Switzerland sovereign yield curve
Confederation bonds (CHF) — full term structure, 2s10s and 3m10y spreads, NY Fed recession probability, Nelson-Siegel-Svensson fit.
Data as of June 30, 2026Term structure
| Tenor | 3M | 6M | 1Y | 2Y | 3Y | 5Y | 7Y | 10Y | 20Y | 30Y |
|---|---|---|---|---|---|---|---|---|---|---|
| Yield (%) | 0.05 | 0.10 | 0.18 | 0.32 | 0.45 | 0.62 | 0.78 | 0.92 | 1.18 | 1.25 |
Term structure with NSS fit
Observed yields (markers) overlaid with the Nelson-Siegel-Svensson smoothed fit (orange).
Dashed line = current policy rate (0.25%).Recession probability — 12 months ahead
Estrella-Mishkin probit (NY Fed): P(recession) = Φ(-0.5333 - 0.6629 × spread3m10y).
Nelson-Siegel-Svensson parameters
Fit residual RMSE: 0.014 pp. See the NSS methodology page for the parametric form.
| β₀ | β₁ | β₂ | β₃ | λ₁ | λ₂ |
|---|---|---|---|---|---|
| 1.529 | -1.500 | -0.869 | -0.869 | 1.50 | 5.00 |
How to read this country's curve
Look first at the 10-year yield in the headline tiles above — that is the benchmark long-term borrowing cost for this country. Then compare it to the policy rate set by the central bank. If the 10-year is meaningfully above the policy rate, investors expect rates to stay supportive of growth; if it sits below, the market is pricing rate cuts ahead.
Next, check the 2s10s and 3m10y spread tiles. Green numbers mean the curve is sloping up in the normal way (longer bonds yield more). Red numbers mean the curve is inverted — long bonds yield less than short bonds, which historically precedes a slowdown. The deeper the inversion, the stronger the warning signal, although the lag between inversion and recession typically runs 12-24 months.
Finally, the recession probability at the top combines the 3m10y spread with the NY Fed's statistical model. A reading above 30% is the conventional caution threshold; above 50% historically meant a recession was the base case within a year. For non-US countries this is a useful comparative signal but the exact level should be read with care.
Interpreting the NSS parameters for this country
The four estimated betas decompose the curve into orthogonal factors. β₀ is the long-run level — the asymptotic yield as maturity goes to infinity, interpretable as the market's terminal nominal anchor (steady-state real rate plus expected inflation). β₁ is the slope factor; a negative β₁ produces an upward-sloping curve while a positive β₁ flattens or inverts the front end. β₂ and β₃ govern two curvature humps controlled respectively by λ₁ and λ₂ years — the maturities at which each curvature factor peaks. Diebold-Li (2006) show β₀+β₁ converges to the instantaneous short rate and β₀ to the consol yield, providing direct factor-model intuition.
On the recession probability: the reading uses the Estrella-Mishkin (1998) coefficients calibrated on US post-war NBER data. For developed-market peers (Eurozone, UK, Canada, Australia, Switzerland) the cross-country mapping is broadly defensible, but the absolute level is indicative, not literal — local probit re-estimation (Moneta 2005 for the euro area; Chinn-Kucko 2015 for OECD comparators) typically yields slightly weaker, but still significant, predictive coefficients. The reading is best treated as a relative-rank signal across our nine-country set rather than an unconditional probability.
A final caveat: the spread input embeds both an expected-policy component and a term-premium component. When the ACM term premium is compressed by structural demand for duration (LDI flows, central-bank balance-sheet residuals, foreign reserve recycling), an inverted curve can flag elevated probability without indicating that aggressive easing is priced. Cross-checking the model against survey-based policy expectations and against the country's own forward OIS curve disciplines the signal.
What the Confederation curve is signalling
Switzerland is the lowest-yielding curve in our universe outside of Japan. With the Swiss National Bank’s policy rate at 0.25% and headline inflation comfortably inside the SNB’s 0-2% range, Confederation yields are: 3-month at 0.05%, 2-year at 0.32%, 10-year at 0.92%, and 30-year at 1.25%. The curve is gently upward-sloping with a modest but positive 2s10s.
Inversion status and term spreads
Both 2s10s and 3m10y are positive, putting the Estrella-Mishkin recession probability at the low end of our cross-country distribution. The Swiss curve has not been meaningfully inverted at any point in this cycle — the SNB’s measured response to the 2022 inflation shock kept policy rates from approaching the levels that would have inverted the curve.
What the curve says about SNB expectations vs market pricing
The Confederation curve embeds:
- Markets price the SNB policy rate as roughly stable around 0.25% over the next 12-18 months, with a small probability of further easing back toward zero if franc strength or imported deflation re-emerges.
- The 5-year point at 0.62% implies an average expected policy rate of around 0.4-0.5% over five years — consistent with the SNB’s preference for a structurally low rate to manage CHF strength.
- The 30-year at 1.25% reflects a small term premium and persistently strong demand for long-duration CHF assets from Swiss pension funds.
Nelson-Siegel-Svensson fit
The Swiss curve is one of the cleanest NSS fits in our coverage: the level factor sits near 1.5%, the slope factor is strongly negative (reflecting the very low front end), and curvature is modest. Switzerland is a useful test case for NSS because its low yields and small market size make non-parametric methods unstable — exactly where a parametric model with strong priors on shape adds value. See the NSS methodology page.
Cross-references
- Swiss National Bank overview — policy rate, FX reserves, monetary policy assessment.
- Real interest rate tracker — Switzerland real rate.
- Recession probability dashboard — Switzerland in cross-country context.
- Nelson-Siegel-Svensson methodology.