Last Updated: January 29, 2026
Key Takeaway: As of January 28, 2026, the Benchmark Spread (10y-2y) is moderately steep with normal movement. The Recession Watch (10y-3mo) is statistically unusual (steep) with normal movement. The Long-End Spread (30y-5y) is within normal range with normal movement.
Overview
This report evaluates U.S. Treasury yield curve conditions as of January 28, 2026, using daily closing yields and rolling 252-trading-day statistical benchmarks. Both the level of each spread and its daily change are assessed to distinguish structural positioning from short-term market shocks. Z-score analysis is used to identify when current values deviate meaningfully from recent historical patterns.
BENCHMARK SPREAD (10-Year minus 2-Year)
The current spread is 0.70 percentage points with a Positive Slope curve status. The level Z-score is +1.58 (Moderately Steep, 94.3th percentile). The delta Z-score is -0.34 (Normal Movement).
Statistical Interpretation: The spread is currently 1.58 standard deviations above its 252-day mean, placing it at the 94.3th percentile of recent observations. The series is beginning to diverge from its long-run average, though still within historically common bounds. The curve maintains a positive slope (long rates exceed short rates).
RECESSION WATCH SPREAD (10-Year minus 3-Month)
The current spread is 0.58 percentage points with a Positive Slope curve status. The level Z-score is +2.37 (Statistically Unusual (Steep), 99.1st percentile). The delta Z-score is +0.21 (Normal Movement).
Statistical Interpretation: The spread is currently 2.37 standard deviations above its 252-day mean, placing it at the 99.1st percentile of recent observations. This level has moved beyond normal variation and merits attention. The curve maintains a positive slope (10-year rates exceed 3-month rates).
LONG-END SPREAD (30-Year minus 5-Year)
The current spread is 1.02 percentage points. The level Z-score is +0.49 (Within Normal Range, 68.9th percentile). The delta Z-score is -0.05 (Normal Movement).
Statistical Interpretation: The spread is currently 0.49 standard deviations above its 252-day mean, placing it at the 68.9th percentile of recent observations. The indicator remains well within its usual historical range. The long end remains elevated relative to intermediate maturities.
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