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-05102022 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

The expected rates and risk premia (graphs and excel file) are updated every morning before the opening of the European markets. The daily comment is available on line later in the day, generally before the opening of the US markets. If you want to be on our mailing list and receive this analysis as soon as it is published, sometimes with some additional analysis, you can send your email address to contact@riskpremium.com

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.

Les taux anticipés et les primes de risque (graphiques et ficher excel) sont mis à jour quotidiennement tous les matins avant l’ouverture des marchés européens. L’analyse quotidienne est disponible plus tard, généralement avant l’ouverture des marchés américains. Si vous voulez être dans notre mailing liste et recevoir cette analyse dès sa publication, avec parfois quelques compléments d’analyse, vous pouvez envoyer votre adresse mail à contact@riskpremium.com

What Is New ?

  • Our guide to understand (and trade) the US Treasuries yield curve.

    Voir notre guide en français pour une discussion des déterminants des taux d’intérêt sur les obligations longues, et une présentation des indicateurs que nous publions tous les jours. Les taux anticipés et les primes de risque (graphiques et ficher excel) sont …
  • 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 …
  • 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

  • Our guide to understand (and trade) the US Treasuries yield curve.

    Voir notre guide en français pour une discussion des déterminants des taux d’intérêt sur les obligations longues, et une présentation des indicateurs que nous publions tous les jours. Les taux anticipés et les primes de risque (graphiques et ficher excel) sont …
  • 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

  • October 5th, 2022 – Market Analysis

    You will find in the file below our market analysis of the day. Detailed analysis of the US Treasuries market: USTreasuries-05102022 The expected rates and risk premia (graphs and excel file) are updated every morning before the opening of the European markets. This daily comment is available on line later in the day, generally before the opening of the US …
  • October 4th, 2022 – Market Analysis

    You will find in the file below our market analysis of the day. Detailed analysis of the US Treasuries market: USTreasuries-04102022 The expected rates and risk premia (graphs and excel file) are updated every morning before the opening of the European markets. This daily comment is available on line later in the day, generally before the opening of the US …
  • October 3rd, 2022 – Market Analysis

    You will find in the file below our market analysis of the day. Detailed analysis of the US Treasuries market: USTreasuries-03102022 The expected rates and risk premia (graphs and excel file) are updated every morning before the opening of the European markets. This daily comment is available on line later in the day, generally before the opening of the US …

Weekly risk premia analysis for bonds *

* Weekly split of the US and EU 10 year bonds between risk premium and interest rate expectations / September 26 – 30, 2022