Sovereign Stress Index

Right now

4.0

out of 10.0 · watch

As of 2026-10-07 (weekly)

4-week smoothed: 4.0 (1 weekly readings)

Coverage 95.7% of weights

No action. Review dates, no trades.

Last published reading: 3.6 on 2022-10-12. Today: 4.0 (up 0.4). The heaviest single input is 10y Treasury yield at 10.0/10.

What is driving it, in plain terms

10y Treasury yield — 5.31 %, scored 10.0/10. benchmark funding cost for everything else
10y TIPS real yield — 2.95 %, scored 10.0/10. the real cost of capital this economy has not carried since 2007
CCC-and-lower high-yield OAS — 12.11 %, scored 10.0/10. the weakest borrowers lose market access first - the tail leads the average
Japan 30y JGB yield — 4.17 %, scored 8.3/10. long-end JGBs are what force Japanese lifers home; no free history for anchors
Japan 10y JGB yield — 3.1 %, scored 8.0/10. the funding leg of the global carry trade - Japan is the largest foreign holder of Treasuries

The mix is the story. Today the pressure sits in the structural items — what the market charges for long US debt, the interest bill, and how much debt must be refinanced — while the plumbing is quiet: overnight funding sits at the Fed’s floor, credit spreads are calm, and Treasury auctions are being absorbed normally. That is why this gauge reads higher than it did in 2008 and 2020. Those were acute, market-based panics inside a system that was structurally sound; this is the reverse.

What is not stressed — the honest other half

when repo clears above the Fed's floor, cash is scarce - the Sep 2019 repo spike came from here — currently -1.0 bp.
a dollar token trading below par is a live dollar squeeze - USDC hit $0.88 in March 2023 — currently 0.5 bp below $1.
when end-users step back the dealers must eat the supply - absorption failing, before any tail — currently 10.02 % of offering.
backwardation means dealers are paying up for immediate risk cover — currently 0.85 ratio.

A gauge that only lists what is wrong is a mood, not a measurement. These are the inputs that would have to break to move the reading into the top band.

The next 12 months — three paths

Window: 2026-10-07 to about one year out. These are judgment ranges, not measurements, and they are about pressure — not a collapse date.

How the numbers are built, so you can attack the method rather than the verdict. Baseline: how often any given 12-month window contains a systemic US funding event. Over the last 50 years that is roughly one year in five — 1987–89, 1998, 2008, 2011, 2019, 2020, 2023 — so the baseline for a shock is about 20%. Three of today’s actual readings then move it: r minus g is −1.0pp, meaning nominal growth still outruns the interest rate, which quietly stabilises debt/GDP; the plumbing is quiet (SOFR 1bp below the Fed’s floor, credit calm, dealers taking 10% of long auctions); and the tail is not quiet (CCC spreads 12.1%, 10-year at 5.3%, Japan’s 30-year at a record). Structure worsens the odds; the plumbing holds them down. Those three readings buy a central case of roughly 60 / 30 / 10.

55–65% · central 60%

Path A — Grind on, no systemic event

What it looks like: yields stay high and mostly range-bound. Deficits keep growing. Nobody is forced to rescue anything. Credit stays broadly calm. This index wanders between about 4 and 6 all year and never reaches the top band.

Why it is the base case: most 12-month windows contain no systemic event, and every fast-moving stress indicator is currently quiet. Bad structure is survivable for years — that is what the 2010s, and the years since 2023, have shown.

What you would see: long auctions still clearing with dealers under ~12%, CCC spreads staying under 10%, funding spreads pinned near zero.

25–35% · central 30%

Path B — Disorderly repricing episode, then a backstop

What it looks like: a fast move, not slow erosion. Weeks, not years. Risk assets and long bonds sell off together, funding spreads spike, policy responds, prices partly recover. Historically such episodes peak in 2–6 weeks and are bought back within a quarter.

Trigger order, most likely first: (1) a yen carry unwind — Japan’s 30-year at a record 4.17%, the BoJ normalising, and speculative yen positioning only mid-range, so there is room for the trade to crowd; (2) a France / ECB event — the France–Germany spread is roughly double where it was weeks ago and the ECB’s crisis tool is blocked by fiscal non-compliance; (3) a failed long auction — dealer takedown is already 10%, and 22% is the alert line.

