Credit risk daily report · 2026-10-22

Beijing time: 2026-10-22 11:34 CST
Market data as of: completed US session 2026-10-21; FRED is under maintenance and prior successful dates are shown separately
Overall level: DATA_INCOMPLETE (all-green cannot be confirmed)
Cash-bullet deploy trigger: watch

This report monitors 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 carries the highest weight and is the framework's key one-to-three-month credit-event lead indicator. Its raw value is subject to a public redistribution boundary, and FRED maintenance prevented a date refresh, so it is not counted as green.

2. What changed / what matters

• HY OAS first: FRED returned a maintenance page and its direct CSV returned no parseable data. The last successfully verified October 19 observation is now outside normal cadence, so the field is STALE_CRITICAL and the aggregate remains DATA_INCOMPLETE.
• KRE closed at $70.62, gained 3.03% over five sessions and traded at 1.00× prior-30-day volume; neither its price threshold nor an add-on warning triggered.
• Yahoo's fresh completed-session VIX close fell to 16.68, below 25; the official FRED cross-check is unavailable during maintenance.
• No large bank combined a one-day loss above 5% with volume above 2×. MS rose 3.66% on 1.52× volume, so the defined downside condition did not trigger.
• LQD returned +0.54% over five sessions versus SPY +0.45%, a +0.08-point spread far below the strict >3 risk-off trigger.

3. Regional banks and volatility

Yahoo query1 returned adjusted-close and volume histories for every required security and ^VIX on the first request; query2, FMP history and Stooq were unnecessary. KRE returned 0.00% for one day and +3.03% over five sessions. Latest volume was 15.4464 million shares versus a prior-30-session mean of 15.4124 million, a 1.00× ratio. The series has 71 valid observations, nonzero denominators and no recent split anomaly. Yahoo's $70.62 close matches the Alpaca delayed-SIP daily bar, leaving no discrepancy above 1% or threshold-critical quote conflict.

Yahoo's completed-session ^VIX close is 16.68. FRED VIXCLS is unavailable during maintenance, so no older FRED observation is compared as if it were simultaneous with the October 21 market quote. Today's VIX color uses only the fresh Yahoo session value.

4. High-yield spread and inflation expectations

The ICE BofA US High Yield OAS / FRED ↗ raw index is subject to source redistribution terms. This page publishes the source, thresholds and data state, not the raw value, and never treats the omitted field 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.

FRED's direct CSV failed twice to return parseable data, while the official series pages displayed a maintenance notice. T10YIE is therefore DATA_MISSING. The prior successful 2.35% observation dated October 20 is retained only as a health record and is not used to assign today's green color. Upper yellow is >2.70% and red is >3.00%; lower yellow is <2.20%. Below 2.00% remains a recession/easing-mix warning 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 returned +2.88% over five sessions, not below -10%. Signal 3 is inactive: LQD +0.54% minus SPY +0.45% equals +0.08 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

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. KRE, VIX and the large-bank proxy are green, while HY OAS is DATA_WITHHELD and STALE_CRITICAL and T10YIE is DATA_MISSING, so the aggregate remains DATA_INCOMPLETE.

7. Deploy implication

Watch means prepare the watchlist and wait for the key FRED fields to recover; it does not automate a trade. Verified 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.

8. Data health and method

Required fields: KRE, JPM, BAC, WFC, C, GS, MS, KBE, LQD, SPY and ^VIX use Yahoo query1 dated 2026-10-21 and are not missing or stale. Each listed security has 71 valid observations, a complete prior-30 volume mean, a passed zero-denominator check and no split anomaly. Alpaca delayed-SIP daily bars dated 2026-10-21 independently cross-check KRE and all nine listed securities; every close difference is below 1%. BAMLH0A0HYM2 is blocked by current FRED maintenance, remains DATA_WITHHELD, and its last successfully verified October 19 observation is now STALE_CRITICAL. T10YIE is blocked by the same maintenance and is DATA_MISSING; its last successful verification was October 20. VIXCLS and optional DGS10/DFII10 are also unavailable and no old value substitutes for fresh data.

Blocks/fallbacks: FMP batch real-time quotes returned explicit Starter-plan ACCESS DENIED, so equivalent restricted endpoints were not retried; this does not affect the Yahoo-first history route. Yahoo query1 succeeded, so query2, FMP history and Stooq were not called. Alpaca batch bars returned api_error and its sole snapshot fallback succeeded. Each FRED direct CSV first returned maintenance HTML; one retry produced an HTTP/2 internal error, and the official pages confirmed site maintenance. Returns use consecutive adjusted closes from one consistent Yahoo series; the volume denominator excludes the latest session and averages the preceding 30 sessions. This report is not investment advice and does not execute trades.