Credit risk daily report · 2026-10-15

Beijing time: 2026-10-15 10:44. Market data are through 2026-10-14; HY OAS and FRED VIXCLS are through 2026-10-13. Overall: DATA_INCOMPLETE. Cash-bullet deploy trigger: watch. This report monitors a pre-set framework, is not investment advice, and does not execute trades automatically.

1. Strict five-indicator table

2. Regional banks and volatility

KRE closed at $68.54, comfortably above the $60 yellow price line. Its five-session return was -0.51%, and latest volume was 1.35 times the preceding 30-session average, so neither add-on warning fired. VIX closed at 16.87, within the green zone. FRED VIXCLS has a latest non-null date of October 13 and is used only as an official dated cross-check; the different dates are not treated as simultaneous readings.

3. High-yield credit spread

HY OAS is the framework's highest-weight signal and usually leads credit events by one to three months. The public edition provides the FRED series link, latest observation date, and thresholds but does not republish the raw observation; its status is DATA_WITHHELD. Because HY OAS reaching yellow alone upgrades the aggregate to red, the missing public classification prevents an all-green conclusion.

4. Inflation expectations

T10YIE is 2.35%, inside the 2.20%–2.70% green band. It is neither above the 2.70% inflation-unanchoring warning line nor below the 2.20% recession-expectations line, so neither the upper nor lower warning regime is active.

5. Large-bank and cross-asset proxy

None of JPM, BAC, WFC, C, GS, or MS met both parts of signal 1: a one-day decline strictly greater than 5% and volume greater than two times the prior 30-day average. BAC was closest at -4.76% with a 3.11x volume ratio. KBE's five-day return was -0.62%, far from the -10% trigger. LQD returned +0.55% over five sessions versus -0.98% for SPY, a +1.53 percentage-point gap, below the +3 point threshold. The proxy therefore improved from one active yellow signal in the prior report to zero active signals and green today.

6. Overall algorithm and today's change

All four publicly classifiable indicators are green, and the prior C-driven large-bank warning has cleared. HY OAS remains DATA_WITHHELD, so the strict aggregate algorithm cannot be completed; the conclusion remains DATA_INCOMPLETE rather than green. The nearest visible boundary is BAC: the volume condition is met, but the daily decline is 0.24 percentage points short of the strict 5% threshold.

7. Deploy implication

Cash-bullet status is watch: no automatic deployment. Keep the preparation list current and recheck whether BAC shows follow-through pressure, whether KRE breaks below $60, and whether HY OAS obtains a legally publishable threshold status. Only a complete red result moves the pre-planned staged cash-bullet review to activate; deep red moves it to crisis-playbook review.

8. Data health and method

FMP dividend-adjusted daily histories are dated 2026-10-14, have no fallback, and contain 37 observations each for KRE, JPM, BAC, WFC, C, GS, MS, KBE, LQD, and SPY. Denominators are nonzero and no split-like anomaly appears in the recent window. The FMP real-time quote endpoint returned ACCESS DENIED, so no equivalent restricted endpoint was retried; FMP daily closes remain the primary values and Alpaca IEX latest-minute bars dated 2026-10-14 provide the independent quote check. All discrepancies were below 1%, so no confidence downgrade was triggered. ^VIX uses FMP index history dated 2026-10-14 with no fallback. BAMLH0A0HYM2 is FRED dated 2026-10-13 and DATA_WITHHELD; T10YIE is FRED dated 2026-10-14; VIXCLS is FRED dated 2026-10-13. No field is STALE_CRITICAL, but the withheld HY OAS classification limits aggregate confidence.