Nominal Yields · Carry · 10Y carry 0.61 pts — Steepener

The read

Nominal · Carry · 2 Oct 2026

10Y carry 0.61 pts

over SOFR

+136bp

financing rank · 5y

83rd

10Y vol

84bp

Carry is the return a position hands you for doing nothing but holding it.

Nominal Yields carry and roll-down over 6m on 2 Oct 2026: each maturity's yield would have to move by this much to break even, widest cushion 1Y at +38bp, thinnest 30Y at +2bp.

The par yield curve across every Treasury maturity, from 1-month bills to 30-year bonds: what people mean by the Treasury yield curve.

Angles

• Volatility · 10Y moved +4bp today against a typical day of 5.3bp · the last 21 sessions placed by size, never by date; the band is one typical day
• Forwards · 5y5y forward at 5.57%, +29bp above the 10Y spot · each forward as a bar from the 1Y spot; the far rung against the 10Y is the reading
• Total Return · 1M −3.33% · 1Y −4.92% · 5Y −12.88% holding the 10Y · a par bond rolled and marked; the bars stay grey because a yield rise is a price loss
• Curve · 4.04% at the 1M rising to a high of 5.67% at the 20Y · level bars, shaded by five-year rank; the headline maturity is outlined

How to read this

What it is

Carry is the return a position hands you for doing nothing but holding it. Roll-down is the extra it picks up as the bond ages toward shorter maturities, and together they are the cushion.

How to read the chart

A 10Y sitting at +8 has eight basis points of cushion, so its yield can rise that far before the trade stops paying.

Positive means the position pays while you hold it; below zero it costs you. Forwards decide which, not steepness alone.

On a one-year hold a 5Y becomes a 4Y; if the 4Y sits 15bp lower, that 15bp is the roll-down.

Method

One bootstrap gives both legs, the forward rate less the spot it rolls down to. Cushions do not rank against each other, since duration turns one basis point at 30Y into far more money than at 2Y.

Source

US Treasury · daily par yield curve · carry computed here

Nominal Yields in detail

2 Oct 2026 · par yields, Treasury, around 3:30pm ET

Curve

tenors 1, 5, 21, 252 trading days; anchors 1, 7, 30, 365 calendar

Slope

long − short, in basis points

Curvature

2 × belly − wings, 50-50 weighted, not duration-neutral

Slope-neutral

the fly with 2s10s regressed out over five years

Carry, in money

cushion × DV01, in points per 100 face. Not a recommendation

Priced ahead

forward par yields off a discount curve bootstrapped here to 30.0y; the bp is the distance from today's par at the same maturity; each cell carries its desk code

Priced for today

what that day’s closes priced for today, off its own bootstrap; the miss is today’s close less the price

Zero rates

zero-coupon rates off the same bootstrap, against the par yield at the same maturity

State

Near-term forward

the 3m rate priced six quarters out, minus 3m today

Against financing

the yield minus SOFR, SOFR restated on a 365-day basis

This inversion

2s10s episodes of 20 sessions or more, since 2 Jan 1990

Volatility

realised standard deviation of daily changes, annualised

Held, not watched

a rolling 10Y par bond, coupon and price. Not a fund

Anchors

Spreads, butterflies, zero rates and forwards are derived here from the published yield curve. They are not published by any source. A dash means the value could not be computed or was too thin to rank, never zero.

Nominal Yields, drawn other ways

• Nominal Yields · Curve
• Nominal Yields · History
• Nominal Yields · Compare
• Nominal Yields · Change
• Nominal Yields · Moves
• Nominal Yields · Percentiles
• Nominal Yields · Rank
• Nominal Yields · Volatility
• Nominal Yields · Total Return
• Nominal Yields · Spread
• Nominal Yields · Butterfly
• Nominal Yields · Inversion
• Nominal Yields · Regime
• Nominal Yields · Phase
• Nominal Yields · Zero Curve
• Nominal Yields · Forwards
• Nominal Yields · Fitted Curve
• Nominal Yields · Policy Path
• Nominal Yields · SEP Dots
• Nominal Yields · Forward History
• Nominal Yields · Attribution
• Nominal Yields · Recession Odds
• Nominal Yields · Level/Slope/Curvature
• Nominal Yields · Rich/Cheap
• Nominal Yields · Analogues

Rates

• Nominal Yields
• Real (TIPS)
• Breakeven Inflation
• Term Premium
• Expected Rate Path
• Treasury Bills

Pages

• US Treasury yield curve
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