# Macro Stress — 16 October 2026

Cross-asset market stress report for 16 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 | 67 | Elevated |
| Spreads and prices | 53 | Contained |
| Funding transmission | 47 | Contained |
| Cross-asset stress confirmation | 45 | Contained |

## Risk factors

| Factor | Score | State |
| --- | --- | --- |
| Credit spreads | 61 | Elevated |
| Price trend | 46 | Contained |
| Volatility | 45 | Contained |
| Rates | 79 | Severe |
| Inflation | 52 | Contained |
| Oil stress | 60 | Building |
| Funding | 52 | Contained |
| 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 | 323 bp | 2026-10-15
| HY widening · 1 sessions | -2.0000000000000018 bp | 2026-10-15
| HY widening · 5 sessions | 8.000000000000007 bp | 2026-10-15
| HY widening · 20 sessions | 52.99999999999998 bp | 2026-10-15
| HY widening · 60 sessions | 54.999999999999986 bp | 2026-10-15
| HY widening · 63 sessions | 50 bp | 2026-10-15
| IG OAS | 84 bp | 2026-10-15
| IG widening · 1 sessions | 0 bp | 2026-10-15
| IG widening · 5 sessions | 2.0000000000000018 bp | 2026-10-15
| IG widening · 20 sessions | 5.999999999999995 bp | 2026-10-15
| IG widening · 60 sessions | 5.999999999999995 bp | 2026-10-15
| IG widening · 63 sessions | 4.999999999999993 bp | 2026-10-15
| HY minus IG | 239 bp | 2026-10-15
| HY–IG divergence · 20 sessions | 46.99999999999997 bp | 2026-10-15
| HY acceleration · 20 sessions | 55.99999999999996 bp | 2026-10-15
| C&I lending standards | 0 % | 2026-07-01
| C&I tightening · quarterly change | -8.1 pp | 2026-07-01
| S&P drawdown · 252 sessions | -0.9575478997765674 % | 2026-10-15
| S&P return · 20 sessions | 1.3917693145634402 % | 2026-10-15
| S&P return · 60 sessions | 3.2684532255139453 % | 2026-10-15
| S&P distance from 50DMA | 0.47530001777764674 % | 2026-10-15
| S&P distance from 200DMA | 6.555656640156116 % | 2026-10-15
| 50DMA relative to 200DMA | 6.051593397882504 % | 2026-10-15
| VIX | 16.46 % | 2026-10-15
| VIX change · 5 sessions | 1.0500000000000007 pp | 2026-10-15
| VIX change · 20 sessions | 1.0200000000000014 pp | 2026-10-15
| S&P realized volatility · 20 sessions | 9.611002968577562 % | 2026-10-15
| VIX / VIX3M · implied maturity slope | 0.8902109248242295 ratio | 2026-10-15
| VVIX · volatility of volatility | 92.57 index | 2026-10-15
| SKEW · tail pricing | 160.45 index | 2026-10-15
| VIX minus realized volatility | 6.848997031422439 pp | 2026-10-15
| 10Y real yield | 2.78 % | 2026-10-15
| 10Y Treasury | 5.1 % | 2026-10-15
| 2Y Treasury | 4.77 % | 2026-10-15
| 3M Treasury | 4.28 % | 2026-10-15
| 10Y breakeven | 2.35 % | 2026-10-16
| 10Y term premium · THREEFYTP10 | 1.0729 % | 2026-10-09
| 10Y real yield change · 63 sessions | 0.46999999999999975 pp | 2026-10-15
| 10Y yield change · 63 sessions | 0.5499999999999998 pp | 2026-10-15
| 10Y–3M curve | 0.83 pp | 2026-10-16
| Curve inversion pressure | 0 pp | 2026-10-16
| Effective Fed funds · monthly | 3.75 % | 2026-09-01
| Ex-post real policy rate · core PCE | 0.6224040238143935 pp | 2026-08-01
| CPI YoY | 3.7172508442689933 % | 2026-09-01
| CPI · 3m annualized | 4.562342321211887 % | 2026-09-01
| Core CPI YoY | 2.565840844021827 % | 2026-09-01
| Core CPI · 3m annualized | 3.4124037788220596 % | 2026-09-01
| PPI commodities YoY | 12.842391262869501 % | 2026-09-01
| Brent return · 21 sessions | -3.249235474006129 % | 2026-10-14
| Brent return · 63 sessions | 55.7921950018466 % | 2026-10-14
| Brent return · 252 sessions | 97.27201870615743 % | 2026-10-14
| US regular gasoline | 4.331 $/gallon | 2026-10-12
| US regular gasoline return · 4 weeks | 0.2778420930771075 % | 2026-10-12
| US regular gasoline return · 13 weeks | 12.347600518806745 % | 2026-10-12
| US regular gasoline return · 52 weeks | 41.48970924534468 % | 2026-10-12
| US diesel | 6.179 $/gallon | 2026-10-12
| US diesel return · 4 weeks | -1.6865552903739034 % | 2026-10-12
| US diesel return · 13 weeks | 28.836530442035023 % | 2026-10-12
| US diesel return · 52 weeks | 68.59481582537516 % | 2026-10-12
| Brent volatility · 20 available oil prints | 78.72948317832747 % | 2026-10-14
| Wednesday liquidity proxy · 1 weeks | 10.175999999999476 $bn | 2026-10-14
| Wednesday liquidity proxy · 4 weeks | 120.14999999999964 $bn | 2026-10-14
| Wednesday liquidity proxy · 13 weeks | -77.28600000000097 $bn | 2026-10-14
| SOFR minus IORB | -0.9999999999999787 bp | 2026-10-15
| Reserve balances | 3022.14 $bn | 2026-10-14
| NFCI | -0.499 index | 2026-10-09
| NFCICREDIT | -0.036 index | 2026-10-09
| NFCILEVERAGE | 0.192 index | 2026-10-09
| Claims 4w average above 52w low | 0.12610340479193294 % | 2026-10-10
| Continuing claims · 13w slope | -8571.42857142857 claims/week | 2026-10-03
| Continuing claims increasing streak | 0 weeks | 2026-10-03
| 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