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

The read

Term Premium · Spread · 25 Sep 2026

2Y–10Y +49bp

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

A spread is one maturity’s term premium minus a shorter one’s.

Term Premium 2s10s from 27 Sep 2021 to 25 Sep 2026: 2s10s currently +49bp, ranging between −16bp and +50bp.

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–10Y +49bp: 96th of 1y, 99th of 5y, 99th of 10y, 50th of since 1990. High is more compensation demanded further out, low is less.

Angles

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

How to read this

What it is

A spread is one maturity’s term premium minus a shorter one’s. Below zero the shorter maturity is the one carrying the larger premium.

How to read the chart

Drawn through time in basis points, longer leg minus shorter. Below zero, the shorter leg is on the higher rate.

Premium slopes drift gently, since smoothing is built in. Double digits inside a week is a genuine repricing.

A longer maturity 40bp below a shorter one prints −40bp, more compensation demanded nearer in.

Method

Both legs come off the same close, so the gap carries no lag of its own. A pair can also move because one leg is scarce, a bond story and not a view on rates.

Source

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