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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 1.2% · core CPI 1.9% · PCE 2.5% · core PCE 3.0%

Economic release
Cleveland Fed inflation nowcasting model, Q3 2026 (quarterly annualized % change): CPI 1.2%, core CPI 1.9%, PCE 2.5%, core PCE 3.0%. Model update as of 2026-09-10.

Wholesale Inventories: 1.3

Economic release
Wholesale Inventories — Actual 1.3, forecast 1.3, prev 1.3. Surprise: ON THE SCREWS, but by under a tenth of a sigma. Desk read: Bonds neutral · Equities neutral.

Existing Home Sales (MoM): 3.98M

Economic release
Existing Home Sales (MoM) — Actual 3.98M, forecast 3.98M, prev 4.06M. Surprise: ON THE SCREWS, but by under a tenth of a sigma.

Continuing Jobless Claims: 1.77M

Economic release
Continuing Jobless Claims — Actual 1.77M, forecast 1.78M, prev 1.78M. Surprise: ON THE SCREWS, but by under a tenth of a sigma.

Producer Price Index ex Food & Energy (YoY): 4.6%

Economic release
Producer Price Index ex Food & Energy (YoY) — Actual 4.6%, forecast 4.6%, prev 4.2%. Surprise: ON THE SCREWS, but by under a tenth of a sigma.

Producer Price Index (YoY): 5.4%

Economic release
Producer Price Index (YoY) — Actual 5.4%, forecast 5.3%, prev 4.7%. Surprise: ABOVE FORECAST by 0.5 sigma. Desk read: Bonds BEARISH · Equities BEARISH.

Producer Price Index ex Food & Energy (MoM): 0.20%

Economic release
Producer Price Index ex Food & Energy (MoM) — Actual 0.20%, forecast 0.30%, prev 0.20%. Surprise: BELOW FORECAST by 0.9 sigma. Desk read: Bonds BULLISH · Equities BULLISH.

Initial Jobless Claims 4-week average: 206K

Economic release
Initial Jobless Claims 4-week average — Actual 206K, prev 207K. ON THE SCREWS. Desk read: Bonds BEARISH · Equities BEARISH (rates-driven tape).

Initial Jobless Claims: 206K

Economic release
Initial Jobless Claims — Actual 206K, forecast 205K, prev 206K. Surprise: ON THE SCREWS by 0.1 sigma. Desk read: Bonds BULLISH · Equities BULLISH (rates-driven tape).

Producer Price Index (MoM): 0.40%

Economic release
Producer Price Index (MoM) — Actual 0.40%, forecast 0.40%, prev 0.00%. Surprise: ON THE SCREWS, but by under a tenth of a sigma. Desk read: Bonds neutral · Equities neutral.

ECB Rate On Deposit Facility: 2.5

Economic release
ECB Rate On Deposit Facility — Actual 2.5, forecast 2.5, prev 2.25. Surprise: ON THE SCREWS, but by under a tenth of a sigma. Desk read: Bunds neutral · Equities neutral.

ECB Main Refinancing Operations Rate: 2.65

Economic release
ECB Main Refinancing Operations Rate — Actual 2.65, forecast 2.65, prev 2.4. Surprise: ON THE SCREWS, but by under a tenth of a sigma. Desk read: Bunds neutral · Equities neutral.

Money markets: SOFR 3.64% (unch) · Fed ON RRP $0.4B (-$0.2B d/d)

Economic release
Secured Overnight Financing Rate for 2026-09-09: 3.64% (prior 3.64%). ON RRP total accepted for 2026-09-09: $0.4B (prior day $0.6B).

Germany · Harmonized Index of Consumer Prices (YoY): 2.9

Economic release
Germany · Harmonized Index of Consumer Prices (YoY) — Actual 2.9, forecast 2.9, prev 2.9. Surprise: ON THE SCREWS, but by under a tenth of a sigma.

Germany · Harmonized Index of Consumer Prices (MoM): 0.2

Economic release
Germany · Harmonized Index of Consumer Prices (MoM) — Actual 0.2, forecast 0.2, prev 0.2. Surprise: ON THE SCREWS, but by under a tenth of a sigma.

Trump says Iran war will end right after US midterm elections · Wed 09 Sep 2026

Daily brief
Treasuries (close 2026-09-08): 2s 4.39%, 10s 4.8%, 30s 5.25%. Tape (close 2026-09-08): VIX 15.72, 2s10s +41bp. Narrative: Oil Just Broke $100 a Barrel.

API Weekly Crude Oil Stock: -0.30M

Economic release
API Weekly Crude Oil Stock — Actual -0.30M, forecast -1.30M, prev -2.60M. Surprise: ABOVE FORECAST by 0.3 sigma. Desk read: Bonds neutral · Equities neutral.

10-Year Note auction: STRONG

Treasury auction
. $39B on offer, B/C 2.71 (avg 2.49), high 4.834%, stopped through 1.5bp, indirect 79.2% (avg 73.4), direct 16.5% (avg 16.4), dealer 4.3% (avg 10.2). STRONG demand, Bonds BULLISH.

17-Week (4-month) Bill auction: WEAK

Treasury auction
. $72B on offer, B/C 2.73 (avg 3.10), high 3.895% (inv 4.001%), indirect 43.7% (avg 59.5), direct 8.2% (avg 6.9), dealer 48.1% (avg 33.6). WEAK demand, Bonds BEARISH.

US Treasury: Will buy up to $6 bln in 10 to 20 Yr liquidity buyback operation on September 10th.

