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

See 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.

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

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 after US markets close. The daily comment is available on line later, generally the following day before the opening of the US markets.

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 fichier excel) sont mis à jour quotidiennement tous les soirs après la fermeture des marchés américains. L’analyse quotidienne en anglais est disponible plus tard, le lendemain généralement avant l’ouverture des marchés américains.