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Implied Forward T-Bill Rates Show A Rise To 2.59% In 2021, Up 0.12% From Last Week

Implied forward Treasury bill rates rose moderately compared to last week after current U.S. Treasury yields moved up 0.09% on the long end of the curve. At 30 years, the rise of 0.09% was composed of a rise of 0.093% in expected future short rates and a fall of 0.003% in the term premium. The term premium, the reward for "going long" in excess of expected short term Treasuries, was 0.434% for 10 years and 0.697% for 30 years this week. Forward 1 month T-bill rates now rise steadily until October, 2021, with the peak at 2.59%, up 0.12% and 4 months later than projected last week. The largest decrease in implied forward 1 month T-bill rates was 0.06% in September 2016. The largest increase in implied forward 1 month T-bill rates was 0.15% in October 2022. The implied forecast also shows forward 10 year U.S. Treasury yields rising to… Read More …