Nominal Yields · Regime · Bear Steepener on the month — Steepener

The read

Nominal · Regime · 2 Oct 2026

Bear Steepener on the month

on the month: +49bp
2s10s on the month: +5bp
10Y: 5.28%

Bull and bear say which way the curve went; steepener and flattener say which end moved more.

Nominal Yields regime, 4 Oct 2021 to 2 Oct 2026: currently a bear steepener on a 1m lookback, with Δ level +47bp and Δ slope +5bp.

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

Change · +49bp on the month, most at the 5Y (+52bp) · on the month, in basis points; amber rose, blue fell
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
Phase · 0.9% of days since 1990 sat within 25bp of today on both level and slope; here for 8 sessions · a day counts when both the 10Y and 2s10s sat within 25bp of today’s; the bar is that share of the record
History · 10Y at or above its five-year median of 4.14% for 145 sessions, 194 of the last 250 at or above · the last year of sessions split by today’s five-year median

How to read this

What it is

Bull and bear say which way the curve went; steepener and flattener say which end moved more. Four combinations, one per session, and quiet days are left unnamed.

How to read the chart

Under the chart, a band names each day’s quadrant. Behind it run the two things that decided it, change in level and in slope.

Bull says the yield fell over the lookback and bear that it rose; the second word says which end moved further.

A 10Y down 15bp with 2s10s 8bp wider is a bull steepener: rates fell, and the 2Y fell further.

Method

Bull steepeners have clustered ahead of past easing cycles and bear flatteners ahead of tightening ones. Under a two basis point move either way the day is left unclassified rather than forced.

Source

US Treasury · NBER · daily par yield curve · regime computed here

Nominal Yields in detail

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

Curve

Tenor	Yield	1D	1W	1M	1Y	%ile 5y
SOFR (1 Oct)	3.87%	−3	−1	+21	−33
EFFR (1 Oct)	3.88%	0	0	+25	−21
IORB (1 Oct)	3.90%	0	0	+25	−25
ON RRP (1 Oct)	3.75%	0	0	+25	−25
1M	4.04%	−2	0	+21	−16	43
1.5M	4.09%	−1	−5	+22	−10	—
2M	4.11%	−2	−9	+22	−4	43
3M	4.19%	+2	−5	+27	+17	43
4M	4.26%	0	−6	+24	+28	—
6M	4.27%	0	−6	+27	+44	49
1Y	4.46%	+2	−4	+30	+78	63
2Y	4.83%	+5	+2	+44	+123	89
3Y	4.96%	+5	+2	+51	+135	99
5Y	5.06%	+5	+8	+52	+132	99
7Y	5.17%	+5	+11	+51	+124	99
10Y	5.28%	+4	+11	+49	+112	99
20Y	5.67%	+3	+13	+40	+96	99
30Y	5.63%	+2	+14	+36	+90	99

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

Slope

Pair	BP	1D	1W	1M	%ile 5y
3m2y	+64bp	+3	+7	+17	87
1s5s	+60bp	+3	+12	+22	86
2s5s	+23bp	0	+6	+8	87
5s10s	+22bp	−1	+3	−3	64
2s10s	+45bp	−1	+9	+5	69
3m10y	+109bp	+2	+16	+22	84
5s30s	+57bp	−3	+6	−16	64
10s30s	+35bp	−2	+3	−13	65

long − short, in basis points

Curvature

Fly	BP	1D	1W	1M	%ile 5y
2s5s10s	+1bp	+1	+3	+11	82
5s10s30s	−13bp	+1	0	+10	68

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

Slope-neutral

Fly	BP	1D	1W	1M	%ile 5y
2s5s10s	+11bp	+1	+1	+10	82
5s10s30s	+1bp	+1	−1	+10	34

the fly with 2s10s regressed out over five years

Carry, in money

Tenor	PTS	CUSHION BP	ROLL BP	FUND BP
1Y	0.37	+38	+19	+19
2Y	0.67	+36	+17	+19
3Y	0.52	+19	+5	+14
5Y	0.50	+11	+2	+9
7Y	0.58	+10	+3	+7
10Y	0.61	+8	+2	+6
20Y	0.46	+4	0	+4
30Y	0.26	+2	−1	+2