What you would see first: the trip-wires on the Components tab firing — 10-year above 5.5%, VIX/VIX3M above 1.0, CCC above 10%, dealer takedown above 15%, Japan’s 30-year above 4.5%, France–Germany above 200bp.

8–15% · central 10%

Path C — Genuine de-escalation

What it looks like: long yields fall because the pressure is genuinely relieved, not because something broke. Inflation cools, growth holds, the interest bill stops eating a larger share of revenue, and Japan and Europe both steady.

What it needs: the 5-year-forward inflation reading staying anchored near target, net interest back below 20% of receipts, and the deficit narrowing through growth rather than accounting. The most honest route is a productivity and investment boom — which is exactly what the AI capital-spending story would have to deliver.

The honest asymmetry: this is the only path that makes a 2027 retirement-and-relocation decision easier, and it has the least support in today’s numbers.

What these probabilities are not. Not a date, not a collapse prediction, not a trade signal. They are a structured statement of where the pressure most likely goes next. The most useful thing on this page is not the central number — it is the trip-wire list, because that is what tells you which path you are actually in, in real time, rather than after the fact.

Pressure by category

rates

7.1

fiscal

4.9

foreign

2.3

credit

3.3

market

4.6

flank

6.0

Context — reported, deliberately not scored

Reading	Value	Why it is here and not in the score
Gold, 12m change	5.2 % 12m Yahoo GC=F	the classic reserve asset
Silver, 12m change	28.2 % 12m Yahoo SI=F	monetary demand broadening to the higher-beta metal
Bitcoin, 12m change	-29.6 % 12m Yahoo BTC-USD	in 2026 BTC trades as a high-beta RISK asset, not a debasement hedge - the escape valve reads SHUT
Private-credit proxy (BIZD), drawdown from 52w high	-18.6 % Yahoo BIZD	private-credit marks are quarterly; the listed BDC price is the only daily read
Dollar liquidity buffer (reserves + reverse repo)	2.95 $trn FRED WRESBAL + RRPONTSYD	the cash stock that absorbs issuance - but it is ALREADY drained (RRP ~0), so the level is not a clean stress score
Fed USD swap lines outstanding	207.0 $mn FRED SWPT	drawings prove an offshore dollar squeeze is live - coincident, not leading
Crypto escape-valve verdict (BTC vs gold, 12m)	n/a Yahoo GC=F / BTC-USD	ESCAPE VALVE SHUT - BTC -29.6% 12m while gold +5.2%, so crypto is trading as a high-beta risk asset, NOT as a sovereign hedge
US 10y swap spread (dealer capacity)	n/a NO KEYLESS SOURCE - needs a paid feed	the panel's most valuable unavailable input; named here so it is not forgotten

