1. Rates & cost of capital
UST 2Y 4.89% (-3 bp d/d, +18 bp over 5 sessions), 5Y 5.06% (0 bp, +23 bp), 10Y 5.26% (+2 bp, +30 bp), 30Y 5.59% (+3 bp, +30 bp). 10Y real 2.91% (+1 bp, +28 bp), 10Y breakeven 2.35%, 2s10s 37 bp (prior 32). The 30-year yield is at a 24-year high (Yahoo Finance). This is a bear steepener, and the five-session rise in the 10Y is almost entirely real — still the main source of pressure on long-duration multiples.
2. Fed
Target range 3.75-4.00% after a 25 bp hike on Sep 16. Market pricing for the next three meetings is n/a: no verified 30-Day Fed Funds futures settlement for Sep 29 was available (Sep 28 reference: +52.2 bp, ≈71% odds of an Oct 28 hike). Williams saw no urgency for the next move, expecting one more hike by year-end if the outlook is realized, inflation near 3.5% in 2026 and growth of 2.25%. Goolsbee called persistent above-target inflation "playing with fire"; Musalem described policy as still accommodative. The 3 bp decline in the 2Y is consistent with some repricing from October toward December, but it cannot be quantified without futures data.
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; next edition Oct 2), forward earnings yield 5.21%. ERP (EY − 10Y) -0.05 pp (prior -0.03); EY − real 10Y +2.30 pp. The nominal equity risk premium has turned negative. 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 +1.40%. Q3 guidance: 44 negative, 72 positive; 9 companies have reported, 7 beating on EPS. Nasdaq-100 aggregate revisions: n/a.
5. Credit
HY OAS 302 bp, IG OAS 83 bp (FRED, latest Sep 28). HY +36 bp over 5 sessions and +42 bp over 20; IG +6 bp and +4 bp. The widening in high yield is accelerating (+9 bp on Sep 28 alone).
6. Commodities & dollar
Session settlements for Brent and WTI are n/a: no verified exchange settlement was available and media reports conflict (Brent -0.23% per Yahoo Finance/Reuters vs WTI -3.48% per Investrade). The scorecard therefore uses EIA spot via FRED, dated Sep 22: Brent $114.89 (+23.92% over 20 sessions), WTI $96.41 (+11.66%). Dated Brent spot and the futures contract are different instruments (the Nov Brent future settled at $105.28 on Sep 28). Middle East crude exports reached their highest since February at 12.8mn b/d (Yahoo Finance). DXY: n/a.
7. Macro data
| Release | Actual | Consensus | Prior |
|---|---|---|---|
| JOLTS job openings (Aug) | 7.079mn | 7.225mn | 7.335mn |
| Conference Board consumer confidence (Sep) | 81.9 | 89.2 | 88.6 |
| S&P CoreLogic Case-Shiller 20-city, y/y (Jul) | +2.5% | +2.1% | +2.2% |
Both headline releases disappointed; the 2Y reaction (-3 bp) weakened the case for an immediate hike without changing the long end.
8. Corporate events
Indices traded in a tight range ahead of Wednesday's PCE and GDP data: S&P 500 -0.17%, Nasdaq-100 +0.21%, Nasdaq Composite -0.09%, Dow -0.25%, Russell 2000 -0.35% (Investrade). NDX top 10 by market cap: META +3.24%, SPCX +2.59%, AVGO +1.58%, AMZN +0.21%, MSFT -0.05%, GOOGL -0.53%, NVDA -0.72%, TSLA -1.29%, AAPL -2.66%. AI-sector news flow: a leaked Anthropic IPO prospectus, OpenAI shelving a frontier model, and AMD's $8.2bn acquisition of World Labs (Yahoo Finance). Sector ETF moves: n/a.
9. Fundamental scorecard
| Component | Reading | Score |
|---|---|---|
| ERP (EY − 10Y), pp | -0.05 | -1 |
| 10Y real yield, % | 2.91 | -2 |
| 10Y change, 5 sessions, bp | +30 | -2 |
| NTM EPS revision, 4 weeks, % | +1.40 | +2 |
| HY OAS, 20 sessions, bp (as of Sep 28) | +42 | -1 |
| Fed pricing, next 3 meetings, bp | n/a | excluded |
| Brent, 20 sessions, % (EIA spot, as of Sep 22) | +23.92 | -2 |
| Total (6 of 7 components) | -6 → Unfavorable |
10. Week ahead (ET)
| Date | Time | Event |
|---|---|---|
| Sep 30 | 8:15 | ADP (Sep) |
| Sep 30 | 8:30 | PCE and core PCE (Aug); GDP (Q2) |
| Sep 30 | 9:45 | Chicago PMI (Sep) |
| Sep 30 | 16:00 | Goolsbee |
| Oct 1 | 8:30 / 10:00 | Jobless claims; ISM Manufacturing (Sep) |
| Oct 2 | 8:30 | Nonfarm payrolls (Sep) |
| Oct 2 | 10:00 | Factory orders (Aug) |
| Oct 2 | TBA | Logan; FactSet Earnings Insight |
| Oct 5 | 10:00 | ISM Services (Sep) |
| Oct 16 | — | Monthly OPEX |
| Oct 28 | 14:00 | FOMC decision |
11. What Would Change the Regime
- If the 20-session change in HY OAS falls below +25 bp, then the credit component improves to 0 and the total to -5 — Moderately Unfavorable.
- If the five-session rise in the 10Y slows to +20 bp or less, then the rates component improves to -1 and the total to -5.
- If PCE (Sep 30) and payrolls (Oct 2) pull three-meeting Fed pricing below +40 bp once futures data is available, then the Fed component enters the scorecard at -1 rather than -2.
- If four-week NTM EPS revisions in the Oct 2 FactSet edition slow below +1%, then the only positive component drops to +1 and the total to -7.
Sources
- U.S. Treasury — daily par nominal and real yield curves
- FRED — ICE BofA HY and IG OAS, Fed target range, EIA Brent and WTI spot
- FactSet Earnings Insight, Sep 25 and Aug 28, 2026
- Investrade Market Review, Sep 29, 2026
- FXStreet and Reuters (via inkl) — Fed speakers, Sep 29, 2026
- Yahoo Finance session coverage, Sep 29, 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.