The Rational ModerateSearch

New York Fed yield-curve model: estimated probability of a recession 12 months ahead

A New York Fed model’s estimate of the chance of a recession 12 months later, worked out from the gap between 10-year and 3-month Treasury rates.

The New York Fed’s model estimate, from the 10-year minus 3-month spread, of the probability of a U.S. recession twelve months later. Each month on the chart is the month the estimate refers to. Monthly.

Source: Federal Reserve Bank of New York (model); Board of Governors of the Federal Reserve System (Treasury yields), via Federal Reserve Bank of New York, Capital Markets research, Probability of US Recession Predicted by Treasury Spread (allmonth.xls).

13.9%

For · model estimate

The New York Fed’s model estimate, made from the Aug. 2026 spread. No status: the publisher sets no threshold.

Hand-updated; schedule unconfirmed · model as of August 2026

Model probability, by the month it refers to

10%15%20%25%30%Sept. 2026Nov. 2026Jan. 2027March 2027May 2027July 2027

  • NBER recessions
0%20%40%60%80%20232024202520262027

  • NBER recessions
0%20%40%60%80%20182020202220242026

  • NBER recessions
0%20%40%60%80%100%1960198020002020

  • NBER recessions

Each point is the model’s estimate for that month, made from the spread 12 months earlier; points after Aug. 2026 are estimates for months that have not happened yet.

Shaded: NBER recessions (peak month excluded, trough month included). NBER dates recessions after the fact, up to 21 months later (NBER’s longest announcement lag so far), so the most recent months cannot be shaded until it does. NBER has not announced a business cycle peak since February 2020 (as of , when the site last checked NBER’s announcements).

Data table

The table lists the 812 dates the charts draw; the CSV has all 824 rows.

