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FI Daily

G7 rates · 23 Sep 2026
Built 28 Sep 12:25 UTC · US Treasury close 23 Sep
strip close23 SepCOT T+3 report22 Sepcredit close24 Sepfactors4/6 live

US 10Y fell -1bp to 5.17%, bullish duration on the session. The 2s10s flattened -15bp to 32bp. ZN leveraged money covered its long at +1.2σ.

  • US 10Y fell -1bp to 5.17% — bullish duration.
  • US 2s10s flattened -15bp at 32bp.
  • ZN leveraged money covered its long at +1.2σ.

The US striplive strip →

The 10Y fell — bullish duration for the session.

US stripYield1dAs of
US 2Y4.850%+14.0bp23 Sep
US 5Y5.030%+4.0bp24 Sep
US 10Y5.170%-1.0bp25 Sep
US 30Y5.470%+7.0bp24 Sep
SOFR3.880%+1.0bp24 Sep
2s10s0.320%-15.0bp23 Sep
10s30s0.290%+0.0bp24 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 -15bp.

10Y spreadLevel
UST − Bund 10Y1.540pp
Gilt − Bund 10Y1.730pp
UST − JGB 10Y2.110pp
10Y Gilt − UST0.170pp
BTP − Bund 10Y0.366pp
OAT − Bund 10Y0.380pp
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 OAS77bp+0bp-4bp-0.97σ23 Sep
US HY OAS273bp+5bp+4bp-0.95σ23 Sep
CCC − BB decompression934bp———23 Sep
NFCI (weekly)-0.555+0.002-0.070-0.42σ18 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 decompression934bpCCC 1,093bp vs BB 159bp23 Sep
BB − BBB crossover64bpBB 159bp vs BBB 95bp23 Sep
HY OAS against 2s10spairHY OAS 273bp vs 2s10s 26bp23 Sep
IG yield over UST 10Y72bpIG yield 583bp vs UST 10Y 511bp23 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 covered its long.

ContractNameNetz 52wΔzSideWeek
ZT2Y note-1,350,740+1.76σ-0.18longcovered its long
ZF5Y note-1,858,062+1.64σ+0.25longextended its long
ZN10Y note-1,926,947+1.16σ-0.37longcovered its long
TNUltra 10Y-395,678-0.67σ+0.05shortcovered its short
ZBBond-162,052+2.60σ+0.77longextended its long
UBUltra bond-824,343-0.35σ-0.10shortextended its short
FFFed funds116,547+0.24σ-0.35longcovered its long
SR33M SOFR-2,444,986-1.15σ+0.38shortcovered its short
CFTC TFF leveraged money, report 22 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 +1.49σ.

MarketCompositeFactors
JP+1.494
UK+0.564
AU+0.334
CA+0.194
DE-1.185
US-1.396
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
  • curve_FR_10y — makrognosis pair unavailable

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US strip, G7 curve RV, Treasury positioning and the duration scorecard. On sessions where the 10-year moves 5 bp or more, the 20-session driver stack and 1 bp cubes. Free.

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