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US Recession Probability
Composite recession probability computed from 5 leading economic indicators. Updated daily with live data.
Convex Recession Probability Index (CVRP)
9%
Low
Last updated: May 18, 2026
Component Indicators
Yield Curve
OKPositive at 50bps — no inversion signal
Sahm Rule
OKAt 0.13pp — threshold is 0.50pp
Jobless Claims
OK209,500K — down 4.7% over 3 months
HY Credit Spreads
OK276bps — tight, market confident
Leading Index
OK+1.7% — positive, expansion signal
Last time CVRP was near 9
January 2022 — CVRP hit 9. See the history chart below and the track record for what followed.
CVRP history vs. NBER recessions
Shaded red bands mark official NBER recession periods. Horizontal dashed lines mark the CVRP interpretation thresholds.
CVRP back-computed from FRED inputs for the full history. NBER recession bands from the NBER Business Cycle Dating Committee. Note: NBER recessions are only dated retroactively — the end-points shown here are the committee's eventual announcements, not real-time.
Historical track record
Back-computed CVRP peaks since 1990, the subsequent S&P 500 drawdown from the month the CVRP first crossed 50, and whether a recession was dated by NBER. Drawdowns are peak-to-trough in the 18 months after crossing.
| Signal date | Episode | CVRP peak | S&P drawdown | NBER recession |
|---|---|---|---|---|
| 1990-08 | Gulf-War spike + credit crunch | — | -20% | Jul 1990 – Mar 1991 |
| 2000-09 | Dotcom / tech collapse | — | -49% | Mar 2001 – Nov 2001 |
| 2006-12 | Housing / credit build-up | — | -57% | Dec 2007 – Jun 2009 |
| 2019-09 | Late-cycle curve inversion | 81 | -34% | Feb 2020 – Apr 2020 (COVID) |
| 2022-11 | Fastest hiking cycle since 1980s | 64 | -10% | No — soft landing so far |
CVRP peaks are back-computed from the five underlying FRED inputs (T10Y2Y, SAHMREALTIME, IC4WSA, BAMLH0A0HYM2, USSLIND). S&P 500 drawdowns are measured peak-to-trough in the 18 months after the signal date, using total return index.
Methodology
The Convex Recession Probability Index (CVRP) is a composite of 5 components, each contributing 0-20 points on a 0-100 scale: yield curve inversion depth (10Y-2Y and 10Y-3M spreads), Sahm Rule proximity (unemployment rate acceleration), initial claims momentum (3-month change), high-yield credit spread z-score (1-year lookback), and Conference Board Leading Economic Index trajectory. The index is computed daily from live FRED data.
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