Rates
US and Canadian government bond curves, a directional call for each tenor, and a simulated futures portfolio built on those calls. Calls look a few weeks ahead and update every trading day.
Yields by tenor
| Tenor | Yield | 5d (bp) | 20d (bp) | 60d (bp) | Z (1y) |
|---|---|---|---|---|---|
| 🇺🇸 US 2Y | 4.81% | -1 | +10 | +50 | +2.10 |
| 🇺🇸 US 5Y | 4.95% | -5 | +12 | +55 | +2.09 |
| 🇺🇸 US 10Y | 5.13% | -6 | +17 | +48 | +2.10 |
| 🇺🇸 US 30Y | 5.42% | -10 | +13 | +30 | +1.76 |
| 🇨🇦 CA 2Y | 3.32% | +13 | +0 | +43 | +2.06 |
| 🇨🇦 CA 5Y | 3.62% | +7 | +3 | +40 | +2.05 |
| 🇨🇦 CA 10Y | 3.90% | +3 | +3 | +30 | +1.90 |
| 🇨🇦 CA 30Y | 4.20% | -2 | +1 | +20 | +1.66 |
Curve slopes: US 2s10s +32bp · CA 2s10s +58bp · Credit spreads: HY OAS 3.33% (20d +65bp) · IG OAS 0.87% (20d +10bp)
Calls by tenor
| Tenor | Yield call | Conf. | vs prior |
|---|---|---|---|
| 🇺🇸 US 2-year | No call | 0.58 | weaker |
| 🇺🇸 US 5-year | Yield ↓ · price ↑ | 0.62 | stronger |
| 🇺🇸 US 10-year | Yield ↑ · price ↓ | 0.70 | unchanged |
| 🇺🇸 US 30-year | Yield ↑ · price ↓ | 0.45 | weaker |
| 🇨🇦 Canada 2-year low evidence | Yield ↑ · price ↓ | 0.55 | unchanged |
| 🇨🇦 Canada 10-year low evidence | Yield ↑ · price ↓ | 0.50 | unchanged |
| 🇨🇦 Canada 30-year low evidence | No call | 0.50 | unchanged |
Added/strengthened the futures-implied policy rate 3.91 which conflicts with the persistently large CFTC net-short signal, causing confidence in the previous short call to be weakened and moved to neutral.
Full thesis and key signals
CFTC positions have remained materially net-short in recent weeks (9/22 -1,350,740; 9/29 -1,165,980; 10/06 -1,257,484), showing speculators/carry traders still lean toward selling 2Y futures; but the futures-implied policy rate is only 3.91, materially below the current 2Y yield of 4.79%, indicating the market is also pricing relatively rapid rate cuts. The two key non-price signals conflict, and MOVE 95.94 is at a moderate volatility level, failing to provide a clear breakout directional signal. Therefore, given the conflicting evidence the short-term bias is set to neutral, and the previous short call has been softened.
- US 2Y yield 4.79% (2026-10-20) only as corroborating evidence
- CFTC net_position: -1,350,740 (2026-09-22), -1,165,980 (2026-09-29), -1,257,484 (2026-10-06) — persistently materially net-short
- futures-implied policy rate 3.91 — materially below the current 2Y yield, suggesting the market is pricing rate cuts
- MOVE interest-rate volatility index 95.94 — volatility at a moderate level, not providing a clear directional breakout
- 2s10s spread 33.0bp — short end relatively elevated but only as corroborating evidence
Commentary for this tenor is available on the Chinese page.
Non-price evidence (speculative net short continues to widen, term premium still near 1%, implied policy path at 3.9%) has not materially changed, therefore maintain short; but the one-week yield decline has caused confidence to fall slightly from 0.75 to 0.70.
Full thesis and key signals
Maintain a bearish view on US10Y futures (sell futures), because non-price signals indicate upward pressure on nominal yields still exists: speculative net shorts continue to widen, the term premium is close to 1 percentage point, and the futures-implied policy path remains near 3.9%. The elevated 10-year real yield (2.77) and the 2.37% breakeven also support that nominal yields are unlikely to fall sharply. Although the one-week yield decline of 9bp brings a short-term price-side conflict, this is insufficient to overturn the persistent non-price signals such as positioning and the term premium; therefore maintain the short stance, with confidence having slightly fallen versus last time.
