RoboMacro Research

FI Daily

G7 rates · 16 Sep 2026
Built 22 Sep 12:53 UTC · US Treasury close 16 Sep
strip close16 SepCOT T+3 report15 Sepcredit close18 Sepfactors4/6 live

US 10Y rose +7bp to 5.01%, bearish duration on the session. The 2s10s was unchanged at 27bp. ZN leveraged money extended its long at +1.6σ.

  • US 10Y rose +7bp to 5.01% — bearish duration.
  • US 2s10s unchanged at 27bp.
  • ZN leveraged money extended its long at +1.6σ.

The US striplive strip →

The 10Y rose — bearish duration for the session.

US stripYield1dAs of
US 2Y4.740%+7.0bp16 Sep
US 5Y4.780%-8.0bp17 Sep
US 10Y5.010%+7.0bp18 Sep
US 30Y5.290%-6.0bp17 Sep
SOFR3.850%+23.0bp17 Sep
2s10s0.270%+0.0bp16 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 unchanged on the session.

10Y spreadLevel
UST − Bund 10Y1.490pp
Gilt − Bund 10Y1.770pp
UST − JGB 10Y2.020pp
UST − Gilt 10Y-0.210pp
BTP − Bund 10Y0.526pp
OAT − Bund 10Y0.540pp
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 narrowed -2bp.

CreditLevel1d1mz 3yAs of
US IG OAS77bp-1bp-4bp-0.96σ18 Sep
US HY OAS268bp-2bp-5bp-1.09σ18 Sep
CCC − BB decompression928bp———18 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 decompression928bpCCC 1,083bp vs BB 155bp18 Sep
BB − BBB crossover61bpBB 155bp vs BBB 94bp18 Sep
HY OAS against 2s10spairHY OAS 268bp vs 2s10s 25bp18 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.
Different sessions. Credit prints through 18 Sep 2026; the Treasury tape is 17 Sep 2026, 1 day behind. The two are not merged.

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 +1.81σ.

MarketCompositeFactors
JP+1.814
UK+0.374
CA+0.244
AU-0.214
DE-0.985
US-1.246
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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