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Curves and spreads

Treasury yield curve and bond spread basics

The Treasury curve is a benchmark for market rates across maturities. Spread analysis compares a bond or MBS yield with a matched Treasury reference.

Download on the App Store See the Treasury rates workflow
Quick answer A spread is usually quoted in basis points over a benchmark curve. For Treasury spread, the benchmark is a Treasury yield matched to the bond's maturity or life.

What the yield curve shows

A yield curve plots rates by maturity. Short maturities often respond to central bank policy and near-term expectations. Long maturities reflect inflation expectations, term premium, supply and demand, and long-run growth expectations.

Common curve slopes

The 2s10s slope is the 10-year Treasury yield minus the 2-year Treasury yield. Positive values are upward sloping; negative values are inverted. Bonds: Simplified surfaces key rates and spreads such as 2s10s and short-end curve comparisons in the Rates workflow.

2s10s = 10-year Treasury yield - 2-year Treasury yield

How bond spreads use the curve

A Treasury spread compares a bond yield with a Treasury yield at a similar maturity. For amortizing securities like MBS, analysts often use weighted average life as the matching point. Bonds: Simplified can interpolate Treasury rates for spread context when reviewing MBS scenarios.

Treasury spread = bond yield - matched Treasury yield

Why it matters

Spread context helps separate general rate movement from compensation for credit, liquidity, optionality, and prepayment risk. Use it alongside rate shocks, duration, and prepayment speed rather than as a standalone answer.

Rate ShocksHow market-rate moves affect bond prices. Effective DurationScenario-based rate sensitivity. PSA vs CPRPrepayment assumptions for MBS cash flows.
Important: This educational material is for analytical context only and should not be relied upon for investment transactions.