This week’s simulation shows an interest rate outlook very similar to last week, a pause after the Fed’s pause in rate hikes....
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SAS Weekly Forecast, June 9, 2023: A 14-Country Perspective on U.S. Treasury Yields
Beginning with this forecast, we benchmark the U.S. Treasury simulation on a database with seven times more data than U.S....
SAS Weekly Forecast, June 2, 2023: Treasury Forward Rates Shift Down in Short-term Maturities
The resolution of the Treasury debt cap crisis has resulted in a significant downward shift in the U.S. Treasury forward rate...
SAS Weekly Forecast, May 26, 2023: Inverted Yield Streak Now Third Longest Since 1976
As of Friday, the current streak of trading days with a negative 2-year/10-year Treasury spread has reached 225 days, the third...
SAS Weekly Forecast, May 19, 2023: Inverted Yield Streak Tied for Third Longest Since 1976
As of Friday, the current streak of trading days with a negative 2-year/10-year Treasury spread has reached 220 days, tied with...
SAS Weekly Forecast, May 12, 2023: Steep Decline In 1-Month Forward Treasury Rates Imminent
Both implied forward Treasury 1-month bill rates and simulated 3-month bill rates show a sharp drop in the near term, especially...
SAS Weekly Forecast, May 5, 2023: Long-term 1-Month Forward Rate Peak Drops 0.22%
Both implied forward Treasury 1-month bill rates and simulated 3-month bill rates show much less volatility this week. A sharp...
SAS Weekly Forecast, April 28, 2023: Treasury Debt Cap Distortion Moderates
Both implied forward Treasury 1-month bill rates and simulated 3-month bill rates show high volatility and a sharp downshift,...
SAS Weekly Forecast, April 21, 2023: Measuring Treasury Debt Cap Distortion
Both implied forward Treasury 1-month bill rates and simulated 3-month bill rates show high volatility and a sharp downshift,...
SAS Weekly Forecast, April 14, 2023: Two Years of Short-term Treasury Volatility
Both implied forward Treasury 1-month bill rates and simulated 3-month bill rates show high volatility and a sharp downshift,...
SAS Weekly Forecast, April 7, 2023: Inverted Yield Curve Now in Day 190
If the Treasury 2-year/10-year spread continues to be negative for another month, this bout of negative spreads will become the...
SAS Weekly Forecast, March 31, 2023: Long-run Peak in Treasury Forward Rates Drops 11 Basis Points
We show below that the long-run peak in U.S. 1-month forward rates dropped this week from 4.85% to 4.74%. The probability that...