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FULL DESK READ · ALCO APPENDIX · SAMPLE BANK DEMONSTRATION
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SETNOVA ADVISORY · TREASURY & ALM Treasury Full Desk ReadSeptember CPI lands this morning with the 2-year 91 bp above the 3.88% effective funds rate and the 10-year 10 bp lower than Oct 5. Wednesday, October 14, 2026 · Treasury curve as of Oct 13 close · Fed funds 3.75–4.00% (raised Sep 16)
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The Read This morning's September CPI (8:30 ET) is the week's test, and the inflation backdrop going into it remains above the 2% goal on every measure: August headline CPI 3.4% and August core CPI 2.4%, with August headline PCE 3.4% and August core PCE 3.0%. The labor side is softer: September payrolls rose 29,000 and the September unemployment rate was 4.2%. The FOMC raised the target range a quarter point to 3.75–4.00% on September 16 by a 12–0 vote, and the September projections put the 2026 median for the federal funds rate at 4.1% (central tendency 4.1–4.4%). Tuesday's close, the first after the Columbus Day holiday, eased the long end more than the front. The 2-year closed at 4.79%, 1 bp lower than Oct 9, and the 10-year at 5.21%, 3 bp lower than Oct 9; the 30-year closed at 5.56%, 4 bp lower than Oct 9. On the week the 2-year is 5 bp lower than Oct 5 and the 10-year 10 bp lower than Oct 5, leaving 2s10s at +42 bp. The 2-year sits 91 bp above the 3.88% effective funds rate. For the sample bank the same levels cut both ways. The same levels set what new money earns and hold its $410M of AFS securities under pressure, which is where the AFS mark (pre-tax, −$41.4M) and the EVE profile register it: the +300 EVE result of −14.6% sits beyond the internal −13.75% watch trigger but within the −25% policy limit. Funding has not eased either: the top of Bankrate's one-year CD list is 4.75% against the sample bank's 4.09% weighted CD cost.
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| Rates & Funding | Curve Oct 13 close · EFFR, SOFR Oct 9 · policy rates Sep 16 |
Fed funds target 3.75–4.00% FOMC · raised Sep 16 | Effective funds 3.88% NY Fed · Oct 9 | SOFR 3.87% NY Fed · Oct 9 | IORB 3.90% Fed · since Sep 17 | Discount window 4.00% Primary credit · Fed | 2-year 4.79% Treasury · Oct 13 | 5-year 5.00% Treasury · Oct 13 | 10-year 5.21% Treasury · Oct 13 | 30-year 5.56% Treasury · Oct 13 | 30Y mortgage 7.40% Freddie · Oct 8 |
Treasury par yields at the Oct 13 close. SOFR and effective funds are NY Fed figures for Oct 9. IORB 3.90% and ON RRP 3.75% per the Sep 16 FOMC implementation note. 30-day SOFR average 3.85% (Oct 13). Mortgage: Freddie Mac PMMS, Oct 8.
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Curve Snapshot & This Week's Data | 3M | 6M | 1Y | 2Y | 5Y | 10Y | 30Y | | 4.26% | 4.34% | 4.48% | 4.79% | 5.00% | 5.21% | 5.56% | | +4 | +4 | +1 | −5 | −6 | −10 | −10 |
Treasury par yields, Oct 13 close. Bottom row: change since the Oct 5 close, in basis points. 2s10s +42 bp Treasury · Oct 13 | 3M–10Y +95 bp Treasury · Oct 13 | 5s30s +56 bp Treasury · Oct 13 |
| TUE 13 | 6-, 13- and 26-week bill auctions (completed) | | | WED 14 | September CPI and real earnings (today) | 8:30 ET | | WED 14 | Beige Book | 2:00 ET | | WED 14 | 17-week bill auction | | | THU 15 | September PPI | 8:30 ET | | THU 15 | 4- and 8-week bill auctions | | | FRI 16 | September import and export prices | 8:30 ET | | SAT 17 | FOMC blackout begins (Oct 27–28 meeting) | |
Ahead: 13- and 26-week bill auctions Mon Oct 19; 20-year bond reopening auction Wed Oct 21; 5-year TIPS auction Thu Oct 22; FOMC meeting Oct 27–28; Q3 GDP advance estimate and September personal income and outlays Thu Oct 29. Oct 14: Vice Chair for Supervision Bowman, discussion on supervision and regulation, IIF Annual Membership Summit, Bangkok; and a speech at the Bangkok Economic Festival (on the Board's published calendar) Oct 15: Chair Warsh, conversation with IMF Managing Director Georgieva, Bangkok (on the Board's published calendar)
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Matched-Term Marginal Funding Discount window (primary credit) 4.00%. FHLB advance and brokered CD rates are not shown: no primary source for either was available for Oct 13's close.
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Deposit Competition | Product | Top APY | Institution | | 12-month CD | 4.75% | Bankrate 1-yr CD list | | High-yield savings | 4.27% | Bankrate savings list |
Each figure is the top of Bankrate's list for that product. These are advertised consumer yields, not comparable one-for-one with a wholesale rate or a cost of funds. Bankrate, retrieved Oct 14, 2026.
