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

See our USTreasuries-Guide

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.

Every day we analyse how changes in the US Treasuries yield curve may be explained by changes of investors’ expectations (Fed funds rates AND risk premia).

This daily comment can be found on our daily monitoring page

The daily data are available in the excel file RiskPremia-UST-V

In the following graph, we compare for the last few weeks our estimates for the future expected short rates over the next ten years with the equivalent estimates produced by the Federal Reserve Bank of New-York (see www.newyorkfed.org/research/data_indicators/term-premia-tabs#/overview)

Our approach  allows to extract the Fed funds rate expected by investors at various horizons.

This page (graphs and excel file) is updated daily.