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Latest desk notes

US economic releases go up with the σ surprise, which is how far the print landed from forecast in standard deviations, and with the measured market move that followed. Treasury auction recaps and the daily brief land the same way, published by the Helious desk the moment they happen.

ALL DESK NOTES AUCTIONS DATA FED SPEAK

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

Economic release
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

Desk note
Trump stated this in a Fox news interview.

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

Economic release
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%

Economic release
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

Daily brief
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.

API Weekly Crude Oil Stock: 3.30M

Economic release
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

Treasury auction
. $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).

6-Week Bill auction: IN LINE

Treasury auction
. $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).

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

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

Consumer Confidence: 90.8

Economic release
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%

Economic release
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

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

Redbook Index (YoY): 8.3

Economic release
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

Economic release
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

Economic release
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

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

Goods Trade Balance: -101.5B

Economic release
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.

Desk note
Volume typically light with book balancing ahead of FOMC.

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

Desk note

ADP Employment Change 4-week average: 15K

Economic release
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)

Economic release
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

Daily brief
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.

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

Treasury auction
. $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). STRONG demand, Bonds BULLISH.

5-Year Note auction: IN LINE

Treasury auction
. $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

Treasury auction
. $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).

2-Year Note auction: IN LINE

Treasury auction
. $69B on offer, B/C 2.66 (avg 2.59), high 4.315%, stopped through 0.5bp (avg +0.1bp), indirect 56.6% (avg 56.4), direct 34.1% (avg 30.2), dealer 9.4% (avg 13.5).

Atlanta Fed GDPNow: Q2 growth tracking 1.6% (was 1.7%)

Economic release
Atlanta Fed GDPNow model estimate of real GDP growth (SAAR) for Q2 2026: 1.58%, revised from 1.68%.

Dallas Fed Manufacturing Business Index: 1.3

Economic release
Dallas Fed Manufacturing Business Index — Actual 1.3, prev 0. ABOVE FORECAST · +0.3σ. Bonds neutral · Equities neutral.

Cleveland Fed inflation nowcast: Q3 CPI 1.5% · core CPI 1.9% · PCE 2.6% · core PCE 3.2%

Economic release
Cleveland Fed inflation nowcasting model, Q3 2026 (quarterly annualized % change): CPI 1.5%, core CPI 1.9%, PCE 2.6%, core PCE 3.2%. Model update as of 2026-07-27.

Nondefense Capital Goods Orders ex Aircraft: 0.9

Economic release
Nondefense Capital Goods Orders ex Aircraft — Actual 0.9, prev 1.6. BELOW FORECAST. Bonds neutral · Equities neutral.

Durable Goods Orders ex Defense: 0.3

Economic release
Durable Goods Orders ex Defense — Actual 0.3, prev -4.6. ABOVE FORECAST. Bonds BEARISH · Equities BULLISH.

Durable Goods Orders: 0.3

Economic release
Durable Goods Orders — Actual 0.3, forecast 1.6, prev -4.5. BELOW FORECAST · -0.9σ. Bonds BULLISH · Equities BEARISH.

Durable Goods Orders ex Transportation: 0.6

Economic release
Durable Goods Orders ex Transportation — Actual 0.6, forecast 0.9, prev 1.3. BELOW FORECAST · -0.9σ. Bonds BULLISH · Equities BEARISH.

Money markets: SOFR 3.64% (unch) · Fed ON RRP $0.7B (-$0.2B d/d)

Economic release
Secured Overnight Financing Rate for 2026-07-24: 3.64% (prior 3.64%). ON RRP total accepted for 2026-07-24: $0.7B (prior day $0.9B).

Week ahead: Fed Interest Rate Decision Wednesday, FOMC Press Conference Wednesday · US data & auctions, w/c 27 Jul 2026

Daily brief
The desk's plan for the week of Monday 27 July 2026 — 40 scheduled US events, 7 high-impact, 10 Treasury auctions.

ECB facing mid-sized inflation shock, will get to 2% in year or so, La, 10s +4bp — desk brief, Fri 24 Jul 2026

Daily brief
Treasuries (close 2026-07-23): 2s 4.37% (+6.0bp), 10s 4.71% (+4.0bp), 30s 5.17% (+2.0bp). Tape (close 2026-07-23): VIX 18.7, 2s10s +36bp.

CFTC Oil NC Net Positions: 82K

Economic release
CFTC Oil NC Net Positions — Actual 82K, prev 63K. ABOVE FORECAST. Bonds neutral · Equities neutral.

CFTC S&P 500 NC Net Positions: -17K

Economic release
CFTC S&P 500 NC Net Positions — Actual -17K, prev -39K. ABOVE FORECAST. Bonds neutral · Equities neutral.

CFTC Gold NC Net Positions: 184K

Economic release
CFTC Gold NC Net Positions — Actual 184K, prev 187K. ON THE SCREWS. Bonds neutral · Equities neutral.
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