Term Premium · Level/Slope/Curvature · 10Y 1.02% — Steepener

The read

Term Premium · Level/Slope/Curvature · 25 Sep 2026

10Y 1.02%

2s10s: +49bp
2s5s10s: −9bp
rank · 5y: 99th

Principal components are the few shapes that account for most of how a curve moves.

Term Premium decomposed into 3 components over 27 Sep 2021 to 25 Sep 2026, fit on 6 maturities (1Y, 2Y, 3Y, 5Y, 7Y, 10Y), explaining 100.0% of variance.

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

Change · +18bp on the month, most at the 5Y (+21bp) · on the month, in basis points; amber rose, blue fell
Spread · 2s10s at +49bp, 99th percentile of five years · box is the middle half, tick the median, dotted line is zero
Butterfly · 2s5s10s at −9bp, 77th percentile of five years · left on the scale is a rich belly, right is a cheap belly
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

How to read this

What it is

Principal components are the few shapes that account for most of how a curve moves. The biggest three are a level shift, a slope tilt and a curvature bend.

How to read the chart

Every line is a score, not a rate. Zero is the average shape over the fit, and the sign says which way it leans.

Level usually carries the bulk of a day. When slope jumps instead, the two ends pulled apart.

Method

The source model has three factors, so these three are its own read back rather than something found in this curve. A fourth component carries zero variance.

Source

Federal Reserve Board · NBER via FRED · fitted term premium estimates, daily · Kim-Wright · level/slope/curvature 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.