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Markets Across the Tape Equities closed slightly lower on Oct 13 than on Oct 12: the S&P 500 at 7,805.45, the Nasdaq Composite at 27,204.38 and the Dow at 51,670.10. The dollar and oil figures carry their own earlier dates; Brent spot at $125.44 (Oct 6) stands far above WTI at $96.24 (Oct 6), an energy-price backdrop for this week's inflation data. | S&P 500 | 7,805.45 | Oct 13 | | Nasdaq Composite | 27,204.38 | Oct 13 | | Dow Jones Industrial Average | 51,670.10 | Oct 13 | | Broad dollar index | 121.60 | Oct 9 | | EUR / USD | 1.1193 | Oct 9 | | USD / JPY | 158.34 | Oct 9 | | WTI (Cushing) spot | $96.24 | Oct 6 | | Brent spot | $125.44 | Oct 6 |
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Your Balance Sheet This Morning Illustrative ~$2.75B community bank · book figures dated 30 Jun – 22 Aug 2026; each figure's own date is on the Desk
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NIM 3.32% 7 consecutive quarterly increases | Cost of deposits 1.92% beta 34% vs 45% modeled | AFS mark (pre-tax) −$41.4M up $4.6M over three months, less negative | Loans / deposits 85.1% $1,910M / $2,245M | Avail. liquidity $1,017M 37.0% of assets | Uninsured 27% 1.7× covered | Tier 1 leverage ratio 9.6% vs 8.5% internal floor | EVE +300 −14.6% watch −13.75% / limit −25% |
EVE +300: beyond watch, within limit
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Today's Tie-In | ■ | About $125M of securities cash flow comes due over the next twelve months against the whole portfolio's 2.95% book yield, applied to the roll-off (no yield is stated for the cash flow itself). Each 25 bp between that yield and whatever it earns next is on the order of $313k a year, gross, full-year, full deployment ($125M × 0.25%). Which securities or maturities, the timing and whether to reinvest at all are the committee's. | | ■ | The $155M Q3 tranche at ~4.35% matured Sep 30, after the sample book's Aug 25 extract; renewed 25–35 bp below the tranche rate, inside the sample bank's own 4.00–4.10% renewal defense band, it would be ~$0.4–0.5M a year on that tranche. | | ■ | The AFS mark (pre-tax) sits at −$41.4M, up $4.6M over three months. Roughly $4.3M of that mark moves per 25 bp, taken at the whole securities portfolio's 4.2-year effective duration (the book states no AFS-only duration). | | ■ | The +300 EVE position is −14.6%, beyond the internal −13.75% watch trigger but within the −25% policy limit, on a balance sheet carrying $560M of securities and $265M of equity; it is the figure to carry into the next ALCO review. |
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Banking News | ● | Oct 13, 2026 · U.S. Treasury U.S. Treasury announced what it called record enforcement actions against Bank of America. | | ● | Oct 9, 2026 · Federal Reserve Results of the 2025 Survey of Consumer Finances released. | | ● | Oct 8, 2026 · Federal Reserve Enforcement action against American Express Company over detection and reporting of suspicious activity related to money laundering. | | ● | Sep 30, 2026 · NCUA Jackson Area Federal Credit Union closes; Five Star Credit Union assumes members and shares. |
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Regulatory Watch | ● | Oct 2, 2026 · Federal Reserve proposed: Regulation O modernization proposal: comment period extended to Nov 4. | | ● | Sep 30, 2026 · Federal Reserve final: Two final rules on stress test transparency and stress capital buffer volatility; averaging of stress capital buffer requirements begins in 2028; a separate noninterest income model change proposed for comment. | | ● | Sep 11, 2026 · NCUA, FDIC, Federal Reserve, OCC proposed: Proposed third-party risk management guidance (principles-based, non-binding); comments due Nov 16. |
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Treasury Desk Watch | ● | Evaluate: September CPI (Wed Oct 14, 8:30 ET) against August's 3.4% headline CPI and 2.4% core CPI: what a 25 bp move in short rates does to year-1 NII at a 34% realized beta versus the 45% modeled. | | ● | Model: EVE at the current curve, with the +300 result (−14.6%) beyond the −13.75% watch trigger and inside the −25% limit, and how far the +200 result (−9.1%) sits from it. | | ● | Compare: Offered CD renewal rates against the sample bank's 4.00–4.10% defense band and the 4.75% top one-year CD on Bankrate's list, tranche by tranche across the $525M CD maturity schedule. | | ● | Scenario-test: Liquidity coverage of uninsured deposits (1.7× covered, $1,017M available) under a deposit-outflow shock, including $375M of undrawn FHLB capacity ($165M drawn). | | ● | Evaluate: AFS mark (pre-tax) sensitivity of roughly $4.3M per 25 bp, taken at the whole securities portfolio's 4.2-year effective duration (the book states no AFS-only duration), against the $265M equity base. | | ● | Compare: The cost of each funding source by tenor on all-in economics once primary-source wholesale quotes are available, with the discount window at 4.00% as the reference point. |
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The one that matters is your book. Setnova Advisory provides measurement-led treasury and ALM support for community banks and credit unions.
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The balance-sheet figures above are illustrative, tied to a hypothetical ~$2.75B bank for demonstration only — not a real institution. This brief measures how the day’s moves affect a balance sheet; it does not advise on any securities or deposit-pricing action. Sources: Federal Reserve H.15 & FOMC; NY Fed/FRED; U.S. Treasury; BLS; BEA; Freddie Mac PMMS; EIA; NCUA; Bankrate (retrieved Oct 14, 2026) © 2026 Setnova Advisory · Treasury & ALM
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