Treasury Bills · Level/Slope/Curvature · 3M 4.11% — Steepener

The read

Bills · Level/Slope/Curvature · 2 Oct 2026

3M 4.11%

1M/3M: +16bp
1M/3M/1Y: −19bp
rank · 5y: 43rd

Principal components are the few shapes that account for most of how a curve moves.

Treasury Bills decomposed into 3 components over 4 Oct 2021 to 2 Oct 2026, fit on 5 maturities (1M, 2M, 3M, 6M, 1Y), explaining 99.9% of variance.

Short-term Treasury bill rates from 4 weeks to 52 weeks, quoted coupon-equivalent so they compare with a coupon bond.

Angles

Change · +24bp on the month, most at the 1Y (+30bp) · on the month, in basis points; amber rose, blue fell
Spread · 1M/3M at +16bp, 73rd percentile of five years · box is the middle half, tick the median, dotted line is zero
Butterfly · 1M/3M/1Y at −19bp, 15th percentile of five years · left on the scale is a rich belly, right is a cheap belly
Curve · 3.95% at the 1M rising to a high of 4.46% at the 1Y · level bars, shaded by five-year rank; the headline maturity is outlined

How to read this

What it is

Principal components are the few shapes that account for most of how a curve moves. The biggest three are a level shift, a slope tilt and a curvature bend.

How to read the chart

Every line is a score, not a rate. Zero is the average shape over the fit, and the sign says which way it leans.

Level usually carries the bulk of a day. When slope jumps instead, the two ends pulled apart.

Method

The components are estimated from a window of history and computed here, not published anywhere. Signs are pinned on purpose; left free they flip between fits and reverse every history.

Source

US Treasury · NBER · daily bill rates, coupon-equivalent · level/slope/curvature computed here

Treasury Bills in detail

2 Oct 2026 · secondary-market bill rates, coupon-equivalent, Treasury’s own feed

Curve

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

Slope

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

Curvature

Fly	BP	1D	1W	1M	%ile 5y
1M/3M/1Y	−19bp	+1	−10	−5	15

2 × belly − wings, 50-50 weighted, not duration-neutral

Slope-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

State

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

This inversion

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

Volatility

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

Held, not watched

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

Against the floor

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

Anchors

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.