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FI Daily

G7 rates · 20 Oct 2026
Built 22 Oct 12:18 UTC · US Treasury close 20 Oct
strip close20 OctCOT T+3 report13 Octcredit close20 Octfactors4/6 live

US 10Y rose +1bp to 5.13%, bearish duration on the session. The 2s10s flattened -1bp to 32bp. ZN leveraged money extended its short at -0.7σ.

  • US 10Y rose +1bp to 5.13% — bearish duration.
  • US 2s10s flattened -1bp at 32bp.
  • ZN leveraged money extended its short at -0.7σ.

The US striplive strip →

The 10Y rose — bearish duration for the session.

US stripYield1dAs of
US 2Y4.810%+2.0bp21 Oct
US 5Y4.940%+0.0bp20 Oct
US 10Y5.130%+1.0bp21 Oct
US 30Y5.420%-6.0bp20 Oct
SOFR3.880%+0.0bp21 Oct
2s10s0.320%-1.0bp21 Oct
10s30s0.300%-3.0bp20 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 -1bp.

10Y spreadLevel
UST − Bund 10Y1.710pp
Gilt − Bund 10Y1.960pp
UST − JGB 10Y2.220pp
10Y Gilt − UST0.270pp
BTP − Bund 10Y0.566pp
OAT − Bund 10Y1.057pp
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 +4bp.

CreditLevel1d1mz 3yAs of
US IG OAS87bp+0bp+10bp+0.01σ20 Oct
US HY OAS333bp+4bp+65bp+0.89σ20 Oct
CCC − BB decompression1,125bp———20 Oct
NFCI (weekly)-0.496+0.006+0.015-0.01σ16 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 decompression1,125bpCCC 1,327bp vs BB 202bp20 Oct
BB − BBB crossover94bpBB 202bp vs BBB 108bp20 Oct
HY OAS against 2s10spairHY OAS 333bp vs 2s10s 33bp20 Oct
IG yield over UST 10Y79bpIG yield 591bp vs UST 10Y 512bp20 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-1,367,408+1.42σ-0.32longcovered its long
ZF5Y note-2,104,391+1.03σ+0.04longextended its long
ZN10Y note-2,205,937-0.68σ-0.43shortextended its short
TNUltra 10Y-335,858+0.07σ-0.23longcovered its long
ZBBond-154,020+2.34σ+0.51longextended its long
UBUltra bond-715,729+0.74σ+0.10longextended its long
FFFed funds144,897+0.43σ+0.00longextended its long
SR33M SOFR-2,245,507-0.81σ+0.12shortcovered 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.

Duration scorecardduration scorecard →

JP leads the duration composite at +1.99σ.

MarketCompositeFactors
JP+1.994
US+0.396
AU-0.214
CA-0.294
DE-0.905
UK-0.984
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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