Credit risk daily report · 2026-11-01

Beijing time: 2026-11-01 15:58 CST. Market prices and volume run through the completed October 30 US session. FRED observations are dated individually below and are not treated as same-time market quotes. 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 signal and a key one-to-three-month credit-event lead indicator. Its latest observation was obtained and is within normal publication cadence, but ICE/FRED redistribution limits mean the raw value is not republished. The public field therefore remains DATA_WITHHELD and the aggregate is not presented as all green.

2. What changed / what matters

• HY OAS first: a current Oct. 29 observation was obtained; the internal threshold check remains below yellow, but the public raw value stays withheld and prevents a fully public all-green score.
• KRE closed at $72.01, down 0.62% across five sessions with a 1.16× volume ratio; no price, drawdown or volume add-on fired.
• VIX rose 12.91% in the session to 19.42 but remains below 25; FRED VIXCLS is dated one session earlier and is not compared as simultaneous.
• No large-bank sub-signal fired; LQD outperformed SPY by 0.96 percentage points across five sessions, below the +3-point trigger.
• T10YIE is 2.34% on Oct. 30, within the green band; it is neither an inflation-unanchoring nor recession-threshold signal.

3. Regional banks and volatility

KRE's adjusted close is $72.01, down 1.17% for one day and 0.62% across five sessions. Latest volume is 17.707 million shares, 1.16 times the preceding 30-session mean. Yahoo query1 supplied 128 valid observations; denominators were nonzero and no recent split or split-like adjusted-price anomaly was found. KRE is green. FMP and Alpaca both matched the $72.01 completed-session close; no threshold-critical discrepancy exceeded 1%.

Yahoo ^VIX closed at 19.42 on Oct. 30, the latest completed session, and is green. FMP independently matched 19.42. Official FRED VIXCLS is 17.20 dated Oct. 29; because the observation dates differ, the two are not treated as simultaneous. Equity implied volatility does not replace credit spreads.

4. HY OAS and inflation expectations

ICE BofA US High Yield OAS / FRED ↗ is the priority signal. Direct fredgraph.csv succeeded on the initial bounded call with a latest non-null observation dated Oct. 29. The raw value is not redistributed publicly; the internal threshold check is below 5%. Public thresholds remain: above 5% yellow, above 7% red and above 10% deep red. HY OAS yellow alone would escalate the overall framework to red.

FRED T10YIE ↗ is 2.34% dated Oct. 30 and green. Above 2.70% is upper yellow, above 3.00% is red, and below 2.20% is lower yellow. Below 2.00% remains a recession/easing-mix warning 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 fell 0.26% across five sessions, far short of a decline greater than 10%. Signal 3 is inactive: LQD gained 0.40% while SPY fell 0.56%, a +0.96-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. All five publicly verifiable green is required for a public green. HY OAS yellow overrides the base algorithm and makes the aggregate red.

Four classifiable indicators are green. HY OAS was current and internally below yellow, but its raw value is not publicly redistributable. The public aggregate therefore remains DATA_INCOMPLETE, with deploy status watch. 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 crisis-playbook review. No trade is executed automatically.

7. Data health and method boundaries

Required-symbol ledger: KRE, JPM, BAC, WFC, C, GS, MS, KBE, LQD and SPY each use Yahoo query1 adjusted daily bars dated Oct. 30 (fallback=no, missing=no, stale=no); each has 128 valid observations. ^VIX uses Yahoo query1 at 19.42 dated Oct. 30 (fallback=no, missing=no, stale=no; 130 valid observations). FMP read-only quotes were obtained for all ten securities and ^VIX; WFC, C, LQD and ^VIX required their sole retry after Session not found, while the others succeeded initially. Alpaca delayed-SIP independently matched all ten completed-session closes. No threshold-critical price discrepancy exceeded 1%.

FRED ledger: BAMLH0A0HYM2 dated Oct. 29 (fallback=no, missing=no, stale=no, public=DATA_WITHHELD); T10YIE 2.34% dated Oct. 30 (fallback=no, missing=no, stale=no); VIXCLS 17.20 dated Oct. 29 (fallback=no, missing=no, stale=no, asynchronous to Yahoo ^VIX). Blocked sources: none. Unused fallbacks: Yahoo query2, FMP history and Stooq. Returns are computed locally from consecutive adjusted closes in one consistent series; volume ratios use latest volume divided by the preceding 30-session mean, with nonzero denominators and split checks. Sources: FMP ↗, Yahoo Finance ↗, FRED HY OAS ↗, FRED T10YIE ↗, FRED VIXCLS ↗, and Alpaca ↗. No personal accounts or positions are included.