Expected Rate Path · Level/Slope/Curvature · 10Y 4.12% — Steepener

The read

Expected Path · Level/Slope/Curvature · 25 Sep 2026

10Y 4.12%

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

Principal components are the few shapes that account for most of how a curve moves.

Expected Rate Path decomposed into 3 components over 27 Sep 2021 to 25 Sep 2026, fit on 6 maturities (1Y, 2Y, 3Y, 5Y, 7Y, 10Y), explaining 100.0% of variance.

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

Angles

Change · +22bp on the month, most at the 2Y (+51bp) · on the month, in basis points; amber rose, blue fell
Spread · 2s10s at −18bp, 46th percentile of five years · box is the middle half, tick the median, dotted line is zero
Butterfly · 2s5s10s at +3bp, 95th percentile of five years · left on the scale is a rich belly, right is a cheap belly
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

How to read this

What it is

Principal components are the few shapes that account for most of how a curve moves. The biggest three are a level shift, a slope tilt and a curvature bend.

How to read the chart

Every line is a score, not a rate. Zero is the average shape over the fit, and the sign says which way it leans.

Level usually carries the bulk of a day. When slope jumps instead, the two ends pulled apart.

Method

The source model has three factors, so these three are its own read back rather than something found in this curve. A fourth component carries zero variance.

Source

Federal Reserve Board · NBER via FRED · fitted zero curve less the term premium · Kim-Wright · level/slope/curvature 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.