Bills · Butterfly · 2 Oct 2026
1M · 3M · 1Y −19bp
A butterfly sets the middle maturity of three, the belly, against the two wings either side.
Treasury Bills 1M/3M/1Y butterflies from 4 Oct 2021 to 2 Oct 2026: 1M/3M/1Y currently −19bp, ranging −94bp to +214bp.
Short-term Treasury bill rates from 4 weeks to 52 weeks, quoted coupon-equivalent so they compare with a coupon bond.
1M · 3M · 1Y −19bp: 4th of 1y, 15th of 5y, 20th of 10y, 28th of since 2002. High is a cheap belly against the wings, low is a rich one.
A butterfly sets the middle maturity of three, the belly, against the two wings either side. It measures bend, so a shift that lifts all three legs cancels.
Twice the belly’s bill rate, with each wing taken off, in basis points. The name lists its three maturities, short wing first.
Positive puts the belly cheap against its wings, negative dear. It swings either side of zero and rarely trends.
A belly sitting 10bp under the average of its wings prints a fly of −20bp, because the belly counts twice.
A fly needs all three legs to print, so one missing leg leaves the day blank instead of partial. The belly moves first when the timing of a policy turn is repriced.
US Treasury · NBER · daily bill rates, coupon-equivalent · butterfly computed here
2 Oct 2026 · secondary-market bill rates, coupon-equivalent, Treasury’s own feed
| Tenor | Bill rate | 1D | 1W | 1M | 1Y | %ile 5y |
|---|---|---|---|---|---|---|
| SOFR (1 Oct) | 3.87% | −3 | −1 | +21 | −33 | |
| EFFR (1 Oct) | 3.88% | 0 | 0 | +25 | −21 | |
| IORB (1 Oct) | 3.90% | 0 | 0 | +25 | −25 | |
| ON RRP (1 Oct) | 3.75% | 0 | 0 | +25 | −25 | |
| 1M | 3.95% | −1 | −2 | +23 | −17 | 43 |
| 1.5M | 3.98% | −1 | −3 | +17 | −12 | — |
| 2M | 4.04% | −2 | −6 | +22 | −4 | 43 |
| 3M | 4.11% | +1 | −7 | +24 | +16 | 43 |
| 4M | 4.19% | 0 | −7 | +23 | +26 | — |
| 6M | 4.29% | +1 | −7 | +26 | +45 | 51 |
| 1Y | 4.46% | +2 | −2 | +30 | +78 | 63 |
tenors 1, 5, 21, 252 trading days; anchors 1, 7, 30, 365 calendar
| Pair | BP | 1D | 1W | 1M | %ile 5y |
|---|---|---|---|---|---|
| 1M/3M | +16bp | +2 | −5 | +1 | 73 |
| 1M/1.5M | +3bp | 0 | −1 | −6 | — |
| 1.5M/2M | +6bp | −1 | −3 | +5 | — |
| 2M/3M | +7bp | +3 | −1 | +2 | 71 |
| 3M/4M | +8bp | −1 | 0 | −1 | — |
| 4M/6M | +10bp | +1 | 0 | +3 | — |
| 6M/1Y | +17bp | +1 | +5 | +4 | 88 |
| 1M/1Y | +51bp | +3 | 0 | +7 | 79 |
long − short, in basis points
| Fly | BP | 1D | 1W | 1M | %ile 5y |
|---|---|---|---|---|---|
| 1M/3M/1Y | −19bp | +1 | −10 | −5 | 15 |
2 × belly − wings, 50-50 weighted, not duration-neutral
| Fly | BP | 1D | 1W | 1M | %ile 5y |
|---|---|---|---|---|---|
| 1M/3M/1Y | −30bp | +1 | −10 | −5 | 4 |
the fly with 1M/3M regressed out over five years
| Line | Value | Detail |
|---|---|---|
| Inverted | 0 of 16 | pairs 2× apart in maturity |
| Deepest | — | nothing counted is inverted |
| Uncounted | — | no inversion between neighbours |
| 1M/3M | not inverted | |
| Month | Bear Steepener | Δ level +22bp · Δ slope +4bp over a month |
| Line | Value | Detail |
|---|---|---|
| Last episode | 89 sessions | 31 Jul 2025 → 8 Dec 2025 |
| Deepest (5 Sep 2025) | −20bp | |
| Area | 1,064 | basis points × sessions below zero |
| Un-inverted (9 Dec 2025) | 297 days ago | calendar days, not sessions |
| Precedent | 96d | median un-inversion to recession, 26 to 165, n=2. Not a forecast |
1M/3M episodes of 20 sessions or more, since 2 Jan 2002
| Line | Value | Detail |
|---|---|---|
| 3M vol | 48bp | annualised, 21 sessions |
| Rank · 5y | 68th | |
| Shape share | 1.36 | 1M/3M vol ÷ 3M vol |
realised standard deviation of daily changes, annualised
| Line | Value | Detail |
|---|---|---|
| 1y | +3.8% | |
| 5y | +20.0% | not annualised |
| Worst fall (17 Sep 2008) | −0.3% | peak to trough, bottoming 22 Sep 2008 |
| Since then | made back |
a rolling 3M par bond, coupon and price. Not a fund
| Line | Value | Detail |
|---|---|---|
| Four-week bill (1 Oct) | +15bp | |
| Thirteen-week bill (1 Oct) | +31bp | |
| Rank · 5y | 87th |
the bill's yield minus the ON RRP award, award restated on 365
| Anchor | Value | 1D | 1W | 1M | 1Y | Detail |
|---|---|---|---|---|---|---|
| SOFR (1 Oct) | 3.87% | −3 | −1 | +21 | −33 | |
| EFFR (1 Oct) | 3.88% | 0 | 0 | +25 | −21 | |
| IORB (1 Oct) | 3.90% | 0 | 0 | +25 | −25 | |
| ON RRP (1 Oct) | 3.75% | 0 | 0 | +25 | −25 | |
| SOFR−BGCR (1 Oct) | +3bp | +1 | +1 | 0 | −1 | what bilateral cleared repo adds to the broad GC rate inside SOFR |
| NBER (dated to 1 Sep 2026) | not in a dated recession | NBER dates turning points about a year late |
Spreads and butterflies are derived here from the published bill rate curve. They are not published by any source. A dash means the value could not be computed or was too thin to rank, never zero.