Yield curve

Common card · No. 281920

A yield curve shows the relationship between yields and time to maturity for a set of comparable debt securities. In practice the term usually refers to curves built from a single issuer or market segment so that credit quality and other features are as similar as possible, for example the U.S. Treasury curve for government bonds. Different markets publish related curves for different purposes. Common examples include government bond curves, overnight indexed swap curves and interest rate swap curves. These families are produced by central banks and data providers from prices of instruments in each market and are kept comparable within a family by construction. Analysts often summarize the curve's shape with a "term spread" such as the difference between the 10-year Treasury yield and the 3-month Treasury bill rate. Central banks track these measures because a sustained inversion has historically preceded U.S. recessions and is used in simple recession-probability models. The yield curve...

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