Credit risk daily report · 2026-10-21

Beijing time: 2026-10-21 11:35 CST
Market data as of: completed US session 2026-10-20; individual FRED dates are shown below
Overall level: DATA_INCOMPLETE (all-green cannot be confirmed)
Cash-bullet deploy trigger: watch

This monitor tracks exactly five early credit-event or liquidity-stress signals for human 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: its latest observation advanced to October 19 and is within normal publication cadence. The public page retains thresholds, date and source but withholds the raw value, so the aggregate remains DATA_INCOMPLETE.
• KRE rose to $70.62, gained 2.26% over five sessions and traded at 1.15× prior-30-day average volume; neither the price threshold nor an add-on warning triggered.
• The latest official VIX observation is 18.44 and below 25, but it is dated October 19. Yahoo query1 and query2 both returned 429, so it is not described as a simultaneous October 20 quote.
• No large bank combined a one-day loss above 5% with volume above 2×. BAC remains down 6.15% over five sessions but does not satisfy the defined one-day price/volume trigger.
• LQD returned +0.65% over five sessions versus SPY -1.15%, a +1.80-point spread below the strict >3 risk-off trigger.

3. Regional banks and volatility

Yahoo query1 and query2 returned HTTP 429 for every required security. Following the per-symbol isolation and one-host-retry rule, collection stopped and used FMP's available dividend-adjusted daily history. KRE returned +1.96% for one day and +2.26% over five sessions. Latest volume was 17.3629 million shares, versus a prior-30-session mean of 15.1553 million and a 1.15× ratio. The series contains 56 valid observations, nonzero denominators and no recent split anomaly. FMP's $70.62 completed-session close matches the Alpaca delayed-SIP daily bar, so there is no discrepancy above 1% or threshold-critical quote conflict.

Yahoo ^VIX was also rate-limited. The FMP index-history parameter returned an entitlement denial and was not retried. FRED VIXCLS at 18.44 on October 19 is therefore the official dated fallback. It is one session behind October 20, which does not exceed the “older than one trading day” STALE_CRITICAL gate, but it lowers confidence in the same-day volatility reading.

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 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 framework to red. Its lead role is important, but it does not guarantee prediction of every credit event.

T10YIE is 2.35% on October 20, unchanged from October 19, and remains inside 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 should be read as a recession/easing mix because rate-cut optionality may support risk assets. Optional DGS10 at 5.15% and DFII10 at 2.80% on October 19 imply the same 2.35-point difference, but their date differs from T10YIE and is not used as a simultaneous move comparison.

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 +2.26%, not below -10%. Signal 3 is inactive: LQD +0.65% minus SPY -1.15% equals +1.80 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 the FMP dividend-adjusted-history fallback dated 2026-10-20 (not missing, not stale; 56 valid observations each, complete prior-30 volume means and no split anomaly). Alpaca delayed-SIP daily bars dated 2026-10-20 independently cross-check every listed close; all differences are below 1%. ^VIX uses FRED VIXCLS dated 2026-10-19 (fallback, one-session lag, not STALE_CRITICAL). BAMLH0A0HYM2 uses FRED dated 2026-10-19 (not missing and within normal cadence; raw value DATA_WITHHELD). T10YIE uses FRED dated 2026-10-20 (not missing, not stale). Optional DGS10 and DFII10 use FRED dated 2026-10-19 (not missing).

Blocks/fallbacks: FMP batch real-time quotes returned explicit Starter-plan ACCESS DENIED, so equivalent restricted quote endpoints were not retried; working FMP history does not establish live-quote entitlement. Yahoo query1 and query2 returned HTTP 429 for every required symbol, so FMP history was used as the bounded fallback; Stooq was not used and no challenge page was awaited. Alpaca's first batch-bars request returned api_error; its sole snapshot fallback succeeded. All five FRED series succeeded on the first hard-timeout request. No required security or FRED series is missing. The HY OAS raw value is withheld under the redistribution boundary, and the VIX dated fallback reduces confidence. No browser automation was used.

8. Method and limits

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