# Macro Stress — 19 October 2026

Cross-asset market stress report for 19 October 2026: Rates and inflation is Elevated.

Historical reconstruction created 2026-11-10T11:59:08.969Z; evidence cutoff 2026-10-19T23:59:59Z. This was not published on the historical date. Economic vintages and cross-checked equity closes have different revision-history coverage. Source details: https://www.macrostress.com/reports/2026-10-19.

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 | 57 | Building |
| Funding transmission | 47 | Contained |
| Cross-asset stress confirmation | 49 | Contained |

## Risk factors

| Factor | Score | State |
| --- | --- | --- |
| Credit spreads | 66 | Elevated |
| Price trend | 49 | Contained |
| Volatility | 49 | Contained |
| Rates | 78 | Severe |
| Inflation | 52 | Contained |
| Oil stress | 59 | Building |
| Funding | 51 | 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.
- Cboe-only diagnostic vintage archives were not collected; no present-day Cboe history was substituted.

## Published inputs

| Input | Reading | Observation date |
| --- | --- | --- |
| HY OAS | 329 bp | 2026-10-19
| HY widening · 1 sessions | -2.0000000000000018 bp | 2026-10-19
| HY widening · 5 sessions | 18.000000000000014 bp | 2026-10-19
| HY widening · 20 sessions | 62.999999999999986 bp | 2026-10-19
| HY widening · 60 sessions | 50 bp | 2026-10-19
| HY widening · 63 sessions | 60.00000000000001 bp | 2026-10-19
| IG OAS | 87 bp | 2026-10-19
| IG widening · 1 sessions | 2.0000000000000018 bp | 2026-10-19
| IG widening · 5 sessions | 4.0000000000000036 bp | 2026-10-19
| IG widening · 20 sessions | 9.999999999999998 bp | 2026-10-19
| IG widening · 60 sessions | 6.999999999999995 bp | 2026-10-19
| IG widening · 63 sessions | 8.999999999999996 bp | 2026-10-19
| HY minus IG | 242 bp | 2026-10-19
| HY–IG divergence · 20 sessions | 53 bp | 2026-10-19
| HY acceleration · 20 sessions | 67 bp | 2026-10-19
| C&I lending standards | 0 % | 2026-07-01
| C&I tightening · quarterly change | -8.1 pp | 2026-07-01
| S&P drawdown · 252 sessions | -1.6396105349453238 % | 2026-10-19
| S&P return · 20 sessions | -0.9526446610944483 % | 2026-10-19
| S&P return · 60 sessions | 3.7608034560265846 % | 2026-10-19
| S&P distance from 50DMA | -0.18621485726686426 % | 2026-10-19
| S&P distance from 200DMA | 5.7048836635407385 % | 2026-10-19
| 50DMA relative to 200DMA | 5.902089087577811 % | 2026-10-19
| VIX | 18.44 % | 2026-10-19
| VIX change · 5 sessions | 3.2300000000000004 pp | 2026-10-19
| VIX change · 20 sessions | 3.570000000000002 pp | 2026-10-19
| S&P realized volatility · 20 sessions | 9.042131797736772 % | 2026-10-19
| VIX / VIX3M · implied maturity slope | Unavailable | Unknown
| VVIX · volatility of volatility | Unavailable | Unknown
| SKEW · tail pricing | Unavailable | Unknown
| VIX minus realized volatility | 9.39786820226323 pp | 2026-10-19
| 10Y real yield | 2.74 % | 2026-10-16
| 10Y Treasury | 5.09 % | 2026-10-16
| 2Y Treasury | 4.74 % | 2026-10-16
| 3M Treasury | 4.26 % | 2026-10-16
| 10Y breakeven | 2.35 % | 2026-10-19
| 10Y term premium · THREEFYTP10 | 1.0729 % | 2026-10-09
| 10Y real yield change · 63 sessions | 0.3900000000000001 pp | 2026-10-16
| 10Y yield change · 63 sessions | 0.4900000000000002 pp | 2026-10-16
| 10Y–3M curve | 0.88 pp | 2026-10-19
| Curve inversion pressure | 0 pp | 2026-10-19
| 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 | -2.0000000000000018 bp | 2026-10-16
| 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