Credit risk daily report · 2026-11-12

Beijing time: 2026-11-12 11:37 CST. Listed-security data run through the completed November 11 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 observation remains dated November 9; the raw level stays withheld, while the internal threshold check remains below the >5% yellow boundary.
• KRE eased 0.19% and is down 1.59% over five sessions, still far from both its price and momentum warnings; volume was only 0.68× the prior 30-day average.
• VIX fell to 17.49 in the November 11 session, comfortably below 25.
• T10YIE remains exactly 2.20%, green by rule but directly on the recession-warning boundary.
• None of the three large-bank proxy signals is active; the LQD-versus-SPY five-day spread is only +0.40 percentage point.

3. Market detail

All listed-security returns are computed locally from one consistent Yahoo adjusted-close/volume series. Every required symbol has at least 128 usable observations, nonzero price denominators and 30 prior volume observations. No split event was reported; observed larger moves were checked against the adjusted series and did not affect any current trigger. Query1 succeeded for every symbol, so query2, FMP history and Stooq were not used. The callable finance lookup matched the November 11 closes for KRE, JPM, BAC, WFC, C, GS, MS, KBE, LQD and SPY within 1%. The preferred FMP quote endpoint was discovered but returned an explicit Starter-plan ACCESS DENIED, so it was not retried and could not provide an independent FMP quote.

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 fell only 1.71% over five sessions, not more than 10%. Signal 3 is inactive because LQD -0.52% minus SPY -0.91% equals +0.40 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. The first attempt timed out for each series; the single permitted retry then succeeded. BAMLH0A0HYM2 is dated November 9, T10YIE is 2.20% on November 10, and VIXCLS is 19.46 on November 10. These dates remain within the series' normal publication cadence and are not marked STALE_CRITICAL. VIXCLS is an official dated cross-check, not a simultaneous observation; the fresher November 11 Yahoo session value of 17.49 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: FMP was discovered through the exact mcp__financial_modeling_prep__ namespace, but its quote endpoint returned explicit ACCESS DENIED for the Starter plan; no equivalent retry was made. Yahoo query1 supplied the consistent history, the callable finance lookup supplied listed-quote cross-checks, and direct FRED supplied all macro series after one retry. No required market item is missing or stale. 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.