# Macro Stress — 7 October 2026

Cross-asset market stress report for 7 October 2026: Rates and inflation is Elevated.

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 and inflation is Elevated or Severe.

## Layer scores

| Layer | Score | State |
| --- | --- | --- |
| Rates and inflation | 62 | Elevated |
| Spreads and prices | 48 | Contained |
| Funding transmission | 50 | Contained |
| Cross-asset stress confirmation | 42 | Contained |

## Risk factors

| Factor | Score | State |
| --- | --- | --- |
| Credit spreads | 54 | Contained |
| Price trend | 42 | Contained |
| Volatility | 43 | Contained |
| Rates | 82 | Severe |
| Inflation | 39 | Contained |
| Oil stress | 45 | Contained |
| Funding | 60 | 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 | 303 bp | 2026-10-06 | 809 / 2520
| HY widening · 1 sessions | -9.00000000000003 bp | 2026-10-06 | 773 / 2520
| HY widening · 5 sessions | -5.000000000000027 bp | 2026-10-06 | 769 / 2520
| HY widening · 20 sessions | 35.999999999999986 bp | 2026-10-06 | 754 / 2520
| HY widening · 60 sessions | 33.999999999999986 bp | 2026-10-06 | 714 / 2520
| HY widening · 63 sessions | 32.999999999999964 bp | 2026-10-06 | 711 / 2520
| IG OAS | 83 bp | 2026-10-06 | 808 / 2520
| IG widening · 1 sessions | -1.0000000000000009 bp | 2026-10-06 | 771 / 2520
| IG widening · 5 sessions | -1.0000000000000009 bp | 2026-10-06 | 767 / 2520
| IG widening · 20 sessions | 1.9999999999999907 bp | 2026-10-06 | 752 / 2520
| IG widening · 60 sessions | 4.999999999999993 bp | 2026-10-06 | 712 / 2520
| IG widening · 63 sessions | 6.999999999999995 bp | 2026-10-06 | 709 / 2520
| HY minus IG | 219.99999999999997 bp | 2026-10-06 | 808 / 2520
| HY–IG divergence · 20 sessions | 33.99999999999997 bp | 2026-10-06 | 752 / 2520
| HY acceleration · 20 sessions | 39.000000000000014 bp | 2026-10-06 | 734 / 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 % | 2026-10-06 | 2283 / 2520
| S&P return · 20 sessions | 1.8949582460200842 % | 2026-10-06 | 2514 / 2520
| S&P return · 60 sessions | 4.039604329278523 % | 2026-10-06 | 2474 / 2520
| S&P distance from 50DMA | 1.9019114879292642 % | 2026-10-06 | 2485 / 2520
| S&P distance from 200DMA | 8.053366624589465 % | 2026-10-06 | 2335 / 2520
| 50DMA relative to 200DMA | 6.036643520066698 % | 2026-10-06 | 2335 / 2520
| VIX | 15.01 % | 2026-10-06 | 2520 / 2520
| VIX · 20-print normalization | 15.01 % | 2026-10-06 | 20 / 20
| VIX change · 5 sessions | -1.0299999999999994 pp | 2026-10-06 | 2520 / 2520
| VIX change · 20 sessions | -0.7100000000000009 pp | 2026-10-06 | 2514 / 2520
| S&P realized volatility · 20 sessions | 10.394234350321529 % | 2026-10-06 | 2514 / 2520
| VIX / VIX3M · implied maturity slope | 0.850907029478458 ratio | 2026-10-06 | 2520 / 2520
| VVIX · volatility of volatility | 82.59 index | 2026-10-06 | 2520 / 2520
| SKEW · tail pricing | 141.21 index | 2026-10-06 | 2520 / 2520
| VIX minus realized volatility | 4.615765649678471 pp | 2026-10-06 | 2514 / 2520
| 10Y real yield | 2.91 % | 2026-10-06 | 2520 / 2520
| 10Y Treasury | 5.27 % | 2026-10-06 | 2520 / 2520
| 2Y Treasury | 4.79 % | 2026-10-06 | 2520 / 2520
| 3M Treasury | 4.21 % | 2026-10-06 | 2520 / 2520
| 10Y breakeven | 2.36 % | 2026-10-07 | 2520 / 2520
| 10Y term premium · THREEFYTP10 | 1.0847 % | 2026-10-02 | 2520 / 2520
| 10Y real yield change · 63 sessions | 0.6000000000000001 pp | 2026-10-06 | 2437 / 2520
| 10Y yield change · 63 sessions | 0.71 pp | 2026-10-06 | 2437 / 2520
| 10Y–3M curve | 1.06 pp | 2026-10-07 | 2520 / 2520
| Curve inversion pressure | 0 pp | 2026-10-07 | 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 | 22.691705790297334 % | 2026-10-06 | 2439 / 2520
| Brent return · 63 sessions | 63.97385620915033 % | 2026-10-06 | 2398 / 2520
| Brent return · 252 sessions | 89.6869801905338 % | 2026-10-06 | 2216 / 2520
| US regular gasoline | 4.354 $/gallon | 2026-10-05 | 520 / 520
| US regular gasoline return · 4 weeks | 4.738994467163815 % | 2026-10-05 | 520 / 520
| US regular gasoline return · 13 weeks | 15.276674609478412 % | 2026-10-05 | 520 / 520
| US regular gasoline return · 52 weeks | 39.37259923175416 % | 2026-10-05 | 520 / 520
| US diesel | 6.199 $/gallon | 2026-10-05 | 520 / 520
| US diesel return · 4 weeks | 3.8880509468744773 % | 2026-10-05 | 520 / 520
| US diesel return · 13 weeks | 35.40847531673219 % | 2026-10-05 | 520 / 520
| US diesel return · 52 weeks | 67.0439234707626 % | 2026-10-05 | 520 / 520
| Brent volatility · 20 available oil prints | 90.41990355538756 % | 2026-10-06 | 2520 / 2520
| Oil persistence · available prints in 30 sessions (≥80% coverage) | 71.42857142857143 % | 2026-10-06 | 2133 / 2520
| Persistent positive oil shock | 1.1228774059166504 z × persistence | 2026-10-06 | 2133 / 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 | 0 bp | 2026-10-06 | 1294 / 2520
| Reserve balances | 2948.09 $bn | 2026-09-30 | 520 / 520
| NFCI | -0.494 index | 2026-10-02 | 520 / 520
| NFCICREDIT | -0.026 index | 2026-10-02 | 520 / 520
| NFCILEVERAGE | 0.137 index | 2026-10-02 | 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.