1. Rates & cost of capital
UST 2Y 4.78% (-10 bp d/d, -9 bp over 5 sessions), 5Y 5.01% (-8 bp, -2 bp), 10Y 5.24% (-5 bp, +6 bp), 30Y 5.61% (-3 bp, +14 bp). 10Y real 2.88% (-5 bp, +3 bp), 10Y breakeven 2.36% (unchanged), 2s10s 46 bp (prior 41). A bull steepening: the front end fell more than the long end as the market pared near-term Fed expectations, while the term premium held (30Y +14 bp over five sessions). The whole daily decline in the 10Y was real yield — relief for long-duration assets such as the Nasdaq-100, but from a level that remains in the scorecard's worst band.
2. Fed
Target range 3.75-4.00% after a 25 bp hike on Sep 16. The three-meeting rate path from fed funds futures settlement is n/a (CME data unavailable from the cloud), so the component is excluded. Kashkari (Minneapolis Fed) said he has no strong view on October; his September projection includes one more hike in 2026 and one in 2027, and he does not see meaningful tightening in financial conditions (FXStreet). Jefferson said his colleagues may need more time to decide and that higher yields since September reflect investors reassessing the economy (crypto.news, Newsquawk). Odds of an Oct 28 hike stood near 24% at the close (Newsquawk; secondary source, not scored; 34.9% a day earlier per FedWatch via Babypips). Fed rhetoric has shifted toward an October pause without abandoning the cycle — a delay rather than easing, which is why the 10 bp drop in the 2Y was not matched at the long end. Next tests: payrolls on Oct 2 and the FOMC minutes on Oct 7.
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) -0.03 pp (prior -0.08); EY − real 10Y +2.33 pp. Nasdaq-100 forward P/E: n/a (no verified source for the date). The premium narrowed with the 10Y but remains below zero; the 10Y would need to close at or below 5.21% for the component to move to neutral.
4. Earnings
FactSet (Sep 25 edition; no new data) 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. Earnings remain the only positive scorecard component; the Oct 2 FactSet edition resets the revision base, and the +2 score requires the four-week revision to stay above +1%.
5. Credit
HY OAS 312 bp, IG OAS 84 bp (FRED, latest Sep 30). HY +4 bp on the day, +39 bp over 5 sessions and +47 bp over 20; IG unchanged on the day, +7 bp and +3 bp. High-yield spreads kept widening into the Sep 30 close; Oct 1 data are not yet published. Credit has yet to confirm the relief from lower rates.
6. Commodities & dollar
Session settlements for Brent and WTI are n/a (exchange data unavailable). Media reports (futures, unverified): WTI $92.87 (+2.71%), Brent $102.31 (+4.37%) — Investrade, Newsquawk — on China's suspension of October fuel exports and reports of additional U.S. troop deployments to the Middle East. The scorecard uses EIA spot via FRED, dated Sep 29 (no later data): Brent $113.96, +26.97% over 20 sessions; WTI $96.16 (+10.49%). Dated Brent spot and the futures contract are different instruments. DXY: n/a. Together with the jump in ISM prices, oil keeps the inflation channel as the main argument for further hikes.
7. Macro data
| Release | Actual | Consensus | Prior |
|---|---|---|---|
| Initial jobless claims (week) | 197k | 200k | 198k |
| Continuing claims | 1.701mn | 1.725mn | n/a |
| ISM Manufacturing (Sep) | 54.5 | 55.0 | 54.6 |
| ISM: prices | 77.9 | 72.3 | 71.1 |
| ISM: new orders | 55.3 | — | 53.7 |
| ISM: employment | 52.7 | — | 51.2 |
| Construction spending (Aug) | +0.9% | 0.0% | — |
| Challenger job cuts (Sep) | 43,281 | — | — |
Sources: Investrade (claims, ISM, construction), FXStreet (ISM subindices and priors), Yahoo Finance (Challenger, -20% y/y). Manufacturing remains in expansion, the labor market is tight (claims below 200k) and price pressure is building — not a picture that lets the Fed declare the cycle over. The session's decline in yields reflected Fed rhetoric rather than the data.
8. Corporate events
S&P 500 +0.19% (7,666.45), Nasdaq-100 +0.31% (30,501.56); per Investrade, Nasdaq Composite +0.04%, Dow +0.04%, Russell 2000 +0.35%. Indices were under pressure from early to late morning as yields rose and recovered as they retreated (Investrade). S&P 500 sectors: Energy +1.92%, Industrials +1.00%, Technology +0.76%, Health Care -1.3% (Newsquawk). NDX top 10 by market cap: NVDA +1.09%, META +0.10%, MSFT -0.02%, TSLA -0.20%, AMZN -0.37%, AAPL -0.81%, GOOGL -1.70%, SPCX -1.85%, AVGO -2.15%. Single stocks: ACN +21.41% (Q4 results and FY2027 outlook), SNPS +12.29% (Amazon partnership above $1bn, OpenAI deal) — TheStreet; MU +2.28% after its FQ4 report (Yahoo Finance). CTVA -81.75% reflects the spinoff of its seed business. Nike reported after the close; the reaction falls outside the session.
9. Fundamental scorecard
| Component | Reading | Score |
|---|---|---|
| ERP (EY − 10Y), pp | -0.03 | -1 |
| 10Y real yield, % | 2.88 | -2 |
| 10Y change, 5 sessions, bp | +6 | -1 |
| NTM EPS revision, 4 weeks, % | +1.40 | +2 |
| HY OAS, 20 sessions, bp (as of Sep 30) | +47 | -1 |
| Fed pricing, next 3 meetings, bp | n/a | excluded |
| Brent, 20 sessions, % (EIA spot, as of Sep 29) | +26.97 | -2 |
| Total (6 of 7 components) | -5 → Moderately Unfavorable |
The total is unchanged, but two components sit at their thresholds: ERP (-0.03) is 3 bp from neutral and the five-session 10Y change (+6 bp) is 1 bp from a zero score.
10. Week ahead (ET)
| Date | Time | Event |
|---|---|---|
| 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 6 | — | n/a (not confirmed) |
| Oct 7 | 14:00 | FOMC minutes (Sep 15–16 meeting) |
| Oct 8 | — | n/a (not confirmed) |
| Oct 16 | — | Monthly OPEX |
| Oct 28 | 14:00 | FOMC decision |
11. What Would Change the Regime
- If the 10Y closes at or below 5.21% (ERP non-negative), then the ERP component improves to 0 and the total to -4.
- If the five-session change in the 10Y is +5 bp or less (now +6 bp), then the rates-change component improves to 0 and the total to -4.
- 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 -6 — Unfavorable.
- If the five-session rise in the 10Y exceeds +20 bp, then the rates-change component falls to -2 and the total to -6.
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, Oct 1, 2026
- FXStreet — ISM Manufacturing; Kashkari remarks
- crypto.news — Jefferson remarks
- Newsquawk US Market Wrap, Oct 1, 2026
- TheStreet and Yahoo Finance, Oct 1, 2026
- LiteFinance 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.