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HY OAS Nowcast

What it is

HY OAS Nowcast — registry key hy_oas_nowcast.

Forward-validation carrier (SIGPRED #86 C1) — same-day level nowcast of the FRED HY OAS print, which arrives T+1. Each arriving FRED print confirms or denies what the nowcast said the prior session (auto-grading ledger; prereg research/planning/prereg_hy_oas_nowcast_2026-06-12.md). Not banded / scored / aligned; the drawdown-risk hy_oas leg prefers it as an INPUT when present (input-freshening of the existing leg, never an additional leg).

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

Stale T-1 HY OAS print plus beta times today’s one-session duration-isolated high-yield excess return: hy_oas_nowcast = hy_oas + beta * 100 * ( ln(HYG_T / HYG_{T-1}) - ln(IEI_T / IEI_{T-1}) ), with beta = -0.16 (% OAS per 1% one-session HYG-minus-IEI excess return; walk-forward out-of-sample spec — R^2 vs persistence 0.58, sign accuracy 0.79, n=588). IEI (3-7y Treasury ETF) cancels the rates move out of HYG’s return so the residual is the credit move. The official OAS series publishes the next business morning; this reads today’s level T+0.

Where it surfaces

• API field: stress.hy_oas_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.