October Country: US Treasury Yield Curve 10Y-3M Not Yet There Yet In Predicting Recession

Welcome to The October Country! Where historically we have seen stock market corrections/crashes. But this time it is different with a global economic slowdown AND Presidential impeachment inquires, etc.

But the US Treasury yield curve is not quite there yet in signaling a recession. Prior to the 2001 recession,  the UST 10Y-3M curve slope hit -78.75 bps in December 2000. And the 10Y-3M slope hit -62.24 bps in February 2007. Thus far, the 10Y-3M slope has only declined to -51.4 bps on August 27, 2019. And has retreated to -20 bps.

ts

The depth and breadth of the 10Y-3M slope isn’t as bad as prior to the 2001 and 2008-2009 recessions. But two recessions is hardly a compelling sample.

Here are the Treasury and Dollar Swap curves on March 6, 2007 …

swap07

And today.

currentustswap

Let’s see if The Fed tries to ward off recession or “The October Country.”

x510

 

 

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