RoboMacro Research

FI Daily

G7 rates · 16 Sep 2026
Built 21 Sep 12:34 UTC · US Treasury close 16 Sep
strip close16 SepCOT T+3 report15 Sepcredit close17 Sepfactors4/6 live

US 10Y fell -7bp to 4.94%, bullish duration on the session. The 2s10s flattened -14bp to 20bp. ZN leveraged money extended its long at +1.6σ.

  • US 10Y fell -7bp to 4.94% — bullish duration.
  • US 2s10s flattened -14bp at 20bp.
  • ZN leveraged money extended its long at +1.6σ.

The US striplive strip →

The 10Y fell — bullish duration for the session.

US stripYield1dAs of
US 2Y4.740%+7.0bp16 Sep
US 5Y4.780%-8.0bp17 Sep
US 10Y4.940%-7.0bp17 Sep
US 30Y5.290%-6.0bp17 Sep
SOFR3.850%+23.0bp17 Sep
2s10s0.200%-14.0bp16 Sep
10s30s0.350%+1.0bp17 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 -14bp.

10Y spreadLevel
UST − Bund 10Y1.380pp
Gilt − Bund 10Y1.650pp
UST − JGB 10Y1.950pp
UST − Gilt 10Y-0.350pp
BTP − Bund 10Y0.466pp
OAT − Bund 10Y0.480pp
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 high yield was unchanged on its last print.

CreditLevel1d1mz 3yAs of
US IG OAS78bp+0bp-4bp-0.87σ17 Sep
US HY OAS270bp+0bp-5bp-1.03σ17 Sep
CCC − BB decompression920bp———17 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 decompression920bpCCC 1,076bp vs BB 156bp17 Sep
BB − BBB crossover61bpBB 156bp vs BBB 95bp17 Sep
HY OAS against 2s10spairHY OAS 270bp vs 2s10s 27bp17 Sep
IG yield over UST 10Y72bpIG yield 566bp vs UST 10Y 494bp17 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-1,294,575+2.04σ-0.01longcovered its long
ZF5Y note-1,986,928+1.46σ+0.15longextended its long
ZN10Y note-1,868,126+1.57σ+0.44longextended its long
TNUltra 10Y-399,246-0.74σ+0.36shortcovered its short
UBUltra bond-211,735+2.02σ+1.09longextended its long
FFFed funds173,421+0.60σ+1.05longextended its long
SR33M SOFR-2,774,148-1.57σ+0.03shortcovered its short
CFTC TFF leveraged money, report 15 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 +1.87σ.

MarketCompositeFactors
JP+1.874
UK+0.474
CA+0.024
AU-0.264
US-1.006
DE-1.115
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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