Expected Rate Path · Spread · 2s10s −18bp — Steepener

The read

Expected Path · Spread · 25 Sep 2026

2Y–10Y −18bp

rank · 5y: 46th
10Y: 4.12%
2s10s on the month: −29bp

A spread is one horizon’s average expected short rate minus a shorter one’s.

Expected Rate Path 2s10s from 27 Sep 2021 to 25 Sep 2026: 2s10s currently −18bp, ranging between −110bp and +132bp.

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

Rank

2Y–10Y −18bp: 2nd of 1y, 46th of 5y, 23rd of 10y, 25th of since 1990. High is the priced path still rising, low is it falling away.

Angles

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

How to read this

What it is

A spread is one horizon’s average expected short rate minus a shorter one’s. Below zero the nearer horizon is the one pricing the higher rate.

How to read the chart

Drawn through time in basis points, longer leg minus shorter. Below zero, the shorter leg is on the higher rate.

A steeper slope puts the priced fall in short rates further out in time. The sooner it is priced, the flatter this runs.

A longer horizon 40bp below a shorter one prints −40bp, with the fall priced to arrive later.

Method

Both legs come off the same close, so the gap carries no lag of its own. A pair can also move because one leg is scarce, a bond story and not a view on rates.

Source

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