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Bonds yield Spreads

Currency Pair Yield Spreads

Instrument Spread interest rate Spread 2Y Spread 10Y Real 10Y yield spread1) 2Y-rate spread difference2) 10Y-2Y spread difference3)
AUDCAD -0.5 -0.64 -0.27 0.2 -0.14 0.37
AUDCHF 2.0 1.85 1.93 1.3 -0.15 0.08
AUDJPY 1.35 1.06 1.36 0.55 -0.29 0.3
AUDNZD -0.25 -0.21 -0.29 -0.05 0.04 -0.08
AUDUSD -1.25 -1.0 -0.85 -0.95 0.25 0.15
CADCHF 2.5 2.48 2.2 1.1 -0.02 -0.28
CADJPY 1.85 1.7 1.63 0.35 -0.15 -0.07
CHFJPY -0.65 -0.78 -0.57 -0.75 -0.13 0.21
EURAUD -1.25 -1.62 -1.6 -1.65 -0.37 0.02
EURCAD -1.75 -2.25 -1.87 -1.45 -0.5 0.38
EURGBP -0.75 -1.23 -1.04 -0.45 -0.48 0.19
EURCHF 0.75 0.23 0.33 -0.35 -0.52 0.1
EURJPY 0.1 -0.55 -0.24 -1.1 -0.65 0.31
EURNZD -1.5 -1.83 -1.89 -1.7 -0.33 -0.06
EURUSD -2.5 -2.61 -2.45 -2.6 -0.11 0.16
GBPAUD -0.5 -0.39 -0.56 -1.2 0.11 -0.17
GBPCAD -1.0 -1.02 -0.83 -1.0 -0.02 0.19
GBPCHF 1.5 1.46 1.37 0.1 -0.04 -0.09
GBPJPY 0.85 0.68 0.8 -0.65 -0.17 0.12
GBPNZD -0.75 -0.6 -0.85 -1.25 0.15 -0.25
GBPUSD -1.75 -1.38 -1.4 -2.15 0.37 -0.02
NZDCAD -0.25 -0.43 0.02 0.25 -0.18 0.45
NZDCHF 2.25 2.06 2.22 1.35 -0.19 0.16
NZDJPY 1.6 1.27 1.65 0.6 -0.33 0.38
NZDUSD -1.0 -0.79 -0.55 -0.9 0.21 0.24
USDCAD 0.75 0.36 0.58 1.15 -0.39 0.22
USDCHF 3.25 2.84 2.77 2.25 -0.41 -0.07
USDJPY 2.6 2.06 2.21 1.5 -0.54 0.15

1) Here the current inflation rate is subtracted from the 10Y bond yield to calculate the spread.

2) This is the spread between the 2Y bond yield and the current interest rate of the first currency minus the correspoinding value for the second currency.

3) This is the spread between the 10Y and the 2Y bond yield of the first currency minus the correspoinding value for the second currency.

10Y-2Y Bond Spread

An increasing spread between long-term and short-term contracts usually indicates that the market is expecting a stable economic growth. However, an inverted spread (below zero) is commonly seen as a sign of recession.

Bond Yield 2Y