Credit risk daily report · 2026-10-27

Beijing time: 2026-10-27 11:32. Market prices and volume run through the completed October 26 US session. T10YIE is dated October 26 and FRED VIXCLS 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 current reading is unavailable and source permissions do not allow this page to republish the raw value, so it cannot be classified green and the public aggregate cannot be called all green.

2. What changed / what matters

• HY OAS first: the initial direct FRED read timed out and the bounded retry did not yield an auditable value. No old reading is carried forward to complete the score, and missing is not green.
• KRE closed at $72.73, up 5.01% across five sessions with a 0.85× volume ratio; none of its price, drawdown or volume add-ons fired.
• Yahoo VIX is 18.39, below 25. FRED VIXCLS is 19.45 on October 23; the different dates are not compared as simultaneous quotes.
• T10YIE is 2.34%, still inside the 2.20%–2.70% green band.
• None of the six banks combined a >5% one-day loss with >2× volume; KBE and the cross-asset signals are also inactive.

3. Regional banks and volatility

KRE's continuous adjusted close is $72.73, up 0.37% for one day and 5.01% across five sessions. Latest volume is 13.662 million shares, 0.85 times the preceding 30-session mean. There are 65 valid observations, the denominator is nonzero, and the recent adjusted-to-raw close ratio shows no split-like anomaly. KRE is green. Alpaca delayed-SIP independently reports the same-session $72.73 close, differing from Yahoo by less than 1%.

Yahoo ^VIX closed at 18.39 on October 26, the latest completed session. The official FRED VIXCLS observation is 19.45 on October 23; 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

ICE BofA US High Yield OAS / FRED ↗ is the highest-priority signal. The first direct CSV read timed out, and the bounded retry pipeline did not produce an auditable reading, so the current state is DATA_MISSING. Even when available, current source permissions do not allow this page to redistribute the raw index value, so the public field also remains 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.

FRED T10YIE is 2.34% on October 26, inside the green band. Above 2.70% flags inflation expectations starting to unanchor and above 3.00% is red. Below 2.20% flags rising recession expectations; below 2.00% remains a warning but is labeled 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 4.75% across five sessions rather than falling more than 10%. Signal 3 is inactive: LQD gained 1.11% while SPY lost 0.14%, a +1.25-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 verifiable indicators are green, but HY OAS is DATA_MISSING / DATA_WITHHELD. The public overall state is therefore DATA_INCOMPLETE and the deploy status is watch: 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 26, fallback=yes because FMP batch quote returned explicit Starter-plan ACCESS DENIED, missing=no and stale=no. Alpaca delayed-SIP independently matched the same-session listed closes with no threshold-critical discrepancy above 1%. ^VIX uses Yahoo query1 dated October 26, fallback=yes, missing=no and stale=no; FRED VIXCLS is dated October 23, missing=no and stale=no, and is only an asynchronous cross-check. T10YIE uses direct FRED CSV dated October 26, missing=no and stale=no. BAMLH0A0HYM2's first direct CSV read timed out and the bounded retry yielded no usable reading: fallback=no, missing=yes and public raw=DATA_WITHHELD; this reduces aggregate confidence. 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 explicit Starter-plan ACCESS DENIED, so equivalent restricted quote endpoints were not retried. Historical bars followed the required 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 listed series has 65 valid observations, nonzero denominators and no recent adjusted/raw ratio break above 2%.

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