信用リスクの日次レポート
過去の日付の最新レポートです。各データの観測日を確認してください。
Four public indicators are below warning thresholds; raw HY OAS redistribution is restricted, leaving the public aggregate incomplete.
Market observations end at the completed October 9 US session. Four publicly available indicators are below their warning thresholds. Publication of the raw HY OAS value is restricted by its source terms, so the public overall state is DATA_INCOMPLETE, not an independently confirmed all-green conclusion.
1. Exactly five indicators
| Indicator | Public observation | State | Conditions and date |
|---|---|---|---|
| KRE regional banks | $69.01; five-day -2.50%; volume ratio 1.02 | Green | <$60 yellow, <$55 red; additional warnings for >8% five-day loss or >2× volume; FMP October 9 |
| VIX | 14.84 | Green | >25 yellow, >35 red, >50 deep red; FMP October 9 |
| HY OAS | Raw value withheld; source link available | DATA_WITHHELD | >5% yellow, >7% red, >10% deep red; source observation October 8 |
| 10Y breakeven inflation | 2.33% | Green | Normal 2.20%–2.70%; FRED October 9 |
| Large-bank health proxy | None of three price/volume conditions met | Green | Banks, KBE and LQD versus SPY; FMP October 9 |
Missing or withheld HY OAS is never treated as zero or green. Public review status is watch: verify the key field. This is a data-verification state, not a claim that market prices have triggered yellow thresholds.
2. Regional banks and volatility
KRE close: $69.01, one-day -0.83%, five-session -2.50%, volume 15.1149M shares. Volume divided by the preceding 30-session mean is 1.02. Price is above $60, the five-day loss is below 8%, and volume is below 2×, so no add-on condition is active. VIX close 14.84 is below 25. Equity implied volatility does not substitute for credit spreads or bank balance-sheet quality.
3. High-yield credit spread
The FRED / ICE BofA source ↗ states that public redistribution of raw index data requires permission. This page supplies the source link and research thresholds, rather than publishing the raw value or inferring green from an omitted field. HY OAS yellow alone upgrades the overall framework to red. Its lead-indicator role does not guarantee that every credit event will be predicted.
4. Inflation expectations
FRED T10YIE is 2.33% on October 9 versus 2.35% on October 8, a decline of 0.02 percentage points. Upper yellow >2.70%, red >3.00%; lower yellow <2.20%. Below 2.00% remains a recession/easing warning. Breakeven is a market-implied long-term average, not a guaranteed CPI forecast.
5. Large-bank and cross-asset proxy
| Security | Close USD | Close-to-close 1-day return | Volume / prior 30-session mean |
|---|---|---|---|
| JPM | 332.99 | +0.47% | 0.67× |
| BAC | 54.32 | +1.32% | 0.76× |
| WFC | 83.55 | +1.85% | 1.58× |
| C | 129.64 | +1.22% | 0.68× |
| GS | 895.32 | +1.44% | 0.92× |
| MS | 190.02 | +1.38% | 0.92× |
No bank combines a >5% one-day loss with >2× volume. KBE five-day return is -1.91%, above the -10% trigger. LQD five-day +0.57% minus SPY +1.16% equals -0.59 percentage points, below the +3-point risk-off trigger. The proxy is green; it does not establish audited solvency or asset quality for these banks.
6. Overall algorithm
Any deep-red indicator or three red indicators produces deep red. One or two red indicators, or at least three yellow with none red, produces red. One or two yellow produces yellow. Overall green requires all five fields to be verified green. HY OAS yellow alone escalates the total to red. Four green public observations cannot complete the aggregate when the highest-weight field is withheld.
7. Deployment-plan implication
The report does not execute trades. Verify HY OAS at the source before reviewing any existing staged cash plan. The watch status here means a key field needs verification; it does not instruct buying, selling or moving cash.
8. Data health and method
FMP MCP supplied all listed-market daily bars and volume. FMP lacks the exact required FRED series, so FRED supplies breakeven and the HY source page. Returns use consecutive closes; volume excludes the current session from the 30-session denominator. Returns are price returns, not dividend-inclusive total returns, and do not use the vendor's open-to-close changePercent field. Weekend reporting uses the latest completed session. Each FRED observation retains its own date.
Sources: FMP ↗, FRED T10YIE ↗, HY OAS source and terms ↗. Missing data is explicit and no public all-green claim is made.
データソース
- FMP ↗ · Observation dates and definitions are stated in the report.
- FRED T10YIE ↗ · Observation dates and definitions are stated in the report.
- HY OAS source and terms ↗ · Observation dates and definitions are stated in the report.