The US cash Treasury tape opens Wednesday July 8 into a dual-window session structured around Governor Waller at the Peterson Institute at 10:00 ET and the Federal Reserve G.19 May consumer credit print at 3:00 PM ET. The two-year opens inside the Tuesday 3.51 to 3.55 percent overnight Globex band, the September 17 cut probability sits at 97 percent unchanged, and the December 10 second cut probability sits at 54 percent, one point above the Monday post-ISM Services close. Seven sessions remain to the June CPI landing at 8:30 ET Wednesday July 15. The Waller remarks are the last scheduled FOMC-participant public appearance before the July 30 FOMC blackout opens at midnight Saturday July 19.

The 10 ET Waller window

Governor Christopher Waller delivers remarks on the labor market and monetary policy at the Peterson Institute for International Economics at 10:00 ET. The reference language the desk carries into the session is Waller’s June 24 speech framing the labor cooling as “consistent with the Committee’s expectations for the second half” and the inflation trajectory as “on track without confidence that we are there.” The two phrases are the two-line summary of the September cut plus December second cut probability configuration the strip closed Tuesday at 97 and 54 percent.

A shift on the labor-cooling frame toward “faster than the Committee expected” pulls the December second cut probability into the 58 to 62 percent band on the release and takes the two-year down three to five basis points on the Wednesday morning. A shift on the inflation frame toward “confidence building” without a labor softening qualifier does the same. Either move sets the position the strip carries into Friday’s June PPI print at 8:30 ET.

A repeat of the June 24 dual formulation without a labor or inflation shift holds the strip at the Tuesday close. The historical release-morning move on Waller remarks lands at 2.4 basis points on the two-year across the 2023 to 2025 window, half the release-day move on a scheduled data print. The reaction weight sits in the September strip vs December strip term spread, which closed Tuesday at 9 basis points, the widest single-meeting front-strip spread since the March 2025 window.

The 3 PM ET G.19 window

The Federal Reserve G.19 Consumer Credit for May prints at 3:00 PM ET, the fifth business day of July on the standard release calendar. The April print showed total consumer credit growing at a 4.2 percent seasonally adjusted annualized rate, with revolving credit (credit cards, HELOCs) up 6.1 percent and nonrevolving (auto loans, student loans) up 3.6 percent. Total consumer credit outstanding closed April at 5.14 trillion dollars, with 1.36 trillion in revolving and 3.78 trillion in nonrevolving.

The May release is the first monthly household balance sheet snapshot spanning the June 6 soft NFP print and feeds the personal consumption line the Q2 GDP advance estimate reads on July 30. Revolving credit above a 6.5 percent annualized rate against the softening June payrolls tape reads as households pulling forward spending against income compression, the signal the FOMC watches on the consumption side of the dual mandate. Revolving credit below 5.0 percent reads as caution taking hold ahead of the labor trajectory the September 17 cut is priced against.

The strip does not carry a direct release-window reprice off G.19. The reaction weight sits in the household-side cross-check against the May retail sales control-group print of plus 0.3 percent, the New York Fed household debt first-quarter reading, and the Q2 GDPNow personal consumption tracker at the Atlanta Fed currently running at plus 1.9 percent annualized.

The seven-session pre-CPI carry

The June CPI print at 8:30 ET Wednesday July 15 closes the pre-CPI window opened on Monday’s ISM Services release. Seven sessions remain. The scheduled release calendar between Wednesday’s Waller-plus-G.19 window and the CPI landing runs:

  • Thursday July 9: Initial jobless claims week ending July 4 at 8:30 ET, four-week moving average carrying the 224,000 close.
  • Friday July 10: June PPI final demand at 8:30 ET, consensus at plus 0.2 percent headline and plus 0.2 percent core. Michigan consumer sentiment preliminary July at 10:00 ET, five-year inflation expectations running at 3.1 percent.
  • Monday July 13: New York Fed Survey of Consumer Expectations for June at 11:00 ET.
  • Tuesday July 14: NFIB Small Business Optimism June at 6:00 ET.
  • Wednesday July 15: June CPI at 8:30 ET, consensus at plus 0.2 percent headline and plus 0.24 percent core month-over-month.

The two data waypoints inside the window that carry independent repricing weight are Friday PPI health care services and Wednesday CPI core services excluding shelter. Neither Waller remarks nor G.19 consumer credit resolves the December second cut probability question on the Wednesday close. Both events shape the position the desk carries into Friday’s Michigan-plus-PPI window at 8:30 ET.

The two-year at 3.52

The two-year opens Wednesday at the 3.52 percent Tuesday close, three basis points below the Thursday July 3 post-NFP close of 3.55 percent and one basis point above the Monday ISM Services close. The September SR3 implied yield at 3.98 percent prices a 24.5 basis point cut at the September 17 meeting against the 25 basis point benchmark. The December SR3 at 3.60 percent prices the second cut at 54 percent. The 10-year opens at 4.09 percent with the 2s10s spread at 57 basis points.

A Waller-driven repricing of the December second cut into the 58 to 62 percent band pulls the two-year to 3.48 to 3.50 percent on the Wednesday close, and the 2s10s widens to 60 basis points. A repricing into the 48 to 52 percent band pulls the two-year to 3.54 to 3.56 percent and the 2s10s tightens to 54 basis points. The Wednesday close is the position the desk carries into the seven-session pre-CPI carry.

Sources