Pôle Thématique · 20 Notes Publiées
Fomc Treasury Term Premium research topics and source records from AlphaPulse Finance. Ten-year US Treasury ACM term premia averaged +46 bps in Q4 2026 as Federal Reserve SOMA transitions toward reserve management purchases and primary dealers absorb $294B in net coupon supply across benchmark FOMC monetary policy corridors.
Ten-year US Treasury ACM term premia averaged +46 bps in Q4 2026 as Federal Reserve SOMA transitions toward reserve management purchases and primary dealers absorb $294B in net coupon supply across benchmark FOMC monetary policy corridors.
Discrepancies of 28 to 42 bps between NY Fed ACM five-factor and Federal Reserve Board Kim-Wright 10-year Treasury term premia stem from survey anchoring versus pure cross-sectional principal component regressions in macro rates markets.
Quarterly Refunding Announcements holding benchmark 10-year new issues at $42B and 30-year bonds at $25B push T-bill share toward 21.8% as Treasury balances macro term premia against weighted-average maturity rollover risk.
Ten-year US Treasury auctions stopping 1.8 bps or more above the 1:00 PM ET when-issued yield alongside primary dealer awards above 17.5% trigger measurable intraday volatility across multi-asset capital markets.
Thirty-year US Treasury long bonds trading near 4.61% par yield deliver +3.42 years-squared of positive convexity, drawing structural STRIPS immunization flows from funded corporate pension plans across capital markets.
Monthly $69B 2-year US Treasury note auctions trade at a +9 to +16 bps asset-swap spread above matched-maturity SOFR OIS forward paths, isolating FOMC rate-cut probabilities from front-end dealer balance sheet friction.
Upward migration of the FOMC Summary of Economic Projections longer-run median dot from 2.50% to 3.00% alongside 88 bps of interquartile dispersion elevates 1y2y swaption volatility across macro rates desks.
Divergence of 133 bps between NY Fed Holston-Laubach-Williams (+0.82%) and Richmond Fed Lubik-Matthes (+2.15%) real neutral rate estimates frames the macro debate over FOMC policy restrictiveness.
With agency MBS prepayments locked near $13.8B per month against a $35B cap, redirecting MBS principal paydowns into front-end Treasury bills reshapes Federal Reserve SOMA maturity composition across capital markets.
Weekly US Treasury liquidity-support buybacks capped at $4.0B per operation compress off-the-run 20-year and 30-year spline errors by 1.8 to 3.4 bps while freeing primary dealer balance sheet capacity.
Maintaining an $850B quarter-end Treasury General Account cash buffer under 5-day outflow coverage rules drains commercial bank reserves dollar-for-dollar once ON RRP balances fall below $100B.
Disinversion of the US Treasury 2s10s curve to +44 bps through bear steepening rather than front-end recessionary cuts alters cross-asset equity and credit beta across institutional portfolios.
Cash-futures basis arbitrage across $950B+ of CFTC leveraged-fund Treasury futures shorts governs how primary dealers clear benchmark 10-year and 30-year auction duration.
Thirty-year USD SOFR OIS fixed swap rates trading 76 bps below matched-maturity US Treasury yields reflect funded sovereign balance sheet scarcity rather than counterparty credit advantage.
Foreign investors hold over $8.6T of US Treasuries, yet shrinking official reserve share (30% vs 55% private) increases yield elasticity to 3-month FX-hedged pickup against JGBs and Bunds.
Negative convexity across $9.1T of agency MBS forces mortgage servicers and money managers to shed duration as yields rise, amplifying 10-year US Treasury volatility during macro rate selloffs.
Sustained ICE BofA MOVE Index readings near 98 bps of annualized normal volatility tighten primary dealer Value-at-Risk limits and add +18 to +24 bps directly to 10-year US Treasury term premia.
Applying Federal Reserve Monetary Policy Report inertial Taylor rules with Core PCE at 3.40% and +1.00% r* prescribes a 4.02% policy rate—closely tracking the FOMC 3.75%-4.00% corridor.
Federal Reserve SOMA Reserve Management Purchases of secondary T-bills maintain commercial bank reserves near $3.12T (10.4% of nominal GDP) to prevent September-2019-style repo rate spikes.
Trading at 4.74% against 4.32% 10-year notes and 4.61% 30-year bonds, the 20-year US Treasury bond forms a +55 bps 10s20s30s butterfly kink driven by segmented natural demand.
Nominal 10-year yields reflect both the expected path of overnight FOMC policy rates and the ACM term premium. If FOMC rate-cut expectations deepen by 30 bps while heavy QRA coupon supply lifts the ACM term premium by 30 bps, nominal yields remain unchanged near 4.32% despite steepening risk.
When SOMA allows maturing Treasuries to roll off without full reinvestment, the Treasury must refinance those redemptions via public auctions. Every $100B of annual coupon runoff shifts roughly $65M-$80M of DV01 onto primary dealers, pension funds, and leveraged cash-futures basis desks.
Persistent Treasury coupon issuance forces dealers to finance cash bonds on balance sheet under Basel III Supplementary Leverage Ratio constraints, cheapening cash 30-year Treasuries to roughly 76 bps above matched-maturity unfunded OIS SOFR swaps.
Liquidity-support buybacks retire seasoned off-the-run bonds trading cheap to fitted par splines, narrowing old-versus-new yield spreads by 1.5 to 3.5 bps without altering net fiscal borrowing over the full quarterly refunding cycle.
ACM estimates expected short rates solely from current yield-curve principal components via linear OLS coefficients. Any steepening move immediately shifts the factor loadings, whereas Kim-Wright anchors long-horizon rate expectations to slow-moving Blue Chip economist surveys.
Because interest rates are highly persistent near unit roots, finite-sample OLS vector autoregressions underestimate persistence and overestimate speed of mean reversion, causing raw models to understate future short rates and overstate the residual term premium.