Forecast of U.S. Treasury Yield Curve Slope
U.S. Treasury Yield Curve Slope Values
Slope of U.S. Treasury Securities Yield Curve.
| Month | Date | Forecast Value | Avg Error |
|---|---|---|---|
| 0 | Nov 2023 | -0.1500 | ±0.0000 |
| 1 | Dec 2023 | -0.184 | ±0.0095 |
| 2 | Jan 2024 | -0.142 | ±0.0137 |
| 3 | Feb 2024 | -0.182 | ±0.0161 |
| 4 | Mar 2024 | -0.160 | ±0.0178 |
| 5 | Apr 2024 | -0.260 | ±0.0192 |
| 6 | May 2024 | -0.216 | ±0.0203 |
| 7 | Jun 2024 | -0.0919 | ±0.0212 |
| 8 | Jul 2024 | 0.110 | ±0.022 |
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Chart of U.S. Treasury Yield Curve Slope with Forecast
Slope of Treasury Yield Curve
Note: Here, the treasury yield curve is defined as the yield versus the square root of the term, not simply the yield versus term (in years). Taking the square root of the term linearizes the curve and, historically, puts the slope between -1 and +1.
U.S. Treasury Securities Yield Curve Slope Historical Values
Slope of Curve: Yield Vs. Square Root of Term
| Date | Historical Value |
|---|---|
| Nov 2018 | 0.1793 |
| Dec 2018 | 0.1181 |
| Jan 2019 | 0.1118 |
| Feb 2019 | 0.1094 |
| Mar 2019 | 0.1015 |
| Apr 2019 | 0.1040 |
| May 2019 | 0.0880 |
| Jun 2019 | 0.0927 |
| Jul 2019 | 0.0988 |
| Aug 2019 | 0.0379 |
| Sep 2019 | 0.0522 |
| Oct 2019 | 0.1086 |
| Nov 2019 | 0.1476 |
| Dec 2019 | 0.1563 |
| Jan 2020 | 0.1437 |
| Feb 2020 | 0.1004 |
| Mar 2020 | 0.2471 |
| Apr 2020 | 0.2389 |
| May 2020 | 0.2653 |
| Jun 2020 | 0.2889 |
| Jul 2020 | 0.2544 |
| Aug 2020 | 0.2717 |
| Sep 2020 | 0.2863 |
| Oct 2020 | 0.3218 |
| Nov 2020 | 0.3376 |
| Dec 2020 | 0.3563 |
| Jan 2021 | 0.4017 |
| Feb 2021 | 0.4620 |
| Mar 2021 | 0.5451 |
| Apr 2021 | 0.5391 |
| May 2021 | 0.5439 |
| Jun 2021 | 0.5010 |
| Jul 2021 | 0.4422 |
| Aug 2021 | 0.4339 |
| Sep 2021 | 0.4429 |
| Oct 2021 | 0.4681 |
| Nov 2021 | 0.4340 |
| Dec 2021 | 0.3899 |
| Jan 2022 | 0.4053 |
| Feb 2022 | 0.3612 |
| Mar 2022 | 0.3354 |
| Apr 2022 | 0.3362 |
| May 2022 | 0.3530 |
| Jun 2022 | 0.2632 |
| Jul 2022 | 0.0985 |
| Aug 2022 | 0.0244 |
| Sep 2022 | 0.0002 |
| Oct 2022 | -0.0289 |
| Nov 2022 | -0.1175 |
| Dec 2022 | -0.1957 |
| Jan 2023 | -0.2302 |
| Feb 2023 | -0.2424 |
| Mar 2023 | -0.2315 |
| Apr 2023 | -0.2627 |
| May 2023 | -0.2878 |
| Jun 2023 | -0.3257 |
| Jul 2023 | -0.3297 |
| Aug 2023 | -0.2610 |
| Sep 2023 | -0.2207 |
| Oct 2023 | -0.1484 |
| Nov 2023 | -0.1500 |
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| December 04, 2023 | |
| Indicator | Rate, % |
|---|---|
| Prime Rate | 8.50 |
| 30 Year Treasury Bond | 4.43 |
| 10 Year Treasury Note | 4.28 |
| 91 Day Treasury Bill | 5.46 |
| Fed Funds | 5.33 |
| SOFR | 5.39 |
| 30 Year Mortgage Rate | 7.22 |