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

Priced ahead

Maturity	Today	in 6m (2 Apr 2027)	in 1y (2 Oct 2027)	in 2y (2 Oct 2028)	in 3y (2 Oct 2029)	in 5y (2 Oct 2031)
6M	4.27% 6M	4.65% (+38bp) 6m6m	5.10% (+83bp) 1y6m	5.26% (+99bp) 2y6m	5.22% (+95bp) 3y6m	5.41% (+114bp) 5y6m
1Y	4.46% 1Y	4.87% (+41bp) 6m1y	5.22% (+76bp) 1y1y	5.24% (+78bp) 2y1y	5.21% (+75bp) 3y1y	5.45% (+99bp) 5y1y
2Y	4.83% 2Y	5.08% (+25bp) 6m2y	5.23% (+40bp) 1y2y	5.22% (+39bp) 2y2y	5.23% (+40bp) 3y2y	5.50% (+67bp) 5y2y
3Y	4.96% 3Y	5.13% (+17bp) 6m3y	5.22% (+26bp) 1y3y	5.23% (+27bp) 2y3y	5.30% (+34bp) 3y3y	5.52% (+56bp) 5y3y
5Y	5.06% 5Y	5.18% (+12bp) 6m5y	5.27% (+21bp) 1y5y	5.33% (+27bp) 2y5y	5.39% (+33bp) 3y5y	5.57% (+51bp) 5y5y
7Y	5.17% 7Y	5.27% (+10bp) 6m7y	5.34% (+17bp) 1y7y	5.39% (+22bp) 2y7y	5.46% (+29bp) 3y7y	5.69% (+52bp) 5y7y
10Y	5.28% 10Y	5.37% (+9bp) 6m10y	5.44% (+16bp) 1y10y	5.53% (+25bp) 2y10y	5.63% (+35bp) 3y10y	5.89% (+61bp) 5y10y
20Y	5.67% 20Y	5.73% (+6bp) 6m20y	5.77% (+10bp) 1y20y	5.81% (+14bp) 2y20y	5.85% (+18bp) 3y20y	5.94% (+27bp) 5y20y
30Y	5.63% 30Y

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

Maturity	6m ago (2 Apr 2026)	1y ago (2 Oct 2025)	2y ago (2 Oct 2024)	3y ago (2 Oct 2023)	5y ago (1 Oct 2021)
6M	3.64% (+63bp) 6m6m	3.44% (+83bp) 1y6m	3.27% (+100bp) 2y6m	4.36% (−9bp) 3y6m	2.00% (+227bp) 5y6m
1Y	3.74% (+72bp) 6m1y	3.48% (+98bp) 1y1y	3.35% (+111bp) 2y1y	4.37% (+9bp) 3y1y	2.07% (+239bp) 5y1y
2Y	3.83% (+100bp) 6m2y	3.53% (+130bp) 1y2y	3.45% (+138bp) 2y2y	4.45% (+38bp) 3y2y	2.13% (+270bp) 5y2y
3Y	3.87% (+109bp) 6m3y	3.60% (+136bp) 1y3y	3.49% (+147bp) 2y3y	4.55% (+41bp) 3y3y	2.11% (+285bp) 5y3y
5Y	4.01% (+105bp) 6m5y	3.79% (+127bp) 1y5y	3.66% (+140bp) 2y5y	4.60% (+46bp) 3y5y	2.08% (+298bp) 5y5y
7Y	4.19% (+98bp) 6m7y	4.00% (+117bp) 1y7y	3.78% (+139bp) 2y7y	4.59% (+58bp) 3y7y	2.16% (+301bp) 5y7y
10Y	4.38% (+90bp) 6m10y	4.24% (+104bp) 1y10y	3.96% (+132bp) 2y10y	4.73% (+55bp) 3y10y	2.31% (+297bp) 5y10y
20Y	4.92% (+75bp) 6m20y	4.75% (+92bp) 1y20y	4.27% (+140bp) 2y20y	4.99% (+68bp) 3y20y	2.39% (+328bp) 5y20y

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

Zero rates

Rate	Value	Against
2Y zero	4.84%	+1bp over par
10Y zero	5.33%	+5bp over par
30Y zero	5.70%	+7bp over par

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

State

Line	Value	Detail
Inverted	0 of 81	pairs 2× apart in maturity
Deepest	—	nothing counted is inverted
Uncounted	20Y/30Y −4bp	inverted, too close in maturity to count
2s10s	not inverted
Month	Bear Steepener	Δ level +47bp · Δ slope +5bp over a month

Near-term forward

Line	Value	Detail
Six quarters out (25 Sep)	+90bp	no easing priced inside eighteen months
Rank · 5y	86th

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

Against financing

Line	Value	Detail
Two-year note (SOFR 1 Oct)	+91bp
Ten-year note (SOFR 1 Oct)	+136bp
Rank · 5y	83rd

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

This inversion

Line	Value	Detail
Last episode	537 sessions	6 Jul 2022 → 26 Aug 2024
Deepest (3 Jul 2023)	−108bp
Area	25,941	basis points × sessions below zero
Un-inverted (27 Aug 2024)	766 days ago	calendar days, not sessions
Precedent	191d	median un-inversion to recession, 95 to 286, n=2. Not a forecast

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

Volatility

Line	Value	Detail
10Y vol	84bp	annualised, 21 sessions
Rank · 5y	41st
Shape share	0.70	2s10s vol ÷ 10Y vol

realised standard deviation of daily changes, annualised

Held, not watched

Line	Value	Detail
1y	−4.9%
5y	−12.9%	not annualised
Worst fall (4 Aug 2020)	−27.1%	peak to trough, bottoming 19 Oct 2023
Since then	−19.4%

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

Anchors

Anchor	Value	1D	1W	1M	1Y	Detail
SOFR (1 Oct)	3.87%	−3	−1	+21	−33
EFFR (1 Oct)	3.88%	0	0	+25	−21
IORB (1 Oct)	3.90%	0	0	+25	−25
ON RRP (1 Oct)	3.75%	0	0	+25	−25
SOFR−BGCR (1 Oct)	+3bp	+1	+1	0	−1	what bilateral cleared repo adds to the broad GC rate inside SOFR
NBER (dated to 1 Sep 2026)	not in a dated recession					NBER dates turning points about a year late

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.