Credit risk daily report · 2026-11-11

Beijing time: 2026-11-11 11:37 CST. Listed-security data run through the completed November 10 U.S. session. FRED series use their own stated observation dates. Public overall level: Yellow. Cash-bullet deploy trigger: watch. This is a risk monitor, not investment advice, and it does not execute trades.

1. Five-indicator dashboard

HY OAS is the highest-weight signal and the key one-to-three-month credit-event lead indicator. Its raw ICE/FRED level is not redistributed publicly. The internal threshold check did not activate the HY-yellow override, but a withheld highest-weight value prevents a public all-green conclusion, so the published framework remains Yellow/watch.

2. What changed / what matters

• HY OAS first: the latest observation advanced to November 9; the raw level remains withheld, while the internal threshold check stays below the >5% yellow boundary.
• KRE slipped 0.49% but remains well above $60; its five-day return is positive and volume is only 0.69× the prior 30-day average.
• VIX closed at 19.46, comfortably below 25, with Yahoo and FMP agreeing.
• T10YIE moved to exactly 2.20%, still green by rule but now sitting directly on the recession-warning boundary.
• None of the three large-bank proxy signals is active; the LQD-versus-SPY spread is only +0.74 percentage point.

3. Market detail

All listed-security returns are computed locally from one consistent Yahoo adjusted-close/volume series. Each security has 124 usable observations, nonzero price denominators and 30 prior volume observations; no split event or >50% adjusted-close anomaly was detected. Query1 succeeded for every symbol, so query2, FMP history and Stooq were not used. FMP read-only quotes and the independent callable finance lookup matched the November 10 closes within 1% for KRE, JPM, BAC, WFC, C, GS, MS, KBE, LQD and SPY.

Signal 1 is inactive because no monitored bank fell more than 5% in one day with volume above 2×. Signal 2 is inactive because KBE gained 0.30% over five sessions. Signal 3 is inactive because LQD +0.15% minus SPY -0.59% equals +0.74 percentage point, not strictly above +3.

4. Credit, volatility and inflation boundary

Direct fredgraph.csv reads were isolated by series, followed redirects and used a 20-second hard timeout. All three succeeded without fallback: BAMLH0A0HYM2 is dated November 9, T10YIE is 2.20% on November 10, and VIXCLS is 19.92 on November 9. None is STALE_CRITICAL. VIXCLS is an official dated cross-check, not a simultaneous observation; the fresher November 10 Yahoo/FMP session value of 19.46 controls the VIX row. The HY OAS level is checked against the rules internally but withheld from public redistribution.

5. Overall algorithm and deploy implication

Any deep red, or at least three red indicators, makes overall deep red. One or two reds, or at least three yellows with no red, makes overall red. One or two yellows makes overall yellow. HY OAS yellow alone upgrades overall to red. All five indicators must be publicly observable and green before an all-green public claim.

Deploy implication: Yellow means prepare and review the watchlist only. The current status is watch, not an instruction to deploy. Red would activate a human review of the pre-planned staged cash-bullet framework; deep red would trigger crisis-playbook review. No trade should be executed automatically from this report.

6. Data health and boundaries

Data health: no required source was blocked, no fallback was needed and no item is stale. FMP was discovered through the exact mcp__financial_modeling_prep__ namespace and its read-only quotes succeeded. Yahoo query1 supplied the consistent history, and direct FRED supplied all macro series. Public confidence remains deliberately capped because HY OAS is DATA_WITHHELD; the raw value is neither published nor used to claim an all-green state.