Near Term Forward Spread Data
Anthony Diercks & Daniel Soques
This chart shows the up-to-date calculation of the near term forward spread (NTFS) as outlined by Engstrom and Sharpe (2019) using U.S. yield curve data from the Federal Reserve Board of Governors. The near term forward spread is the difference between the expected 3-month interest rate 18-months from now minus the current 3-month yield. The near term forward spread is a good indicator of the future stance of monetary policy as well as recessions.
The blue line shows the most recent estimate of the NTFS, while the black line shows the 90 day moving average.
Note: Our calculation of the NTFS uses the forward rate based on Treasury transactions data and the model of Svensson (1994). An alternative measure of the NTFS is available from Bloomberg (series identifier: FEDNTFS), which uses a OIS swap to measure the 3-month interest rate 18-months from now. Differences between the two measures are relatively minor.
Download Near Term Forward Spread Data
The views expressed here do not reflect the views of the Board of Governors of the Federal Reserve System.