Breakeven Inflation · Attribution · on the month +2bp — Steepener

The read

Breakevens · Attribution · 2 Oct 2026

on the month +2bp

10Y: 2.36%
5s30s on the month: −2bp
5s30s: −8bp

Attribution breaks a maturity’s move into real yields and breakevens.

Nominal Yields decomposed over a day to 2 Oct 2026: the 10Y moved +4bp, +4bp of it real (tips) and 0bp breakeven inflation. nominal = real + breakeven.

The market’s priced inflation rate, nominal Treasury yields minus their TIPS equivalent.

Angles

Compare · Nominal Yields 10Y 5.28% against real 2.92%: +236bp of inflation priced · the gap is read off the Breakeven Inflation curve, never subtracted; the 20Y carries supply and liquidity as well as inflation
Change · +2bp on the month, most at the 5Y (+2bp) · on the month, in basis points; amber rose, blue fell
Volatility · 10Y moved 0bp today against a typical day of 1.9bp · the last 21 sessions placed by size, never by date; the band is one typical day
History · 10Y at or above its five-year median of 2.33% for 23 sessions, 106 of the last 250 at or above · the last year of sessions split by today’s five-year median

How to read this

What it is

Attribution breaks a maturity’s move into real yields and breakevens. Both legs print, and the pair adds back to the move itself.

How to read the chart

Every mark is a move at one maturity, in bp. The pale one is the whole of it, the coloured pair the legs that add back.

A leg carrying nearly the whole move names what repriced. Legs pulling opposite ways leave a quiet total over loud parts.

A 10bp move splitting 7bp real yield and 3bp breakeven says real rates carried it.

Method

Nominal, Real and Breakevens all open this one split. The breakeven leg mixes priced inflation with what protection costs, so movement there need not be inflation repricing.

Source

US Treasury · Dallas Fed · Atlanta Fed · Cleveland Fed · daily par and TIPS curves · attribution computed here

Breakeven Inflation in detail

2 Oct 2026 · par yields minus TIPS, both from Treasury, derived here

Curve

Tenor	Breakeven	1D	1W	1M	1Y	%ile 5y
5Y	2.37%	+1	+3	+2	−5	49
7Y	2.37%	+1	+4	+2	−1	56
10Y	2.36%	0	+2	+2	0	64
20Y	2.48%	0	+2	−1	+2	53
30Y	2.29%	−1	+2	0	+5	63

tenors 1, 5, 21, 252 trading days; anchors 1, 7, 30, 365 calendar

Slope

Pair	BP	1D	1W	1M	%ile 5y
5s10s	−1bp	−1	−1	0	70
5s30s	−8bp	−2	−1	−2	59
10s30s	−7bp	−1	0	−2	40

long − short, in basis points

Curvature

Fly	BP	1D	1W	1M	%ile 5y
5s10s30s	+6bp	0	−1	+2	83

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

Slope-neutral

Fly	BP	1D	1W	1M	%ile 5y
5s10s30s	+6bp	0	−1	+2	77

the fly with 5s30s regressed out over five years

State

Line	Value	Detail
5s30s	−8bp	30Y below 5Y
Month level	0bp	mean of 5Y and 30Y, over 31 calendar days
Month slope	0bp	change in 5s30s, over 31 calendar days

Priced ahead

Line	Value	Detail
5y5y	2.35%	five years of inflation, priced to start in five years
5Y→10Y	−1bp	nearer-term inflation priced above longer-term
5Y→30Y	−8bp	nearer-term inflation priced above longer-term

compounded from the 5Y and 10Y breakevens, as FRED builds T5YIFR

Against realised

Line	Value	Detail
Trimmed mean PCE (Aug)	2.19%	year over year, tail movers dropped, and the 10Y breakeven prices 17bp above it
Sticky-price core (Aug)	2.70%	year over year, only the slow-repricing half, and the 10Y breakeven prices 34bp below it
Median CPI (Aug)	2.58%	year over year, built from each month’s middle of the basket, and the 10Y breakeven prices 22bp below it
16% trimmed CPI (Aug)	2.57%	year over year, each month with both tails dropped by weight, and the 10Y breakeven prices 21bp below it

all four are underlying cuts, year over year, so each trails the curve

Anchors

Anchor	Value	Detail
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 breakeven curve, which is itself derived here from Treasury par yields and TIPS. They are not published by any source. A dash means the value could not be computed or was too thin to rank, never zero.