1. Rates & cost of capital
UST 2Y 4.92% (+11 bp d/d, +16 bp over 5 sessions), 5Y 5.06% (+8 bp, +23 bp), 10Y 5.24% (+7 bp, +28 bp), 30Y 5.56% (+7 bp, +27 bp). 10Y real 2.90%, 10Y breakeven 2.34%, 2s10s 32 bp (prior 36). The 10Y and 30Y are at their highest since 2007 and 2004. The move is almost entirely real — the least friendly mix for long-duration equities.
2. Fed
Target range 3.75-4.00% after a 25 bp hike on Sep 16. Implied path from 28 Sep fed funds futures settlements: Oct 28 +17.7 bp (≈71% for +25), Dec 9 +21.1 bp, Jan 27 +13.4 bp; cumulative +52.2 bp vs +43.8 bp on Sep 22 (Oct hike odds then ≈55%). Governor Cook said AI-driven demand and higher oil will keep pushing inflation up; NY Fed President Williams also spoke.
3. Valuation & equity risk premium
S&P 500 forward P/E 19.2 (FactSet, as of Sep 24; 5-yr avg 19.8, 10-yr avg 19.0), forward earnings yield 5.21%. ERP (EY − 10Y) -0.03 pp; EY − real 10Y +2.31 pp. Nasdaq-100 forward P/E: n/a (no verified source for the date).
4. Earnings
FactSet expects S&P 500 EPS growth of 29.1% in Q3, 26.8% in Q4, 32.0% for CY2026 and 15.4% for CY2027. Forward 12-month EPS is up 8.9% since June 30 vs 7.4% in the Aug 28 edition — a four-week revision of ≈+1.4%. Q3 guidance: 44 negative, 72 positive. Nasdaq-100 aggregate revisions: n/a.
5. Credit
HY OAS 293 bp, IG OAS 81 bp (FRED, latest Sep 25). HY +25 bp over 5 sessions and +30 bp over 20; IG +4 bp and +2 bp.
6. Commodities & dollar
Brent (Nov, CME settle) $105.28 (+0.92%; Dec $97.83, steep backwardation), +17.9% over 20 sessions (continuous front month, includes roll). WTI (Nov) $92.60 (+0.21%). DXY 101.20 (+0.23%).
7. Macro data
Dallas Fed Manufacturing (Sep): actual n/a (not found in a verified source), consensus 7.3, prior 11.6. No rate-sensitive releases on the day.
8. Corporate events
The U.S. rejected Iran's seven-day ceasefire proposal tied to the Strait of Hormuz, lifting oil and yields. NVDA +1.68% on a $150bn buyback expansion; META -4.79%, TSLA -3.94%, NFLX -2.70%, MSFT -1.35%, AMZN -1.41%, AAPL -0.78%. No sector moved more than 2% (XLC -1.58%, XLY -1.41%).
9. Fundamental scorecard
| Component | Reading | Score |
|---|---|---|
| ERP (EY − 10Y), pp | -0.03 | -1 |
| 10Y real yield, % | 2.90 | -2 |
| 10Y change, 5 sessions, bp | +28 | -2 |
| NTM EPS revision, 4 weeks, % | +1.4 | +2 |
| HY OAS, 20 sessions, bp (as of Sep 25) | +30 | -1 |
| Fed pricing, next 3 meetings, bp | +52.2 | -2 |
| Brent, 20 sessions, % | +17.9 | -2 |
| Total | -8 → Unfavorable |
10. Week ahead (ET)
| Date | Time | Event |
|---|---|---|
| Sep 29 | 9:00 | S&P CoreLogic Case-Shiller (Jul) |
| Sep 29 | 10:00 | JOLTS (Aug); Conference Board consumer confidence (Sep) |
| Sep 29 | 13:00 / 14:00 | Goolsbee; Williams |
| Sep 30 | 8:15 | ADP (Sep) |
| Sep 30 | 8:30 | PCE and core PCE (Aug); GDP (Q2) |
| Sep 30 | 9:45 | Chicago PMI (Sep) |
| Oct 1 | 8:30 / 10:00 | Jobless claims; ISM Manufacturing (Sep) |
| Oct 2 | 8:30 | Nonfarm payrolls (Sep) |
| Oct 2 | TBA | Logan |
| Oct 5 | 10:00 | ISM Services (Sep) |
| Oct 16 | — | Monthly OPEX |
| Oct 21 | — | VIX expiration |
| Oct 28 | 14:00 | FOMC decision |
11. What Would Change the Regime
- If the 10Y holds within ±5 bp over the next five sessions (5.19–5.29% by Oct 5), then the rates component improves from −2 to 0 and the total to −6 (still Unfavorable).
- If PCE (Sep 30) and payrolls (Oct 2) pull three-meeting Fed pricing below +40 bp, then the Fed component improves to −1.
- If rates stabilize and one more component (Fed or Brent) improves by one point, then the total reaches −5 and the regime moves to Moderately Unfavorable.
- If four-week NTM EPS revisions slow below +1%, then the only positive component drops from +2 to +1 and the total to −9.
Sources
- U.S. Treasury — daily par nominal and real yield curves
- CME Group — 30-Day Fed Funds and crude oil settlements
- FRED — ICE BofA HY and IG OAS, Fed target range
- FactSet Earnings Insight, Sep 25 and Aug 28, 2026
- TheStreet and Yahoo Finance session coverage, Sep 28, 2026
- Kiplinger weekly economic calendar
Model-based estimates (gamma exposure, dealer positioning) are labeled as such and are not observed positions. This report describes market conditions and is not investment advice.