Breakevens · Butterfly · 2 Oct 2026
5Y · 10Y · 30Y +6bp
A butterfly sets the middle maturity of three, the belly, against the two wings either side.
Breakeven Inflation 5s10s30s butterflies from 4 Oct 2021 to 2 Oct 2026: 5s10s30s currently +6bp, ranging −27bp to +22bp.
The market’s priced inflation rate, nominal Treasury yields minus their TIPS equivalent.
5Y · 10Y · 30Y +6bp: 91st of 1y, 83rd of 5y, 76th of 10y, 56th of since 2010. 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 breakeven inflation 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 · Dallas Fed · Atlanta Fed · Cleveland Fed · NBER · daily par and TIPS curves · butterfly computed here
2 Oct 2026 · par yields minus TIPS, both from Treasury, derived here
| 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
| 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
| Fly | BP | 1D | 1W | 1M | %ile 5y |
|---|---|---|---|---|---|
| 5s10s30s | +6bp | 0 | −1 | +2 | 83 |
2 × belly − wings, 50-50 weighted, not duration-neutral
| Fly | BP | 1D | 1W | 1M | %ile 5y |
|---|---|---|---|---|---|
| 5s10s30s | +6bp | 0 | −1 | +2 | 77 |
the fly with 5s30s regressed out over five years
| 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 |
| 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
| 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
| 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.