NY Fed recession probability model: the values the charts draw, newest first
Month10-year yield, %3-month bill, %3-month bill, bond-equivalent, %Spread, pointsModel probability, %
2027-08-0113.8825
2027-07-0115.1874
2027-06-0116.0619
2027-05-0114.9758
2027-04-0117.6275
2027-03-0118.7985
2027-02-0120.7272
2027-01-0118.7763
2026-12-0120.3612
2026-11-0125.0507
2026-10-0126.509
2026-09-0127.4167
2026-08-014.683.723.80750.872528.8466
2026-07-014.63.733.81780.782228.947
2026-06-014.473.663.74550.724528.7153
2026-05-014.483.63.68350.796528.301
2026-04-014.323.613.69380.626230.4489
2026-03-014.253.613.69380.556230.2198
2026-02-014.133.63.68350.446527.0075
2026-01-014.213.573.65250.557523.1754
2025-12-014.143.593.67320.466829.3972
2025-11-014.093.783.86950.220533.5634
2025-10-014.063.823.91080.149242.045
2025-09-014.123.924.01420.105857.055
2025-08-014.264.124.22120.038861.7891
2025-07-014.394.254.35580.034256.2858
2025-06-014.384.234.33510.044955.8276
2025-05-014.424.254.35580.064251.8178
2025-04-014.284.214.3144-0.034450.0403
2025-03-014.284.24.304-0.02458.3127
2025-02-014.454.224.32470.125358.3127
2025-01-014.634.214.31440.315661.473
2024-12-014.394.274.37650.013562.9365
2024-11-014.364.424.532-0.17251.8387
2024-10-014.14.514.6254-0.525446.111
2024-09-013.724.724.8433-1.123356.1602
2024-08-013.875.055.1863-1.316360.8256
2024-07-014.255.25.3424-1.092466.0095
2024-06-014.315.245.3841-1.074167.3054
2024-05-014.485.255.3945-0.914570.854
2024-04-014.545.245.3841-0.844168.2214
2024-03-014.215.245.3841-1.174157.7709
2024-02-014.215.245.3841-1.174154.4896
2024-01-014.065.225.3633-1.303357.1334
2023-12-014.025.245.3841-1.364147.3082
2023-11-014.55.275.4153-0.915338.0565
2023-10-014.85.345.4882-0.688226.027
2023-09-014.385.325.4674-1.087423.0673
2023-08-014.175.35.4466-1.276625.1495
2023-07-013.95.255.3945-1.494517.6265
2023-06-013.755.165.3008-1.55085.9258
2023-05-013.575.145.28-1.714.1063
2023-04-013.464.925.0512-1.59123.7102
2023-03-013.664.694.8122-1.15225.4923
2023-02-013.754.654.7707-1.02076.1413
2023-01-013.534.544.6565-1.12656.0442
2022-12-013.624.254.3558-0.73587.7036
2022-11-013.894.154.2522-0.36226.8285
2022-10-013.983.723.80750.17256.6633
2022-09-013.523.133.19880.32128.4591
2022-08-012.92.632.68440.21569.4854
2022-07-012.92.232.27380.62629.0649
2022-06-013.141.491.51641.62367.081
2022-05-012.90.980.99611.90396.1062
2022-04-012.750.760.7721.9785.9547
2022-03-012.130.440.44661.68346.2616
2022-02-011.930.330.33491.59519.5911
2022-01-011.760.150.15211.607912.1891
2021-12-011.470.060.06081.409214.3616
2021-11-011.560.050.05071.509315.239
2021-10-011.580.050.05071.529316.6229
2021-09-011.370.040.04061.329418.5896
2021-08-011.280.050.05071.229318.9279
2021-07-011.320.050.05071.269319.981
2021-06-011.520.040.04061.479418.6019
2021-05-011.620.020.02031.599719.1073
2021-04-011.640.020.02031.619719.4565
2021-03-011.610.030.03041.579618.4658
2021-02-011.260.040.04061.219430.7301
2021-01-011.080.080.08110.998925.2037
2020-12-010.930.090.09130.838723.6237
2020-11-010.870.090.09130.778724.6102
2020-10-010.790.10.10140.688629.0358
2020-09-010.680.110.11160.568434.805
2020-08-010.650.10.10140.548637.9271
2020-07-010.620.130.13180.488231.4788
2020-06-010.730.160.16230.567732.8796
2020-05-010.670.130.13180.538229.6229
2020-04-010.660.140.1420.51827.4893
2020-03-010.870.290.29420.575827.0796
2020-02-011.51.521.5471-0.047124.6188
2020-01-011.761.521.54710.212923.6219
2019-12-011.861.541.56750.292521.3459
2019-11-011.811.541.56750.242515.7683
2019-10-011.711.651.67990.030114.1197
2019-09-011.71.891.9254-0.225414.5054
2019-08-011.631.951.9869-0.356914.6145
2019-07-012.062.12.1405-0.080513.5994
2019-06-012.072.172.2123-0.142312.5063
2019-05-012.42.352.39690.003111.1182
2019-04-012.532.382.42770.102311.2105
2019-03-012.572.42.44820.121810.8366
2019-02-012.682.392.43790.24219.1421
2019-01-012.712.372.41740.292610.4146
2018-12-012.832.372.41740.412611.4585
2018-11-013.122.332.37640.743610.9539
2018-10-013.152.252.29430.85579.035
2018-09-013.02.132.17130.828710.3271
2018-08-012.892.032.06880.82129.9858
2018-07-012.891.961.99710.89299.4544
2018-06-012.911.91.93570.97439.869
2018-05-012.981.861.89471.08537.8283
2018-04-012.871.761.79241.07767.0143
2018-03-012.841.71.7311.1095.1834
2018-02-012.861.571.59811.26194.1727
2018-01-012.581.411.43471.14534.0601
2017-12-012.41.321.34281.05723.7396
2017-11-012.351.231.2511.0995.4934
2017-10-012.361.071.08781.27227.5585
2017-09-012.21.031.0471.1538.3973
2017-08-012.211.011.02661.18349.2073
2017-07-012.321.071.08781.23229.8505
2017-06-012.190.980.99611.19398.1054
2017-05-012.30.890.90441.39566.6081
2017-04-012.30.80.81281.48726.2844
2017-03-012.480.740.75171.72836.1365
2017-02-012.420.520.52791.89217.2018
2017-01-012.430.510.51781.91224.5582
2016-12-012.490.510.51781.97223.5653
2016-11-012.140.450.45681.68322.9591
2016-10-011.760.330.33491.42513.3567
2016-09-011.630.290.29421.33582.9108
2016-08-011.560.30.30441.25563.1303
2016-07-011.50.30.30441.19562.3706
2016-06-011.640.270.27391.36612.1987
2016-05-011.810.270.27391.53612.787
