I ran across this spread mentioned in a blog (John Jansen - Seeking Alpha). Anyone know how it is calculated. I’m assuming it speaks to the shape of the belly of the yield curve.
ive never heard of this before but it looks like its calculated as the difference between the 2 yr/5yr spread and the 5 yr/10 year spread. http://seekingalpha.com/article/164281-bond-expert-thursday-outlook for example, in this article, the 2 yr rate is .95%, the 5 Yr rate is 2.31, and the 30 yr rate is 4.05. and the 2yr/5yr/30yr spread given is 38 basis points.