Term Premium · Analogues · 2s10s +49bp — Steepener

The read

Term Premium · Analogues · 25 Sep 2026

2s10s +49bp

10Y: 1.02%
month: +18bp
rank · 5y: 99th

An analogue is the closest match the record holds for today’s shape.

Term Premium on 25 Sep 2026 compared with its closest historical shapes: 30 Mar 2005, 6 Jul 1998, 15 Jun 2007. Curves are shown as deviation from each day's own mean, before each maturity is scaled to its own history.

The extra yield investors demand to hold a long bond instead of rolling over short-term debt, split out at every maturity to 10 years using the Kim-Wright model.

Angles

History · 10Y at or above its five-year median of 0.42% for 232 sessions, 249 of the last 250 at or above · the last year of sessions split by today’s five-year median
Curve · 0.36% at the 1Y rising to a high of 1.02% at the 10Y · level bars, shaded by five-year rank; the headline maturity is outlined
Percentiles · Against five years the 1Y is highest at 99 and the 2Y lowest at 98 · amber above the median of the window, blue below; a dashed cell has less record than its window
Change · +18bp on the month, most at the 5Y (+21bp) · on the month, in basis points; amber rose, blue fell

How to read this

What it is

An analogue is the closest match the record holds for today’s shape. Levels are scaled away before anything is compared, so a match is about form and never height.

How to read the chart

Each curve is plotted as distance to that day’s average, so the axis carries shape, not level.

A close match says the curve has held this shape before, never that it repeats. What happened next sits on each row.

Method

The premium here is modelled and gets revised, so yesterday’s match can shift when a new vintage lands. Matches rank on scaled distance, and two curves can share a shape and nothing else.

Source

Federal Reserve Board via FRED · fitted term premium estimates, daily · Kim-Wright · analogues computed here

Term Premium in detail

25 Sep 2026 · Kim-Wright, Federal Reserve Board via FRED, released in batches so its axis trails Treasury

Curve

Tenor	Term premium	1D	1W	1M	1Y	%ile 5y
1Y	0.36%	0	+3	+11	+29	99
2Y	0.53%	−1	+4	+17	+46	98
3Y	0.62%	−1	+5	+20	+55	99
5Y	0.73%	−1	+6	+21	+59	99
7Y	0.83%	−1	+6	+20	+58	99
10Y	1.02%	0	+6	+18	+54	99

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

Slope

Pair	BP	1W	1M	%ile 5y
1s5s	+37bp	+3	+10	99
2s5s	+20bp	+2	+4	99
5s10s	+29bp	+1	−3	59
2s10s	+49bp	+2	+1	99

long − short, in basis points

Curvature

Fly	BP	1D	1W	1M	%ile 5y
2s5s10s	−9bp	0	+1	+7	77

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

Slope-neutral

Fly	BP	1D	1W	1M	%ile 5y
2s5s10s	+19bp	0	+2	+7	94

the fly with 2s10s regressed out over five years

State

Line	Value	Detail
2s10s	+49bp	10Y above 2Y
Month level	+18bp	mean of 2Y and 10Y, over 31 calendar days
Month slope	+1bp	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 published term premium 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.