Member Services Desk Weekly Market Update

This MSD Weekly Market Update reflects information for the week ending September 25, 2026.

Economist Views

THIS WEEK'S ECONOMIC CALENDAR HIGHLIGHTS
Date Time	Event	Period	Survey	Prior
9/29/26 9:00	S&P Cotality CS 20-City MoM SA	Jul	--	0.24%
9/29/26 10:00	Conf. Board Consumer Confidence	Sep	91.00	89.40
9/29/26 10:00	JOLTS Job Openings	Aug	7,225k	7,271k
9/30/26 7:00	MBA Mortgage Applications	25-Sep	--	-1.50%
9/30/26 8:30	Personal Income	Aug	0.40%	0.40%
9/30/26 8:30	Personal Spending	Aug	0.80%	0.20%
10/1/26 8:30	Initial Jobless Claims	26-Sep	--	197k
10/1/26 10:00	ISM Manufacturing	Sep	55.00	54.60
10/2/26 8:30	Change in Nonfarm Payrolls	Sep	104k	162k
10/2/26 8:30	Unemployment Rate	Sep	4.20%	4.10%

A few better-than-expected datasets, particularly Wednesday’s S&P Global US Activity report, sparked a dramatic rise in yields to multiyear highs this past week. A rebound in oil prices and a few hawkish Fed member comments added to the pressure. The market, as of midday Thursday, priced for ~3.9 25-bps hikes by October 2027, essentially adding a hike from a week ago. The week ahead is heavy on economic data and offers a plethora of Fedspeak.

S&P Cotality CS House Price Report (July): The June release posted a 1.5% YoY national rise. Generally, the data has portrayed home price appreciation remaining positive but at a subdued pace this year. Regional measures will also be a part of the report.

Consumer Confidence (Sept.): After dipping last month, the headline index is forecast to stage a slight rebound. While the present situation measure has been resilient, the future expectations barometer has been soft.

Job Openings & Labor Turnover Survey (JOLTS, August): The last report portrayed a relatively stable and healthy, albeit non-dynamic, market with the ratio of openings to unemployed workers remaining slightly above 1.

Mortgage Applications: The headline weekly index for the week ending September 18th fell 1.5%. With rates having ticked higher, this past week’s results appear unlikely to improve much.

Personal Income & Spending (August): The consensus forecast is for flat income, an uptick in spending, and a .1% uptick in the MoM and YoY core PCE inflation measures. Given that the PCE is the Fed’s preferred inflation barometer, it will garner scrutiny from the market and may impact short-end rates pricing.

Initial & Continuing Jobless Claims: Initial claims for the week ending September 12th dropped by 1K, with the 4-week moving average ticking 1.75K lower. Continuing Claims rose by 2K. This dataset’s steady trend has been noted by Fed Chair Warsh in recent comments as high-frequency evidence of relative labor market stability.

ISM Manufacturing (Sept.): The headline index is forecast to improve a tad. Trending at an over-50 reading, the report has signaled steady and relatively positive conditions in recent months, perhaps partly attributable to datacenter buildouts. Some signs of moderation were seen in last month’s report, however, and prices remain elevated and an ongoing challenge.

Employment Situation (Sept.): The fresh report is forecast to cool from last month’s stronger-than-expected payrolls print. Hourly earnings are expected to remain steady, but weekly hours worked is forecast to dip by .1 to 34.3. The unemployment rate is forecast to tick .1% higher to 4.2%. While considered a tier-1 report, the data is unlikely to alter the backdrop of a relatively steady, yet non-dynamic, labor market that will not present an obstacle to another Fed rate hike.

Federal Reserve Bank Member Appearances: 

• 09/25/2026 14:00 Cleveland Fed President Hammack participates in policy panel at Cleveland Fed’s “Inflation: Drivers and Dynamics 2026” conference.
• 09/29/2026 14:00 NY Fed Fed President Williams gives keynote remarks at University of Buffalo event.
• 09/30/2026 13:30 Richmond Fed President Barkin gives welcome remarks at Rural America Conference in Asheville, NC.
• 10/02/2026 08:50 Dallas Fed President Logan speaks at Fifth Annual Workshop on the Macroeconomic Implications of Migration.

UPCOMING WEEK'S US TREASURY AUCTIONS
Bills	Offering Amount	Auction Date -- Settle Date
4-Week; 8-Week
13-Week; 26-Week	$95bln; $82bln	9/28 -- 10/1
6-Week	$85bln	9/29 -- 10/1
52-Week	$54bln	9/29 -- 10/1
Notes	Offering Amount	Auction Date -- Settle Date
No scheduled Note offerings.
Bonds/FRNs	Offering Amount	Auction Date -- Settle Date
No scheduled Bond offerings.

