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FI Daily

G7 rates · 23 Sep 2026
Built 01 Oct 12:25 UTC · US Treasury close 23 Sep
strip close23 SepCOT T+3 report22 Sepcredit close29 Sepfactors4/6 live

US 10Y rose +3bp to 5.29%, bearish duration on the session. The 2s10s flattened -11bp to 44bp. ZN leveraged money covered its long at +1.2σ.

  • US 10Y rose +3bp to 5.29% — bearish duration.
  • US 2s10s flattened -11bp at 44bp.
  • ZN leveraged money covered its long at +1.2σ.

The US striplive strip →

The 10Y rose — bearish duration for the session.

US stripYield1dAs of
US 2Y4.850%+14.0bp23 Sep
US 5Y5.060%+0.0bp29 Sep
US 10Y5.290%+3.0bp30 Sep
US 30Y5.590%+3.0bp29 Sep
SOFR3.880%-2.0bp29 Sep
2s10s0.440%-11.0bp23 Sep
10s30s0.330%+1.0bp29 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 -11bp.

10Y spreadLevel
UST − Bund 10Y1.600pp
Gilt − Bund 10Y1.720pp
UST − JGB 10Y2.190pp
10Y Gilt − UST0.180pp
BTP − Bund 10Y0.406pp
OAT − Bund 10Y0.420pp
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 +6bp.

CreditLevel1d1mz 3yAs of
US IG OAS84bp+1bp+5bp-0.33σ29 Sep
US HY OAS308bp+6bp+48bp+0.06σ29 Sep
CCC − BB decompression968bp———29 Sep
NFCI (weekly)-0.548+0.005-0.050-0.32σ25 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 decompression968bpCCC 1,157bp vs BB 189bp29 Sep
BB − BBB crossover87bpBB 189bp vs BBB 102bp29 Sep
HY OAS against 2s10spairHY OAS 308bp vs 2s10s 37bp29 Sep
IG yield over UST 10Y71bpIG yield 597bp vs UST 10Y 526bp29 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 +1.91σ.

MarketCompositeFactors
JP+1.914
CA+0.314
UK+0.014
AU-0.104
US-1.046
DE-1.095
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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