2016-04-011.810.230.23331.57674.019
2016-03-011.890.290.29421.59583.5509
2016-02-011.780.310.31461.46543.8048
2016-01-012.090.260.26381.82624.4183
2015-12-012.240.230.23332.00672.7876
2015-11-012.260.120.12172.13832.3002
2015-10-012.070.020.02032.04972.4057
2015-09-012.170.020.02032.14971.6921
2015-08-012.170.070.0712.0992.0383
2015-07-012.320.030.03042.28961.6925
2015-06-012.360.020.02032.33971.5643
2015-05-012.20.020.02032.17971.64
2015-04-011.940.020.02031.91971.2891
2015-03-012.040.030.03042.00961.3109
2015-02-011.980.020.02031.95971.3324
2015-01-011.880.030.03041.84961.0225
2014-12-012.210.030.03042.17961.0061
2014-11-012.330.020.02032.30971.3548
2014-10-012.30.020.02032.27971.5399
2014-09-012.530.020.02032.50971.0747
2014-08-012.420.030.03042.38961.2479
2014-07-012.540.030.03042.50961.6146
2014-06-012.60.040.04062.55942.5167
2014-05-012.560.030.03042.52964.1876
2014-04-012.710.030.03042.67965.3823
2014-03-012.720.050.05072.66934.3062
2014-02-012.710.050.05072.65934.2495
2014-01-012.860.040.04062.81944.4811
2013-12-012.90.070.0712.8295.7383
2013-11-012.720.070.0712.6496.4259
2013-10-012.620.050.05072.56935.7414
2013-09-012.810.020.02032.78976.0398
2013-08-012.740.040.04062.69946.2694
2013-07-012.580.040.04062.53947.5275
2013-06-012.30.050.05072.24936.668
2013-05-011.930.040.04061.88945.3163
2013-04-011.760.060.06081.69923.7571
2013-03-011.960.090.09131.86873.1758
2013-02-011.980.10.10141.87864.2486
2013-01-011.910.070.0711.8393.9115
2012-12-011.720.070.0711.6493.752
2012-11-011.650.090.09131.55873.5993
2012-10-011.750.10.10141.64862.9958
2012-09-011.720.110.11161.60843.752
2012-08-011.680.10.10141.57862.4057
2012-07-011.530.10.10141.42860.805
2012-06-011.620.090.09131.52870.805
2012-05-011.80.090.09131.70870.5965
2012-04-012.050.080.08111.96890.3627
2012-03-012.170.080.08112.08890.4299
2012-02-011.970.090.09131.87870.3304
2012-01-011.970.030.03041.93960.4899
2011-12-011.980.010.01011.96990.5769
2011-11-012.010.010.01011.99991.4244
2011-10-012.150.020.02032.12971.9811
2011-09-011.980.010.01011.96991.7239
2011-08-012.30.020.02032.27971.6191
2011-07-013.00.040.04062.95940.9748
2011-06-013.00.040.04062.95940.6535
2011-05-013.170.040.04063.12940.4724
2011-04-013.460.060.06083.39920.2068
2011-03-013.410.10.10143.30860.257
2011-02-013.580.130.13183.44820.2567
2011-01-013.390.150.15213.23790.2146
2010-12-013.290.140.1423.1480.2771
2010-11-012.760.140.1422.6180.3984
2010-10-012.540.130.13182.40820.4216
2010-09-012.650.150.15212.49790.4548
2010-08-012.70.160.16232.53770.3502
2010-07-013.010.160.16232.84770.3779
2010-06-013.20.120.12173.07830.2782
2010-05-013.420.160.16233.25770.6204
2010-04-013.850.160.16233.68771.1149
2010-03-013.730.150.15213.57791.4499
2010-02-013.690.110.11163.57841.549
2010-01-013.730.060.06083.66922.0427
2009-12-013.590.050.05073.53932.0383
2009-11-013.40.050.05073.34930.4075
2009-10-013.390.070.0713.3190.5963
2009-09-013.40.120.12173.27831.6106
2009-08-013.590.170.17243.41762.9582
2009-07-013.560.180.18263.37742.163
2009-06-013.720.180.18263.53742.6851
2009-05-013.290.180.18263.10743.0454
2009-04-012.930.160.16232.76772.1071
2009-03-012.820.210.2132.6072.5954
2009-02-012.870.30.30442.56566.2664
2009-01-012.520.130.13182.388213.0626
2008-12-012.420.030.03042.389611.7316
2008-11-013.530.190.19273.337314.822
2008-10-013.810.670.68053.129519.1364
2008-09-013.691.131.1492.54119.1305
2008-08-013.891.721.75152.138522.2148
2008-07-014.011.631.65952.350528.5456
2008-06-014.11.861.89472.205322.1227
2008-05-013.881.731.76172.118332.0021
2008-04-013.681.291.31222.367836.7836
2008-03-013.511.261.28162.228441.7131
2008-02-013.742.122.1611.57940.0801
2008-01-013.742.752.80770.932337.8467
2007-12-014.13.03.06491.035139.4174
2007-11-014.153.273.3430.80740.7276
2007-10-014.533.93.99350.536537.0696
2007-09-014.523.893.98320.536834.6035
2007-08-014.674.24.3040.36634.5081
2007-07-015.04.824.94720.052829.5238
2007-06-015.14.614.72910.370925.589
2007-05-014.754.734.8537-0.103724.131
2007-04-014.694.874.9992-0.309224.0406
2007-03-014.564.945.0719-0.511927.6523
2007-02-014.725.035.1655-0.445529.0894
2007-01-014.764.985.1135-0.353528.0795
2006-12-014.564.854.9784-0.418420.0049
2006-11-014.64.945.0719-0.471918.6115
2006-10-014.734.925.0512-0.321217.0322
2006-09-014.724.814.9368-0.216816.4079
2006-08-014.884.965.0927-0.212715.7991
2006-07-015.094.955.08230.007713.6602
2006-06-015.114.794.91610.193912.6154
2006-05-015.114.724.84330.26679.3743
2006-04-014.994.64.71880.27126.8943
2006-03-014.724.514.62540.09465.3587
2006-02-014.574.434.54240.02766.2733
2006-01-014.424.244.34550.07454.4535
2005-12-014.473.893.98320.48683.6125
2005-11-014.543.883.97290.56713.2151
2005-10-014.463.713.79710.66292.3076
2005-09-014.23.423.49770.70231.8571
2005-08-014.263.443.51840.74161.1036
2005-07-014.183.223.29150.88850.5779
2005-06-014.02.973.0340.9660.3367
2005-05-014.142.842.90031.23970.2087
2005-04-014.342.782.83861.50140.3658
2005-03-014.52.742.79741.70260.9312
2005-02-014.172.542.59191.57810.5907
2005-01-014.222.332.37641.84360.474
2004-12-014.232.192.23281.99720.3939
