Expected Rate Path · Butterfly · 2s5s10s +3bp — Steepener

The read

Expected Path · Butterfly · 25 Sep 2026

2Y · 5Y · 10Y +3bp

rank · 5y: 95th
2s5s10s slope-neutral: +20bp
10Y: 4.12%

A butterfly sets the middle maturity of three, the belly, against the two wings either side.

Expected Rate Path 2s5s10s butterflies from 27 Sep 2021 to 25 Sep 2026: 2s5s10s currently +3bp, ranging −42bp to +11bp.

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

Rank

2Y · 5Y · 10Y +3bp: 99th of 1y, 95th of 5y, 94th of 10y, 48th of since 1990. High is a cheap belly against the wings, low is a rich one.

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
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
Level/Slope/Curvature · Level +42bp, Slope +28bp, Curvature −8bp at the 10Y against the five-year average shape · each factor as basis points it adds at the headline maturity, against the five-year average shape

How to read this

What it is

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.

How to read the chart

Twice the belly’s average expected short 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.

Method

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.

Source

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