Credit risk daily report · 2026-10-24

Beijing time: 2026-10-24 11:28. Market prices and volume run through the completed October 23 US session. HY OAS is dated October 22 and T10YIE October 23. The public overall level is DATA_INCOMPLETE and the pre-planned cash-bullet status is watch. This is risk monitoring, not investment advice, and it does not execute trades.

1. Exactly five credit-event indicators

HY OAS is the highest-weight indicator and is commonly monitored as a one-to-three-month credit-event lead signal. Its raw value is not republished under the current source-permission boundary and is never treated as zero or green; therefore the public aggregate cannot be called all green.

2. What changed / what matters

• HY OAS first: the latest non-null FRED observation advanced from October 21 to October 22; the raw value remains withheld, so the public aggregate stays DATA_INCOMPLETE.
• KRE edged from $72.41 to $72.46; its five-day gain is 3.80% and volume ratio fell to 1.01×, leaving no price, drawdown or volume add-on warning.
• VIX rose from 19.03 on October 22 to 19.45 on October 23 but remains well below 25. FRED VIXCLS lags one day and is not compared as a simultaneous quote.
• T10YIE rose from 2.32% to 2.34%, remaining inside the 2.20%–2.70% green range.
• All six banks fell on October 23, but none combined a >5% one-day decline with >2× volume. The cross-asset spread is +0.86 points, below its +3-point trigger.

3. Regional banks and volatility

KRE's continuous adjusted close is $72.46, up 0.07% for one day and 3.80% across five sessions. Latest volume is 16.066 million shares, 1.01 times the preceding 30-session mean. The denominator is nonzero, the window is sufficiently populated, and no split-like anomaly appears in the recent series. KRE is therefore green.

Yahoo ^VIX closed at 19.45 on the completed October 23 session. The latest official FRED VIXCLS observation is 19.03 on October 22; because the dates differ, they are not treated as a simultaneous discrepancy. VIX is green, but equity implied volatility does not replace a credit-spread signal.

4. HY OAS and inflation expectations

The latest non-null ICE BofA US High Yield OAS / FRED ↗ observation is dated October 22, 2026. Current permissions do not allow this page to redistribute the raw index value, so the public state is DATA_WITHHELD. The framework retains its thresholds: above 5% yellow, above 7% red and above 10% deep red, with HY OAS yellow alone escalating the overall framework to red. It is an important lead indicator, not a guarantee that every credit event will occur.

FRED T10YIE is 2.34% on October 23, up 0.02 percentage points from 2.32%. It remains green. Below 2.20% would indicate rising recession expectations; below 2.00% remains a warning but must be labeled as a recession/easing mix because Fed-cut optionality may support risk assets.

5. Large-bank and cross-asset proxy

Signal 1 is inactive: no bank combines a one-day decline greater than 5% with volume above 2×. Signal 2 is inactive: KBE gained 3.54% across five sessions rather than falling more than 10%. Signal 3 is inactive: LQD gained 0.44% while SPY lost 0.43%, a +0.86-point difference below +3 points. The proxy is green; it is not an audit of bank solvency or asset quality.

6. Overall algorithm and deploy implication

Any deep-red indicator or at least three red indicators makes the aggregate deep red. One or two red indicators, or at least three yellow with none red, makes it red. One or two yellow makes it yellow. Green requires all five fields to be verified green. HY OAS yellow overrides the base algorithm and makes the aggregate red.

Four public indicators are green, but HY OAS is DATA_WITHHELD; the public overall state is therefore DATA_INCOMPLETE and the deploy status is watch. Watch means prepare and maintain the list only, with no automatic trade. Red would activate a human review of the existing staged cash-bullet plan; deep red would activate a crisis-playbook review.

7. Data health

Per-item status: KRE, JPM, BAC, WFC, C, GS, MS, KBE, LQD and SPY use Yahoo query1 adjusted daily bars dated October 23, fallback=yes because the FMP live batch quote returned Starter-plan ACCESS DENIED, missing=no and stale=no. An independent finance lookup matched every listed close with no threshold-critical discrepancy above 1%. ^VIX uses Yahoo query1 dated October 23, fallback=yes, missing=no and stale=no; finance lookup did not return VIX, while FRED VIXCLS provides an asynchronous October 22 official cross-check. BAMLH0A0HYM2 uses direct FRED CSV dated October 22, missing=no, stale=no and raw=DATA_WITHHELD. T10YIE uses direct FRED CSV dated October 23, missing=no, stale=no. VIXCLS, DGS10 and DFII10 use direct FRED CSV dated October 22, missing=no and stale=no. Yahoo query2, FMP history and Stooq were not needed.

8. Method, sources and boundaries

The FMP MCP namespace was discovered exactly and called first. Its read-only batch quote returned an explicit Starter-plan ACCESS DENIED response, so equivalent restricted quote endpoints were not retried. Historical bars followed the specified Yahoo-first route. One-day and five-day returns are computed from consecutive observations in one adjusted-close series. Volume ratios divide latest volume by the preceding 30-session mean and do not use vendor open-to-close changePercent. Every security has more than 30 valid observations, a nonzero denominator and no recent move above 50% that would indicate a split-like anomaly.

Sources: Yahoo Finance Chart ↗, FRED HY OAS ↗, FRED T10YIE ↗, FRED VIXCLS ↗, FRED DGS10 ↗, and FRED DFII10 ↗. No personal accounts or positions are included. This report is not investment advice.