US 5-Year Treasury Yield

On an ordinary day over the last month of trading, US5Y has moved about 1.19%, making it one of the most volatile of the rates Kinzan tracks (their median is 0.71%).

Measured against its own habit, today is a +0.7σ day: the kind of session it has most weeks.

It sits in the upper half of its 24-hour range of 4.787–4.814, measured on hourly closes.

The New York block (13:00–22:00 UTC) did most of the work — roughly 100% of the movement over the last 24 hours.

Over the last 60 sessions of daily returns, it has moved most closely with US10Y (+0.96, a very strong relationship), and most inversely to ZN (−0.97).

Its last close is at the 65th percentile of its own last 83 sessions, and its 20-day volatility at the 100th, near the top of its range for the period.

Market read: The 5-year Treasury yield is climbing, reflecting a risk-off sentiment as it nears its daily high.

What it is

The annual return on a five-year United States Treasury note held to maturity, in percent. Traders call this part of the curve the belly, sitting between the short maturities that track current policy almost mechanically and the long end that prices decades of inflation risk. It moves inversely to the note’s price, and Kinzan shows its daily change in basis points.

What drives it

Five years is roughly the span of a complete interest-rate cycle, which gives this maturity its particular job: it is where the market prices not the next decision but the whole arc of them. A repricing of where rates top out, or of how quickly they come back down afterwards, shows up here before it shows up anywhere else on the curve. That makes it unusually reactive to shifts in the expected path rather than to the level of anything today.

It is also the pivot of most curve positioning. Traders express views on the shape of the curve by pairing this maturity against the two-year and the thirty-year, so flows here often reflect relative-value trades rather than an outright opinion on direction. The practical consequence is that the belly can move on its own for reasons that have nothing to do with the economic outlook, simply because a widely held spread position is being built or unwound.

How it trades through the day

The cash note trades through the Asian, European and US sessions, and the futures on it trade nearly continuously. Its sharpest moves come on inflation prints and on any communication that changes the expected destination of policy, which makes Federal Reserve projections and the dot plot disproportionately important here relative to their effect at either end of the curve.

What it tends to move with

It sits between the short end and the ten-year and usually moves with both, but its outperformance or underperformance against them is the information. When the belly cheapens relative to its neighbours the market is typically raising its estimate of the peak rate; when it richens, the opposite. Its direct relationship with risk assets is weaker than the ten-year’s, because less of the world’s discounting references it.