Expected Rate Path · Analogues · 2s10s −18bp — Steepener

The read

Expected Path · Analogues · 25 Sep 2026

2s10s −18bp

10Y: 4.12%
month: +36bp
rank · 5y: 96th

An analogue is the closest match the record holds for today’s shape.

Expected Rate Path on 25 Sep 2026 compared with its closest historical shapes: 3 Mar 1999, 4 Nov 1999, 30 Dec 1996. Curves are shown as deviation from each day's own mean, before each maturity is scaled to its own history.

Where markets price short-term rates to go, once the term premium is stripped out of the Treasury curve.

Angles

History · 10Y at or above its five-year median of 3.75% for 63 sessions, 108 of the last 250 at or above · the last year of sessions split by today’s five-year median
Curve · 4.30% at the 2Y falling to a low of 4.12% at the 10Y · level bars, shaded by five-year rank; the headline maturity is outlined
Percentiles · Against five years the 10Y is highest at 96 and the 1Y lowest at 60 · amber above the median of the window, blue below; a dashed cell has less record than its window
Change · +22bp on the month, most at the 2Y (+51bp) · on the month, in basis points; amber rose, blue fell

How to read this

What it is

An analogue is the closest match the record holds for today’s shape. Levels are scaled away before anything is compared, so a match is about form and never height.

How to read the chart

Each curve is plotted as distance to that day’s average, so the axis carries shape, not level.

A close match says the curve has held this shape before, never that it repeats. What happened next sits on each row.

Method

Every day here comes from a single model fit, so revisions reshape the history a match is made against. Ranking uses distance after scaling, and a repeated shape says nothing about what follows.

Source

Federal Reserve Board via FRED · fitted zero curve less the term premium · Kim-Wright · analogues computed here

Expected Rate Path in detail

25 Sep 2026 · Kim-Wright fitted zero minus premium, Federal Reserve Board via FRED, differenced here. Released in batches, so its axis trails Treasury

Curve

Tenor	Expected rate	1D	1W	1M	1Y	%ile 5y
1Y	4.22%	−1	+9	+46	+61	60
2Y	4.30%	−1	+11	+51	+82	72
3Y	4.29%	−1	+11	+48	+83	80
5Y	4.23%	−1	+10	+38	+70	91
7Y	4.17%	0	+9	+30	+56	95
10Y	4.12%	0	+7	+22	+42	96

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

Slope

Pair	BP	1D	1W	1M	%ile 5y
1s5s	+1bp	0	0	−8	69
2s5s	−7bp	+1	−1	−13	52
5s10s	−10bp	+1	−2	−16	35
2s10s	−18bp	+1	−3	−29	46

long − short, in basis points

Curvature

Fly	BP	1D	1W	1M	%ile 5y
2s5s10s	+3bp	0	+1	+3	95

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

Slope-neutral

Fly	BP	1D	1W	1M	%ile 5y
2s5s10s	+20bp	0	+2	+7	97

the fly with 2s10s regressed out over five years

State

Line	Value	Detail
2s10s	−18bp	10Y below 2Y
Month level	+36bp	mean of 2Y and 10Y, over 31 calendar days
Month slope	−29bp	change in 2s10s, over 31 calendar days

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 expected short-rate curve, which is itself derived here from the Kim-Wright fitted zero and term premium. They are not published by any source. A dash means the value could not be computed or was too thin to rank, never zero.