Summary The Treasury curve moved down 13 basis points at 2 years and moved down 9 basis points at 10 years over the last week....
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SAS Weekly Bund Yield Forecast, March 8, 2024: No Aversion to Inversion
Summary The inverted Bund yields continued this week with the negative 2-year/10-year yield spread at negative 46.9 basis points...
SAS Weekly Forecast, March 8, 2024: Record Negative Treasury Spread Streak Likely on Thursday
Summary The Treasury curve moved down 6 basis points at 2 years and was down 10 basis points at 10 years over the last week. As...
SAS Weekly Bund Yield Forecast, March 1, 2024: Most Likely Range for 10-Year Bund Yields Remains 1% to 2% in 10 Years
Summary The inverted Bund yields continued this week with the negative 2-year/10-year yield spread at negative 46.7 basis points...
SAS Weekly Forecast, March 1, 2024: 7 Trading Days from a Record Negative Treasury Spread Streak
Summary The Treasury curve moved down 13 basis points at 2 years and was down 7 basis points at 10 years over the last week. As...
SAS Weekly Bund Yield Forecast, February 23, 2024: Negative 2-Year/10-Year Spread Probability Rises Again to 68.5% in August
Summary The inverted Bund yields continued this week with the negative 2-year/10-year yield spread at negative 50.1 basis points...
SAS Weekly Forecast, February 2, 2024: Long-term Peak in 1-Month Forward Treasuries Drops 0.21%
Summary The Treasury curve moved up 2 basis points at 2 years and was down 12 basis points at 10 years over the last week. As a...
SAS Weekly Forecast, January 19, 2024: End of Negative Yield Spread within 6 Months is a Coin-Flip
Summary The Treasury curve moved up 25 basis points at 2 years and up 19 basis points at 10 years over the last week. As a...
SAS Weekly Forecast, December 15, 2023: Now Nearing the Longest Inverted Yield Streak
Summary The Treasury curve moved down 27 basis points at 2 years and down 32 basis points at 10 years over the last week. As a...
SAS Weekly Forecast, December 1, 2023: Forward Treasury Peak Down 0.10%
Summary The probability that the 2-year/10-year Treasury spread is still negative in the 13 weeks ending May 31, 2024 is 61.5%,...
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...
A Practical Guide to the Valuation of Coupon-Bearing Fixed Income Securities
Robert A. Jarrow and Donald R. van Deventer A Revised Version of this Note is Forthcoming in the Journal of Fixed Income ...