Over the last 20 sessions the 10y is -22 bp; the stack attributes most of it to Fed credibility and Fiscal dominance. The session’s -17 bp was mostly Fed credibility (-15) and Debasement (-2).
Chart 1 · 10-year stacked contributions · Over the last 20 sessions the 10y is -22 bp; the stack attributes most of it to Fed credibility and Fiscal dominance.Chart 1 · 10-year stacked contributions | 2026-09-24→2026-10-22 | 10y 5.18%→4.96% | Source: 20-session in-sample OLSFed credibility and Debasement driving the last 2 days · The session’s -17 bp was mostly Fed credibility (-15) and Debasement (-2).Fed credibility and Debasement driving the last 2 days | Last 2026-10-22: -17 bp (Fed credibility -15 · Debasement -2) | 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: 0.31pp, UK: 0.69pp, DE: 0.34pp, JP: 1pp, CA: 0.58pp, AU: 0.29pp, NZ: 1.06pp, CH: 0.28pp | Range: 0.28pp–1.06ppG7 10YG7 10Y | Latest (2026-10-21): US 5.13%; 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: 1.948σ, UK: 0.326σ, CA: 0.201σ, DE: -0.756σ, US: -0.797σ, AU: -0.922σ | Range: -0.922σ–1.948σ
10Y spread
Level
UST − Bund 10Y
1.600pp
Gilt − Bund 10Y
2.010pp
UST − JGB 10Y
2.250pp
10Y Gilt − UST
0.200pp
BTP − Bund 10Y
0.646pp
OAT − Bund 10Y
1.137pp
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
1,109bp
CCC 1,307bp vs BB 198bp
21 Oct
BB − BBB crossover
89bp
BB 198bp vs BBB 109bp
21 Oct
HY OAS against 2s10s
pair
HY OAS 327bp vs 2s10s 32bp
21 Oct
IG yield over UST 10Y
79bp
IG yield 592bp vs UST 10Y 513bp
21 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
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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.