Over the last 20 sessions the 10y is +19 bp; the stack attributes most of it to Monetary policy and Fiscal dominance. The session’s +6 bp was mostly Residuals (+6).
Chart 1 · 10-year stacked contributions · Over the last 20 sessions the 10y is +19 bp; the stack attributes most of it to Monetary policy and Fiscal dominance.Chart 1 · 10-year stacked contributions | 2026-09-21→2026-10-19 | 10y 4.96%→5.15% | Source: 20-session in-sample OLSResiduals driving the last 2 days · The session’s +6 bp was mostly Residuals (+6).Residuals driving the last 2 days | Last 2026-10-19: +6 bp (Residual +6) | 1 cube = 1 bp
In-sample OLS identity: starting fitted + layers + residual equal the 10-year. Residual is unexplained, not Fed credibility. Not identified shock shares.
UST − Bund · US 10Y minus German 10Y. Missing either leg omits the series.UST − Bund | Latest: 1.19pp (2026-09-01) | Range: 1.058pp–2.349pp | Trend(5pt): 1.179,1.716,2.231,1.452,1.19G7 2s10s · 10Y−2Y. Inverted curves print below the zero line.G7 2s10s | US: 0.38pp, UK: 0.63pp, DE: 0.38pp, JP: 1.04pp, CA: 0.63pp, AU: 0.38pp, NZ: 1.03pp, CH: 0.3pp | Range: 0.3pp–1.04ppG7 10YG7 10Y | Latest (2026-10-16): US 5.09%; DE 3.47%; UK 5.242%; JP 3.05% | Range: 0.32%–5.29%Steepener z · Cross-sectional z of 10Y−2Y. Higher = long steepener vs peers.Steepener z | JP: 1.93σ, UK: 0.392σ, CA: 0.178σ, AU: -0.762σ, DE: -0.847σ, US: -0.89σ | Range: -0.89σ–1.93σ
10Y spread
Level
UST − Bund 10Y
1.700pp
Gilt − Bund 10Y
1.890pp
UST − JGB 10Y
2.180pp
10Y Gilt − UST
0.350pp
BTP − Bund 10Y
0.526pp
OAT − Bund 10Y
1.017pp
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.
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 credit
Level
Legs
On
CCC − BB decompression
1,094bp
CCC 1,297bp vs BB 203bp
16 Oct
BB − BBB crossover
97bp
BB 203bp vs BBB 106bp
16 Oct
HY OAS against 2s10s
pair
HY OAS 331bp vs 2s10s 35bp
16 Oct
IG yield over UST 10Y
77bp
IG yield 586bp vs UST 10Y 509bp
16 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 positioning · Leveraged-money 52-week z. Net long a Treasury future is long duration.Treasury positioning | ZT: 1.419σ, ZF: 1.027σ, ZN: -0.6829σ, TN: 0.07117σ, ZB: 2.337σ, UB: 0.7409σ, FF: 0.4266σ, SR3: -0.8059σ | Range: -0.8059σ–2.337σ
Contract
Name
Net
z 52w
Δz
Side
Week
ZT
2Y note
-1,367,408
+1.42σ
-0.32
long
covered its long
ZF
5Y note
-2,104,391
+1.03σ
+0.04
long
extended its long
ZN
10Y note
-2,205,937
-0.68σ
-0.43
short
extended its short
TN
Ultra 10Y
-335,858
+0.07σ
-0.23
long
covered its long
ZB
Bond
-154,020
+2.34σ
+0.51
long
extended its long
UB
Ultra bond
-715,729
+0.74σ
+0.10
long
extended its long
FF
Fed funds
144,897
+0.43σ
+0.00
long
extended its long
SR3
3M SOFR
-2,245,507
-0.81σ
+0.12
short
covered its short
CFTC TFF leveraged money, report 13 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.
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
Rate this note
1 = not useful, 10 = essential. Optional — name and email for us to come back to you.
Optional — name and email for us to come back to you
Every business day
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.