2026-10-02 | 750 / 2520
| HY acceleration · 20 sessions | 51.00000000000002 bp | 2026-10-02 | 732 / 2520
| C&I lending standards | 0 % | 2026-07-01 | 40 / 40
| C&I tightening · quarterly change | -8.1 pp | 2026-07-01 | 40 / 40
| S&P drawdown · 252 sessions | -0.9779471444379295 % | 2026-10-02 | 2281 / 2520
| S&P return · 20 sessions | -0.3225469203158027 % | 2026-10-02 | 2512 / 2520
| S&P return · 60 sessions | 2.3739202825161287 % | 2026-10-02 | 2472 / 2520
| S&P distance from 50DMA | 0.8498438553278032 % | 2026-10-02 | 2483 / 2520
| S&P distance from 200DMA | 6.8767518430853825 % | 2026-10-02 | 2333 / 2520
| 50DMA relative to 200DMA | 5.976120296629683 % | 2026-10-02 | 2333 / 2520
| VIX | 15.31 % | 2026-10-02 | 2520 / 2520
| VIX · 20-print normalization | 15.31 % | 2026-10-02 | 20 / 20
| VIX change · 5 sessions | 0.4400000000000013 pp | 2026-10-02 | 2520 / 2520
| VIX change · 20 sessions | 0.9900000000000002 pp | 2026-10-02 | 2512 / 2520
| S&P realized volatility · 20 sessions | 10.321108303396507 % | 2026-10-02 | 2512 / 2520
| VIX / VIX3M · implied maturity slope | 0.8500832870627428 ratio | 2026-10-02 | 2520 / 2520
| VVIX · volatility of volatility | 87.02 index | 2026-10-02 | 2520 / 2520
| SKEW · tail pricing | 144.88 index | 2026-10-02 | 2520 / 2520
| VIX minus realized volatility | 4.988891696603494 pp | 2026-10-02 | 2512 / 2520
| 10Y real yield | 2.92 % | 2026-10-02 | 2520 / 2520
| 10Y Treasury | 5.28 % | 2026-10-02 | 2520 / 2520
| 2Y Treasury | 4.83 % | 2026-10-02 | 2520 / 2520
| 3M Treasury | 4.19 % | 2026-10-02 | 2520 / 2520
| 10Y breakeven | 2.36 % | 2026-10-05 | 2520 / 2520
| 10Y term premium · THREEFYTP10 | 1.0203 % | 2026-09-25 | 2520 / 2520
| 10Y real yield change · 63 sessions | 0.6799999999999997 pp | 2026-10-02 | 2435 / 2520
| 10Y yield change · 63 sessions | 0.7999999999999998 pp | 2026-10-02 | 2435 / 2520
| 10Y–3M curve | 1.09 pp | 2026-10-05 | 2520 / 2520
| Curve inversion pressure | 0 pp | 2026-10-05 | 2520 / 2520
| Effective Fed funds · monthly | 3.75 % | 2026-09-01 | 120 / 120
| Ex-post real policy rate · core PCE | 0.6224040238143935 pp | 2026-08-01 | 120 / 120
| CPI YoY | 3.353016322755642 % | 2026-08-01 | 120 / 120
| CPI · 3m annualized | 0.18217169162264568 % | 2026-08-01 | 120 / 120
| Core CPI YoY | 2.4461631786472537 % | 2026-08-01 | 120 / 120
| Core CPI · 3m annualized | 1.9708388578664415 % | 2026-08-01 | 120 / 120
| PPI commodities YoY | 9.85006295066957 % | 2026-08-01 | 120 / 120
| Brent return · 21 sessions | 26.97493036211698 % | 2026-09-29 | 2435 / 2520
| Brent return · 63 sessions | 61.7371558330968 % | 2026-09-29 | 2393 / 2520
| Brent return · 252 sessions | 60.16865776528459 % | 2026-09-29 | 2211 / 2520
| US regular gasoline | 4.465 $/gallon | 2026-09-28 | 520 / 520
| US regular gasoline return · 4 weeks | 9.678211741586829 % | 2026-09-28 | 520 / 520
| US regular gasoline return · 13 weeks | 16.549203863221095 % | 2026-09-28 | 520 / 520
| US regular gasoline return · 52 weeks | 43.200769724182166 % | 2026-09-28 | 520 / 520
| US diesel | 6.382 $/gallon | 2026-09-28 | 520 / 520
| US diesel return · 4 weeks | 13.984640114306114 % | 2026-09-28 | 520 / 520
| US diesel return · 13 weeks | 36.71808054841472 % | 2026-09-28 | 520 / 520
| US diesel return · 52 weeks | 70.0053276505061 % | 2026-09-28 | 520 / 520
| Brent volatility · 20 available oil prints | 63.08674439662241 % | 2026-09-29 | 2520 / 2520
| Oil persistence · available prints in 30 sessions (≥80% coverage) | 53.57142857142857 % | 2026-09-29 | 2128 / 2520
| Persistent positive oil shock | 0.5164451294467298 z × persistence | 2026-09-29 | 2128 / 2520
| Wednesday liquidity proxy · 1 weeks | -52.47999999999956 $bn | 2026-09-30 | 520 / 520
| Wednesday liquidity proxy · 4 weeks | -44.8690000000006 $bn | 2026-09-30 | 520 / 520
| Wednesday liquidity proxy · 13 weeks | -168.7579999999998 $bn | 2026-09-30 | 520 / 520
| SOFR minus IORB | -2.0000000000000018 bp | 2026-10-02 | 1292 / 2520
| Reserve balances | 2948.09 $bn | 2026-09-30 | 520 / 520
| NFCI | -0.548 index | 2026-09-25 | 520 / 520
| NFCICREDIT | -0.061 index | 2026-09-25 | 520 / 520
| NFCILEVERAGE | 0.084 index | 2026-09-25 | 520 / 520
| Claims 4w average above 52w low | 0.5025125628140614 % | 2026-09-26 | 520 / 520
| Continuing claims · 13w slope | -8417.582417582418 claims/week | 2026-09-19 | 520 / 520
| Continuing claims increasing streak | 0 weeks | 2026-09-19 | 520 / 520
| Sahm rule | 0 pp | 2026-09-01 | 120 / 120
| Unemployment change · 3m | 0 pp | 2026-09-01 | 120 / 120
| Payroll growth · 3m | 0.0956624625531699 % | 2026-09-01 | 120 / 120
| Manufacturing hours change · 3m | 0.29999999999999716 hours | 2026-09-01 | 120 / 120
| Temporary employment growth · 3m | -0.8255234297108616 % | 2026-09-01 | 120 / 120

## 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.