Forward 1 Month T-Bill Rates Plunge Again, With Peak Down 0.11% At 3.28% In June, 2021

By Donald van Deventer:

Forward 1 month T-bill rates fell again this week, dropping at nearly every monthly maturity for the next 10 years. The fall in implied forward 1 month Treasury bill rates stems from a decrease of 0.07% to 0.12% in current U.S. Treasury yields in the 2 to 30 year maturities. Forward 1 month T-bill rates now rise steadily until reaching a peak at 3.28% in June, 2021, a peak 0.11% lower and two months later than last week. The implied forecast also shows forward 10 year U.S. Treasury yields rising to 3.45% in 2024, down 0.08% 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


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