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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 Oct 2018 0.1902 ±0.0000
1 Nov 2018 0.203 ±0.0095
2 Dec 2018 0.190 ±0.0137
3 Jan 2019 0.162 ±0.0161
4 Feb 2019 0.149 ±0.0178
5 Mar 2019 0.141 ±0.0192
6 Apr 2019 0.140 ±0.0203

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Chart of U.S. Treasury Yield Curve Slope with Forecast

Slope of Treasury Yield Curve

Chart of Slope of U.S. Treasury Yield Curve with Predictions.

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
Oct 2013 0.8401
Nov 2013 0.8706
Dec 2013 0.8970
Jan 2014 0.8708
Feb 2014 0.8409
Mar 2014 0.8275
Apr 2014 0.8095
May 2014 0.7748
Jun 2014 0.7791
Jul 2014 0.7561
Aug 2014 0.7241
Sep 2014 0.7454
Oct 2014 0.6866
Nov 2014 0.6791
Dec 2014 0.6144
Jan 2015 0.5310
Feb 2015 0.5573
Mar 2015 0.5674
Apr 2015 0.5612
May 2015 0.6469
Jun 2015 0.6793
Jul 2015 0.6631
Aug 2015 0.5947
Sep 2015 0.6195
Oct 2015 0.6120
Nov 2015 0.6046
Dec 2015 0.5551
Jan 2016 0.4759
Feb 2016 0.4768
Mar 2016 0.4790
Apr 2016 0.4858
May 2016 0.4766
Jun 2016 0.4387
Jul 2016 0.3907
Aug 2016 0.3927
Sep 2016 0.4147
Oct 2016 0.4403
Nov 2016 0.5047
Dec 2016 0.5479
Jan 2017 0.5283
Feb 2017 0.5285
Mar 2017 0.4934
Apr 2017 0.4494
May 2017 0.4341
Jun 2017 0.3761
Jul 2017 0.3901
Aug 2017 0.3728
Sep 2017 0.3588
Oct 2017 0.3636
Nov 2017 0.3094
Dec 2017 0.2768
Jan 2018 0.2738
Feb 2018 0.3024
Mar 2018 0.2655
Apr 2018 0.2383
May 2018 0.2376
Jun 2018 0.2043
Jul 2018 0.1792
Aug 2018 0.1702
Sep 2018 0.1705
Oct 2018 0.1902

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Current Interest Rates
November 13, 2018
Indicator Rate, %
Prime Rate 5.25
30 Year Treasury Bond 3.36
10 Year Treasury Note 3.14
91 Day Treasury Bill 2.38
Fed Funds 2.19
3 Month LIBOR (USD) 2.61
30 Year Mortgage Rate 4.94

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