Latest desk notes

Personal Income (MoM): 0.2

Personal Income (MoM) — Actual 0.2, forecast 0.3, prev 0.7. BELOW FORECAST · -0.6σ. Bonds BULLISH · Equities BEARISH.

Initial Jobless Claims: 197K

Initial Jobless Claims — Actual 197K, forecast 200K, prev 187K. BELOW FORECAST · -0.2σ. Bonds BEARISH · Equities BULLISH.

Core Personal Consumption Expenditures - Price Index (MoM): 0.1

Core Personal Consumption Expenditures - Price Index (MoM) — Actual 0.1, forecast 0.2, prev 0.3. BELOW FORECAST · -1.7σ. Bonds BULLISH · Equities BULLISH.

Money markets: SOFR 3.65% (unch) · Fed ON RRP $2.6B (+$1.4B d/d)

Secured Overnight Financing Rate for 2026-07-29: 3.65% (prior 3.65%). ON RRP total accepted for 2026-07-29: $2.6B (prior day $1.1B).

German: Consumer Price Index (YoY): 2.8

German: Consumer Price Index (YoY) — Actual 2.8, forecast 2.7, prev 2.3. ABOVE FORECAST · +0.7σ. Bunds BEARISH · Equities BEARISH.

German: Harmonized Index of Consumer Prices (YoY): 2.8

German: Harmonized Index of Consumer Prices (YoY) — Actual 2.8, forecast 2.8, prev 2.4. ON THE SCREWS. Bunds neutral · Equities neutral.

German: Consumer Price Index (MoM): 0.8

German: Consumer Price Index (MoM) — Actual 0.8, forecast 0.7, prev -0.3. ABOVE FORECAST · +1.0σ. Bunds BEARISH · Equities BEARISH.

Treasury 30-year yield tops 5.20% for the first time since 2007, 10s -4bp · desk brief, Wed 29 Jul 2026

Treasuries (close 2026-07-28): 2s 4.26% (-5.0bp), 10s 4.61% (-4.0bp), 30s 5.09% (-3.0bp). Tape (close 2026-07-28): VIX 18.21, 2s10s +35bp. Narrative: Will New Fed Chair Kevin Warsh…

Checkout FED SPEAK in calendar widget to see FED voters lean:

The descents are from the absolute Hawks, so no surprise there, we have this all worked out for you on Helious.

Fed Interest Rate Decision: 3.75%

Fed Interest Rate Decision — Actual 3.75%, forecast 3.75%, prev 3.75%. ON THE SCREWS · +0.0σ. Bonds neutral · Equities neutral.

This has now been fixed - we will be squawking out FOMC at the presser :)

2-Year FRN auction: IN LINE

2-Year FRN auction: IN LINE. $30B on offer, B/C 3.37 (avg 3.16), indirect 63.2% (avg 63.2), direct 0.0% (avg 0.2), dealer 36.8% (avg 36.5). IN LINE demand, no directional read for …

17-Week (4-month) Bill auction: IN LINE

17-Week (4-month) Bill auction: IN LINE. $72B on offer, B/C 3.04 (avg 2.93), high 3.875% (inv 3.980%), indirect 57.6% (avg 57.6), direct 8.4% (avg 5.3), dealer 33.9% (avg 37.1). IN…

EIA Crude Oil Stocks Change: -7.17M

EIA Crude Oil Stocks Change — Actual -7.17M, forecast -2.50M, prev 2.01M. BELOW FORECAST · -1.9σ. Bonds neutral · Equities neutral.

Cleveland Fed inflation nowcast: Q3 CPI 0.7% · core CPI 1.9% · PCE 2.1% · core PCE 3.2%

Cleveland Fed inflation nowcasting model, Q3 2026 (quarterly annualized % change): CPI 0.7%, core CPI 1.9%, PCE 2.1%, core PCE 3.2%. Model update as of 2026-07-29.

Trump: US strikes will take place against Iran in response to attacks on US targets in Jordan

Trump stated this in a Fox news interview.

Money markets: SOFR 3.65% (+1bp) · Fed ON RRP $1.1B (-$0.3B d/d)

Secured Overnight Financing Rate for 2026-07-28: 3.65% (prior 3.64%). ON RRP total accepted for 2026-07-28: $1.1B (prior day $1.4B).

MBA Mortgage Applications: -6.4%

MBA Mortgage Applications — Actual -6.4%, prev 1.9%. BELOW FORECAST · -2.4σ. Bonds neutral · Equities neutral.

Citadel Securities’ Fed Rate Hike Call Adds to Market Angst, 10s -4bp · desk brief, Tue 28 Jul 2026

Treasuries (close 2026-07-27): 2s 4.31% (-2.0bp), 10s 4.65% (-4.0bp), 30s 5.12% (-4.0bp). Tape (close 2026-07-27): VIX 18.67, 2s10s +35bp. What mattered: • Citadel Securities’ Fed …

API Weekly Crude Oil Stock: 3.30M

API Weekly Crude Oil Stock — Actual 3.30M, forecast -1.50M, prev 2.60M. ABOVE FORECAST · +1.6σ. Bonds neutral · Equities neutral.

