France, Italy rise. UK rose through September.

Figure 1: 10 year – 3 month government term spread, for Canada (red), France (light blue), Germany (orange), Italy (purple), UK (teal), all in %. Source: OECD.

Historically, this term spread worked better as a predictor of recessions for Canada and Germany (as discussed in Chinn and Ferrara, 2026).

For business cycle analysis, it’s typical to assume constant or near zero default risk; for France and Italy, this seems implausible, as illustrated by 5 year CDS.

Source: Investing.com.