1. Rates & cost of capital
Treasury yields on Oct 13: 2Y 4.79%, 5Y 5.00%, 10Y 5.21%, 30Y 5.56%; 10Y real 2.88%; breakeven 2.33%; 2s10s 42 bp; 10Y −10 bp over five sessions.
2. Fed
Target range 3.75–4.00%. Market-implied path for the next three meetings: n/a. Speaker: Warsh (Oct 15, 23:30 ET).
3. Valuation & equity risk premium
S&P 500 forward P/E 19.1 (FactSet, Oct 9); forward earnings yield 5.24% against a 5.21% 10-year — ERP +0.03 pp. Nasdaq-100 forward P/E n/a.
4. Earnings
Banks opened the season on Oct 13: Goldman Sachs and Citigroup topped profit estimates, JPMorgan posted a rare profit miss (EPS $5.57 versus $5.90 expected), and Wells Fargo's net interest income missed. Equity trading drove much of the growth at all four. FactSet (Oct 9): Q3 EPS growth 29.6%; NTM EPS +1.94% over four weeks.
5. Credit
HY OAS 311 bp (Oct 12), +40 bp over 20 sessions; IG OAS 83 bp.
6. Commodities & dollar
Brent $125.44 (EIA spot, Oct 6; FRED not updated), +18.21% over 20 sessions. DXY n/a.
7. Macro data
No major U.S. macro releases were scheduled for Oct 13.
Week ahead (ET)
- Oct 14: CPI (Sep) 08:30; Beige Book 14:00; ASML, Morgan Stanley, Bank of America (time unconfirmed).
- Oct 15: PPI (Sep), retail sales (Sep, advance) 08:30; TSMC (time unconfirmed).
- Oct 16: Warsh, conversation with K. Georgieva (IMF), Bangkok 23:30 on Oct 15; industrial production (Sep) 09:15; monthly OPEX (QQQ/SPX).
- Oct 19: no major events on the carried-over calendar.
- Oct 20: n/a — calendar not verified in this run.
Fundamental Market Health: Moderately Unfavorable (−2)
| Component | Reading | Score |
|---|---|---|
| ERP (EY − 10Y) | +0.03 pp | 0 |
| 10Y real | 2.88% | −2 |
| 10Y, 5-session change | −10 bp | +1 |
| NTM EPS revision, 4 weeks | +1.94% | +2 |
| HY OAS, 20 sessions | +40 bp | −1 |
| Fed, 3 meetings | n/a | excluded |
| Brent, 20 sessions | +18.21% | −2 |
| Total | −2 |
What Would Change the Regime
- 10Y real below 2.75% → component −1, total −1 (Neutral).
- ERP below zero → component −1, total −3.
- 10Y 5-session change within ±5 bp → component 0, total −3.
Sources
U.S. Treasury; FRED; FactSet Earnings Insight (Oct 9); bank results — Reuters, TheStreet, CNBC.