Yield Curve & Term Spread Calculator
Compare maturity nodes with matched date, issuer, currency and yield conventions; calculate 10Y−2Y in percentage points and basis points.
User inputs or hypothetical examples · Consistent units and periods · Local calculation
Results
Review or adjust your inputs, then calculate to see your results and interpretation.
Understand this calculation
A positive spread means ten-year exceeds two-year, zero means equality, and negative means inversion between these nodes; other maturities can still have different shapes.
See calculation method and assumptions
Formula
Yield Curve & Term Spread
Ten-year minus two-year spread
Percentage points to basis points
A yield curve places comparable debt yields against their different maturities. The ten-year minus two-year spread measures the relative level between those two maturities.
Variables, rates and periods
- y2
- Two-year yield (percentage number)
- y10
- Ten-year yield (percentage number)
- spp
- 10Y−2Y, percentage points
- sbps
- 10Y−2Y, basis points
- Units
- Yields are percentage numbers: 4.2 means 4.2%. Their difference is percentage points; 1 pp equals 100 bps.
Upward, flat and inverted
- An upward slope has higher yields at longer maturities;
- flat means similar yields across the compared maturities;
- inversion has lower yields at longer maturities over a segment.
- 10Y−2Y summarizes one segment rather than the entire curve.
- US Treasury constant-maturity data use a dedicated estimation method;
- connecting a few hypothetical nodes does not reproduce the complete market curve or tradable quotes.
Why can long yields fall below short yields?
- Long yields relate to expected future short rates and term premiums.
- Expected future policy easing can pull long yields below high current short yields.
- Inflation uncertainty, demand and supply for long assets, and risk preferences can change term premiums.
- Several forces act together;
- inversion is not the mechanical result of one cause.
A historical signal is not a recession guarantee
- Several US term spreads have historically been associated with subsequent recessions, with research using different short maturities and observation windows.
- Negative 10Y−2Y establishes inversion between those nodes, not an inevitable recession or a precise date.
- Policy, term premiums and sample periods can change the signal.
- This interaction estimates no recession probability.
One bond's price versus yields across maturities
- A fixed-cash-flow bond's price generally moves inversely with its own yield;
- a curve instead compares maturities at one time.
- Inversion does not mean all bond prices are falling.
- YTM summarizes cash-flow discounting, and duration describes a bond's price sensitivity to yield changes, complementing this maturity comparison.
Compare maturity nodes with matched date, issuer, currency and yield conventions; calculate 10Y−2Y in percentage points and basis points.
Worked example
- Match date, issuer, currency and yield conventions before entering four nodes.
- Subtract 2Y 4.2 from 10Y 3.8 for −0.4 pp.
- One percentage point is 100 bps, giving −40 bps; the connecting lines are illustrative only.
Frequently asked questions
Can I mix dates or corporate bonds?
Not as one comparable government curve: dates, issuer credit risk, currencies and yield conventions can create differences.