RoboMacro Research

FI Daily

G7 rates · 15 Sep 2026
Built 17 Sep 12:25 UTC · US Treasury close 15 Sep
strip close15 SepCOT T+3 report08 Sepcredit close15 Sepfactors4/6 live

US 10Y rose +1bp to 5.01%, bearish duration on the session. The 2s10s flattened -6bp to 27bp. ZN leveraged money extended its long at +1.2σ.

  • US 10Y rose +1bp to 5.01% — bearish duration.
  • US 2s10s flattened -6bp at 27bp.
  • ZN leveraged money extended its long at +1.2σ.

The US striplive strip →

The 10Y rose — bearish duration for the session.

US stripYield1dAs of
US 2Y4.740%+7.0bp16 Sep
US 5Y4.830%+3.0bp15 Sep
US 10Y5.010%+1.0bp16 Sep
US 30Y5.360%+2.0bp15 Sep
SOFR3.640%+2.0bp15 Sep
2s10s0.270%-6.0bp16 Sep
10s30s0.360%-1.0bp15 Sep
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 -6bp.

10Y spreadLevel
UST − Bund 10Y1.460pp
Gilt − Bund 10Y1.840pp
UST − JGB 10Y2.000pp
UST − Gilt 10Y-0.310pp
BTP − Bund 10Y0.456pp
OAT − Bund 10Y0.470pp
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.

Creditlive credit →

US HY OAS widened +5bp.

CreditLevel1d1mz 3yAs of
US IG OAS80bp+0bp+0bp-0.70σ15 Sep
US HY OAS276bp+5bp+9bp-0.86σ15 Sep
CCC − BB decompression924bp———15 Sep
NFCI (weekly)-0.560-0.002-0.086-0.45σ11 Sep
Option-adjusted spreads in basis points, change versus the previous print. z is against the series’ own three-year history. A wider spread is risk-off.
Rates against creditLevelLegsOn
CCC − BB decompression924bpCCC 1,085bp vs BB 161bp15 Sep
BB − BBB crossover63bpBB 161bp vs BBB 98bp15 Sep
HY OAS against 2s10spairHY OAS 276bp vs 2s10s 33bp15 Sep
IG yield over UST 10Y73bpIG yield 573bp vs UST 10Y 500bp15 Sep
Each signal is computed on the newest date both legs printed; neither leg is carried forward. A pair is shown as two legs because the difference between them is not a traded number.

Treasury positioningTreasury positioning →

ZN is long duration; it extended its long.

ContractNameNetz 52wΔzSideWeek
ZT2Y note-1,290,479+2.19σ-0.08longcovered its long
ZF5Y note-2,066,289+1.37σ+0.27longextended its long
ZN10Y note-1,938,754+1.19σ+0.77longextended its long
TNUltra 10Y-426,360-1.12σ-0.04shortextended its short
UBUltra bond-276,965+1.02σ+0.45longextended its long
FFFed funds1,543-0.43σ+0.57shortcovered its short
SR33M SOFR-2,803,445-1.68σ-0.23shortextended its short
CFTC TFF leveraged money, report 08 Sep 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 +1.86σ.

MarketCompositeFactors
JP+1.864
UK+0.554
AU-0.044
CA-0.294
US-1.036
DE-1.045
Higher composite = bullish duration versus G7 peers. A country with too few live factors is omitted, not scored as zero.
Omitted from this issue
  • curve_IT_10y — makrognosis pair unavailable
  • cot_ZB — no CFTC observations for this contract

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