Credit risk daily report · 2026-10-17

Beijing time: 2026-10-17 11:33. Market data are through 2026-10-16; HY OAS and FRED VIXCLS are through 2026-10-15. 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. What changed / what matters

• HY OAS remains the highest-weight signal; its public raw value remains DATA_WITHHELD, preventing an all-green aggregate claim.
• VIX rose from 16.46 to 19.99, roughly 24.8% in one session, but remains below the yellow threshold of 25.
• The five-day LQD-minus-SPY return gap widened to +2.93 percentage points, close to but not strictly above +3.
• KRE remains at $69.81 with a +1.16% five-day return, so neither its price nor volume warnings fired.
• The large-bank proxy remains at zero of three signals, but the cross-asset signal is now the nearest visible boundary.

3. Regional banks and volatility

KRE closed at $69.81, well above the $60 yellow price line. Its five-session return was +1.16%, and latest volume was 1.01 times the preceding 30-session average, so neither add-on warning fired. VIX closed at 19.99; despite the sharp increase, it remains green. FRED VIXCLS has a latest non-null date of October 15 and is used only as an official dated cross-check, not as a simultaneous observation.

4. 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.

5. 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 warning regime is active.

6. Large-bank and cross-asset proxy

None of JPM, BAC, WFC, C, GS, or MS met both parts of signal 1. Their one-day returns were +1.25%, -0.91%, +1.35%, +0.85%, -1.12%, and -0.86%, respectively. WFC volume was 2.11 times its prior 30-day average, but its price rose, so it did not satisfy the decline condition. KBE's five-day return was +0.78%, leaving signal 2 inactive. LQD returned +0.97% over five sessions versus -1.97% for SPY, a +2.93 percentage-point gap. That remains 0.07 points short of strictly exceeding the +3 trigger, so signal 3 is inactive but close.

7. Overall algorithm and deploy implication

All four publicly classifiable indicators remain green and the large-bank proxy remains at zero of three signals; no strict color changed. However, the VIX increase and near-trigger cross-asset gap indicate marginally higher visible risk. HY OAS remains DATA_WITHHELD, so the aggregate remains DATA_INCOMPLETE. Cash-bullet status is watch: no automatic deployment. Recheck whether the LQD-SPY gap crosses three percentage points, VIX exceeds 25, or KRE breaks below $60. Only a complete red result moves the pre-planned staged cash-bullet review to activate.

8. Data health and method

FMP dividend-adjusted daily histories are dated 2026-10-16, have no fallback, and contain 36 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. Alpaca IEX latest-minute bars dated 2026-10-16 independently checked all ten listed instruments; every discrepancy versus FMP closes was below 1%, so no confidence downgrade was triggered. ^VIX uses FMP index history dated 2026-10-16. BAMLH0A0HYM2 is FRED dated 2026-10-15 and DATA_WITHHELD; T10YIE is FRED dated 2026-10-16; VIXCLS is FRED dated 2026-10-15. No field is STALE_CRITICAL, but the withheld HY OAS classification limits aggregate confidence.