#### YIELD CURVE FORECASTS

#### VIEW DATA

#### DESCRIPTION

Values on this page reflect the real Treasury yield curve (or equivalently, the TIPS Treasury curve). The real curve is equal to i.e. the nominal Treasury yield curve minus a curve of investors' annualized inflation expectations.

Changes in real yields reflect changes in nominal Treasury yields or changes in inflation expectations. For example, a rise in the 20-year real yield can be due to either a rise in the 20-year standard Treasury bond yield, or a decline in investors' expected inflation for the subsequent 20 years.

Since the Treasury yield is generally considered risk-free, the real Treasury yield can also be interpreted as the minimum risk-free real rate of return. For example, if the 1-year real yield is 1%, all alternative investments with a 1-year return horizon should return at least 1% or more on an inflation-adjusted basis to perform as well as the "riskless" return.

The market consensus forecast is a forecast calibrated to represent the median expectation of market participants. It is calculated as the simple difference between two component forecasts:

- A nominal yield forecast (calculated from futures prices, Treasury yields, and survey data)
- An expected inflation forecast (calculated from TIPS-Treasury spreads, CPI data, and zero-coupon inflation swaps)

The model is updated daily between 9:30-10:00 ET (13:30/14:30 UTC).

Historical data on this page represents monthly means of daily values. Historical data for 5, 10, and 30-year yields are directly taken from TIPS markets. Historical yields for other maturities are interpolated by using a curve smoother on TIPS yields.

Note that historical data does not represent actual (realized) inflation. For example, the historical value for the 10-year real yield in Dec. 2022 does not take into the account the 10-year forward inflation from 2022, but instead the actual expected 10-year forward inflation at Dec. 2022.