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FI Daily

G7 rates · 27 Oct 2026
Built 28 Oct 12:18 UTC · US Treasury close 27 Oct
strip close26 OctCOT T+3 report20 Octcredit close26 Octfactors4/6 live

US 10Y fell -1bp to 4.99%, bullish duration on the session. The 2s10s flattened -3bp to 29bp. ZN leveraged money covered its short at -0.1σ.

  • US 10Y fell -1bp to 4.99% — bullish duration.
  • US 2s10s flattened -3bp at 29bp.
  • ZN leveraged money covered its short at -0.1σ.

The US striplive strip →

The 10Y fell — bullish duration for the session.

US stripYield1dAs of
US 2Y4.700%+2.0bp27 Oct
US 5Y4.840%+2.0bp26 Oct
US 10Y4.990%-1.0bp27 Oct
US 30Y5.310%-2.0bp26 Oct
SOFR3.950%+2.0bp27 Oct
2s10s0.290%-3.0bp27 Oct
10s30s0.310%-2.0bp26 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 10Y1.590pp
Gilt − Bund 10Y1.930pp
UST − JGB 10Y2.210pp
10Y Gilt − UST0.350pp
BTP − Bund 10Y0.636pp
OAT − Bund 10Y1.127pp
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 narrowed -2bp.

CreditLevel1d1mz 3yAs of
US IG OAS91bp+2bp+14bp+0.44σ23 Oct
US HY OAS338bp-2bp+65bp+1.06σ23 Oct
CCC − BB decompression1,150bp———23 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 decompression1,150bpCCC 1,356bp vs BB 206bp23 Oct
BB − BBB crossover93bpBB 206bp vs BBB 113bp23 Oct
HY OAS against 2s10spairHY OAS 338bp vs 2s10s 31bp23 Oct
IG yield over UST 10Y84bpIG yield 584bp vs UST 10Y 500bp23 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 covered its short.

ContractNameNetz 52wΔzSideWeek
ZT2Y note-1,285,548+1.58σ+0.23longextended its long
ZF5Y note-2,117,544+0.96σ-0.02longcovered its long
ZN10Y note-2,107,224-0.07σ+0.67shortcovered its short
TNUltra 10Y-318,477+0.29σ+0.24longextended its long
ZBBond-162,757+2.08σ-0.12longcovered its long
UBUltra bond-804,808-0.09σ-0.87shortextended its short
FFFed funds376,169+1.79σ+1.39longextended its long
SR33M SOFR-2,373,040-0.92σ-0.15shortextended its short
CFTC TFF leveraged money, report 20 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 +2.08σ.

MarketCompositeFactors
JP+2.084
US+0.396
DE-0.495
AU-0.604
UK-0.664
CA-0.714
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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