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

The read

Expected Path · Curve · 25 Sep 2026

10Y 4.12%

2s10s: −18bp
rank · 5y: 96th
2s5s10s: +3bp

This curve is where short rates are priced to average out, at each horizon through ten years.

Expected Rate Path on 25 Sep 2026: 6 maturities published, 4.22% at the short end falling to 4.12% at the long end, with a high of 4.30% at the 2Y.

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

Rank

Level and slope: 10Y 99th of the year; 2s10s 2nd of the year. Level: high is a higher short rate priced; slope: high is the priced path still rising, low is it falling away.

Level·10Y4.12%Percentilehigh is a higher short rate priced

Slope·2s10s−18bpPercentilehigh is the priced path still rising, low is it falling away

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
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
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

This curve is where short rates are priced to average out, at each horizon through ten years. Every dot averages the whole stretch, not just the rate its last year carries.

How to read the chart

Each dot averages the short rate priced across that whole horizon, not the rate its final year alone carries.

This curve carries no compensation for time, so an upward slope is a call on higher short rates, not a default shape.

The 10Y sitting 20bp above the 5Y prices short rates higher across the later years than the nearer ones.

Method

Derived by subtracting the premium from the fitted zero rate, so it inherits the model and its lag. This is what the split was for. Also a zero-coupon rate, so do not subtract it from a par yield.

Source

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

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.