Expected Rate Path · Change · 10Y 4.12% — Steepener

The read

Expected Path · Change · 25 Sep 2026

on the month +22bp

10Y: 4.12%
2s10s on the month: −29bp
rank · 5y: 96th

Change subtracts an earlier average expected short rate from a later one and prints the gap in basis points.

Expected Rate Path change over one day to 25 Sep 2026: 6 maturities moved between −1bp and 0bp, with 2Y and 10Y averaging −1bp.

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

Angles

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
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
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
Spread · 2s10s at −18bp, 46th percentile of five years · box is the middle half, tick the median, dotted line is zero

How to read this

What it is

Change subtracts an earlier average expected short rate from a later one and prints the gap in basis points. Whichever window you set, the arithmetic underneath is that one subtraction.

How to read the chart

Above the zero rule the average expected short rate rose over your chosen window, below it fell. The scale is basis points, not percent.

One maturity moving alone reprices that stretch by itself. Most days shift a handful of basis points; twenty is a lot.

Set Since to one day and a maturity closing 12bp higher prints +12; set it to a month and the same day can print −24.

Method

The priced path of short rates lifted, separately from any change in risk compensation. Holding those two apart is what this series is for.

Source

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