Real (TIPS) · Attribution · 2 Oct 2026
on the month +47bp
Attribution breaks a maturity’s move into real yields and breakevens.
Nominal Yields decomposed over a day to 2 Oct 2026: the 10Y moved +4bp, +4bp of it real (tips) and 0bp breakeven inflation. nominal = real + breakeven.
TIPS real yields: the return Treasury bonds pay above inflation once their inflation-linked principal is stripped out.
Attribution breaks a maturity’s move into real yields and breakevens. Both legs print, and the pair adds back to the move itself.
Every mark is a move at one maturity, in bp. The pale one is the whole of it, the coloured pair the legs that add back.
A leg carrying nearly the whole move names what repriced. Legs pulling opposite ways leave a quiet total over loud parts.
A 10bp move splitting 7bp real yield and 3bp breakeven says real rates carried it.
Nominal, Real and Breakevens all open this one split. The breakeven leg mixes priced inflation with what protection costs, so movement there need not be inflation repricing.
US Treasury · daily TIPS par yield curve · attribution computed here
2 Oct 2026 · real par yields, Treasury, around 3:30pm ET
| Tenor | Real yield | 1D | 1W | 1M | 1Y | %ile 5y |
|---|---|---|---|---|---|---|
| 5Y | 2.69% | +4 | +5 | +50 | +137 | 99 |
| 7Y | 2.80% | +4 | +7 | +49 | +125 | 99 |
| 10Y | 2.92% | +4 | +9 | +47 | +112 | 99 |
| 20Y | 3.19% | +3 | +11 | +41 | +94 | 100 |
| 30Y | 3.34% | +3 | +12 | +36 | +85 | 100 |
tenors 1, 5, 21, 252 trading days; anchors 1, 7, 30, 365 calendar
| Pair | BP | 1D | 1W | 1M | %ile 5y |
|---|---|---|---|---|---|
| 5s10s | +23bp | 0 | +4 | −3 | 52 |
| 5s30s | +65bp | −1 | +7 | −14 | 54 |
| 10s30s | +42bp | −1 | +3 | −11 | 58 |
long − short, in basis points
| Fly | BP | 1D | 1W | 1M | %ile 5y |
|---|---|---|---|---|---|
| 5s10s30s | −19bp | +1 | +1 | +8 | 41 |
2 × belly − wings, 50-50 weighted, not duration-neutral
| Fly | BP | 1D | 1W | 1M | %ile 5y |
|---|---|---|---|---|---|
| 5s10s30s | −4bp | +1 | 0 | +10 | 30 |
the fly with 5s30s regressed out over five years
| Line | Value | Detail |
|---|---|---|
| Inverted | 0 of 7 | pairs 2× apart in maturity |
| Deepest | — | nothing counted is inverted |
| Uncounted | — | no inversion between neighbours |
| 5s30s | not inverted | |
| Month | Bear Flattener | Δ level +44bp · Δ slope −15bp over a month |
| Line | Value | Detail |
|---|---|---|
| Last episode | 42 sessions | 11 Aug 2023 → 11 Oct 2023 |
| Deepest (25 Aug 2023) | −20bp | |
| Area | 433 | basis points × sessions below zero |
| Un-inverted (12 Oct 2023) | 1086 days ago | calendar days, not sessions |
5s30s episodes of 20 sessions or more, since 22 Feb 2010
| Line | Value | Detail |
|---|---|---|
| 10Y vol | 83bp | annualised, 21 sessions |
| Rank · 5y | 56th | |
| Shape share | 0.70 | 5s30s vol ÷ 10Y vol |
realised standard deviation of daily changes, annualised
| Line | Value | Detail |
|---|---|---|
| 1y | −8.0% | |
| 5y | −25.8% | not annualised |
| Worst fall (3 Aug 2021) | −29.7% | peak to trough, bottoming 25 Oct 2023 |
| Since then | −28.2% |
a rolling 10Y par bond, coupon and price. Not a fund
| 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 published real 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.