Quick take on equity positioning & internals. Time to close out longs or at the very least expect volatility? Let's look at some charts.👇 1/x

NYSE cumulative AD line climbing to new highs - in lockstep with the S&P500.

The GCF (USTs) - Triparty General Collateral Rate spread is a good measure of balance sheet capacity (chart 1). It spiked over quarter-end but has since collapsed, suggesting ample balance sheet availability - or put differently, plenty of leverage capacity - in the financial

In case headlines freak you out about the FOMC meeting and you want to close all your equity longs. The below chart shows the equity curve of buying the close on the day before the FOMC, and selling the close on the day of the FOMC (post press conference).

Let the TGA refill begin! Before that, quick update on where we stand in terms of net issuance YTD: Bills: -132bn USD Coupons: 847bn USD

Follow-up comment on this table: the bill redemptions in the next 3-months and 6-months only include bills that have already been issued. If the Treasury issues a new 4-week bill today, it would increase redemptions in the next 3 months.

I typically do not talk about crypto, but I wanted to share one thought on Ethereum. The U.S. government wants more foreign demand for Treasuries. Stablecoins are one way to do that, since ~80% of usage is outside the United States. Private firms are also incentivised to

Updated chart: number of S&P500 stocks with RSIs above 75.

Quick update on debt issuance numbers. Net bill issuance YTD: -108bn USD Net coupon issuance YTD: 931bn USD With the debt ceiling lifted, we will probably get ~800bn in net bill issuance in H2-2025. QRA is scheduled for July 28th.

Some snippets from last weekend's article. In Europe, short-term interest rate pricing has become particularly interesting. The bond market is now pricing in just one more cut between now and March 2026 - after that, the ECB is expected to hike rates again. The chart below

This week is huge - we have the QRA, FOMC, NFP, ISM Manufacturing, US GDP, plus BoJ and BoC pressers. - The baseline expectation for the QRA is that Bessent will leave coupon auction sizes unchanged. - STIR pricing is not expecting a dovish Fed. SOFR Dec‘25 sold off to 96.06

The EU trade deal is not well-received in Europe. People feel humiliated. But the deal reflects the true balance of power. The EU has fallen behind economically. Arguably, the EU got away with a lower tariff rate (15% instead of 30%). That should be growth-positive. But the

NGDP growth ≈ US 10Y yield is a helpful mental model. If real GDP is running at ~2% and inflation at ~2.5%, then the US 10-year yield is roughly at fair value (4.32% currently). It's also pretty much exactly in the middle of its trading range.

The 26-week change in the Baa corporate bond yield is now negative. Historically, that has been a favourable environment to own equities.

The low realised volatility in the past 1-2 months should have lead to vol-targeting funds increasing equity exposure. We are now closer to equity allocations from which we have seen corrections in the past.

Quick thoughts on yday‘s GDP print and Q3. US Real GDP came in at a 3% annualized in Q2 2025, but many people highlighted the headline number is masking slower growth of the private sector. Real final sales to private domestic purchasers slowed to 1.2%. But what about Q3? -

Updated this chart: US 5y yields vs US inflation

STIR markets have repriced sharply following the NFP report. The base case now includes three rate cuts in 2025, with markets pricing roughly an 80% chance of a September cut, a 58% chance of another in October, and a 46% probability of a third in December.

Core PCE accelerated to 2.8%. The Fed has made no progress on core PCE since the start of 2024. According to Piper Sandler, 60% of tariff costs are currently absorbed by US companies. What if they start to pass through more of the tariff burden to consumers?