As of Friday, the current streak of trading days with a negative 2-year/10-year Treasury spread has reached 220 days, tied with...
CONNECT ME
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,...
A 10-Factor Heath, Jarrow, and Morton Stochastic Volatility Model for the U.S. Treasury Yield Curve, Using Daily Data from January 1, 1962 through March 31, 2023
Daniel Dickler, Robert Jarrow, Stas Melnikov, Alexandre Telnov, Donald R. van Deventer and Xiaoming Wang[1] First Version: April...
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...
SAS Weekly Forecast, March 24, 2023: Calculating the Default Risk of Interest Rate Mismatches
The weekly interest rate simulation now includes an assessment of the probability of default when a bank, institutional...
SAS Weekly Forecast, March 17, 2023: Silicon Valley Bank Treasury Shock Persists
Today’s Treasury yield simulation reflects the continuing effects of the “flight to safety” in the wake of the collapse of...
SAS Weekly Forecast, March 10, 2023: Silicon Valley Bank Flight to Safety Edition
Today’s Treasury yield simulation reflects the strong investor “flight to safety” in the wake of Friday’s collapse of Silicon...