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FI Daily

G7 rates · 08 Oct 2026
Built 12 Oct 12:25 UTC · US Treasury close 08 Oct
strip close08 OctCOT T+3 report06 Octcredit close08 Octfactors4/6 live

US 10Y rose +2bp to 5.24%, bearish duration on the session. The 2s10s flattened -3bp to 44bp. ZN leveraged money extended its short at -0.2σ.

  • US 10Y rose +2bp to 5.24% — bearish duration.
  • US 2s10s flattened -3bp at 44bp.
  • ZN leveraged money extended its short at -0.2σ.

The US striplive strip →

The 10Y rose — bearish duration for the session.

US stripYield1dAs of
US 2Y4.800%+5.0bp09 Oct
US 5Y4.990%-4.0bp08 Oct
US 10Y5.240%+2.0bp09 Oct
US 30Y5.600%-7.0bp08 Oct
SOFR3.870%-1.0bp08 Oct
2s10s0.440%-3.0bp09 Oct
10s30s0.380%-1.0bp08 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 flattened -3bp.

10Y spreadLevel
UST − Bund 10Y1.750pp
Gilt − Bund 10Y1.990pp
UST − JGB 10Y2.200pp
10Y Gilt − UST0.200pp
BTP − Bund 10Y0.516pp
OAT − Bund 10Y0.530pp
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 OAS82bp+0bp+1bp-0.51σ08 Oct
US HY OAS315bp+6bp+48bp+0.30σ08 Oct
CCC − BB decompression1,058bp———08 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 decompression1,058bpCCC 1,252bp vs BB 194bp08 Oct
BB − BBB crossover92bpBB 194bp vs BBB 102bp08 Oct
IG yield over UST 10Y72bpIG yield 594bp vs UST 10Y 522bp08 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 short duration; it extended its short.

ContractNameNetz 52wΔzSideWeek
ZT2Y note-1,257,484+1.81σ-0.27longcovered its long
ZF5Y note-2,127,567+1.02σ-0.27longcovered its long
ZN10Y note-2,139,785-0.23σ-0.66shortextended its short
TNUltra 10Y-319,061+0.31σ+0.13longextended its long
ZBBond-189,678+1.99σ+0.92longextended its long
UBUltra bond-726,257+0.62σ+0.78longextended its long
FFFed funds144,379+0.41σ+0.39longextended its long
SR33M SOFR-2,353,716-0.96σ+0.06shortcovered its short
CFTC TFF leveraged money, report 06 Oct 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 +1.85σ.

MarketCompositeFactors
JP+1.854
CA+0.534
UK+0.114
AU-0.504
US-0.846
DE-1.155
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
  • credit_hy_vs_curve — no observation for 2s10s

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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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