2004-11-014.192.072.10982.08020.3943
2004-10-014.11.761.79242.30760.3941
2004-09-014.131.651.67992.45010.4251
2004-08-014.281.481.50622.77380.3082
2004-07-014.51.331.3533.1470.6686
2004-06-014.731.271.29183.43822.0213
2004-05-014.721.021.03683.68321.7666
2004-04-014.350.940.95533.39471.037
2004-03-013.830.940.95532.87471.3287
2004-02-014.080.930.94513.13491.226
2004-01-014.150.880.89423.25580.9544
2003-12-014.270.90.91463.35541.0218
2003-11-014.30.930.94513.35491.0581
2003-10-014.290.920.9353.3552.2257
2003-09-014.270.940.95533.31472.6645
2003-08-014.450.950.96553.48451.4411
2003-07-013.980.90.91463.06540.8334
2003-06-013.330.920.9352.3950.526
2003-05-013.571.071.08782.48220.3633
2003-04-013.961.131.1492.8110.3176
2003-03-013.811.131.1492.6610.3249
2003-02-013.91.171.18982.71020.5661
2003-01-014.051.171.18982.86020.3904
2002-12-014.031.191.21022.81980.3838
2002-11-014.051.231.2512.7991.1577
2002-10-013.941.581.60842.33162.1065
2002-09-013.871.631.65952.21053.4252
2002-08-014.261.621.64932.61076.6237
2002-07-014.651.681.71062.93945.7356
2002-06-014.931.71.7313.1995.3074
2002-05-015.161.731.76173.39835.4752
2002-04-015.211.711.74133.468710.051
2002-03-015.281.791.82313.456922.3658
2002-02-014.911.721.75153.158527.7414
2002-01-015.041.651.67993.360132.6082
2001-12-015.091.691.72083.369246.3241
2001-11-014.651.871.9052.74544.7703
2001-10-014.572.162.2022.36842.7062
2001-09-014.732.642.69462.035438.4132
2001-08-014.973.363.43581.534239.9721
2001-07-015.243.513.59061.649431.584
2001-06-015.283.493.571.7124.525
2001-05-015.393.623.70421.685820.0832
2001-04-015.143.873.96251.177526.1183
2001-03-014.894.424.5320.35821.4532
2001-02-015.14.885.00960.090414.7358
2001-01-015.165.155.2904-0.13049.8837
2000-12-015.245.775.9367-0.696712.9919
2000-11-015.726.176.3548-0.634814.5904
2000-10-015.746.116.292-0.55210.6929
2000-09-015.86.06.177-0.37710.7281
2000-08-015.836.096.2711-0.441110.982
2000-07-016.055.966.1352-0.085210.6705
2000-06-016.15.695.85320.24689.6675
2000-05-016.445.795.95760.482413.1607
2000-04-015.995.665.82190.168115.1794
2000-03-016.265.695.85320.406816.8027
2000-02-016.525.555.70710.812920.7136
2000-01-016.665.325.46741.192624.0471
1999-12-016.285.25.34240.937626.5111
1999-11-016.035.075.20720.822823.3159
1999-10-016.114.864.98881.121220.2254
1999-09-015.924.684.80181.118227.9447
1999-08-015.944.724.84331.096723.2909
1999-07-015.794.554.66691.123122.1905
1999-06-015.94.574.68761.212421.8305
1999-05-015.544.54.6150.92519.4973
1999-04-015.184.294.39730.782718.7729
1999-03-015.234.444.55280.677220.0464
1999-02-015.04.444.55280.447222.6684
1999-01-014.724.344.44910.270922.2508
1998-12-014.654.394.50090.149119.6104
1998-11-014.834.414.52170.308318.0593
1998-10-014.533.964.05560.474413.1356
1998-09-014.814.614.72910.080910.6179
1998-08-015.344.95.03040.309611.9206
1998-07-015.464.965.09270.367311.7495
1998-06-015.54.985.11350.38657.5287
1998-05-015.655.05.13430.51576.7096
1998-04-015.644.955.08230.55776.1871
1998-03-015.655.035.16550.48457.6958
1998-02-015.575.095.2280.3429.0035
1998-01-015.545.045.17590.36417.6552
1997-12-015.815.165.30080.50929.1693
1997-11-015.885.145.280.611.7394
1997-10-016.034.975.10310.92697.7319
1997-09-016.214.955.08231.12776.0884
1997-08-016.35.145.281.027.3047
1997-07-016.225.055.18631.03376.2615
1997-06-016.494.935.06151.42855.5018
1997-05-016.715.055.18631.52376.2206
1997-04-016.895.165.30081.58927.5358
1997-03-016.695.145.281.4110.0536
1997-02-016.425.015.14471.275314.1667
1997-01-016.585.035.16551.414519.4973
1996-12-016.34.915.04081.259221.0267
1996-11-016.25.035.16551.034521.1931
1996-10-016.534.995.12391.406117.8233
1996-09-016.835.095.2281.60215.3059
1996-08-016.645.055.18631.453712.9695
1996-07-016.875.155.29041.579616.3121
1996-06-016.915.095.2281.68218.9677
1996-05-016.745.025.15511.584914.9584
1996-04-016.514.955.08231.42779.2815
1996-03-016.274.965.09271.17738.7012
1996-02-015.814.834.95760.85246.6309
1996-01-015.655.05.13430.51574.0952
1995-12-015.715.145.280.433.3521
1995-11-015.935.365.50910.42091.6549
1995-10-016.045.285.42570.61431.336
1995-09-016.25.285.42570.77431.2055
1995-08-016.495.45.55080.93921.362
1995-07-016.285.425.57160.70840.9527
1995-06-016.175.475.62370.54630.9578
1995-05-016.635.675.83230.79770.8353
1995-04-017.065.655.81151.24850.5213
1995-03-017.25.735.8951.3050.8923
1995-02-017.475.775.93671.53331.358
1995-01-017.785.715.87411.90591.2352
1994-12-017.815.65.75932.05071.3674
1994-11-017.965.295.43622.52381.5825
1994-10-017.744.955.08232.65772.5347
1994-09-017.464.624.73952.72052.1761
1994-08-017.244.484.59422.64581.4792
1994-07-017.34.334.43872.86131.2388
1994-06-017.14.144.24192.85811.0163
1994-05-017.184.144.24192.93810.7291
1994-04-016.973.683.76613.20390.7007
1994-03-016.483.53.58032.89970.7952
1994-02-015.973.253.32242.64760.4642
1994-01-015.752.983.04432.70570.2794
1993-12-015.773.063.12672.64330.3117
1993-11-015.723.13.16792.55210.2137
1993-10-015.333.023.08552.24450.2146
1993-09-015.362.953.01342.34660.3307
1993-08-015.683.023.08552.59450.3682
1993-07-015.813.043.10612.70390.2668
