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FI Daily

G7 rates · 06 Oct 2026
Built 08 Oct 15:21 UTC · US Treasury close 06 Oct
strip close06 OctCOT T+3 report29 Sepcredit close06 Octfactors4/6 live

US 10Y rose +1bp to 5.28%, bearish duration on the session. The 2s10s steepened +3bp to 51bp. ZN leveraged money covered its long at +0.4σ.

  • US 10Y rose +1bp to 5.28% — bearish duration.
  • US 2s10s steepened +3bp at 51bp.
  • ZN leveraged money covered its long at +0.4σ.

The US striplive strip →

The 10Y rose — bearish duration for the session.

US stripYield1dAs of
US 2Y4.770%-2.0bp07 Oct
US 5Y5.030%-3.0bp06 Oct
US 10Y5.280%+1.0bp07 Oct
US 30Y5.640%-2.0bp06 Oct
SOFR3.900%+1.0bp06 Oct
2s10s0.510%+3.0bp07 Oct
10s30s0.370%+2.0bp06 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 +3bp.

10Y spreadLevel
UST − Bund 10Y1.740pp
Gilt − Bund 10Y1.830pp
UST − JGB 10Y2.160pp
10Y Gilt − UST0.180pp
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 widened +2bp.

CreditLevel1d1mz 3yAs of
US IG OAS84bp-1bp+3bp-0.32σ05 Oct
US HY OAS312bp+2bp+47bp+0.20σ05 Oct
CCC − BB decompression1,018bp———05 Oct
NFCI (weekly)-0.494+0.016+0.008-0.04σ02 Oct
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 decompression1,018bpCCC 1,211bp vs BB 193bp05 Oct
BB − BBB crossover89bpBB 193bp vs BBB 104bp05 Oct
HY OAS against 2s10spairHY OAS 312bp vs 2s10s 47bp05 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 +1.48σ.

MarketCompositeFactors
JP+1.484
UK+0.834
CA+0.254
AU-0.124
DE-1.075
US-1.376
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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