Summary 28-day Bund forward rate peaks in the short-term (3.67%) and long-term (3.59%) moved closer together this week. This...
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SAS Weekly Forecast, September 1, 2023: Long-term U.S.Treasury Forward Rate Peak Exceeds Near-term Peak
This week’s twist in the U.S. Treasury 1-month forward rate curve reveals an important stepping stone toward normal yields. The...
SAS Weekly Euro Zone Forecast, August 25, 2023: End of Inverted Bund Yields Delayed
Summary The Bund 2-year/10-year spread widened to a negative 47.8 basis points from negative 42.2 basis points last week As a...
SAS Weekly Forecast, August 25, 2023: A Longer Wait for Positive Treasury Spreads
The streak of negative 2-year/10-year Treasury spreads has now reached 287 trading days, 9 trading days longer than the third...
SAS Weekly Euro Zone Forecast, August 18, 2023: Peak in Bund 1-Month Forward Rates Drops to 3.52%
Author’s Note This simulation has been done jointly with a U.S. Treasury yield simulation in a way that reflects the correlation...
SAS Weekly Forecast, August 18, 2023: Short and Long-term Forward Rate Peaks Just 4 Basis Points Apart
The streak of negative 2-year/10-year Treasury spreads has now reached 282 trading days, 4 trading days longer than the third...
SAS Weekly Euro Zone Forecast, August 11, 2023: 32.8% Probability that Negative 2-year/10-year Bund Spread Ends by February
Author’s Note This simulation has been done jointly with a U.S. Treasury yield simulation in a way that reflects the correlation...
SAS Weekly Forecast, August 11, 2023: 1 Day from Second Longest Streak of Negative 2-Year/10-Year Treasury Spreads
The streak of negative 2-year/10-year Treasury spreads has now reached 277 trading days, 1 trading day from the second longest...
SAS Weekly Euro Zone Forecast, August 4, 2023: 20.4% Probability that Negative 2-year/10-year Bund Spread Ends by February
Author’s Note This simulation has been done jointly with a U.S. Treasury yield simulation in a way that reflects the correlation...
SAS Weekly Forecast, August 4, 2023: Long-run Peak In Treasury 1-Month Forward Rates Up 0.20% to 5.28%
The current Treasury yield curve implies a long-run peak of 1-month Treasury forward rates at 5.28%, up 0.20% from last week....
SAS Weekly Euro Zone Forecast, July 28, 2023: Declining Bund Short Rates to Follow a Near-Term Peak
Author’s Note This simulation has been done jointly with a U.S. Treasury yield simulation in a way that reflects the correlation...
SAS Weekly Forecast, July 28, 2023: Long-run Peak In Treasury 1-Month Forward Rates Jumps 0.15% to 5.08%
The current Treasury yield curve implies a long-run peak of 1-month Treasury forward rates at 5.08%, up 0.15% from last week....