Macro — credit-relevant conditions
Each variable answers one question: why does it matter to a credit investor, and where does it enter the model? Live FRED readings where reachable; otherwise a labelled SAMPLE.
Indicators, transmission chain and model linkage
| Indicator | Reading | Status | Transmission chain | Why it matters | Where it enters CreditIQ |
|---|---|---|---|---|---|
| SOFR (secured overnight financing rate) | 3.87 % | LIVE · FRED SOFR · obs 2026-10-09 | SOFR ↑ → floating interest ↑ → FCF ↓ → coverage ↓ → refinancing risk ↑ | Sets the base rate on every floating-rate loan and the starting point for refinancing coupons. | Base-rate curve in every model; scenario shocks of +150 / +300 bp; SOFR sensitivity table (Excel Table 5, web Returns tab). |
| Effective federal funds rate | 3.75 % | LIVE · FRED FEDFUNDS · obs 2026-09-01 | Policy rate ↑ → bank funding costs ↑ → lending standards tighten → refinancing access ↓ | Anchor for short rates and for how willing banks are to roll maturities. | Context for the refinancing-access test (max leverage / min coverage) in each scenario. |
| 10-year Treasury yield | 5.24 % | LIVE · FRED DGS10 · obs 2026-10-09 | Long yields ↑ → fixed-rate refinancing coupons ↑ → interest burden on maturing fixed debt ↑ | Benchmark for the fixed-rate refinancing cost of 2027–2031 maturities. | Refinancing-rate assumption for each case (base / downside / severe). |
| US high-yield option-adjusted spread | 3.11 % | LIVE · FRED BAMLH0A0HYM2 · obs 2026-10-12 | Spreads ↑ → new-issue cost ↑ and market window narrows → refinancing probability ↓ | Price of credit risk; widening signals closed markets for weaker names. | Informs the stress refinancing rates (+250 / +500 bp over base) and the entry-discount screen. |
| Net % of banks tightening C&I standards (large firms) | 0.00 % | LIVE · FRED DRTSCILM · obs 2026-07-01 | Tighter standards → fewer bank takeouts → more reliance on private credit / asset sales | Leading indicator of bank refinancing availability for mid-market borrowers. | Context for the 'market access' thresholds and the revolver-availability assumption. |
| Delinquency rate: CRE loans ex-farmland, all banks | 1.53 % | LIVE · FRED DRCRELEXFACBS · obs 2026-04-01 | CRE delinquency ↑ → lender caution ↑ → appraised values ↓ → LTV ↑ → refinancing gap | Directly relevant to the Brandywine / Tidewater office cases: collateral values and lender appetite. | Asset-value decline and cap-rate assumptions (0% / 15% / 30%) in real-estate cases. |
| Unemployment rate | 4.20 % | LIVE · FRED UNRATE · obs 2026-09-01 | Unemployment ↑ → consumer demand ↓ → retail / consumer EBITDA ↓ → leverage ↑ | Drives consumer-facing cash flows and office demand. | Cyclicality factor in the default scenario shapes (revenue sensitivity k = 0.5 + cyc). |
| CPI inflation (YoY) | 3.35 % | LIVE · FRED CPIAUCSL · obs 2026-08-01 | Inflation ↑ → costs ↑ (margin squeeze) and rates stay higher for longer | Margin pressure for fixed-price contractors, retailers, healthcare services. | Margin assumptions in downside / severe cases. |
FRED public CSV endpoint (no key), cached 6 hours. SAMPLE values are placeholders, never presented as current data.
Rate sensitivity: what +100 bp on SOFR does to each credit (base case, first projected period)
ANALYST PROJECTION| Company | Floating-rate share of debt | Δ cash interest | Δ FCF | EBITDA / interest before | after |
|---|---|---|---|---|---|
| Cloudspire Technologies | 100% | $6.5M | ($4.9M) | 1.67x | 1.52x |
| Northgate Software | 75% | $4.5M | ($3.4M) | 6.13x | 5.57x |
| Kestrel Auto Components | 63% | $6.9M | ($6.9M) | 1.70x | 1.58x |
| Evergreen Physician Group | 63% | $10.2M | ($7.7M) | 1.92x | 1.79x |
| Cascade Fitness | 61% | $7.0M | ($5.3M) | 2.13x | 1.99x |
| Summit Chemical | 57% | $10.0M | ($7.5M) | 3.27x | 3.02x |
| Brightwater Retail Holdings | 56% | $7.0M | ($7.0M) | 1.30x | 1.23x |
| Ridgeline Infrastructure Services | 56% | $8.8M | ($6.6M) | 3.60x | 3.33x |
| Atlas Logistics | 50% | $7.5M | ($5.6M) | 2.91x | 2.73x |
| Redwood Broadband | 45% | $19.0M | ($19.0M) | 1.72x | 1.63x |
| Halcyon Medical Devices | 44% | $4.0M | ($3.0M) | 5.97x | 5.59x |
| Orchard Foods | 41% | $9.0M | ($6.8M) | 3.16x | 2.98x |
| Meridian Industrial REIT | 31% | $5.5M | ($4.1M) | 4.25x | 4.00x |
| Tidewater Office Partners | 20% | $3.5M | ($2.6M) | 1.76x | 1.71x |
| Brandywine Realty Trust PUBLIC DATA CASE | 18% | $4.8M | ($4.8M) | 1.42x | 1.38x |
| AMC Networks (AMC Global Media) PUBLIC DATA CASE | 0% | — | — | 1.93x | 1.93x |
| Ironclad Steel Products | 0% | — | — | 5.49x | 5.49x |
| Pinnacle Oilfield Services | 0% | — | — | 4.63x | 4.63x |
Reading it: AMC Networks has no floating-rate debt, so a SOFR move changes nothing in its own coverage — its rate risk is in the refinancing coupon of the 2029 maturities. Brandywine’s $400M hypothetical loan is floating with a 1% floor: higher SOFR raises the lender’s coupon but lifts the borrower’s interest burden — the same move that helps the loan’s yield erodes the credit.