Breakeven Inflation · Level/Slope/Curvature · 10Y 2.36% — Steepener

The read

Breakevens · Level/Slope/Curvature · 2 Oct 2026

10Y 2.36%

5s30s: −8bp
5s10s30s: +6bp
rank · 5y: 64th

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

Breakeven Inflation decomposed into 3 components over 4 Oct 2021 to 2 Oct 2026, fit on 5 maturities (5Y, 7Y, 10Y, 20Y, 30Y), explaining 99.5% of variance.

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

Angles

Change · +2bp on the month, most at the 5Y (+2bp) · on the month, in basis points; amber rose, blue fell
Spread · 5s30s at −8bp, 59th percentile of five years · box is the middle half, tick the median, dotted line is zero
Butterfly · 5s10s30s at +6bp, 83rd percentile of five years · left on the scale is a rich belly, right is a cheap belly
Curve · 2.48% at the 20Y falling to a low of 2.29% at the 30Y · 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 · Dallas Fed · Atlanta Fed · Cleveland Fed · NBER · daily par and TIPS curves · level/slope/curvature 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.