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The Pensford Forward Curve – Now Including 10T Projections

July 28, 2021

We’re excited to announce the Pensford Forward Curve now includes implied 10-year Treasury yields!  The interest rate tool our users rely on daily to run analysis has been revamped, giving easier access to projected future fixed rates.  Check it out below!

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What are Implied 10-year Treasury Yields?

There technically isn’t a Treasury “forward curve” like there is for LIBOR.  However, Treasury yields and swap rates are highly correlated with the spread over the past 10 years averaging just ~3 bps.

By calculating forward starting 10 year swap rates and adding this spread back in, we’re able to back into an implied projection for 10 year yields.

Don’t forget – our forward curve already includes various LIBOR tenors, SOFR, Prime, and the FOMC’s dot plot.  You can also shock each curve higher or lower using flat amounts or standard deviation adjustments.

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