Term Premium · Change · 10Y 1.02% — Steepener

The read

Term Premium · Change · 25 Sep 2026

on the month +18bp

10Y: 1.02%
2s10s on the month: +1bp
rank · 5y: 99th

Change subtracts an earlier term premium from a later one and prints the gap in basis points.

Term Premium change over one day to 25 Sep 2026: 6 maturities moved between −1bp and 0bp, with 2Y and 10Y averaging −1bp.

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

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
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
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
Spread · 2s10s at +49bp, 99th percentile of five years · box is the middle half, tick the median, dotted line is zero

How to read this

What it is

Change subtracts an earlier term premium from a later one and prints the gap in basis points. Whichever window you set, the arithmetic underneath is that one subtraction.

How to read the chart

Above the zero rule the term premium rose over your chosen window, below it fell. The scale is basis points, not percent.

One maturity moving alone reprices that stretch by itself. Most days shift a handful of basis points; twenty is a lot.

Set Since to one day and a maturity closing 12bp higher prints +12; set it to a month and the same day can print −24.

Method

What rose is the compensation demanded for holding duration, not the priced path. Some of the movement is revision, because this series is modelled rather than traded.

Source

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