Our Market Consensus Forecast is a model that calculates the average "market expected" forecast of U.S. Treasury yield rates.
It is derived using current Treasury bond market data as well as futures market data. In particular, we forecast seperately:
- The risk-free rate, using federal funds rate futures;
- The spread of the Treasury yield curve above the risk-free rate; further decomposed into a term premia factor (estimated using the Treasury futures market) and an expectations component (estimated using the current Treasury yield curve).
We then combine these forecasts and smooth them using a 3-factor parametrization model, generating the final forecast. The forecast can be considered an approximation of the market-average expected yield.
This model is updated daily around 10:30 ET (14:30/15:30 UTC) on market days.