RoboMacro Logo
RoboMacro
No Human in the Loop

Duration, curve, Factors and crowding — the rates book. Charts live in the chartbook.

Fixed Income Chartbook
DeskPositioningCurveFactorsCreditQuant Lab

G7 Fixed Income · Factors

What is driving the 10-year

Stacked in-sample OLS of the 10-year or 30-year. Layers plus the starting fitted value plus the residual equal the tenor on every date — an accounting identity, not identified shock shares. Fiscal risk is the 10s30s spread, dominance is the Fed’s share of the debt, foreign official is monthly TIC holdings, and debasement is 40% gold + 20% silver + 40% bitcoin. Click a factor off to refit.

2025-12-31 → 2026-09-24
10y 2026-09-24· DXY 2026-09-24· Fed share 2026-09-23 (weekly)· TIC 2026-07-01 (monthly)
Tenor
Factors· R² 0.99Click to add or remove

10-year now

5.18%

nominal CMT

Fitted

5.05%

185 overlapping sessions

Residual

0.13 pp

unexplained

Δ 10-year

+100 bp

window

Δ 10s30s

-44 bp

fiscal price

Δ debasement

-3.90%

40/20/40 basket

Δ foreign official

-2.70%

TIC monthly

Δ KW term premium

+38.9 bp

staff model

Starting fitted 4.15%Oil -0.00 ppGrowth resilience -0.01 ppMonetary policy +0.68 ppFed credibility +0.01 ppFiscal risk +0.20 ppFiscal dominance +0.03 ppForeign official -0.01 ppDebasement -0.00 ppYen carry -0.00 ppCrowding out -0.01 ppResidual +0.13 pp= 5.18%
Are the factors fairly modelled?
FactorInstrumentGradeβ (pp per unit)Note
OilWTIFair instrument-0.0001Oil-price shock. Collinear with breakevens when the tape is an inflation scare.
Growth resilienceNY Fed Weekly Economic Index (else industrial production)Fair instrument-0.0232Weekly activity, forward-filled. IP is the fallback. Not the S&P.
Monetary policyKim–Wright expected short-rate path (else funds)Fair instrument0.8917ACM-style expected-path piece of the 10-year. Do not use the 2-year — it is almost the 10-year.
Fed credibility5y5y inflation compensationProxy — not the factor itself0.1639Unanchoring proxy, not a survey of credibility. Moves with oil and breakevens.
Fiscal risk10s30s Treasury spread (DGS30 − DGS10)Fair instrument-0.4562Daily market price of long-duration fiscal risk. Steepen is the scare; flatten is not. Collinear with the 30-year — click off if the fit splits.
Fiscal dominanceFed Treasury holdings / federal debtProxy — not the factor itself0.0486How much of the Treasury market the Fed still owns. Updates weekly. A falling share is QT, not “fiscal dominance”.
Foreign officialTIC foreign official Treasury holdings (monthly)Proxy — not the factor itself0.0000Treasuries held by foreign official institutions (central banks), monthly. A fall is official selling. Beta should be negative if selling is lifting yields.
Debasement40% gold + 20% silver + 40% bitcoinProxy — not the factor itself0.0004Rebased to 100 at the first common print. Missing legs renormalize. Rejected when yields rise with a firm dollar.
Yen carryUSD/JPYFair instrument-0.0004Carry / global-duration proxy. A yen-unwind driver needs USDJPY down as yields rise.
Crowding outUS IG OASOverlaps another fiscal factor0.3256Private credit spread, not coupon supply. Shares a duration factor with fiscal risk.