Key Market Trends

Source: Bloomberg. Top pane is yield (LHS, %); bottom pane is change (LHS, bps). As of Thursday afternoon, the UST term curve was significantly higher than a week ago, led by the belly. The 5-year was ~27 bps higher. With term yields at multiyear highs, investments are at clearly more compelling levels. A bulk of the MBS universe trades at below-par prices, also. Note that FHLBNY advances can be efficient bridge-funding vehicles for those looking to be opportunistic on securities purchases. The market currently prices a 74% chance of a 25-bps hike at the October 28th FOMC. The year-end forward, 4.265%, up 5 bps from a week ago, which equates to 1.55 25-bps hikes. The peak forward is October of next year; at 4.85%, it is ~24 bps higher than last week and equates to just shy of four 25-bps hikes; it is also well above the Fed’s dot plot median peak of 4.125%.

Source: Bloomberg. Here can be seen that, while inflation pressures are contributing to higher rates and the Fed’s current hawkish posture, the notable rise in term yields has predominantly been led by an increase in real yields. Shown here is the 10-year TIPS yield, which is representative of real yields, along with the 10-year TIPS Inflation Breakeven rate, which is representative of inflation expectations. For those readers unfamiliar, note that these two yields sum to the nominal or standard yield of the 10-year UST. Whereas the Breakeven has traded in a relatively narrow range over the last few years, the real yield has notably risen, especially in the past few months, thereby signaling that markets may have entered a more elevated rate regime more akin to the pre-Great Financial Crisis years than the past fifteen years.

Source: Bloomberg. Consistent with their correlation of the past year, the recent rise in yields has sparked an increase in option implied volatility (“vol”). Shown here is the 2-year-into-3-year swaption (option to enter a swap) vol (in annual bps form) that has reached its highest level of the past year. The rise in vol can have a detrimental or beneficial impact, all else equal, on option-embedded product pricing. For instance, the effect is beneficial for our putable advance. For those unfamiliar, the putable allows FHLBNY to cancel the advance at a predetermined date (European-style) or on a series of dates (Bermudan-style) after a predetermined lockout date. Higher vol translates to higher option value, and the member is the option seller in a putable advance.

Source: FHLBNY. Here we can view the impact of higher vol on our putable advance. Shown is the spread of a 5-year No-Put 1-year Bermudan (“5NP1 Berm”) versus a 2-year bullet (standard, no options advance) advance. We chose the 5NP1 Berm since it roughly incorporates the 2-year-into 3-year swaption point. While we could choose other points to observe the spread, we here selected the 2-year bullet, since its duration and average life expectation roughly match that of the 5NP1. At -71 bps, the spread is at its lowest and most compelling level of the past year. Of course, in terms of the coupon on new putable advances, the dramatic rise in yields has outweighed and overwhelmed the beneficial vol impact. Nonetheless, this vol move can be a helpful “good to know” for those who may have new assets coming onto their books and would consider a putable for some term funding.

FHLBNY Advance Rates Observations

Front-End Rates

• As of Thursday morning and relative to a week ago, the 1-month-and-in sector was flat to up a few bps. The 2-month-and-out zone rose 4 to 11 bps in steepening fashion, as maturities crossed further into the market’s projected timeline of increased hikes. Also, again in the mix this week was upward pressure on our funding spreads, as the Fed being “in play” has led investors to shorten WAM and/or demand higher spreads on short paper. In terms of overall liquidity conditions and SOFR behavior, Fed purchases of T-bills via MBS portfolio principal reinvestments and its Reserve Management Purchases (RMP) program have greased stability in financing markets and helped blunt reactions to any net positive UST and T-bill issuance and/or month and quarter-end periods. Improved dealer intermediation, via lighter regulatory constraints, has also benefited liquidity. Money Market Fund AUM, meanwhile, has added cash to the space. Indeed, these financing conditions have been tranquil enough that the Fed has paused its RMP until further notice.
• Net T-bill supply has been negative in September. UST and T-bill auction settlements, when net positive, can extract cash from the markets and potentially exert upward pressure on repo and thereby impact our very-short-tenor advance levels. But, net Bill supply is expected to turn positive again in October, and so the calmer conditions could be challenged thereafter. Quarter-end looms on the 30th, meanwhile, and a slug of net positive UST issuance settles on that day. SOFR, for now, appears likely to trade near or just shy of the Fed’s 3.90% IORB rate, but it could encounter upward pressure into this event and thereby impact, all else equal, our Overnight levels. Indeed, it has crept a few bps higher this week but remains below IORB.

Term Rates

• The longer-term curve, as of Thursday afternoon and generally mirroring the moves in USTs and swaps, was notably higher and led by the belly; the 5-year rose by 28 bps. Please refer to the previous section for color on market dynamics and changes.
• On the UST term supply front, the upcoming week serves a reprieve from auctions. Note that UST auctions usually occur at 1pm and can occasionally spur volatility around that time. Please contact the Member Services Desk for further information on market dynamics, rate levels, or products.