Components — heaviest first

Component	Reading	Score	Band
10y Treasury yield benchmark funding cost for everything else · watch 4.5, alert 5.25 · FRED DGS10	5.31 %	10.0	acute
10y TIPS real yield the real cost of capital this economy has not carried since 2007 · watch 2.0, alert 2.8 · FRED DFII10	2.95 %	10.0	acute
CCC-and-lower high-yield OAS the weakest borrowers lose market access first - the tail leads the average · watch 10.0, alert 12.0 · FRED BAMLH0A3HYC (history starts Oct 2023)	12.11 %	10.0	acute
Japan 30y JGB yield long-end JGBs are what force Japanese lifers home; no free history for anchors · watch 3.5, alert 4.5 · MoF daily JGB CSV (cached)	4.17 %	8.3	acute
Japan 10y JGB yield the funding leg of the global carry trade - Japan is the largest foreign holder of Treasuries · watch 2.5, alert 3.5 · MoF daily JGB CSV (2026/10/6, cached)	3.1 %	8.0	acute
Equity breadth (RSP/SPY), 6m change when equal-weight lags cap-weight, risk-bearing is concentrated in a few names · watch -3.0, alert -8.0 · Yahoo RSP / SPY	-5.83 % 6m	7.8	alert
30y Treasury yield the price the market demands for long US debt · watch 5.25, alert 6.0 · FRED DGS30	5.66 %	7.7	alert
Refinancing gap: effective coupon vs 10y the interest increase ALREADY locked in as the debt rolls · watch 1.5, alert 2.5 · Treasury FiscalData avg_interest_rates vs FRED DGS10	1.78 pp	6.4	alert
Net interest / federal receipts Dalio's spiral metric - interest eating the revenue · watch 20.0, alert 26.0 · FRED A091RC1Q027SBEA / FGRECPT	21.13 % of receipts	5.9	alert
MOVE bond-vol index Treasury-market dysfunction, live · watch 100.0, alert 130.0 · Yahoo ^MOVE	105.2 index	5.9	alert
Federal debt / GDP the stock that has to be rolled and refinanced · watch 125.0, alert 140.0 · FRED GFDEGDQ188S	122.59 %	4.7	watch
Deficit / GDP how fast the debt is still being added · watch 6.0, alert 9.0 · FRED FYFSD / GDP	5.45 % of GDP	4.3	watch
Yen, 3m change vs dollar a FIRMING yen is the carry unwind firing (falling value = stress) · watch -3.0, alert -10.0 · Yahoo JPY=X	-1.95 % 3m	4.3	watch
France - Germany 10y spread the euro core losing its risk-free premium - the belief the whole curve rests on · watch 100.0, alert 200.0 · FRED IRLTLT01FRM156N / IRLTLT01DEM156N MONTHLY (approx 2-month lag)	82.0 bp	3.2	watch
US high-yield OAS credit repricing leads sovereign stress (BB/B dominated) · watch 3.5, alert 5.0 · FRED BAMLH0A0HYM2	3.12 %	3.1	watch
Bill share of marketable debt bills roll every few months, so any funding wobble compounds instead of being absorbed by time · watch 24.0, alert 28.0 · Treasury FiscalData MSPD table 1	22.36 %	3.0	watch
China's Treasury holdings, 12m change the strategic buyer who will not respond to yield - at an 18-year low · watch -110.0, alert -220.0 · FRED FORTREASPOS41408 (monthly, ~6-week lag)	-69.7 $bn 12m	2.6	watch
Broad dollar index, 6m change a dollar funding squeeze is the classic crisis accelerant · watch 5.0, alert 10.0 · FRED DTWEXBGS	1.95 % 6m	2.0	calm
5y5y forward inflation long-run inflation anchor - if it de-anchors, inflating the debt away stops working · watch 2.6, alert 3.0 · FRED T5YIFR	2.35 %	0.8	calm
Stablecoin float, 90-day change the float IS offshore dollar demand - a contracting float means dollars are scarce and tokens are being redeemed · watch -2.0, alert -8.0 · DefiLlama stablecoincharts (keyless, daily)	1.79 % 90d	0.3	calm
Financial CP minus 3m T-bill fires first in a bank-confidence problem; was 373bp in Oct 2008 and 210bp in Mar 2020 · watch 60.0, alert 150.0 · FRED DCPF3M / DTB3	3.0 bp	0.0	calm
Bank deposits, YoY deposits leaving forces asset shrinkage and Treasury selling · watch -1.0, alert -5.0 · FRED DPSACBW027SBOG (weekly)	6.17 % YoY	0.0	calm
SOFR minus IORB (repo plumbing) when repo clears above the Fed's floor, cash is scarce - the Sep 2019 repo spike came from here · watch 10.0, alert 25.0 · FRED SOFR / IORB	-1.0 bp	0.0	calm
Stablecoin peg deviation (worst of USDC/USDT) a dollar token trading below par is a live dollar squeeze - USDC hit $0.88 in March 2023 · watch 100.0, alert 300.0 · CoinGecko simple/price (keyless)	0.5 bp below $1	0.0	calm
Primary-dealer takedown, 10y + 30y auctions when end-users step back the dealers must eat the supply - absorption failing, before any tail · watch 15.0, alert 22.0 · Treasury FiscalData auctions_query (monthly prints)	10.02 % of offering	0.0	calm
VIX / VIX3M term structure backwardation means dealers are paying up for immediate risk cover · watch 1.0, alert 1.15 · Yahoo ^VIX / ^VIX3M	0.85 ratio	0.0	calm
Japan 30y-10y curve slope a steepening long end pulls Japanese money home before any US number moves · watch 1.25, alert 1.7 · MoF daily JGB CSV (cached)	no data	n/a	no data
Japan 2y JGB yield the carry-funding cost - a rising 2y raises the hurdle for the whole yen-funded trade · watch 1.1, alert 1.9 · MoF daily JGB CSV (cached)	no data	n/a	no data