1993-06-015.963.073.1372.8230.2908
1993-05-016.042.963.02373.01630.2119
1993-04-015.972.872.93113.03890.2267
1993-03-015.982.953.01342.96660.361
1993-02-016.262.932.99293.26710.3563
1993-01-016.63.03.06493.53510.5854
1992-12-016.773.223.29153.47850.8609
1992-11-016.873.133.19883.67121.162
1992-10-016.592.862.92083.66921.9875
1992-09-016.422.912.97233.44772.3807
1992-08-016.593.133.19883.39121.9389
1992-07-016.843.213.28123.55881.6349
1992-06-017.263.663.74553.51451.5829
1992-05-017.393.633.71453.67551.8381
1992-04-017.483.753.83853.64152.595
1992-03-017.544.044.13843.40163.4653
1992-02-017.343.843.93153.40855.134
1992-01-017.033.83.89013.13995.4959
1991-12-017.094.074.16942.920610.6146
1991-11-017.424.564.67722.742810.9201
1991-10-017.534.995.12392.40618.5895
1991-09-017.655.225.36332.28678.8904
1991-08-017.95.335.47782.422211.5277
1991-07-018.275.585.73842.531618.1857
1991-06-018.285.575.7282.55220.0112
1991-05-018.075.465.61332.456715.5821
1991-04-018.045.655.81152.228515.607
1991-03-018.115.916.0832.02721.2637
1991-02-017.855.946.11431.735720.3774
1991-01-018.096.226.40711.682923.2578
1990-12-018.086.746.95211.127930.7536
1990-11-018.397.067.28811.101931.4976
1990-10-018.727.177.40381.316227.2994
1990-09-018.897.367.60371.286325.9691
1990-08-018.757.457.69841.051631.0842
1990-07-018.477.627.87760.592432.6406
1990-06-018.487.737.99360.486433.2176
1990-05-018.767.748.00410.755926.9747
1990-04-018.797.778.03570.754325.1861
1990-03-018.597.98.17290.417125.1908
1990-02-018.477.748.00410.465922.8806
1990-01-018.217.647.89870.311319.3155
1989-12-017.847.637.8881-0.048115.5573
1989-11-017.877.697.9514-0.081413.0288
1989-10-018.017.647.89870.11139.7276
1989-09-018.197.758.01460.17546.8845
1989-08-018.117.98.1729-0.06293.7415
1989-07-018.027.888.1518-0.13183.0447
1989-06-018.288.158.437-0.1572.4715
1989-05-018.868.438.73320.12681.3725
1989-04-019.188.658.96620.21381.3813
1989-03-019.368.829.14640.21361.7011
1989-02-019.178.538.83910.33092.0429
1989-01-019.098.278.56390.52611.2642
1988-12-019.118.078.35250.75750.6831
1988-11-018.967.768.02520.93480.7413
1988-10-018.87.357.59321.20680.5183
1988-09-018.987.247.47741.50261.0139
1988-08-019.267.067.28811.97191.6103
1988-07-019.066.736.94162.11841.4738
1988-06-018.926.466.65852.26151.544
1988-05-019.096.266.4492.6411.0776
1988-04-018.725.916.0832.6372.6317
1988-03-018.375.75.86372.50636.8969
1988-02-018.215.665.82192.38816.8969
1988-01-018.675.815.97852.69156.9235
1987-12-018.995.775.93673.05337.5714
1987-11-018.865.695.85323.00685.0306
1987-10-019.526.136.3133.2073.0888
1987-09-019.426.46.59562.82443.1387
1987-08-018.766.046.21882.54127.0445
1987-07-018.455.695.85322.59688.7456
1987-06-018.45.675.83232.56777.7569
1987-05-018.615.665.82192.78818.0102
1987-04-018.025.645.8012.21911.421
1987-03-017.255.595.74891.501111.9619
1987-02-017.255.595.74891.50117.6787
1987-01-017.085.435.5821.4984.1767
1986-12-017.115.535.68631.42373.964
1986-11-017.255.355.49871.75132.3249
1986-10-017.435.185.32162.10840.9764
1986-09-017.455.215.35292.09710.6995
1986-08-017.175.535.68631.48370.8074
1986-07-017.35.835.99941.30060.749
1986-06-017.86.216.39671.40330.7668
1986-05-017.716.156.33391.37610.6067
1986-04-017.36.066.23971.06030.5209
1986-03-017.786.566.76331.01670.7098
1986-02-018.77.067.28811.41190.8238
1986-01-019.197.077.29861.89140.3943
1985-12-019.267.17.33021.92980.5665
1985-11-019.787.247.47742.30261.361
1985-10-0110.247.167.39332.84673.4247
1985-09-0110.377.17.33023.03985.2196
1985-08-0110.337.147.37222.95784.6204
1985-07-0110.317.087.30913.00091.0043
1985-06-0110.166.957.17252.98750.4394
1985-05-0110.857.487.733.120.5351
1985-04-0111.437.958.22573.20431.566
1985-03-0111.868.528.82853.03151.9163
1985-02-0111.518.278.56392.94611.9846
1985-01-0111.387.768.02523.35481.8901
1984-12-0111.58.068.34193.15811.7382
1984-11-0111.578.618.92382.64621.4493
1984-10-0112.169.7410.12452.03551.5033
1984-09-0112.5210.3710.79711.72292.2904
1984-08-0112.7210.4710.9041.8162.9042
1984-07-0113.3610.1210.52992.83013.8158
1984-06-0113.569.8710.26313.29695.136
1984-05-0113.419.8310.22053.18954.1242
1984-04-0112.639.6910.07132.55874.1306
1984-03-0112.329.529.89022.42984.3483
1984-02-0111.849.099.4332.4072.2471
1984-01-0111.678.99.23132.43872.2335
1983-12-0111.839.09.33742.49262.2486
1983-11-0111.698.769.08282.60722.7156
1983-10-0111.548.648.95562.58440.8361
1983-09-0111.659.09.33742.31260.0795
1983-08-0111.859.349.69872.15130.0953
1983-07-0111.389.089.42241.95763.115
1983-06-0110.858.799.11461.73549.3155
1983-05-0110.388.198.47931.900712.4888
1983-04-0110.48.218.50041.899618.6219
1983-03-0110.518.358.64851.861518.425
1983-02-0110.728.118.39472.325323.8558
1983-01-0110.467.868.13072.32935.1015
1982-12-0110.547.948.21522.32481.9783
1982-11-0110.558.078.35252.19753.2695
1982-10-0110.917.717.97252.937513.0203
1982-09-0112.347.928.1944.14633.2715
1982-08-0113.068.688.9984.06264.433
1982-07-0113.9511.3511.84752.102565.5081
1982-06-0114.312.4713.05471.245377.6191
1982-05-0113.6212.0912.64430.975792.6771
1982-04-0113.8712.713.30350.566546.3481
