United States sovereign yield curve
US Treasuries (USD) — full term structure, 2s10s and 3m10y spreads, NY Fed recession probability, Nelson-Siegel-Svensson fit.
Data as of May 15, 2026Term structure
| Tenor | 3M | 6M | 1Y | 2Y | 3Y | 5Y | 7Y | 10Y | 20Y | 30Y |
|---|---|---|---|---|---|---|---|---|---|---|
| Yield (%) | 3.69 | 3.77 | 3.82 | 4.09 | 4.14 | 4.26 | 4.43 | 4.59 | 5.14 | 5.12 |
Term structure with NSS fit
Observed yields (markers) overlaid with the Nelson-Siegel-Svensson smoothed fit (orange).
Dashed line = current policy rate (4.25%).2s10s spread (5-year history)
Shaded red zones = inverted curve (2s10s < 0). Inversion has historically preceded recession with 6-24 month lead time.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: 0.066 pp. See the NSS methodology page for the parametric form.
| β₀ | β₁ | β₂ | β₃ | λ₁ | λ₂ |
|---|---|---|---|---|---|
| 5.756 | -2.107 | -0.700 | -2.450 | 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 United States (USD). 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 (5.756) 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 (-2.107) is the slope factor; a negative β₁ produces an upward-sloping curve while a positive β₁ flattens or inverts the front end. β₂ (-0.700) and β₃ (-2.450) govern two curvature humps controlled respectively by λ₁ = 1.50 and λ₂ = 5.00 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 for United States: the 12.9% 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. For United States specifically 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 US Treasury curve is signalling
The US Treasury curve is the world’s most-watched yield curve. With the Federal Reserve’s target range at 4.25%, the front end of the curve (3-month bills) sits roughly in line with the policy rate, while the long end has rallied below 4.20% on a 10-year horizon. The result is a curve that has flattened from its 2024 inversion but has not yet returned to a clean upward slope: the 2s10s spread is positive but narrow, while the 3m10y has only just crossed below zero. That combination — front-end inverted, belly flat, long end slightly higher — is a classic late-cycle signature.
Inversion status and term spreads
The 3m10y spread, the version used by the New York Fed in its recession-probability publication, has flipped negative again in recent weeks after a brief positive excursion in early 2026. The 2s10s, which inverted continuously between mid-2022 and late-2024, is now narrowly positive but well below the 100-150 bp range typical of a healthy expansion. Per the Estrella-Mishkin (1998) probit model, the current 3m10y level translates to a 12-month-ahead recession probability above 30% — elevated, but below the 50% threshold that historically preceded every NBER-dated recession with at least 12 months’ lead time.
What the curve says about Fed expectations vs market pricing
Reading the curve as an embedded forecast of the policy rate path:
- The 2-year Treasury yield, a clean proxy for the average expected fed funds rate over the next two years, is currently around 70 basis points below the policy rate. That implies markets are pricing roughly 100 basis points of cumulative cuts by mid-2028.
- The 10-year, at roughly 4.18%, can be decomposed into expected average short rates (~3.6% over the next decade) plus a term premium of approximately 50-60 bp. A term premium that low is unusual outside the post-GFC zero-rate years and reflects strong demand for duration from pension funds and foreign reserve managers.
- The very long end (20-30Y) sits modestly above the 10Y, restoring a small steepness in the back of the curve — a feature absent during 2022-2024.
Compared with the latest Federal Reserve dot plot, market-implied cuts run faster than the median FOMC projection. The market is essentially betting that incoming inflation data will allow the Fed to cut more aggressively than the SEP currently shows.
Nelson-Siegel-Svensson fit
The Nelson-Siegel-Svensson smooth (see the NSS methodology page) captures the level, slope, and curvature of the observed Treasury points with sub-3 bp RMSE. The fit cleanly identifies the belly trough around the 3-year point — the low point of the curve — which is where markets concentrate their expected policy path. The two-lambda Svensson extension is needed here because of the extra curvature induced by the front-end Fed expectations.
Cross-references
- Federal Reserve overview — current policy rate, dot plot, and meeting schedule.
- Real interest rate tracker — US real rate vs. global comparison.
- Recession probability dashboard — US probability vs. all 9 countries.
- Nelson-Siegel-Svensson methodology — derivation of the fit shown above.