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FSI Credit Nowcast

What it is

FSI Credit Nowcast — registry key fsi_credit_nowcast.

Forward-validation carrier — confirms/denied by the OFR credit subindex print arriving T+2; no bands/score until validated. The OFR credit-stress subindex publishes with a 2-day lag, so this duration-isolated proxy reads the credit move T+0 and each arriving OFR print confirms or denies what the nowcast said two days earlier. Accrues the live history the hazard re-lock wants; not scored / banded / aligned.

Data-pyramid tier

T1 — Signal. This metric sits at the signal layer of the platform’s six-tier data pyramid (T0 raw inputs → T5 actionable read). The tier reflects how far the value is from a raw measurement — not how strongly it is validated. Abstraction and validation are separate axes: a higher tier is not a claim of stronger evidence.

Horizon & validation

No validated skill horizon is on file for this metric — read it as context / a data carrier, not a validated edge. Stamps are added only when a gated research verdict lands.

Source

Source module: computed
Data source: back_fillable

Fetched directly from app/sources/computed.py; see source code for the upstream API call and any provider-specific handling.

How it’s computed

Negative of the 5-session log return of HYG minus the 5-session log return of IEI: fsi_credit_nowcast = -( ln(HYG_T / HYG_{T-5}) - ln(IEI_T / IEI_{T-5}) ), over 5 TRADING sessions. Positive = high-yield credit underperforming duration-matched Treasuries = credit deteriorating. IEI (3-7y Treasury ETF) is the duration-matched hedge that cancels the rates move out of HYG’s return, isolating the credit component. A duration-isolated nowcast of the OFR credit-stress subindex, which publishes with a 2-day lag.

Where it surfaces

• API field: stress.fsi_credit_nowcast on GET /api/v1/signals/latest
• Surface: daily_signals row (daily-cadence persistence)
• Surface: /signals/history time series
• Surface: /signals/sparklines (UI sparklines)

Health-score / alignment role

Data carrier — no implication, no health-score contribution.

Persisted for downstream consumers (sparklines, base-rate matcher, calibration substrate) but does not classify into BULLISH / NEUTRAL / BEARISH and does not contribute to the 0-100 health score.

Release cadence

• Publishes: intraday

See also

• /kb/api/get-signals-latest — API endpoint that serves this field.