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 mis à jour quotidiennement tous les matins avant l’ouverture des marchés européens. L’analyse quotidienne en anglais 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

See our guide  for a discussion of what drives the US Treasuries yield curve, and how to use the indicators that we publish daily.

See also USTreasuries-Model-Guide for a description of the model we use to extract investors key expectations. In this note, we also try to explain 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 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