RoboMacro Research

FI Daily

G7 rates · 31 Aug 2026
Built 02 Sep 12:25 UTC · US Treasury close 31 Aug
strip close31 AugCOT T+3 report25 Augfactors4/5 live

US 10Y rose +2bp to 4.75%, bearish duration on the session. The 2s10s steepened +2bp to 41bp. ZN leveraged money extended its long at +0.1σ.

  • US 10Y rose +2bp to 4.75% — bearish duration.
  • US 2s10s steepened +2bp at 41bp.
  • 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%+0.0bp31 Aug
US 5Y4.490%+1.0bp31 Aug
US 10Y4.750%+2.0bp31 Aug
US 30Y5.250%+3.0bp31 Aug
SOFR3.680%+3.0bp31 Aug
2s10s0.410%+2.0bp31 Aug
10s30s0.500%+1.0bp31 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 steepened +2bp.

10Y spreadLevel
UST − Bund 10Y1.380pp
Gilt − Bund 10Y1.900pp
UST − JGB 10Y1.750pp
UST − Gilt 10Y-0.520pp
BTP − Bund 10Y0.364pp
OAT − Bund 10Y0.310pp
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 →

JP leads the duration composite at +1.31σ.

MarketCompositeFactors
JP+1.314
CA+0.544
AU+0.204
UK+0.084
US-0.165
DE-1.984
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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