Paris Panthéon by Jean-Pierre Lavoie

As part of its research on risk premia, Risk Premium Invest has given particular importance to the study of the US Treasury bond market. This market plays a central role in the valuation of all other assets. This is especially true today in a context of high inflation and tighter monetary policies.

Risk Premium Invest has developed a very original methodology to estimate the Fed’s monetary policy expected by investors and the risk premia they require.

See Our Guide to Understand (And Trade) The US Treasuries Yield Curve.

See USTreasuries-20052022 for an analysis of the US yield curve in the most recent trading day, in connection with published news.

Past analysis are available on our daily monitoring page.

The main results, also presented in these two graphs, are available in the excel file RiskPremia-UST-V

Dans le cadre de ses recherches consacrées aux primes de risque, Risk Premium Invest a accordé une importance particulière à l’étude du marché des obligations du Trésor américain. Ce marché joue en effet un rôle central dans la valorisation de tous les autres actifs. C’est particulièrement vrai aujourd’hui dans un contexte d’inflation élevée et de durcissement des politiques monétaires.

Risk Premium Invest a développé une méthodologie très originale pour estimer les primes de risque requises par les investisseurs et leurs anticipations concernant la politique monétaire de la banque centrale américaine.

Voir Our Guide to Understand (And Trade) The US Treasuries Yield Curve.

Une analyse quotidienne des déformations de la courbe des taux d’intérêt américains est disponible ici.

 Please free to contact us at contact@riskpremium.com

What Is New ?

  • Trois principes clefs pour un nouveau Pacte de Stabilité et de Croissance.

    Contrairement à de nombreux économistes, nous pensons que le contrôle des déficits excessifs doit rester la pierre angulaire d’un PSC rénové. Mais, des évolutions semblent nécessaires dans trois domaines : la consolidation des dettes publiques, la prise en compte du niveau …
  • A Guide to Understand and Trade the US Treasuries Yield Curve

    In this note, on both a theoretical and empirical basis, we explain what drives the US Treasuries yield curve and why market participants have faced so many “conundrums” over the last twenty years, and particularly in 2021. USTreasuries-Guide
  • How markets price risks? Non-technical presentation.

    Our Yield Curve Model provides some key original insights on how markets price risks. But the reference paper is long and technical! We provide here a non-technical summary of the lessons we have learnt from this analysis of the US Treasuries market. …
  • How Markets price risks? Key insights from an analysis of the US Treasuries market.

    When there is a sustained change in required excess returns relative to T-bills, investors often miss structural or quasi-structural changes in risk premia and base their decisions on a biased valuation methodology. We consider this recurring weakness of the fundamentalist …
  • Why the coronavirus is infecting financial markets?

    20 March 2020 Coronavirus infects the financial sector thanks to three deep mistakes made after the subprime crisis. The financial impact of the coronavirus may seem disproportionate. Since the start of the year, around twenty trillion dollars have been wiped …

Key Background Papers

  • A Guide to Understand and Trade the US Treasuries Yield Curve

    In this note, on both a theoretical and empirical basis, we explain what drives the US Treasuries yield curve and why market participants have faced so many “conundrums” over the last twenty years, and particularly in 2021. USTreasuries-Guide
  • How markets price risks? Non-technical presentation.

    Our Yield Curve Model provides some key original insights on how markets price risks. But the reference paper is long and technical! We provide here a non-technical summary of the lessons we have learnt from this analysis of the US Treasuries market. …
  • How Markets price risks? Key insights from an analysis of the US Treasuries market.

    When there is a sustained change in required excess returns relative to T-bills, investors often miss structural or quasi-structural changes in risk premia and base their decisions on a biased valuation methodology. We consider this recurring weakness of the fundamentalist …
  • The Four Risk Premia

    One of the difficulties of risk premia analysis is that the concept of risk premium is somewhat ambiguous. For a given asset class, there are at least four risk premia that can be analyzed (“historical”, “spot”, “valuation”, “embedded”). When market …
  • Why Risk Premia Vary?

    1st November 2018 The variation of risk premia is generally considered as a major source of financial markets’ volatility. Indeed, in our yield curve models, we find that broadly 50% of the changes in long-term interest rates are due to …

Latest Market Analysis

  • May 19th, 2022 – Market Analysis

    You will find in the file below our market analysis of the day. Detailed analysis of the US Treasuries market: USTreasuries-20052022 Other markets: 2022-5-20 – Daily Market Analysis
  • May 19th, 2022 – Market Analysis

    You will find in the file below our market analysis of the day. Detailed analysis of the US Treasuries market: USTreasuries-19052022 Other markets: 2022-5-19 – Daily Market Analysis
  • May 18th, 2022 – Market Analysis

    You will find in the file below our market analysis of the day. Detailed analysis of the US Treasuries market: USTreasuries-18052022 Other markets: 2022-5-18 – Daily Market Analysis

Weekly risk premia analysis for bonds *

* Weekly split of the US and EU 10 year bonds between risk premium and interest rate expectations / May 16 – 20, 2022