- CFTC net positions: 2026-09-29 net_position -2,036,432; 2026-10-06 net_position -2,139,785 (net short expanded)
- Futures-implied policy rate: 3.91 (implying the rate path remains elevated)
- 10-year term premium: 0.9857 (near 1.0%, exerting upward pressure on nominal yields)
- 10-year real yield: 2.77; 10-year breakeven inflation: 2.37 (real yield remains at a relatively high level)
- MOVE volatility index: 95.94 (volatility neutral-to-low, not supportive of a large rapid reversal)
- Price corroboration (conflict): yield currently 5.12%, one-week -9.0bp (short-term decline conflicts with non-price signals)
Commentary for this tenor is available on the Chinese page.
Evidence: Low
Commentary for this tenor is available on the Chinese page.
No new decisive evidence compared with the previous version; cross-market upside and the retreat in Canadian core CPI are consistent with the previous version, therefore maintain the prior short-term short judgment and similar confidence.
Evidence: Low
Full thesis and key signals
Maintain short on Canadian 10-year rate futures (expect yields to rise). Cross-market transmission remains the main driver: US same-maturity rose over the past month and the Canada-US spread is wide, supporting transmission from US to Canadian bonds. Canada's domestic macro imposes some constraint on upside — core CPI retreated to 1.9% (below 2.0 expectations). Given that this pillar's evidence grade is low, this judgment relies on cross-market transmission and domestic macro, with limited confidence.
- CA10Y yield 3.90% (2026-10-20) ; past week +3.0bp, past month +7.0bp, past three months +34.0bp
- Canada-US same-maturity spread (CA10Y - US10Y) = -122.0bp; US10Y same maturity past month +11.0bp
- Canada core CPI (ca_cpi_core_yoy 2026-10-19) actual 1.9% expected 2.0% (major surprise, below expectations)
- CORRA overnight rate 2.27%
- Evidence grade: Low (no positions, no options, no auction data), judgment relies on cross-market transmission and domestic macro)
No new substantive non-price evidence compared with the prior version; the offsetting pattern between US long bonds and Canada core CPI remains unchanged, therefore continue to maintain neutral.
Evidence: Low
Full thesis and key signals
Maintain a neutral view. Canada core CPI (2026-10-19) unexpectedly came in lower: core CPI YoY 1.9% (expected 2.0%, a major downside surprise), putting downward pressure on Canadian long yields (supporting futures longs), but US 30-year Treasury has strengthened over the past month (US30Y 近一月 +8bp) transmitting upward pressure to Canadian bonds; the two largely offset each other in the near term. CA30Y current yield 4.20% (2026-10-20), only +3bp over the past month, and the evidence level is low (no positions/options/auctions), which limits confidence in a unilateral view. Continue to remain neutral in the short term (1–3 months) unless new auction/positions or a clearer macro directional shock emerges.
- ca_cpi_core_yoy 2026-10-19 actual 1.9% vs expected 2.0% (major downside surprise)
- US30Y over the past month +8.0 bp (transmitting upward pressure to CA long yields)
- CA30Y yield 4.20% (2026-10-20); over the past month +3.0 bp; over the past three months +24.0 bp
- Spread versus US same maturity CA30Y - US30Y = -122.0 bp (shows Canada long yields materially lower relative to the US)
- Evidence level Low: no positions, no options, no auction data; CORRA overnight rate 2.27%
“Low evidence” means the tenor lacks independent positioning, options or auction data; its call leans on cross-market spillover and domestic macro data.
Rates futures portfolio
Rate views expressed with US and Canadian bond futures, risk capped per tenor by DV01.
Started Sep 18: only 25 trading days, most of the gain came on Sep 23 alone; so the figures prove nothing yet. Net of trading costs.
Details →Rates weekly
- Inflation is still accelerating: producer prices 6.3%, consumer prices 3.7% 2026-10-18
- U.S. short- and medium-term interest rates rise; long-end risks are hard to predict 2026-10-11
- Selloff in the long-end bond market exacerbates elevated U.S. interest rates and tail risk. 2026-10-04
- Upside favored for short- and medium-term U.S. Treasuries, while 30-year Treasuries and Canadian bonds follow a random walk. 2026-09-27
- Federal Reserve rate hikes pressure the U.S. short end; Canada's entire yield curve retreated. 2026-09-20
- U.S. short- and mid-term yields are edging higher, while the long end and Canadian bonds are under pressure. 2026-09-13