Excluded this week (no data): Japan 30y-10y curve slope, Japan 2y JGB yield

Where today sits — historical anchors

Date	What was happening	SSI	Band
2008-10-15	Lehman aftermath coverage 53.3% · no data: Refinancing gap: effective coupon vs 10y, Bill share of marketable debt, US high-yield OAS, CCC-and-lower high-yield OAS, SOFR minus IORB (repo plumbing), Stablecoin float, 90-day change, Stablecoin peg deviation (worst of USDC/USDT), Primary-dealer takedown, 10y + 30y auctions, Japan 30y JGB yield, Japan 30y-10y curve slope, Japan 2y JGB yield	3.7	watch
2011-08-05	US downgrade / debt ceiling coverage 53.3% · no data: Refinancing gap: effective coupon vs 10y, Bill share of marketable debt, US high-yield OAS, CCC-and-lower high-yield OAS, SOFR minus IORB (repo plumbing), Stablecoin float, 90-day change, Stablecoin peg deviation (worst of USDC/USDT), Primary-dealer takedown, 10y + 30y auctions, Japan 30y JGB yield, Japan 30y-10y curve slope, Japan 2y JGB yield	1.9	calm
2020-03-23	COVID dash for cash coverage 56.0% · no data: Refinancing gap: effective coupon vs 10y, Bill share of marketable debt, US high-yield OAS, CCC-and-lower high-yield OAS, SOFR minus IORB (repo plumbing), Stablecoin peg deviation (worst of USDC/USDT), Primary-dealer takedown, 10y + 30y auctions, Japan 30y JGB yield, Japan 30y-10y curve slope, Japan 2y JGB yield	2.2	calm
2022-10-12	UK gilt crisis / peak rates coverage 58.6% · no data: Refinancing gap: effective coupon vs 10y, Bill share of marketable debt, US high-yield OAS, CCC-and-lower high-yield OAS, Stablecoin peg deviation (worst of USDC/USDT), Primary-dealer takedown, 10y + 30y auctions, Japan 30y JGB yield, Japan 30y-10y curve slope, Japan 2y JGB yield	3.6	watch

Read this honestly: today’s reading can sit above 2008 and 2020 while the market is calm, because the fiscal inputs are structurally worse now. 2008 was acute market stress; this era is a slow fiscal grind. One number cannot tell those apart — the category breakdown can. Coverage is printed on every anchor: some components did not exist in 2008, and a missing component is excluded rather than guessed.

What to do at each band — the action ladder

0.0–3.9 — calm. Nothing. Look once a week at most.
4.0–5.9 — watch. Review dates and assumptions early. No trades. This is the band where the job is keeping the plan current, not changing it.
6.0–7.4 — alert. The pre-committed review fires on schedule: the in-system vs out-of-system call, with its tax cost priced before anything is sold.
7.5–10.0 — acute. The pre-written plan executes — as written, not as felt.

This index never triggers a trade and never prints a collapse date. It measures pressure, not proximity to an event. Seat 37 rule.

How it is built, and what it cannot do

Each component scores 0 at its calm anchor, 5.0 at WATCH and 10.0 at ALERT, capped at 10 beyond alert. Category weights are listed above; components inside a category share it equally. It is 28 inputs across 8 categories.

14 of those inputs came from a five-lane expert review on 2026-10-07 — fiscal debt-dynamics, offshore dollar funding, Japan and Asian capital flows, bank credit, and market microstructure. Every source was verified live before admission; every addition named a cut that paid for it. The panel’s proposed numbers that failed verification, or whose sign is ambiguous, are printed as context instead of being scored.

Missing data is reported, never guessed. A component with no reading is excluded and the coverage figure drops — a low coverage reading is not a clean reading. A failed fetch is never allowed to read as a lower score.

The 4-week smoothed value is the mean of the last four weekly readings, so one bad week cannot make a trend. Historical anchors use the same code path on FRED history only, so several market-overlay and funding components are absent from the older anchors.

Known lags: the France–Germany spread is MONTHLY (about two months behind), and the China and Japan Treasury-holdings lines are monthly with a ~6-week publication lag, so a fast move in recent weeks is not in them. The Japanese yield curve, the yen, funding spreads, credit spreads and the auction numbers are current. Nothing here is a forecast.