Summary The most likely range for 3-month bill yields is the 1% to 2% range, unchanged from last week. The probability of being...
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SAS Weekly Treasury Simulation, July 25, 2025: Peak in One-Month Forward Treasuries Drops 0.24% to 5.97%
Summary The most likely range for 3-month bill yields is the 1% to 2% range, unchanged from last week. The probability of being...
HJM++© Correlated Government Yield and Foreign Exchange Rate Simulations for Asia-Pacific, Europe and North America, July 18, 2025
The Heath, Jarrow and Morton [1992] framework for simulation and valuation using risk-free interest rates has been called “the...
SAS Weekly Treasury Simulation, July 18, 2025: Peak in One-Month Forward Treasuries Up 0.10% to 6.21%
Summary The most likely range for 3-month bill yields is the 1% to 2% range, unchanged from last week. The probability of being...
SAS Weekly Treasury Simulation, July 11, 2025: Peak in One-Month Forward Treasuries Jumps 0.18% to 6.11%
Summary The most likely range for 3-month bill yields is the 1% to 2% range, unchanged from last week. The probability of being...
How Well Do U.S. Treasury Yields Forecast Inflation? An Update Through June 30, 2025
Donald R. van Deventer July 8, 2025 Abstract The size of the term premium embedded in the current U.S. Treasury yield curve has...
SAS Weekly Treasury Simulation, July 3, 2025: Most Likely Level for 3-Month Bill Rate in Ten Years Steady at the 1% to 2% Range
Summary The most likely range for 3-month bill yields is the 1% to 2% range, unchanged from last week. The probability of being...
SAS Weekly Treasury Simulation, June 27, 2025: Most Likely Level for 3-Month Bill Rate in Ten Years Up One Percent to 1% to 2% Range
Summary The most likely range for 3-month bill yields is the 1% to 2% range, up one percent from last week from last week. The...
SAS Weekly Treasury Simulation, June 20, 2025: Peak in One-Month Forward Rates Up 0.14% to 6.16%
Summary The most likely range for 3-month bill yields is the 0% to 1% range, unchanged from last week. Treasury 2-year yields...
SAS Weekly Treasury Simulation, June 13, 2025: Most Likely Range for Three-Month Bill Rate in 10 Years Drops One Percent
Summary The most likely range for 3-month bill yields is the 0% to 1% range, down from the 1% to 2% range last week. Treasury...
SAS Weekly Treasury Simulation, June 6, 2025: Peak in One-Month Forward Rates Drops 0.29%
Summary The most likely range for 3-month bill yields is again the 1% to 2% range, now 45 basis points more likely than the 0%...
SAS Weekly Treasury Simulation, May 30, 2025: Most Likely Range for 10-Year Yield in 2035 Is 2% to 3%
Summary The most likely range for 3-month bill yields is again the 1% to 2% range, just 22 basis points more likely than the 0%...