1982-03-0113.8612.6813.28180.578251.4264
1982-02-0114.4313.4814.14940.280683.6008
1982-01-0114.5912.2812.84941.740693.6996
1981-12-0113.7210.8511.31092.409195.4049
1981-11-0113.3910.8611.32162.068471.5282
1981-10-0115.1513.5414.21460.935438.6769
1981-09-0115.3214.715.4794-0.159414.634
1981-08-0114.9415.5116.3671-1.42715.9189
1981-07-0114.2814.9515.7529-1.47294.0831
1981-06-0113.4714.7315.5122-2.04221.7689
1981-05-0114.116.317.2366-3.13668.8734
1981-04-0113.6813.6914.3777-0.697783.4044
1981-03-0113.1213.3614.019-0.89993.8339
1981-02-0113.1914.7915.5778-2.387855.6429
1981-01-0112.5715.0215.8296-3.259671.6583
1980-12-0112.8415.4916.3451-3.505180.4983
1980-11-0112.6813.7314.4212-1.741270.0003
1980-10-0111.7511.6212.1379-0.387975.3204
1980-09-0111.5110.2710.69020.819862.5863
1980-08-0111.19.139.47551.624550.4477
1980-07-0110.258.068.34191.908144.9599
1980-06-019.787.077.29862.481441.1997
1980-05-0110.188.588.8921.28847.314
1980-04-0111.4713.213.8453-2.375345.0598
1980-03-0112.7515.216.0269-3.276947.1023
1980-02-0112.4112.8613.4767-1.066743.3377
1980-01-0110.812.012.5473-1.747344.1334
1979-12-0110.3912.0412.5904-2.200439.2709
1979-11-0110.6511.7912.3209-1.670932.9555
1979-10-0110.311.712.224-1.92422.1006
1979-09-019.3310.2610.6795-1.349523.4809
1979-08-019.039.529.8902-0.860210.9322
1979-07-018.959.249.5924-0.64247.7469
1979-06-018.919.069.4011-0.49116.7526
1979-05-019.259.619.9861-0.73615.0793
1979-04-019.189.469.8264-0.64645.59
1979-03-019.129.489.8476-0.72766.4189
1979-02-019.19.329.6774-0.57747.9547
1979-01-019.19.359.7093-0.60938.5274
1978-12-019.019.089.4224-0.41247.4273
1978-11-018.818.648.9556-0.14568.7677
1978-10-018.647.998.2680.37210.0715
1978-09-018.427.858.12020.29988.1488
1978-08-018.417.087.30911.10095.0039
1978-07-018.647.017.23561.40443.6088
1978-06-018.466.736.94161.51843.0167
1978-05-018.356.416.60611.74392.1088
1978-04-018.156.296.48041.66961.2194
1978-03-018.046.296.48041.55961.1649
1978-02-018.036.456.6481.3821.4696
1978-01-017.966.446.63751.32251.7992
1977-12-017.696.076.25021.43981.9739
1977-11-017.586.16.28161.29841.9589
1977-10-017.526.166.34431.17572.1359
1977-09-017.345.815.97851.36152.0923
1977-08-017.45.495.64461.75541.7452
1977-07-017.335.195.3321.9981.8392
1977-06-017.285.025.15512.12492.3381
1977-05-017.464.965.09272.36731.569
1977-04-017.374.544.65652.71351.5352
1977-03-017.464.64.71882.74121.4764
1977-02-017.394.674.79142.59861.0915
1977-01-017.214.624.73952.47051.1657
1976-12-016.874.354.45952.41051.983
1976-11-017.294.754.87452.41551.9579
1976-10-017.414.925.05122.35883.5746
1976-09-017.595.085.21762.37244.636
1976-08-017.775.145.282.494.9577
1976-07-017.835.235.37372.45635.0588
1976-06-017.865.415.56122.29882.0945
1976-05-017.95.25.34242.55761.275
1976-04-017.564.864.98882.57121.828
1976-03-017.735.05.13432.59573.1915
1976-02-017.794.885.00962.78045.1387
1976-01-017.744.874.99922.740811.5344
1975-12-018.05.445.59252.407528.6644
1975-11-018.055.485.63422.415830.5626
1975-10-018.145.966.13522.004825.6487
1975-09-018.436.426.61651.813536.6102
1975-08-018.46.446.63751.762560.299
1975-07-018.066.136.3131.74729.5555
1975-06-017.865.345.48822.371844.7233
1975-05-018.065.235.37372.686352.5007
1975-04-018.235.615.76972.460356.9062
1975-03-017.735.495.64462.085454.6306
1975-02-017.395.55.6551.73538.7564
1975-01-017.56.266.4491.05155.1185
1974-12-017.437.157.38270.047352.9255
1974-11-017.687.477.7195-0.039563.0549
1974-10-017.97.467.7090.19145.5612
1974-09-018.048.068.3419-0.301966.0219
1974-08-018.048.969.295-1.25568.1363
1974-07-017.817.557.80380.006257.9416
1974-06-017.547.98.1729-0.632942.0311
1974-05-017.588.238.5216-0.941623.5497
1974-04-017.518.338.6274-1.117425.0411
1974-03-017.217.968.2363-1.026320.8651
1974-02-016.967.127.3512-0.391213.7685
1974-01-016.997.778.0357-1.045713.5177
1973-12-016.747.457.6984-0.958410.3285
1973-11-016.737.838.0991-1.36918.027
1973-10-016.797.227.4564-0.66645.9835
1973-09-017.098.298.585-1.4954.916
1973-08-017.48.678.9874-1.58743.1603
1973-07-017.138.018.2891-1.15913.4331
1973-06-016.97.197.4248-0.52483.0987
1973-05-016.856.366.55370.29632.1532
1973-04-016.676.266.4490.2212.0281
1973-03-016.716.096.27110.43892.506
1973-02-016.645.65.75930.88071.0404
1973-01-016.465.415.56120.89881.7356
1972-12-016.365.075.20721.15284.5797
1972-11-016.284.784.90571.37437.0313
1972-10-016.484.744.86411.61598.1967
1972-09-016.554.664.7811.7698.4751
1972-08-016.214.024.11772.09236.8389
1972-07-016.113.984.07632.033710.0316
1972-06-016.113.914.00392.10615.764
1972-05-016.133.693.77652.35352.9175
1972-04-016.193.713.79712.39294.2538
1972-03-016.073.733.81782.25222.5383
1972-02-016.083.23.27092.80912.2541
1972-01-015.953.383.45652.49355.4653
1971-12-015.934.014.10731.82277.8727
1971-11-015.814.224.32471.48537.6571
1971-10-015.934.464.57351.35659.2971
1971-09-016.144.694.81221.327811.0913
1971-08-016.584.945.07191.508113.1751
1971-07-016.735.45.55081.179214.7478
1971-06-016.524.754.87451.645512.8142
1971-05-016.394.144.24192.148114.1582
1971-04-015.833.863.95221.877816.7723
1971-03-015.73.383.45652.243524.7934
