Credit risk daily report · 2026-10-14

Listed-market data end with the completed October 13 US session; each FRED observation keeps its own date. Citigroup met both the one-day loss and abnormal-volume conditions, turning the large-bank health proxy yellow. Public redistribution of the raw ICE/FRED HY OAS index value is restricted by source terms, so 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.

1. Exactly five indicators

2. Regional banks and volatility

KRE closed at $69.06, down 0.72% for one session and 1.44% over five sessions. Volume was 12.1856 million shares, or 0.83 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 15.27, below 25. These measures do not confirm systemic stress, but they do not cancel a large-bank price-and-volume anomaly.

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 12 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 13. October 12 is missing and was not interpolated. The latest value 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.

5. Large-bank and cross-asset proxy

Signal 1 is active because Citigroup combines a loss greater than 5% with volume above 2×. Goldman volume is 2.36× but its loss is only 0.23%, so it does not meet both conditions. Signal 2 is inactive: KBE five-day return is -1.52%, well above the -10% trigger. Signal 3 is inactive: LQD five-day +0.40% minus SPY -0.14% equals +0.54 percentage points, below the +3-point trigger. One active sub-signal makes this indicator yellow.

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. Versus the October 12 report, the large-bank proxy changed from green to yellow because of Citigroup's price-volume event. The four visible indicators alone produce base yellow, while HY OAS remains DATA_WITHHELD; the public aggregate therefore stays DATA_INCOMPLETE rather than presenting a fabricated complete score.

7. Deployment-plan implication

The cash-bullet status remains watch. Prepare the review list and monitor whether Citigroup stress spreads to KBE, KRE, VIX or credit spreads. No trade is executed, and one bank event is not treated as a systemic credit event. This report is not investment advice.

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. Every 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. There is no STALE_CRITICAL field.

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