Forward T-Bill Rates Flatten, With Projected 10 Year Treasury Yields Down 0.14% In 2024 From Last Week


  • Implied forward T-bill rates rise steadily to 3.77% in 2024, with the peak beyond that date.
  • Implied bill rates were down as much as 0.18% in 2020 compared to last week.
  • The implied forward 10 year U.S. Treasury yield dropped 0.14% to 3.83% in 2024.

Projected one month Treasury bill rates showed a flattening this week, with rates in 2020 down by as much as 0.18% and rates in 2024 up by 0.02%. Forward one month T-bill rates are now projected to peak beyond the ten year horizon of the forecast, rising steadily to 3.77% in April 2024. This ends a seven week stretch of implied one month bill peaks inside of our 10-year forecast horizon. The forecast shows projected 10-year U.S. Treasury yields rising steadily to 3.83% in 2024, down 0.14% from last week. We also present three potential scenarios consistent with the implied forecast that represent alternative paths for interest rates. This kind of multi-factor scenario generation is essential for comprehensive asset and liability management at banks, insurance firms, pension funds, and endowments. These scenarios are consistent with a multi-factor rate model benchmarked in 52 years of U.S. history, discussed below. For an update of the outlook for mortgages and the valuation of mortgage servicing rights, please see Kamakura Corporation's weekly mortgage forecast.

Here are the highlights of this week's implied forecast:

  1. Over the next 120 months, the maximum implied forward one month T-bill rate is 3.77%.
  2. The implied forward one month T-bill rate increases steadily over the next 120 months and reaches this peak at April 30 2024.
  3. The largest increase in implied forward one month T-bills versus last week's forecast is 0.02% on April 30 2024.
  4. The largest decrease in implied forward one month T-bills versus last week's forecast is -0.18% on October 31, 2020.
  5. The U.S. Treasury 10-year yield decreased this week by 0.11%.
  6. The 10-year U.S. Treasury yield is projected to reach 2.87% in one year, a change of 0.37% versus today's yield level.
  7. Looking ahead 10 years the 10-year U.S. Treasury yield implied by current bond prices is 3.83%, a

This article was written by

Donald van Deventer profile picture
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Donald R. van Deventer is a Managing Director in the Center for Applied Quantitative Finance at SAS Institute, Inc. Prior to the acquisition of Kamakura Corporation by SAS on June 24, 2022, Dr. van Deventer was the Chairman and Chief Executive Officer of Kamakura Corporation. He founded the Kamakura Corporation in April, 1990. The second edition of his book, Advanced Financial Risk Management (with Kenji Imai and Mark Mesler) was published in 2013.  Dr. van Deventer was senior vice president in the investment banking department of Lehman Brothers (then Shearson Lehman Hutton) from 1987 to 1990. During that time, he was responsible for 27 major client relationships including Sony, Canon, Fujitsu, NTT, Tokyo Electric Power Co., and most of Japan's leading banks. From 1982 to 1987, Dr. van Deventer was the treasurer for First Interstate Bancorp in Los Angeles. In this capacity he was responsible for all bond financing requirements, the company’s commercial paper program, and a multi-billion dollar derivatives hedging program for the company. Dr. van Deventer was a Vice President in the risk management department of Security Pacific National Bank from 1977 to 1982. Dr. van Deventer holds a Ph.D. in Business Economics, a joint degree of the Harvard University Department of Economics and the Harvard Graduate School of Business Administration. He was appointed to the Harvard University Graduate School Alumni Association Council in 1999 and served through 2021. Dr. van Deventer was Chairman of the Council for four years from 2012 to 2016. From 2005 through 2009, he served as one of two appointed directors of the Harvard Alumni Association representing the Graduate School of Arts and Sciences. Dr. van Deventer also holds a degree in mathematics and economics from Occidental College, where he graduated second in his class, summa cum laude, and Phi Beta Kappa. Dr. van Deventer speaks Japanese and English.

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