Term Premium · Butterfly · 2s5s10s −9bp — Steepener

The read

Term Premium · Butterfly · 25 Sep 2026

2Y · 5Y · 10Y −9bp

rank · 5y: 77th
2s5s10s slope-neutral: +19bp
10Y: 1.02%

A butterfly sets the middle maturity of three, the belly, against the two wings either side.

Term Premium 2s5s10s butterflies from 27 Sep 2021 to 25 Sep 2026: 2s5s10s currently −9bp, ranging −36bp to +18bp.

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.

Rank

2Y · 5Y · 10Y −9bp: 99th of 1y, 77th of 5y, 76th of 10y, 90th of since 1990. High is a cheap belly against the wings, low is a rich one.

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
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
Level/Slope/Curvature · Level +61bp, Slope +3bp, Curvature 0bp at the 10Y against the five-year average shape · each factor as basis points it adds at the headline maturity, against the five-year average shape

How to read this

What it is

A butterfly sets the middle maturity of three, the belly, against the two wings either side. It measures bend, so a shift that lifts all three legs cancels.

How to read the chart

Twice the belly’s term premium, with each wing taken off, in basis points. The name lists its three maturities, short wing first.

Positive puts the belly cheap against its wings, negative dear. It swings either side of zero and rarely trends.

A belly sitting 10bp under the average of its wings prints a fly of −20bp, because the belly counts twice.

Method

A fly needs all three legs to print, so one missing leg leaves the day blank instead of partial. This belly bends on duration risk, which supply and hedging demand move.

Source

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