Yield curve 10-year – 3-month
Long vs short rates (3 months). Interest rates and cycle.
Updated
What is it?
The same idea, comparing 10 years with 3 months. It is the version the New York Fed uses.
Spread between the 10-year yield and the 3-month bill. It is the curve the New York Fed uses in its recession model; its inversion has preceded almost every recession since 1960.
Why does it matter?
Its inversion has preceded almost every US recession since 1960.
When should it be a concern?
It is a concern when the short term pays more than the long term: a classic pre-recession signal. Crisis Monitor turns each reading into a score from 0 to 100 using these bands:
| Situation | Value | What does it mean? |
|---|---|---|
| Calm | ≥ 1.00% | Score 0: no stress |
| Watch | ≤ 0.40% | Score 33: starts to draw attention |
| Stress | ≤ 0.00% | Score 66: risk zone |
| Extreme | ≤ -1.00% | Score 100: like in the worst crises |
Between one band and the next, the score is interpolated.
Yield curve (10Y-3M) in past crises
Since January 1990, its weekly low was -1.89% (May 2023) and its high was 3.85% (May 2004). The typical level (the median) is 1.47%.
| Crisis | At the start | Low during the crisis |
|---|---|---|
| 1990-91 recession | 0.56% | 0.56% (Jul 1990) |
| Russia and LTCM 1998 | 0.33% | -0.02% (Sep 1998) |
| Dot-com bubble and 2001 recession | 0.53% | -0.83% (Dec 2000) |
| Global Financial Crisis 2007-09 | 0.58% | 0.43% (Oct 2007) |
| European debt crisis 2011 | 3.30% | 1.72% (Sep 2011) |
| 2015-16 market scare | 2.22% | 1.58% (Feb 2016) |
| Q4 2018 sell-off | 0.82% | 0.40% (Dec 2018) |
| COVID panic 2020 | 0.02% | -0.15% (Feb 2020) |
| 2022 bear market | 1.47% | -0.90% (Dec 2022) |
Weekly data. Crises that do not appear predate the series.
How does Crisis Monitor use it?
- Area: Yield curve and cycle (20% of the index). What the bond market expects from the economy. It often warns months before a recession.
- When does it move? Usually warns early.
- Data frequency: daily.
- Quick alarm: No.
The index combines 17 indicators. See the methodology to learn how it is calculated.
Data source
FRED, Federal Reserve Bank of St. Louis (T10Y3M). Data may arrive late and does not constitute financial advice.
Frequently asked questions
How does it differ from the 10Y-2Y curve?
It compares the 10-year bond with the 3-month bill, which closely tracks Fed rates. It is the curve the New York Fed uses in its recession probability model.
How much time passes between the inversion and the recession?
Historically, between several months and more than a year. That is why it is a leading indicator: it warns early, but does not say exactly when.