Bills · Inversion · 5 Oct 2026
inverted 0 of 16
Inversion means a distant maturity yielding beneath a nearer one.
Treasury Bills pairwise spreads on 5 Oct 2026: 0 of 16 pairs at least twice as long as their short leg are inverted.
Short-term Treasury bill rates from 4 weeks to 52 weeks, quoted coupon-equivalent so they compare with a coupon bond.
1M–3M +20bp: 95th of 1y, 75th of 5y, 86th of 10y, 88th of since 2002. High is a steep curve, low is an inverted one.
Inversion means a distant maturity yielding beneath a nearer one. The grid counts each pair separately, because a curve turns over in parts and not all at once.
Each cell holds the spread between its row and its column, in basis points. Hatched cells are the inverted ones.
Only pairs twice apart in maturity enter the count, so quirks between neighbours stay out. Neighbours invert on supply alone.
A cell reading −40 has the longer leg paying 40bp less than the shorter, and it is hatched.
Every pair that extends maturity is drawn, including the ones the count leaves out, so a hatched cell can sit beside a count of zero. Read the block, not the cell. A lone pair is usually issuance.
US Treasury · daily bill rates, coupon-equivalent · inversion computed here
5 Oct 2026 · secondary-market bill rates, coupon-equivalent, Treasury’s own feed
| Tenor | Bill rate | 1D | 1W | 1M | 1Y | %ile 5y |
|---|---|---|---|---|---|---|
| SOFR (2 Oct) | 3.88% | +1 | −2 | +23 | −32 | |
| EFFR (2 Oct) | 3.88% | 0 | 0 | +25 | −21 | |
| IORB (2 Oct) | 3.90% | 0 | 0 | +25 | −25 | |
| ON RRP (2 Oct) | 3.75% | 0 | 0 | +25 | −25 | |
| 1M | 3.95% | 0 | −1 | +19 | −14 | 43 |
| 1.5M | 3.98% | 0 | −2 | +24 | −10 | — |
| 2M | 4.05% | +1 | −5 | +23 | −1 | 43 |
| 3M | 4.15% | +4 | −5 | +31 | +21 | 44 |
| 4M | 4.20% | +1 | −7 | +27 | +31 | — |
| 6M | 4.31% | +2 | −11 | +32 | +50 | 53 |
| 1Y | 4.46% | 0 | −8 | +35 | +84 | 63 |
tenors 1, 5, 21, 252 trading days; anchors 1, 7, 30, 365 calendar
| Pair | BP | 1D | 1W | 1M | %ile 5y |
|---|---|---|---|---|---|
| 1M/3M | +20bp | +4 | −4 | +12 | 75 |
| 1M/1.5M | +3bp | 0 | −1 | +5 | — |
| 1.5M/2M | +7bp | +1 | −3 | −1 | — |
| 2M/3M | +10bp | +3 | 0 | +8 | 76 |
| 3M/4M | +5bp | −3 | −2 | −4 | — |
| 4M/6M | +11bp | +1 | −4 | +5 | — |
| 6M/1Y | +15bp | −2 | +3 | +3 | 86 |
| 1M/1Y | +51bp | 0 | −7 | +16 | 79 |
long − short, in basis points
| Fly | BP | 1D | 1W | 1M | %ile 5y |
|---|---|---|---|---|---|
| 1M/3M/1Y | −11bp | +8 | −1 | +8 | 21 |
2 × belly − wings, 50-50 weighted, not duration-neutral
| Fly | BP | 1D | 1W | 1M | %ile 5y |
|---|---|---|---|---|---|
| 1M/3M/1Y | −22bp | +8 | −1 | +8 | 9 |
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 +26bp · Δ slope +6bp 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) | 300 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 | 46bp | annualised, 21 sessions |
| Rank · 5y | 67th | |
| Shape share | 1.32 | 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 (2 Oct) | +15bp | |
| Thirteen-week bill (2 Oct) | +35bp | |
| Rank · 5y | 87th |
the bill's yield minus the ON RRP award, award restated on 365
| Anchor | Value | 1D | 1W | 1M | 1Y | Detail |
|---|---|---|---|---|---|---|
| SOFR (2 Oct) | 3.88% | +1 | −2 | +23 | −32 | |
| EFFR (2 Oct) | 3.88% | 0 | 0 | +25 | −21 | |
| IORB (2 Oct) | 3.90% | 0 | 0 | +25 | −25 | |
| ON RRP (2 Oct) | 3.75% | 0 | 0 | +25 | −25 | |
| SOFR−BGCR (2 Oct) | +2bp | −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.