Summary The long-term peak in 1-month forward Treasuries is now 5.97%, down 0.20% from last week but well above the near-term...
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New Version: The Valuation of Corporate Coupon Bonds
The Valuation of Corporate Coupon Bonds Jens Hilscher, Robert A. Jarrow, and Donald R. van Deventer Updated October 12, 2023...
SAS Weekly Bund Yield Forecast, October 6, 2023: End of Inverted Yields by April is a Coin Flip
Summary The probability of a quick end to inverted Bund yields jumped up as the current negative 2-year/10-year yield spread...
SAS Weekly Forecast, October 6, 2023: This Inverted Yield Streak is Nearly Over
Summary The long-term peak in 1-month forward Treasuries is now 6.17%, well above the near-term peak at 5.61%. The simulated...
SAS Weekly Forecast, September 29, 2023: 1-Month Forward Treasuries Peak at 5.95%, Up 0.37%
Summary The long-term peak in 1-month forward Treasuries is now 5.95%, well above the near-term peak at 5.54%. That is an...
SAS Weekly Bund Yield Forecast, September 22, 2023: 25.9% Chance Inverted Yields are Gone by March
Summary The probability of a quick end to inverted Bund yields bounced back up this week as the current negative 2-year/10-year...
SAS Weekly Forecast, September 22, 2023: 1-Month Forward Treasuries Peak at 5.58% in 2039
Summary The long-term peak in 1-month forward Treasuries is now 5.58%, just above the near-term peak at 5.54%. The simulated...
SAS Weekly Bund Yield Forecast, September 15, 2023: Delayed Gratification
Summary The probability of a quick end to inverted Bund yields dropped substantially this week as the current negative...
SAS Weekly Forecast, September 15, 2023: 1-Month Forward Treasuries Range from 4% to 6% for 20 Years
Summary The level of 1-month forward rates implied by the current Treasury yield curve ranges from 4% to 6% for 20 years. The...
SAS Weekly Euro Zone Forecast, September 8, 2023: Short-term and Long-term Forward Rate Peaks 2 Basis Points Apart
Summary 28-day Bund forward rate peaks in the short-term (3.63%) and long-term (3.61%) moved closer together this week. This...
SAS Weekly Forecast, September 8, 2023: Long-term U.S.Treasury Forward Rate Peak Near Short-term Peak
Summary The long-term peak in forward rates, at 5.48%, remains close to the short-term peak of 5.53%. The streak of negative...
SAS Weekly Euro Zone Forecast, September 1, 2023: Short-term and Long-term Forward Rate Peaks Converging
Summary 28-day Bund forward rate peaks in the short-term (3.67%) and long-term (3.59%) moved closer together this week. This...