Expected Rate Path · Attribution · on the month +22bp — Steepener

The read

Expected Path · Attribution · 25 Sep 2026

on the month +22bp

10Y: 4.12%
2s10s on the month: −29bp
2s10s: −18bp

Attribution splits a move into the term premium leg and the expected path leg.

Fitted zero decomposed over a day to 25 Sep 2026: the 10Y moved −1bp, 0bp of it expected rate path and 0bp term premium. fitted zero = expected path + term premium.

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

Angles

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
Change · +22bp on the month, most at the 2Y (+51bp) · on the month, in basis points; amber rose, blue fell
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
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

How to read this

What it is

Attribution splits a move into the term premium leg and the expected path leg. The two add back exactly, so nothing in the move goes unaccounted.

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 rise of 3bp premium and 7bp path is the priced path doing the work.

Method

The same split, entered from its other side. Neither leg is published by itself and both come out of one fit, so the total is their sum and holds only to rounding.

Source

Federal Reserve Board via FRED · fitted zero curve less the term premium · Kim-Wright · attribution 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.