Credit Stress

ELEVATED Mar 8, 2026 50.8 composite

CREDIT STRESS INDICATOR

Composite Score: 50.8 / 100 [ELEVATED] >>-

[FORWARD-LOOKING RISK SIGNAL] Credit stress is the primary forward-looking indicator in the Signals system. Elevated readings (>50) correlate with deeper drawdowns over the next 1-3 weeks (Spearman rho = -0.23 with 21-day forward MDD).

INTERPRETATION

Credit stress is building. This is the strongest forward-looking risk signal in the system. Elevated readings correlate with deeper drawdowns over 1-3 weeks. Consider reviewing position sizes and stop levels.

Sub-Scores

    Corporate Credit:     60.2
    Consumer Credit:      61.4
    Funding Stress:       26.3

Divergence: Inactive

COMPOSITE CAPITULATION SCORE (CCS)

    Score:   2 / 4  [SIGNIFICANT]

    [X] VIX z-score extreme  (z=4.03)
    [ ] HYG drawdown  (dd=-1.4%)
    [ ] Breadth collapse
    [X] XLF below 200 DMA

Data as of: 2026-03-06T16:00:00Z

Warning Scale

    0-50 NORMAL  |  50-75 ELEVATED  |  75-95 HIGH  |  95-100 CRITICAL

REGIME CONTEXT (SLOOS Quarterly Data)

    DRTSCILM: +5.3% net tightening (2026-01-01)
      Regime: Moderate Tightening
    DRTSCLCC: +0.0% net tightening (2026-01-01)
      Regime: Neutral

SLOOS data is quarterly. Values reflect bank lending standards, not incorporated into the daily composite score.

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