UST Weekly
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Weekly

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01

What happened this week?

Curve then vs now · change by tenor

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Par yields, %. Bars: change over the week, bp. Positive = higher yield (sell-off).
Weekly move per tenor · each dot is one 2026 week

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2026 weeksThis week±1σ of weekly moves
02

How much of September is undone?

Oct MTD and this week as a share of the September move
Share of the September move reversed

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September = 31 Aug close → 30 Sep close. Reversed = −(change since 30 Sep) ÷ September change. Negative = the September move is still extending. Spreads with a September move under 3bp are not scored.
03

Bull flattening: front pinned, long end off the highs

Where each tenor sits in its 2026 range
Position in 2026 range · end-Sep, a week ago, now

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04

Why did it move?

Factor mix, day-by-day path and the news
PCA attribution · what drove the move

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LevelSlopeCurvature
Level = parallel shift; slope = steepening/flattening; curvature = belly vs wings. Dashed = the three combined; strip = what they don't explain.
Path through the week · cumulative bp

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2Y5Y10Y30Y
Real yield or inflation? · nominal = real + breakeven

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Drivers · news, data and supply

What moved the market

05

Is risk rising?

Realised volatility by tenor
20-day realised vol now vs its 2026 high

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Rolling 20-day realised vol · bp/day

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2Y10Y30Y
06

The curve model

PCA, curve fit, forwards and correlation · one panel, six views
PCA and curve fitting

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07

Flies: what's rich, what's cheap?

PCA relative value · 2-factor model on levels, 120 sessions
PCA residuals · four views of the same model

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PCA flies · residual to the 2-factor model

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Positive = belly yield above the model (cheap); negative = rich. Watch = |z| ≥ 1, half-life ≤ 10 sessions and |residual| ≥ 1.5bp. Weighted to zero level and slope exposure. Click a row for its history.
08

Does carry matter here?

3-month carry + roll-down, against the size of the moves
Carry + roll per unit of 3-month risk

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Carry funded at the 3M bill; roll-down on the par curve. Weeks of carry = this week's move ÷ (3M carry+roll ÷ 13). With the bill above the funds range, SOFR/GC funding would show more carry at every tenor.
09

2026 so far

Year-to-date levels, extremes and regimes
Curve journey · level × any spread or PCA fly, linked to the curve · hover, drag or press play

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Y axis
or fly
Left: each point is one day (5-session centred average, display only), coloured from January (blue) to now (orange); white = this week. Hover the path to move through time. Right: the curve on that date against 2 Jan, 30 Sep and now.
YTD statistics

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Every session of 2026 · daily change

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Tenors
Spreads
PCA flies
Distance from 2026 high · bp

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Yield minus its highest close so far in 2026. 0 = at a new high. Shaded: this week. Click a tenor to hide or show it.
Weekly regimes · 2026

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Bull/bear when Δ2Y and Δ10Y move the same way, twist otherwise; steepener/flattener by Δ(10Y−2Y). Weeks run Friday close to Friday close.
10

Technicals

Pick an instrument, overlays and a lower indicator
Technical workbench

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Tenor
Spread
PCA fly
Range
Overlays
Lower pane
MA = simple moving average; EMA10 = exponential. Bollinger = MA20 ± 2 × 20-day σ. 20d high/low = Donchian channel. RSI(14) Wilder. MACD = EMA12 − EMA26 with a 9-day signal line; bars = MACD − signal. Momentum = change over 20 sessions. Shaded: this week. Hover for values; click a row in the table below to load it here.
Technical levels · click a row for the chart

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MA = simple moving average. RSI(14) on yield levels. Band z = distance from the 20d MA in 20d σ. Trend = 20d MA vs 50d MA.
11

What's next?

Events and the levels that would change the picture
The next two weeks

Calendar

Levels that matter

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Prepared by
Jasmeet Gujral
CQF · FRM · 16+ years in quantitative finance · former SVP and front-office quant lead, NatWest Markets
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Data. U.S. Treasury daily par yield curve, 2026 closes (2 decimals, so ~1bp rounding). The week runs from last Friday's close to the latest close; marked provisional until Friday's close is published.

Attribution PCA. Covariance PCA on daily bp changes, 10 tenors 3M–30Y, all 2026 sessions to the latest close (in-sample). Level 83%, slope 11%, curvature 3% of variance. Window change = loading × score; residual = actual − 3 factors, equal to the sum of daily residuals.

Relative-value PCA. Covariance PCA on yield levels (bp), 7 tenors 2Y–30Y, last 120 sessions, demeaned. 2-factor model (level + slope); residual = level − mean − fit. Flies weighted to zero PC1 and PC2 exposure and shown vs their 120-day mean. z = (now − mean) ÷ σ over 120 days; half-life from OLS AR(1), −ln2 ÷ ln β. Lags: 1D = 1, 1W = 5, 15D = 10, 1M = 21 sessions, using today's loadings.

Size and range. Weekly moves compared with all completed 2026 weeks (Fri–Fri): z = move ÷ RMS of weekly moves; percentile = share of weeks with a smaller |move|. Range position = (yield − 2026 low) ÷ (high − low). September = 31 Aug → 30 Sep closes.

Vol and technicals. Realised vol = 20-session σ of daily bp changes, ranked against every 2026 window. MA = simple; RSI(14) Wilder; Bollinger = MA20 ± 2σ(20); MACD = EMA12 − EMA26, signal EMA9.

Carry. 3-month horizon, funded at the 3M bill: carry = (yield − bill) × 0.25 ÷ modified duration; roll = y(n) − y(n − 0.25) on the par curve; risk = daily σ × √63.

For information and education only. Not investment advice, an offer, or a solicitation to buy or sell any security. Figures are computed from public U.S. Treasury data and may contain errors.