# Macro Stress — 12 October 2026

Cross-asset market stress report for 12 October 2026: Rates and inflation is Elevated.



Scores are research indicators, not loss probabilities.

## Desk read

Rates and inflation is Elevated or Severe.

## Layer scores

| Layer | Score | State |
| --- | --- | --- |
| Rates and inflation | 61 | Elevated |
| Spreads and prices | 50 | Contained |
| Funding transmission | 48 | Contained |
| Cross-asset stress confirmation | 42 | Contained |

## Risk factors

| Factor | Score | State |
| --- | --- | --- |
| Credit spreads | 58 | Building |
| Price trend | 43 | Contained |
| Volatility | 42 | Contained |
| Rates | 81 | Severe |
| Inflation | 39 | Contained |
| Oil stress | 45 | Contained |
| Funding | 56 | Building |
| Labour | 48 | Contained |

## 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 balance-sheet proxy; historical release timing is unverified.

## Published inputs

| Input | Reading | Observation date |
| --- | --- | --- |
| HY OAS | 315 bp | 2026-10-08
| HY widening · 1 sessions | 6.000000000000005 bp | 2026-10-08
| HY widening · 5 sessions | -9.00000000000003 bp | 2026-10-08
| HY widening · 20 sessions | 44.99999999999997 bp | 2026-10-08
| HY widening · 60 sessions | 43.99999999999999 bp | 2026-10-08
| HY widening · 63 sessions | 46 bp | 2026-10-08
| IG OAS | 82 bp | 2026-10-08
| IG widening · 1 sessions | 0 bp | 2026-10-08
| IG widening · 5 sessions | -4.0000000000000036 bp | 2026-10-08
| IG widening · 20 sessions | 1.9999999999999907 bp | 2026-10-08
| IG widening · 60 sessions | 2.9999999999999916 bp | 2026-10-08
| IG widening · 63 sessions | 4.999999999999993 bp | 2026-10-08
| HY minus IG | 233 bp | 2026-10-08
| HY–IG divergence · 20 sessions | 43 bp | 2026-10-08
| HY acceleration · 20 sessions | 45.99999999999995 bp | 2026-10-08
| C&I lending standards | 0 % | 2026-07-01
| C&I tightening · quarterly change | -8.1 pp | 2026-07-01
| S&P drawdown · 252 sessions | -0.09451421102376623 % | 2026-10-09
| S&P return · 20 sessions | 2.0185503945419736 % | 2026-10-09
| S&P return · 60 sessions | 3.686998673970665 % | 2026-10-09
| S&P distance from 50DMA | 1.4891855553727629 % | 2026-10-09
| S&P distance from 200DMA | 7.73603302372825 % | 2026-10-09
| 50DMA relative to 200DMA | 6.155185337404445 % | 2026-10-09
| VIX | 14.84 % | 2026-10-09
| VIX change · 5 sessions | -0.47000000000000064 pp | 2026-10-09
| VIX change · 20 sessions | -1 pp | 2026-10-09
| S&P realized volatility · 20 sessions | 9.9258342955549 % | 2026-10-09
| VIX / VIX3M · implied maturity slope | 0.8351153629713 ratio | 2026-10-09
| VVIX · volatility of volatility | 84.88 index | 2026-10-09
| SKEW · tail pricing | 154.34 index | 2026-10-09
| VIX minus realized volatility | 4.9141657044451 pp | 2026-10-09
| 10Y real yield | 2.87 % | 2026-10-08
| 10Y Treasury | 5.22 % | 2026-10-08
| 2Y Treasury | 4.75 % | 2026-10-08
| 3M Treasury | 4.23 % | 2026-10-08
| 10Y breakeven | 2.33 % | 2026-10-09
| 10Y term premium · THREEFYTP10 | 1.0847 % | 2026-10-02
| 10Y real yield change · 63 sessions | 0.5500000000000003 pp | 2026-10-08
| 10Y yield change · 63 sessions | 0.6600000000000001 pp | 2026-10-08
| 10Y–3M curve | 0.99 pp | 2026-10-09
| Curve inversion pressure | 0 pp | 2026-10-09
| Effective Fed funds · monthly | 3.75 % | 2026-09-01
| Ex-post real policy rate · core PCE | 0.6224040238143935 pp | 2026-08-01
| 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 | 22.691705790297334 % | 2026-10-06
| Brent return · 63 sessions | 63.97385620915033 % | 2026-10-06
| Brent return · 252 sessions | 89.6869801905338 % | 2026-10-06
| US regular gasoline | 4.354 $/gallon | 2026-10-05
| US regular gasoline return · 4 weeks | 4.738994467163815 % | 2026-10-05
| US regular gasoline return · 13 weeks | 15.276674609478412 % | 2026-10-05
| US regular gasoline return · 52 weeks | 39.37259923175416 % | 2026-10-05
| US diesel | 6.199 $/gallon | 2026-10-05
| US diesel return · 4 weeks | 3.8880509468744773 % | 2026-10-05
| US diesel return · 13 weeks | 35.40847531673219 % | 2026-10-05
| US diesel return · 52 weeks | 67.0439234707626 % | 2026-10-05
| Brent volatility · 20 available oil prints | 90.41990355538756 % | 2026-10-06
| Wednesday liquidity proxy · 1 weeks | 111.9930000000004 $bn | 2026-10-07
| Wednesday liquidity proxy · 4 weeks | -37.042999999999665 $bn | 2026-10-07
| Wednesday liquidity proxy · 13 weeks | -123.57900000000063 $bn | 2026-10-07
| SOFR minus IORB | -2.9999999999999805 bp | 2026-10-08
| Reserve balances | 3029.659 $bn | 2026-10-07
| NFCI | -0.494 index | 2026-10-02
| NFCICREDIT | -0.026 index | 2026-10-02
| NFCILEVERAGE | 0.137 index | 2026-10-02
| Claims 4w average above 52w low | 0 % | 2026-10-03
| Continuing claims · 13w slope | -8247.252747252747 claims/week | 2026-09-26
| Continuing claims increasing streak | 1 weeks | 2026-09-26
| Sahm rule | 0 pp | 2026-09-01
| Unemployment change · 3m | 0 pp | 2026-09-01
| Payroll growth · 3m | 0.0956624625531699 % | 2026-09-01
| Manufacturing hours change · 3m | 0.29999999999999716 hours | 2026-09-01
| Temporary employment growth · 3m | -0.8255234297108616 % | 2026-09-01

## 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