Every Treasury yield is the sum of two things: what markets expect short-term rates to average over the life of the bond and the extra yield investors demand as compensation for committing capital for longer. That extra yield is the term premium. The decomposition takes the form

$$y_n = \hat{y}_n + \xi_n$$

where

$y_n$ — observed Treasury yield at tenor $n$
$\hat{y}_n$ — risk-neutral yield (expected average short rate over the bond's life)
$\xi_n$ — term premium

The term premium is time-varying and can turn negative. During the Fed's quantitative easing programs (2008–2022), large-scale asset purchases suppressed term premia — long-term yields fell not because rate cut expectations changed, but because the risk compensation demanded by investors collapsed. Understanding which component is driving a yield move is essential for reading monetary policy signals accurately.

This tool estimates term premia using the ACM model (Adrian, Crump, and Moench 2013), the Federal Reserve Bank of New York's official decomposition methodology. It uses a three-step linear regression on principal components of the yield curve to separate the expectations and risk-compensation components at each maturity.

Instructions

use the View menu to switch between Premia and Components
in Premia view: select one or more tenors (1Y–30Y) using the checkboxes and a date range; the chart shows each selected tenor labeled as e.g. 10 Yr (premium)
in Components view: select a single tenor from the dropdown to see the full decomposition — three lines labeled 10 Yr, 10 Yr (expected), and 10 Yr (premium)
click GO to update the chart after changing dates or tenors
click the sparkle button to open ChatYCP and ask questions about the data (login required)

Notes

term premia are estimated using all available daily yield curve history; the model re-fits after new data arrives and estimates for earlier dates may be revised slightly (normal for time-series models of this type)
negative term premia indicate that investors accept a lower yield than the expected short-rate path — common when safe-haven demand or central bank buying compresses risk compensation
try asking ChatYCP: "Current 10Y term premium?" or "How many days has 10Y TP been negative total?"
our estimates will run approximately 1–2 percentage points higher than the NY Fed's published ACM series. the ACM model's VAR learns the unconditional mean short rate from history. the NY Fed trains on data back to 1961 (including the Volcker-era rates of 5–15%); this site uses data from 2001-present, a window dominated by the zero-rate era (2008–2021). as a result, our VAR estimates that rates mean-revert to roughly 2%, attributing more of the current yield to "premium" and less to "expected short rates." this is a known limitation of re-estimating the ACM model on a shorter history, not an error in the implementation. the NY Fed's published series is linked below.

Use Cases

parsing yield moves: when the 10Y yield rises, check whether the term premium or the expectations component is driving it; a term-premium rise signals shifting risk appetite, an expectations rise signals a more hawkish Fed repricing
monitoring QE/QT impact: term premia compress during asset purchase programs and widen during balance-sheet runoff; this page makes that dynamic visible in real time
cross-maturity risk structure: compare 2Y vs. 10Y term premia to understand where in the curve investors are demanding the most compensation
historical context: place today's term premium in context — is it elevated relative to the past decade, or near the post-QE floor?

Premia