Desk note
Less buybacks than expected, so long ends yields catching a bid, turning us into a bear steepener for the session. All eyes on PPI and CPI data tomorrow and Friday.

EIA Heating Oil Stocks Change: -0.0M

Economic release
EIA Heating Oil Stocks Change — Actual -0.0M, prev -0.03M. ABOVE PRIOR. Desk read: Bonds neutral · Equities neutral.

EIA Gasoline Stocks Change: -1.2M

Economic release
EIA Gasoline Stocks Change — Actual -1.2M, prev -1.17M. ON THE SCREWS. Desk read: Bonds neutral · Equities neutral.

EIA Distillate Stocks Change: 0.8M

Economic release
EIA Distillate Stocks Change — Actual 0.8M, prev 0.80M. ON THE SCREWS. Desk read: Bonds neutral · Equities neutral.

EIA Crude Oil Stocks Change: -4.5M

Economic release
EIA Crude Oil Stocks Change — Actual -4.5M, prev -4.45M. ON THE SCREWS. Desk read: Bonds neutral · Equities neutral.

Cleveland Fed inflation nowcast: Q3 CPI 1.3% · core CPI 1.9% · PCE 2.5% · core PCE 3.0%

Economic release
Cleveland Fed inflation nowcasting model, Q3 2026 (quarterly annualized % change): CPI 1.3%, core CPI 1.9%, PCE 2.5%, core PCE 3.0%. Model update as of 2026-09-09.

Redbook Index (YoY): 8.3

Economic release
Redbook Index (YoY) — Actual 8.3, prev 9.6. BELOW PRIOR. Desk read: Bonds neutral · Equities neutral.

ADP Employment Change 4-week average: 12K

Economic release
ADP Employment Change 4-week average — Actual 12K, prev 12K. ON THE SCREWS. Desk read: Bonds neutral · Equities neutral (rates-driven tape).

Money markets: SOFR 3.64% (-1bp) · Fed ON RRP $0.6B (-$0.0B d/d)

Economic release
Secured Overnight Financing Rate for 2026-09-08: 3.64% (prior 3.65%). ON RRP total accepted for 2026-09-08: $0.6B (prior day $0.7B).

MBA Mortgage Applications: -2.7%

Economic release
MBA Mortgage Applications — Actual -2.7%, prev 0.8%. BELOW PRIOR. Desk read: Bonds neutral · Equities neutral.

US Hit Targets Near Iran’s Kharg Island, Fox News Says, 10s +1bp · Tue 08 Sep 2026

Daily brief
Treasuries (close 2026-09-04): 2s 4.37% (+3.0bp), 10s 4.78% (+1.0bp), 30s 5.24% (-1.0bp). Tape (close 2026-09-04): VIX 15.3, 2s10s +41bp.

API Weekly Crude Oil Stock: -4.5M

Economic release
API Weekly Crude Oil Stock — Actual -4.5M, prev -2.60M. BELOW PRIOR. Desk read: Bonds neutral · Equities neutral.

Consumer Credit Change: 18.1B

Economic release
Consumer Credit Change — Actual 18.1B, forecast 11.7B, prev 14.2B. Surprise: ABOVE FORECAST by 0.8 sigma. Desk read: Bonds neutral · Equities neutral.

6-Week Bill auction: IN LINE

Treasury auction
. $75B on offer, B/C 2.93 (avg 2.89), high 3.740% (inv 3.809%), indirect 63.0% (avg 67.3), direct 3.8% (avg 3.6), dealer 33.2% (avg 29.2).

3-Year Note auction: IN LINE

Treasury auction
. $58B on offer, B/C 2.72 (avg 2.62), high 4.474%, on the screws, indirect 62.1% (avg 65.5), direct 26.9% (avg 20.4), dealer 10.9% (avg 14.1).

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

Treasury auction
. $79B on offer, B/C 2.88 (avg 2.93), high 3.890% (inv 4.023%), indirect 64.4% (avg 57.3), direct 8.5% (avg 10.1), dealer 27.1% (avg 32.6).

13-Week (3-month) Bill auction: IN LINE

Treasury auction
. $92B on offer, B/C 2.61 (avg 2.88), high 3.800% (inv 3.890%), indirect 51.9% (avg 57.2), direct 8.1% (avg 6.9), dealer 40.0% (avg 35.9).

Cleveland Fed inflation nowcast: Q3 CPI 1.3% · core CPI 1.9% · PCE 2.5% · core PCE 3.0%

Economic release
Cleveland Fed inflation nowcasting model, Q3 2026 (quarterly annualized % change): CPI 1.3%, core CPI 1.9%, PCE 2.5%, core PCE 3.0%. Model update as of 2026-09-08.

Money markets: SOFR 3.65% (-1bp) · Fed ON RRP $0.7B (-$0.0B d/d)

Economic release
Secured Overnight Financing Rate for 2026-09-04: 3.65% (prior 3.66%). ON RRP total accepted for 2026-09-04: $0.7B (prior day $0.7B).

NFIB Business Optimism Index: 98.7

Economic release
NFIB Business Optimism Index — Actual 98.7, forecast 99.3, prev 99.8. Surprise: BELOW FORECAST by 0.5 sigma. Desk read: Bonds neutral · Equities neutral.

Germany · Trade Balance s.a.: 21.3B

Economic release
Germany · Trade Balance s.a. — Actual 21.3B, forecast 16.0B, prev 15.4B. Surprise: ABOVE FORECAST by 2.6 sigma. Desk read: Bonds BEARISH · Equities BULLISH.
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