Series and source usedrmAPI is our internal API. Makrognosis is a pending API platform by RoboMacro.
SeriesSourceCodeStartEndΔ
2-year Treasury yieldMakroGnosisUS.GT2.D.NSA2025-12-312026-09-23+138 bp
5-year Treasury yieldMakroGnosisUS.GT5.D.NSA2025-12-312026-09-23+126 bp
10-year Treasury yieldMakroGnosisUS.GT10.D.NSA2025-12-312026-09-24+100 bp
30-year Treasury yieldMakroGnosisUS.GT30.D.NSA2025-12-312026-09-23+56 bp
5-year TIPS real yieldMakroGnosisUS.RY5.D.NSA2025-12-312026-09-24+123 bp
10-year TIPS real yieldMakroGnosisUS.RY10.D.NSA2025-12-312026-09-24+92 bp
5-year breakeven inflationrmAPIUS_BKEVN_5Y_D2025-12-312026-09-24+7 bp
10-year breakeven inflationrmAPIUS_BKEVN_10Y_D2025-12-312026-09-24+8 bp
5y5y forward inflationrmAPIUS_5Y5Y_INFEXP_D2025-12-312026-09-24+9 bp
WTI crudeMakroGnosisUS.OILWTI.D.NSA2025-12-312026-09-22+68.37%
Broad dollar indexMakroGnosisUS.DXYBROAD.D.NSA2025-12-312026-09-18-0.19%
USD/JPY (yen per dollar)MakroGnosisUS.USDJPY.D.NSA2025-12-312026-09-18+0.04%
Effective federal funds rateMakroGnosisUS.FFR.D.NSA2025-12-312026-09-23+24 bp
Industrial productionMakroGnosisUS.IP.M.SA2025-12-012026-08-01+1.55%
NY Fed Weekly Economic IndexFREDWEI2025-12-272026-09-190.52
GoldLBMAgold_pm2025-12-302026-09-24-2.32%
S&P 500 · not officialrmAPIUS_SP500_D2025-12-312026-09-24+12.54%
Kim–Wright 10-year term premium · not official · staff modelFREDTHREEFYTP102025-12-312026-09-18+38.9 bp
Kim–Wright 10-year expected short rate · not official · staff modelFREDTHREEFY102025-12-312026-09-18+76.8 bp
Federal debt outstandingrmAPIUS_FED_DEBT_TOTAL_Q2025-10-012026-01-01+1.43%
Fed Treasury holdingsrmAPIUS_FED_TREAS_W2025-12-312026-09-23+7.82%
US IG credit OAS · not officialrmAPIUS_IG_OAS_D2025-12-312026-09-23-2 bp
Silver · not officialrmAPIUS_SILVER_D2025-12-312026-09-23-7.48%
Bitcoin · not officialFREDCBBTCUSD2025-12-312026-09-24-3.68%
Foreign official Treasury holdingsFREDFORTREASPOS999902025-12-012026-07-01-2.70%
ICE US Dollar Index (DXY) · not officialYahooDX-Y.NYB2025-12-312026-09-24+3.06%
10s30s Treasury spreadDerivedDGS30−DGS102025-12-312026-09-24-44 bp
Fed share of federal debtDerived100×TREAST/GFDEBTN2025-12-312026-09-23+69.1 bp
Debasement basket · not officialDerived0.4·gold+0.2·silver+0.4·BTC2025-12-312026-09-24-3.90%

The stacked chart is an in-sample OLS of the selected tenor on the toggled instruments: intercept + β·x, plus residual. Layers are β_i·(x_i,t − x_i,start) so they plus the starting fitted value plus the residual equal the tenor on every date. That is an accounting identity of the fit, not a structural SVAR. Fiscal risk is the 10s30s spread (daily), not the quarterly debt stock. Fiscal dominance is the Fed’s Treasury holdings as a share of federal debt — QT is a falling share. Foreign official demand is monthly TIC holdings (FORTREASPOS99990); weekly H.4.1 custody is dead on FRED and WSHOTSL now aliases SOMA Treasuries. Debasement is 40% gold + 20% silver + 40% bitcoin, rebased to 100 at the first common print; missing legs renormalize. Kim–Wright is a Fed Board staff model, not an FOMC estimate. Toggle a factor to refit, as on /fx/flows. This board does not replace /stealth/yield-factors.

Sponsored by Arbitrage Search