Credit risk daily report · 2026-10-28

Beijing time: 2026-10-28 11:27. Market prices and volume run through the completed October 27 US session. FRED T10YIE is dated October 27, while HY OAS and VIXCLS are dated October 26. 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. The direct read supplied a current source date, but source permissions do not allow this page to republish the raw value. Its public state therefore remains DATA_WITHHELD; it is not classified green and the public aggregate is not called all green.

2. What changed / what matters

• HY OAS first: the direct FRED read recovered and supplied a latest observation dated October 26. The raw value remains withheld and the public aggregate remains incomplete.
• KRE closed at $72.58, up 2.78% across five sessions with a 0.80× volume ratio; none of its price, drawdown or volume add-ons fired.
• Yahoo VIX is 17.52, below 25. FRED VIXCLS is dated October 26, so the two are not compared as simultaneous observations.
• T10YIE is 2.35%, 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 $72.58, down 0.21% for one day and up 2.78% across five sessions. Latest volume is 12.754 million shares, 0.80 times the preceding 30-session mean. There are 85 valid observations, the denominator is nonzero, and there is no recent split event. KRE is green. FMP and Alpaca delayed-SIP independently report the same-session $72.58 close, differing from Yahoo by less than 1%.

Yahoo ^VIX closed at 17.52 on October 27, the latest completed session. The official FRED VIXCLS observation is dated October 26; 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 independent direct CSV read succeeded and supplied a latest observation dated October 26, but current source permissions do not allow this page to redistribute the raw index value. The public field therefore remains DATA_WITHHELD, and the public aggregate is not completed from it. 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 2.35% on October 27, 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 2.64% across five sessions rather than falling more than 10%. Signal 3 is inactive: LQD gained 1.05% while SPY gained 0.08%, a +0.97-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 publicly verified green. HY OAS yellow overrides the base algorithm and makes the aggregate red.

Four publicly verifiable indicators are green, but HY OAS is 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. Green means no deploy trigger; yellow means prepare/watchlist only; red means a human review of the existing staged cash-bullet plan; deep red means a crisis-playbook review.

7. Data health and method boundaries

Per-item status: KRE, JPM, BAC, WFC, C, GS, MS, KBE, LQD and SPY each use Yahoo query1 adjusted daily bars dated October 27, 2026 (fallback=no, missing=no, stale=no), with independent same-session FMP quote and Alpaca delayed-SIP close checks; every threshold-critical discrepancy is <1%. ^VIX uses Yahoo query1 dated October 27 (fallback=no, missing=no, stale=no). BAMLH0A0HYM2 uses direct FRED CSV dated October 26 (fallback=no, missing=no, stale=no, public raw=DATA_WITHHELD). T10YIE uses direct FRED CSV dated October 27 (fallback=no, missing=no, stale=no). VIXCLS uses direct FRED CSV dated October 26 (fallback=no, missing=no, stale=no, asynchronous cross-check only). Blocked sources: none. Yahoo query2, FMP history and Stooq were not needed.

The exact FMP MCP namespace was discovered and its read-only quote endpoint was called first. 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 85 valid observations, nonzero denominators and no recent split event. Sources: FMP Market Data ↗, 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.