Bills · Regime · 2 Oct 2026
Bear Steepener on the month
Bull and bear say which way the curve went; steepener and flattener say which end moved more.
Treasury Bills regime, 4 Oct 2021 to 2 Oct 2026: currently a bear steepener on a 1m lookback, with Δ level +22bp and Δ slope +4bp.
Short-term Treasury bill rates from 4 weeks to 52 weeks, quoted coupon-equivalent so they compare with a coupon bond.
Bull and bear say which way the curve went; steepener and flattener say which end moved more. Four combinations, one per session, and quiet days are left unnamed.
Under the chart, a band names each day’s quadrant. Behind it run the two things that decided it, change in level and in slope.
Bull says the bill rate fell over the lookback and bear that it rose; the second word says which end moved further.
A long maturity down 15bp with its gap to the short one 8bp wider is a bull steepener; the front fell further.
Bull steepeners have clustered ahead of past easing cycles and bear flatteners ahead of tightening ones. Under a two basis point move either way the day is left unclassified rather than forced.
US Treasury · NBER · daily bill rates, coupon-equivalent · regime 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.