Credit risk daily report · 2026-10-20

Beijing time: 2026-10-20 11:31 CST
Market data as of: completed US session 2026-10-19; individual FRED dates are shown below
Overall level: DATA_INCOMPLETE (all-green cannot be confirmed)
Cash-bullet deploy trigger: watch

This monitor tracks five early credit-event or liquidity-stress signals for review of a pre-planned staged cash framework. It is not investment advice and does not execute trades.

1. Five-indicator dashboard

HY OAS is the highest-weight signal and a key one-to-three-month credit-event lead indicator in this framework. Because the public page may not redistribute its raw index value, it is not counted as green and the five-field aggregate cannot be called all-green.

2. What changed / what matters

• HY OAS first: the latest observation advanced to October 16 and remains within normal publication cadence; thresholds and the source are public, while the raw value remains withheld, so the aggregate stays DATA_INCOMPLETE.
• KRE closed at $69.26, down 0.43% over five sessions with a 0.67× volume ratio; neither price nor add-on warning triggered.
• Yahoo VIX fell from 19.99 to 18.44 across completed sessions and remains below 25; the older FRED date is not treated as a simultaneous comparison.
• No large bank combined a one-day loss above 5% with volume above 2×. BAC, C and MS had notable five-day declines but did not meet the defined price/volume condition.
• LQD returned +0.29% over five sessions versus SPY -1.49%, a +1.79-point spread below the >3 risk-off trigger.

3. Regional banks and volatility

KRE uses one consistent Yahoo adjusted-close and volume series: one-day -0.79%, five-session -0.43%, latest volume 10.1471 million shares, prior-30-session mean 15.2416 million, and a 0.67× ratio. The series has 65 valid observations, nonzero denominators, and no split event in the three-month window. Yahoo's completed-session close of $69.26 and Alpaca SIP's daily bar of $69.26 differ by far less than 1%, so there is no threshold-critical quote conflict.

Yahoo ^VIX closed at 18.44 on October 19, within the green range. FRED VIXCLS has a latest non-null date of October 16 and is used only as an official dated cross-check, not as a same-time substitute.

4. High-yield spread and inflation expectations

The ICE BofA US High Yield OAS / FRED ↗ source restricts public redistribution of the raw index. This page therefore publishes the source, latest observation date and thresholds, not the raw reading, and never treats the omitted value as green. HY OAS yellow alone escalates the overall framework to red. Its lead role is important, but it does not guarantee prediction of every credit event.

T10YIE is 2.35% on October 19, unchanged from October 16, and remains in the 2.20%–2.70% green band. Above 2.70% is upper yellow and above 3.00% is red; below 2.20% is recession-expectation yellow. Below 2.00% remains a warning but must be read as a recession/easing mix because rate-cut optionality may support risk assets.

5. Large-bank and cross-asset proxy

Signal 1 is inactive: no bank simultaneously lost more than 5% in one day and traded above 2× volume. Signal 2 is inactive: KBE's five-day return was -0.43%, not below -10%. Signal 3 is inactive: LQD +0.29% minus SPY -1.49% equals +1.79 percentage points, below the strict >3-point condition. The proxy is green, but it is a market price/volume proxy rather than an audit of bank solvency or asset quality.

6. Overall algorithm and deploy implication

Any deep-red indicator or at least three red indicators produces deep red. One or two red indicators, or at least three yellow indicators with none red, produces red. One or two yellow indicators produces yellow. Overall green requires all five indicators to be verified green. HY OAS yellow alone escalates the overall result to red. Four public indicators are green, but HY OAS is DATA_WITHHELD, so the public aggregate remains DATA_INCOMPLETE.

Deploy implication: watch means prepare the watchlist and verify the key field; it does not automate a trade. Green would mean no deploy trigger. Yellow is preparation/watchlist only. Red starts a human review of the pre-planned staged cash-bullet framework. Deep red starts a human crisis-playbook review.

7. Data health

Required fields: KRE, JPM, BAC, WFC, C, GS, MS, KBE, LQD and SPY use Yahoo query1 adjusted daily history dated 2026-10-19 (primary, no fallback, not missing, not stale; 65 valid observations and complete prior-30 volume means). ^VIX uses Yahoo query1 dated 2026-10-19 (primary, not missing, not stale; volume not applicable). Alpaca SIP daily bars dated 2026-10-19 independently cross-check KRE and the nine required listed securities; all close differences are below 1%. BAMLH0A0HYM2 uses FRED dated 2026-10-16 (not missing and within normal cadence; raw value DATA_WITHHELD). T10YIE uses FRED dated 2026-10-19 (not missing, not stale). VIXCLS uses FRED dated 2026-10-16 only as an official dated cross-check. Optional DGS10 and DFII10 use FRED dated 2026-10-16.

Blocks/fallbacks: FMP batch real-time quotes returned explicit Starter-plan ACCESS DENIED, so equivalent restricted endpoints were not retried. Yahoo remained the designated primary history source and Alpaca SIP provided the independent listed-market check. Yahoo query1 succeeded on the first attempt, so query2, FMP history and Stooq were not used. FRED's first BAMLH0A0HYM2 read timed out and its sole retry succeeded; the other series succeeded once. No required field is missing and no price is stale; only the public HY OAS raw value is withheld under the redistribution boundary. No browser automation was used.

8. Method and limits

One-day and five-day returns use consecutive closes from one adjusted-close series. The volume denominator excludes the latest session and averages the prior 30 sessions. Observation counts, zero denominators and split events were checked. These are price returns, not dividend-inclusive total returns. Source dates are kept distinct, especially for lagged FRED releases versus same-session market quotes. This report is not investment advice and does not execute trades.