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Distribution Of 5 Year US Treasury Yields 2015-2045

|Includes: IEF, SHY, TBF, iShares 20+ Year Treasury Bond ETF (TLT)


This projection from Kamakura Risk Information Services uses a 9 factor Heath Jarrow and Morton term structure model with rate-dependent volatility. The parameters are estimated with rate dependent volatility using quarterly data from 1962 to 2014 from the U.S. Department of the Treasury. 25,000 scenarios were generated quarterly for 30 years from the U.S. Treasury yield curve on February 9, 2015. In light of bond levels observed in the Euro zone, Japan and Hong Kong, parameters were set to allow negative rates to occur.

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