1971-02-016.113.73.78682.323232.4102
1971-01-016.244.444.55281.687237.792
1970-12-016.394.874.99921.390839.9079
1970-11-016.845.285.42571.414337.4588
1970-10-017.335.916.0831.24732.4866
1970-09-017.396.126.30251.087533.2784
1970-08-017.536.416.60610.923941.7652
1970-07-017.466.456.6480.81241.5432
1970-06-017.846.686.88910.950931.1863
1970-05-017.916.847.0570.85327.5141
1970-04-017.396.516.71080.679232.4177
1970-03-017.076.636.83670.233327.4949
1970-02-017.247.137.3617-0.121732.2009
1970-01-017.797.878.1413-0.351336.1709
1969-12-017.657.828.0885-0.438532.0356
1969-11-017.147.247.4774-0.337427.5997
1969-10-017.17.07.2251-0.125127.9347
1969-09-017.167.097.3197-0.159726.9508
1969-08-016.696.987.2041-0.514125.6278
1969-07-016.727.07.2251-0.505128.7562
1969-06-016.576.446.6375-0.067528.7318
1969-05-016.326.046.21880.101228.6464
1969-04-016.176.116.292-0.12227.3262
1969-03-016.36.026.19790.102121.0491
1969-02-016.196.126.3025-0.112520.7276
1969-01-016.046.146.3234-0.283421.6592
1968-12-016.035.966.1352-0.105218.1118
1968-11-015.75.455.60290.097113.5527
1968-10-015.585.355.49870.081314.8835
1968-09-015.465.195.3320.12815.4
1968-08-015.425.095.2280.19213.4539
1968-07-015.55.315.4570.04314.2631
1968-06-015.725.525.67590.04417.8022
1968-05-015.875.665.82190.048110.1743
1968-04-015.645.385.52990.110117.1022
1968-03-015.745.175.31120.428826.0006
1968-02-015.564.985.11350.446530.7344
1968-01-015.535.05.13430.395735.6957
1967-12-015.74.975.10310.596935.4457
1967-11-015.754.734.85370.896336.7415
1967-10-015.484.564.67720.802841.1389
1967-09-015.34.424.5320.76837.5094
1967-08-015.284.274.37650.903526.9655
1967-07-015.164.214.31440.845627.675
1967-06-015.023.543.62161.398425.5675
1967-05-014.853.63.68351.166529.2607
1967-04-014.593.843.93150.658529.4621
1967-03-014.544.264.36620.173826.2517
1967-02-014.634.564.6772-0.047228.4046
1967-01-014.584.724.8433-0.263331.8811
1966-12-014.844.965.0927-0.252726.9198
1966-11-015.165.325.4674-0.307424.2651
1966-10-015.015.355.4987-0.488725.0216
1966-09-015.185.375.5195-0.339523.9514
1966-08-015.224.965.09270.127323.1196
1966-07-015.024.84.92640.093624.0946
1966-06-014.814.54.6150.19523.0936
1966-05-014.784.644.76030.019724.9245
1966-04-014.754.624.73950.010525.9674
1966-03-014.874.594.70840.161625.7626
1966-02-014.834.654.77070.059325.7626
1966-01-014.614.594.7084-0.098423.6821
1965-12-014.624.384.49060.129424.4907
1965-11-014.454.094.19010.259921.1151
1965-10-014.354.034.1280.22219.1193
1965-09-014.293.924.01420.275818.2474
1965-08-014.253.843.93150.318517.8983
1965-07-014.23.843.93150.268517.2233
1965-06-014.213.83.89010.319917.8877
1965-05-014.213.893.98320.226817.3957
1965-04-014.23.934.02460.175416.7481
1965-03-014.213.934.02460.185418.0857
1965-02-014.213.934.02460.185419.097
1965-01-014.193.813.90050.289518.5789
1964-12-014.183.843.93150.248519.2642
1964-11-014.153.643.72480.425219.4379
1964-10-014.193.573.65250.537518.3723
1964-09-014.23.533.61130.588717.6706
1964-08-014.193.53.58030.609717.9697
1964-07-014.193.463.5390.65115.374
1964-06-014.173.483.55960.610413.021
1964-05-014.23.483.55960.640412.9975
1964-04-014.233.473.54930.680712.0725
1964-03-014.223.543.62160.598412.4545
1964-02-014.153.533.61130.538712.9936
1964-01-014.173.523.60090.569114.0911
1963-12-014.133.523.60090.529113.1085
1963-11-014.123.523.60090.519111.7949
1963-10-014.113.453.52870.581310.561
1963-09-014.083.383.45650.623510.4588
1963-08-014.03.323.39460.605410.9387
1963-07-014.023.183.25030.769711.8273
1963-06-013.992.993.05460.935410.6738
1963-05-013.932.932.99290.937110.6608
1963-04-013.972.92.9621.00811.5117
1963-03-013.932.892.95170.978310.3253
1963-02-013.922.922.98260.93749.2361
1963-01-013.832.912.97230.85778.7203
1962-12-013.862.872.93110.92897.7284
1962-11-013.922.832.891.037.6987
1962-10-013.932.742.79741.13266.302
1962-09-013.982.782.83861.14145.6954
1962-08-013.982.822.87971.10036.0882
1962-07-014.012.922.98261.02745.834
1962-06-013.912.732.78721.12286.8758
1962-05-013.872.692.7461.1248.0238
1962-04-013.842.732.78721.05287.3839
1962-03-013.932.722.77691.15318.7309
1962-02-014.042.732.78721.25288.6387
1962-01-014.082.722.77691.30316.4479
1961-12-014.062.62.65361.40646.5301
1961-11-013.942.482.53031.40976.801
1961-10-013.922.32.34561.57446.5405
1961-09-013.982.282.32511.65499.0609
1961-08-014.042.392.43791.60217.2981
1961-07-013.922.242.2841.6366.4602
1961-06-013.882.332.37641.50365.8026
1961-05-013.712.292.33531.374712.3504
1961-04-013.782.292.33531.444712.456
1961-03-013.742.392.43791.302113.9783
1961-02-013.782.422.46871.311320.9465
1961-01-013.842.242.2841.55624.2518
1960-12-013.842.252.29431.545727.8486
1960-11-013.932.372.41741.512623.9126
1960-10-013.892.32.34561.544421.9274
1960-09-013.82.482.53031.269719.0474
1960-08-013.82.32.34561.454412.5167
1960-07-013.92.32.34561.554410.6012
1960-06-014.152.462.50981.640211.4388
1960-05-014.353.293.36370.98637.6983
1960-04-014.283.233.30180.978210.8648
1960-03-014.253.313.38430.865710.5806
1960-02-014.493.964.05560.43449.762
1960-01-014.724.354.45950.260510.4719

