Credit risk daily report · 2026-10-12

Listed-market data end with the completed October 9 US session; each FRED observation keeps its own date. Four publishable indicators remain below warning thresholds. Because public redistribution of the raw ICE/FRED HY OAS index value is restricted by source terms, this report provides the source, observation date and thresholds without publishing the value or treating it as green. The public aggregate is DATA_INCOMPLETE and the cash-bullet status is watch: verify the key field.

1. Exactly five indicators

2. Regional banks and volatility

KRE closed at $69.01, down 0.83% for one session and 2.50% over five sessions. Volume was 15.1149 million shares, or 1.02 times the preceding 30-session mean. Price is above $60, the five-day loss is below 8%, and volume is below 2×. VIX closed at 14.84, below 25. Equity implied volatility does not substitute for credit spreads, funding conditions or bank asset quality.

3. High-yield credit spread

The ICE BofA US High Yield OAS / FRED source ↗ is the framework's highest-weight one-to-three-month credit-event lead indicator, not a guaranteed predictor. Source terms restrict unlicensed public redistribution of the raw value, so this page retains the October 8 observation date and thresholds without reproducing the index value. Above 5% is yellow and HY OAS yellow alone escalates the overall framework to red; above 7% is red and above 10% is deep red. A withheld field cannot support an all-green claim.

4. Inflation expectations

FRED T10YIE is 2.33% on October 9, versus 2.35% on the prior observation. It remains inside the 2.20%–2.70% green range. Above 2.70% is upper yellow and above 3.00% is red. Below 2.20% is recession-expectations yellow; below 2.00% remains a recession/easing-mix warning because policy-easing optionality can also support risk assets.

5. Large-bank and cross-asset proxy

No bank combines a greater-than-5% one-day loss with volume above 2×. KBE's five-day return is -1.91%, above the -10% trigger. LQD five-day +0.57% minus SPY +1.16% equals -0.59 percentage points, below the +3-point risk-off trigger. This proxy is green but does not establish audited bank solvency or asset quality.

6. Overall algorithm and change

Any deep-red indicator or at least three red indicators produces deep red. One or two red indicators, or at least three yellow with none red, produces red. One or two yellow produces yellow. Overall green requires all five indicators to be verified green, and HY OAS yellow alone escalates the aggregate to red. Four public indicators are green while HY OAS is DATA_WITHHELD, so the public aggregate is DATA_INCOMPLETE. No new trading session occurred over the weekend; unchanged observations are not new evidence of improving risk.

7. Deployment-plan implication

This report does not execute trades. Watch means verifying HY OAS at the source before any manual review of the existing staged cash plan. It is not an instruction to buy, sell or move cash.

8. Data health and method

FMP MCP supplied adjusted daily bars for KRE, VIX and the nine bank/ETF securities. Alpaca IEX end-of-session minute prices differed from FMP closes by less than 0.1%. One-day and five-day returns use consecutive adjusted closes. The volume denominator excludes the current session and uses the preceding 30 sessions. Each price series has 36 valid observations, non-zero denominators and no recent split-like jump. FMP does not provide the exact required FRED series, so FRED supplies T10YIE and the HY source page. The weekend created no new session; there is no STALE_CRITICAL field.

Sources: FMP ↗, FRED T10YIE ↗, HY OAS source and terms ↗, and FRED VIXCLS ↗.