Yield curve spread calculator

Type a short yield and a long yield. The page subtracts the short yield from the long yield and labels the shape. Defaults illustrate an inversion. This is classroom arithmetic, not a forecast, not a recession probability, and not investment advice. The arithmetic runs entirely in your browser.

This menu only changes the words on the labels. The formula stays the long yield minus the short yield. It does not look up a published spread.

A 2 year yield or a 3 month yield is the usual short rate in classroom pairings. Type a percent, for example 4.50. This box is not a live quote from Treasury.gov or the Bank of England.

The 10 year yield is the usual long rate in these pairings. Type a percent, for example 4.10. Look up a Treasury or gilt yield yourself, then enter it here.

Spread (percentage points)

Spread equals the long term yield minus the short term yield.

Shape

In words

How to read this. The headline number is the long yield minus the short yield, in percentage points. Above 0.25, this page calls the shape upward sloping, the usual normal shape. From 0 through 0.25, it calls the shape flat. Below 0, it calls the shape inverted. The 0.25 point band is a classroom choice so near zero has a visible cutoff. It is not an official statistical definition. None of these labels is a forecast of growth, inflation, or the next Federal Reserve or Bank of England decision.
Example defaults

Defaults use a short yield of 4.50 percent and a long yield of 4.10 percent, with the pair label 10 year minus 2 year. The spread is 4.10 minus 4.50, which equals minus 0.40 percentage points, so the shape reads inverted. Switch the pair label to 10 year minus 3 month and the arithmetic does not change. Those figures are classroom numbers. They are not current Treasury yields or gilt yields.

Educational only

Historical association of inversions with recessions is discussed in the research literature. Timing varies. This is not a recession probability model. This is not investment advice. This is not live market data. Nothing here recommends buying, selling, or holding any security. Look up current yields yourself at Treasury.gov, the Bank of England, or FRED.

The classroom formula

This page uses one subtraction:

Spread in percentage points = long term yield minus short term yield

A positive spread means the long yield is higher. Once that gap is above 0.25 percentage points, this page calls the shape upward sloping, which is the usual normal pattern in textbook sketches. A spread from 0 through 0.25 percentage points is called flat. A negative spread means the short yield is higher, which is an inversion of that pair.

Naming the pair matters. A 10 year minus 2 year spread can differ from a 10 year minus 3 month spread on the same day. The menu on this page only renames the boxes. It does not change the subtraction, and it does not fetch the FRED series that publish those spreads.

For the ideas behind the shape, read the yield curve. For why a negative spread is not a recession date, read recession definitions. For the policy rate that often sits near the front of the curve, read the Taylor rule and real interest rates.

Where to find the inputs

Type your own yields. This page does not download official series. For a US sketch, look up constant maturity Treasury yields at Treasury.gov or on FRED, including the 10 year, the 2 year, and the 3 month bill. For a UK sketch, look up Bank of England gilt yield curves and pick a short maturity and a 10 year point. Policy rates from the Federal Reserve and the Bank of England sit near the front of the curve, but a policy rate is not the same object as a Treasury yield or a gilt yield. Broader context sits on the monetary and fiscal policy pillar.

UK and US framing

US readers usually compare Treasury yields. UK readers usually compare gilt yields. A federal funds rate or Bank Rate can move the short end, yet neither rate is itself a 2 year yield or a 10 year yield. Do not paste a Treasury spread onto a gilt chart and treat them as the same object. Use primary pages from Treasury.gov, the Federal Reserve, the Bank of England, and FRED before you type.

Sources

All calculators · Taylor rule calculator · Real interest rate calculator · Yield curve explained · Recession definitions · Monetary and fiscal policy · Yield curve · FAQ