Source: Federal Reserve Bank of New York, Capital Markets research: Probability of US Recession Predicted by Treasury Spread (allmonth.xls). allmonth.xls, sheet "rec_prob" · retrieved Sept. 26, 2026 · 824 rows · as of August 2026 · monthly. Recession shading: NBER, via FRED series USREC, retrieved Oct. 5, 2026, as of September 2026. NBER CSV: recession months. Download CSV

The official definition

No threshold: the New York Fed publishes none, so this card has no status. It is a model estimate, attributed to its publisher.

“Parameters estimated using data from January 1959 to December 2009, recession probabilities predicted using data through Aug 2026. The parameter estimates are α=-0.5333, β=-0.6330.”

Federal Reserve Bank of New York, Probability of US Recession Predicted by Treasury Spread (chart, updated 06-Sep-2026)

Caveats

  • The Cleveland Fed on such models: “It might not be advisable to take these numbers quite so literally, for two reasons. First, this probability is itself subject to error, as is the case with all statistical estimates. Second, other researchers have postulated that the underlying determinants of the yield spread today are materially different from the determinants that generated yield spreads during prior decades.”
  • The model’s parameters were fixed on data from 1959 to 2009, so it has not been re-estimated to include the 2022 to 2024 inversion.
  • This file is a hand-run snapshot of the New York Fed’s spreadsheet, not part of the scheduled refresh; its “as of” date says how current it is.
  • Months after the latest spread carry only the model’s estimate for that future month; NBER shading stops at the latest month FRED reports.