7-Year Note auction: IN LINE

7-Year Note auction: IN LINE. $44B on offer, B/C 2.49 (avg 2.48), high 4.473%, tailed 0.2bp, indirect 70.1% (avg 64.6), direct 16.9% (avg 24.0), dealer 13.0% (avg 11.4). IN LINE de…

6-Week Bill auction: IN LINE

6-Week Bill auction: IN LINE. $95B on offer, B/C 2.93 (avg 2.85), high 3.700% (inv 3.768%), indirect 72.7% (avg 68.5), direct 4.5% (avg 2.8), dealer 22.8% (avg 28.8). IN LINE deman…

Atlanta Fed GDPNow: Q2 growth tracking 1.5% (was 1.6%)

Atlanta Fed GDPNow model estimate of real GDP growth (SAAR) for Q2 2026: 1.54%, revised from 1.58%.

Consumer Confidence: 90.8

Consumer Confidence — Actual 90.8, forecast 92.3, prev 91.2. Surprise: BELOW FORECAST by 0.3 sigma. Desk read: Bonds BULLISH · Equities BEARISH.

Cleveland Fed inflation nowcast: Q3 CPI 0.8% · core CPI 1.9% · PCE 2.2% · core PCE 3.2%

Cleveland Fed inflation nowcasting model, Q3 2026 (quarterly annualized % change): CPI 0.8%, core CPI 1.9%, PCE 2.2%, core PCE 3.2%. Model update as of 2026-07-28.

Richmond Fed Manufacturing Index: 5

Richmond Fed Manufacturing Index — Actual 5, forecast 10, prev 4. BELOW FORECAST · -0.8σ. Bonds neutral · Equities neutral.

Redbook Index (YoY): 8.3

Redbook Index (YoY) — Actual 8.3, prev 7.8. ABOVE FORECAST · +0.8σ. Bonds neutral · Equities neutral.

S&P/Case-Shiller Home Price Indices (YoY): 1.6

S&P/Case-Shiller Home Price Indices (YoY) — Actual 1.6, forecast 1.3, prev 1.1. ABOVE FORECAST · +0.8σ. Bonds neutral · Equities neutral.

Housing Price Index (MoM): 0.3

Housing Price Index (MoM) — Actual 0.3, forecast 0.2, prev -0.1. ABOVE FORECAST · +0.3σ. Bonds BEARISH · Equities BEARISH.

Wholesale Inventories: 0.3

Wholesale Inventories — Actual 0.3, forecast 0.2, prev 0.1. ABOVE FORECAST · +0.3σ. Bonds neutral · Equities neutral.

Goods Trade Balance: -101.5B

Goods Trade Balance — Actual -101.5B, forecast -98.0B, prev -106.5B. BELOW FORECAST · -1.2σ. Bonds BULLISH · Equities BEARISH.

Market flips to bull steepen, tech catching a bid, keep eyes on market over the next few hours for this theme to continue post data.

Volume typically light with book balancing ahead of FOMC.

Checkout Implied Vol and Cross Asset correlation in the DATA tab on your live feed

ADP Employment Change 4-week average: 15K

ADP Employment Change 4-week average — Actual 15K, prev 16K. BELOW FORECAST. Bonds BULLISH · Equities BEARISH.

Money markets: SOFR 3.64% (unch) · Fed ON RRP $1.4B (+$0.7B d/d)

Secured Overnight Financing Rate for 2026-07-27: 3.64% (prior 3.64%). ON RRP total accepted for 2026-07-27: $1.4B (prior day $0.7B).

US advanced Durable Goods orders for June 0.3% vs 2.5% expected, 10s -2bp · desk brief, Mon 27 Jul 2026

Treasuries (close 2026-07-24): 2s 4.33% (-4.0bp), 10s 4.69% (-2.0bp), 30s 5.16% (-1.0bp). Tape (close 2026-07-24): VIX 18.58, 2s10s +36bp. Narrative: U.S. and Iran pause fighting, …

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13-Week (3-month) Bill auction: STRONG

13-Week (3-month) Bill auction: STRONG. $92B on offer, B/C 3.06 (avg 2.65), high 3.815% (inv 3.906%), indirect 66.9% (avg 51.9), direct 5.9% (avg 6.6), dealer 27.2% (avg 41.5). STR…

5-Year Note auction: IN LINE

5-Year Note auction: IN LINE. $70B on offer, B/C 2.28 (avg 2.33), high 4.408%, tailed 0.9bp (avg +0.6bp), indirect 59.2% (avg 65.6), direct 27.2% (avg 21.4), dealer 13.5% (avg 12.9…

26-Week (6-month) Bill auction: IN LINE

26-Week (6-month) Bill auction: IN LINE. $79B on offer, B/C 3.12 (avg 2.82), high 3.945% (inv 4.081%), indirect 59.7% (avg 60.7), direct 10.6% (avg 7.8), dealer 29.6% (avg 31.5). I…