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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 Feb 2024 -0.1727 ±0.0000
1 Mar 2024 -0.178 ±0.0095
2 Apr 2024 -0.217 ±0.0137
3 May 2024 -0.274 ±0.0161
4 Jun 2024 -0.350 ±0.0178
5 Jul 2024 -0.571 ±0.0192
6 Aug 2024 -0.580 ±0.0203
7 Sep 2024 -0.386 ±0.0212
8 Oct 2024 -0.217 ±0.022

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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
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
Dec 2023 -0.2264
Jan 2024 -0.1787
Feb 2024 -0.1727

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Current Interest Rates
March 26, 2024
Indicator Rate, %
Prime Rate 8.50
30 Year Treasury Bond 4.40
10 Year Treasury Note 4.24
91 Day Treasury Bill 5.46
Fed Funds 5.33
SOFR 5.31
30 Year Mortgage Rate 6.87

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