RoboMacro Research

FI Daily

G7 rates · 28 Aug 2026
Built 01 Sep 12:25 UTC · US Treasury close 28 Aug
strip close28 AugCOT T+3 report25 Augfactors3/5 live

US 10Y rose +6bp to 4.73%, bearish duration on the session. The 2s10s flattened -8bp to 39bp. ZN leveraged money extended its long at +0.1σ.

  • US 10Y rose +6bp to 4.73% — bearish duration.
  • US 2s10s flattened -8bp at 39bp.
  • ZN leveraged money extended its long at +0.1σ.

The US striplive strip →

The 10Y rose — bearish duration for the session.

US stripYield1dAs of
US 2Y4.340%+14.0bp28 Aug
US 5Y4.480%+10.0bp28 Aug
US 10Y4.730%+6.0bp28 Aug
US 30Y5.220%+3.0bp28 Aug
SOFR3.650%+1.0bp28 Aug
2s10s0.390%-8.0bp28 Aug
10s30s0.490%-3.0bp28 Aug
Change versus the previous print, in basis points. 2s10s is US10 − US2, computed once on the strip — not recomputed here.

Curve relative valuelive curve RV →

US 2s10s flattened -8bp.

10Y spreadLevel
UST − Bund 10Y1.400pp
Gilt − Bund 10Y1.870pp
UST − JGB 10Y1.780pp
UST − Gilt 10Y-0.470pp
BTP − Bund 10Y0.404pp
OAT − Bund 10Y0.350pp
Levels in percentage points. A spread is omitted when either leg is missing — never filled with zero. Session changes are not shown: the history behind the chart is a multi-year downsample, not a daily series.

Treasury positioningTreasury positioning →

ZN is long duration; it extended its long.

ContractNameNetz 52wΔzSideWeek
ZT2Y note-1,232,753+2.77σ+0.04longextended its long
ZF5Y note-2,111,810+1.38σ+0.11longextended its long
ZN10Y note-2,134,339+0.08σ+0.55longextended its long
TNUltra 10Y-372,157-0.45σ-0.25shortextended its short
UBUltra bond-302,994+0.63σ+1.02longextended its long
FFFed funds-106,026-0.99σ-0.27shortextended its short
SR33M SOFR-2,596,865-1.60σ-0.08shortextended its short
CFTC TFF leveraged money, report 25 Aug 2026. Net long a Treasury future is long duration. Side and week are derived from the signed z and Δz — they are not typed.

Duration scorecardduration scorecard →

US leads the duration composite at +0.81σ.

MarketCompositeFactors
US+0.814
CA+0.583
AU+0.463
JP+0.333
UK-0.023
DE-2.163
Higher composite = bullish duration versus G7 peers. A country with too few live factors is omitted, not scored as zero.
Omitted from this issue
  • cot_ZB — no CFTC observations for this contract

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