Term Premium · Attribution · on the month +18bp — Steepener

The read

Term Premium · Attribution · 25 Sep 2026

on the month +18bp

10Y: 1.02%
2s10s on the month: +1bp
2s10s: +49bp

Attribution splits a move into the term premium leg and the expected path leg.

Fitted zero decomposed over a day to 25 Sep 2026: the 10Y moved −1bp, 0bp of it expected rate path and 0bp term premium. fitted zero = expected path + term premium.

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

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
Change · +18bp on the month, most at the 5Y (+21bp) · on the month, in basis points; amber rose, blue fell
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
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

How to read this

What it is

Attribution splits a move into the term premium leg and the expected path leg. The two add back exactly, so nothing in the move goes unaccounted.

How to read the chart

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 premium and 3bp path says compensation carried it.

Method

Both rates open this one split. A model made it, and Kim-Wright is one estimate among several, re-fitted and revised. Treat a sudden jump as a revision first.

Source

Federal Reserve Board via FRED · fitted term premium estimates, daily · Kim-Wright · attribution 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.