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HY OAS

What it is

HY OAS — registry key hy_oas.

Classifier metric. See the bands table below for the band-by-band reading.

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

Horizon: 40-60d — the window this metric’s measured skill speaks to. A horizon stamp is an evidence claim, not a trading signal.

Evidence: Macro drawdown-lens leg: forward-maxdd correlation grows with horizon and peaks at 40-60d (breakeven_10y +0.28@20d -> +0.42@60d; ofr_fsi_funding ~+0.278, highest tested). FAILS clean walk-forward (single 2022 bear, in-sample; RT-3 falsifier open). Weak - ships labeled, never as a standalone forecast.

Source

Source module: credit
Data source: back_fillable

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

How it’s computed

Raw ICE BofA US High Yield Index Option-Adjusted Spread from FRED series BAMLH0A0HYM2, reported in percentage points (e.g. 3.45 = 345 bps over the matched-duration Treasury curve). OAS adjusts the spread for embedded call/put options in the constituent bonds — the standard credit-stress proxy. Daily FRED publication. See app/sources/credit.py:40 (_calculate_credit). The classifier bands (Benign / Normal / Watchful / Elevated / Stressed / Crisis) are applied downstream via signal_defs.band_for('hy_oas', value).

Where it surfaces

• API field: signals.hy_oas on GET /api/v1/signals/latest
• Surface: daily_signals row (daily-cadence persistence)
• Surface: intraday_signals row (per-cycle snapshot)
• Surface: /signals/history time series
• Surface: /signals/sparklines (UI sparklines)
• Surface: change markers in the rendered report

Bands / thresholds

Classifier direction: lower_is_better.

Health-score / alignment role

• Health score component: hy_oas (weight + math in app/signals/config/score_weights.json and app/signals/score.py).
• Alignment category: credit, default weight 0.7 (see /kb/alignment for the 11-category framework).
• Contributes to: health_score.HY OAS, implication.credit, alignment.credit, cascade.4

Release cadence

• Publishes: daily
• Lag days: 1

cadence corrected 2026-06-12 (PR-4/L1-6): FRED BAMLH0A0HYM2 publishes the next business morning, stored hy_oas is T-1 (app/sources/credit.py observation walk); was mislabeled intraday.

See also

• /kb/alignment — Alignment framework — 11-category implication vs. price.
• /kb/health-score — Health score — 0-100 composite.
• /kb/api/get-signals-latest — API endpoint that serves this field.