Summary The inverted Bund yields continued this week with the negative 2-year/10-year yield spread at negative 50.5 basis points...
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Forthcoming in the Journal of Financial and Quantitative Analysis: The Valuation of Corporate Coupon Bonds
Forthcoming in the Journal of Financial and Quantitative Analysis: The Valuation of Corporate Coupon Bonds Jens Hilscher, Robert...
SAS Weekly Bund Yield Forecast, May 17, 2024, with FX Rates and Options Prices out to 30 Years
Summary The inverted Bund yields continued this week with the negative 2-year/10-year yield spread at negative 46.9 basis...
SAS Weekly Forecast, May 17, 2024: 2-Year/10-Year Treasury Spread Widens to Negative 0.41%
Summary The Treasury curve was down 4 basis points at 2 years and was down 8 basis points at 10 years over the last week. As a...
SAS Weekly Bund Yield Forecast, May 10, 2024, with FX Options Prices for Maturities to 30 Years
Summary The inverted Bund yields continued this week with the negative 2-year/10-year yield spread at negative 44.9 basis points...
SAS Weekly Forecast, May 10, 2024: Negative 2-Year/10-Year Treasury Spread Streak Now at 464 Trading Days
Summary The Treasury curve was up 6 basis points at 2 years and was unchanged at 10 years over the last week. As a result, the...
SAS Weekly Bund Yield Forecast, May 3, 2024, with FX Options Prices for Maturities to 30 Years
Summary The inverted Bund yields continued this week with the negative 2-year/10-year yield spread at negative 42.3 basis points...
SAS Weekly Forecast, May 3, 2024: Treasury Forward Rate Declines Offset Last Week’s Gains
Summary The Treasury curve was down 15 basis points at 2 years and was down 17 basis points at 10 years over the last week. As a...
SAS Weekly Bund Yield Forecast, April 26, 2024: Negative 2-year/10-year Bund Spread Narrows 0.09%
Summary The inverted Bund yields continued this week with the negative 2-year/10-year yield spread at negative 40.8 basis points...
SAS Weekly Forecast, April 26, 2024: Long-term 1-Month Forward Rate Peak Up 0.12% to 5.54%
Summary The Treasury curve was down 1 basis point at 2 years and was up 5 basis points at 10 years over the last week. As a...
SAS Weekly Bund Yield Forecast, April 19, 2024: Running in Place
Summary The inverted Bund yields continued this week with the negative 2-year/10-year yield spread at negative 49.6 basis points...
SAS Weekly Forecast, April 19, 2024: Higher for 30 Years?
Summary The Treasury curve was up 9 basis points at 2 years and was up 12 basis points at 10 years over the last week. As a...