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FI Daily

G7 rates · 05 Oct 2026
Built 07 Oct 12:25 UTC · US Treasury close 05 Oct
strip close05 OctCOT T+3 report29 Sepcredit close05 Octfactors4/6 live

US 10Y fell -4bp to 5.27%, bullish duration on the session. The 2s10s steepened +1bp to 48bp. ZN leveraged money covered its long at +0.4σ.

  • US 10Y fell -4bp to 5.27% — bullish duration.
  • US 2s10s steepened +1bp at 48bp.
  • ZN leveraged money covered its long at +0.4σ.

The US striplive strip →

The 10Y fell — bullish duration for the session.

US stripYield1dAs of
US 2Y4.790%-5.0bp06 Oct
US 5Y5.060%+0.0bp05 Oct
US 10Y5.270%-4.0bp06 Oct
US 30Y5.660%+3.0bp05 Oct
SOFR3.890%+1.0bp05 Oct
2s10s0.480%+1.0bp06 Oct
10s30s0.350%+0.0bp05 Oct
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 steepened +1bp.

10Y spreadLevel
UST − Bund 10Y1.750pp
Gilt − Bund 10Y1.900pp
UST − JGB 10Y2.200pp
10Y Gilt − UST0.090pp
BTP − Bund 10Y0.506pp
OAT − Bund 10Y0.520pp
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 -14bp.

CreditLevel1d1mz 3yAs of
US IG OAS84bp-1bp+3bp-0.32σ05 Oct
US HY OAS310bp-14bp+44bp+0.13σ02 Oct
CCC − BB decompression1,011bp———02 Oct
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 decompression1,011bpCCC 1,202bp vs BB 191bp02 Oct
BB − BBB crossover87bpBB 191bp vs BBB 104bp02 Oct
HY OAS against 2s10spairHY OAS 310bp vs 2s10s 45bp02 Oct
IG yield over UST 10Y72bpIG yield 603bp vs UST 10Y 531bp05 Oct
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-1,165,980+2.19σ+0.56longextended its long
ZF5Y note-1,985,787+1.33σ-0.24longcovered its long
ZN10Y note-2,036,432+0.45σ-0.69longcovered its long
TNUltra 10Y-328,471+0.21σ+0.89longextended its long
ZBBond-251,395+1.16σ-1.38longcovered its long
UBUltra bond-808,870-0.18σ+0.14shortcovered its short
FFFed funds80,253+0.03σ-0.22longcovered its long
SR33M SOFR-2,410,343-1.07σ+0.04shortcovered its short
CFTC TFF leveraged money, report 29 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 +1.26σ.

MarketCompositeFactors
JP+1.264
UK+0.984
AU+0.184
CA+0.174
US-1.256
DE-1.345
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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