Credit risk daily report · 2026-10-23

Beijing time: 2026-10-23 11:36 CST
Market data as of: completed US session 2026-10-22; FRED dates are shown per series
Overall level: DATA_INCOMPLETE (all-green cannot be confirmed publicly)
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 official observation has returned to normal publication cadence, but the raw value remains outside the public redistribution boundary and is not counted as green.

2. What changed / what matters

• HY OAS first: the FRED CSV is available again and the latest non-null observation is dated October 21. The raw index value remains withheld publicly, so the aggregate stays DATA_INCOMPLETE rather than all-green.
• VIX rose from the prior session's official 16.68 reading to a fresh Yahoo close of 19.03, still below the yellow threshold of 25.
• KRE advanced 2.53% in one day and 3.81% over five sessions; its $72.41 close and 1.19× volume ratio trigger neither the price threshold nor an add-on warning.
• T10YIE is 2.32% on October 22, inside the inclusive 2.20%–2.70% green range.
• LQD outperformed SPY by 1.77 percentage points over five sessions, below the strict >3-point risk-off trigger; all three bank-proxy sub-signals remain inactive.

3. Regional banks and volatility

Yahoo query1 supplied adjusted-close and volume histories for all ten listed securities. KRE has 127 valid observations, a nonzero prior-30-session volume denominator and no split event in the checked 30-session window. Its latest volume was 18.5163 million shares versus a prior-30-session mean of 15.5659 million, or 1.19×. The $72.41 Yahoo close matches the independent finance lookup within 1%, leaving no threshold-critical discrepancy.

Yahoo query2 supplied the fresh October 22 VIX close of 19.03 after the first parser path encountered the index's zero-volume series. FRED VIXCLS is 16.68 on October 21; because the dates differ, the two readings are not treated as simultaneous. The fresher completed-session Yahoo value determines today's green VIX color.

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, observation date, thresholds and data state, not the raw value, and never treats the omitted public field 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.

FRED T10YIE is 2.32% on October 22, down from 2.37% on October 21. The value remains in the inclusive 2.20%–2.70% green band. 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. Optional FRED cross-checks are DGS10 5.13% and DFII10 2.76%, both dated October 21; they are context, not substitutes for T10YIE.

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 +3.59% over five sessions, not below -10%. Signal 3 is inactive: LQD +0.75% minus SPY -1.01% equals +1.77 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, T10YIE and the large-bank proxy are green, while HY OAS remains DATA_WITHHELD; therefore the public aggregate remains DATA_INCOMPLETE.

7. Deploy implication

Watch means keep the preparation list current and verify the highest-weight field at its source; 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 and SPY use Yahoo query1 dated 2026-10-22 and are not missing or stale. Each has 127 valid observations, a complete prior-30 volume mean, a passed zero-denominator check and no checked split anomaly. The independent finance lookup is also dated 2026-10-22; all listed closes match Yahoo within 1%. ^VIX uses Yahoo query2 dated 2026-10-22 and is not stale. BAMLH0A0HYM2 is current to 2026-10-21 but DATA_WITHHELD for public redistribution. T10YIE is current to 2026-10-22. VIXCLS, DGS10 and DFII10 are dated 2026-10-21 and used only as dated cross-checks.

Blocks/fallbacks: FMP batch quotes returned explicit Starter-plan ACCESS DENIED, so equivalent restricted endpoints were not retried. Yahoo history succeeded, so FMP history and Stooq were unnecessary. For ^VIX, query1 data were received but the generic volume-ratio parser hit a zero denominator; query2 supplied the price-only series. FRED direct CSV succeeded for all requested series. 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.