Question about the mysterious term premium. If you search ACMPT10 on Bloomberg, you can get an estimate of the 10Y term premium with daily prints and a long history. It correlates very well with real 10 year rates in the US, particularly over the last 5 years. Can someone bridge the gap for me and explain why they are correlated?
So, “term premium” means the spread over expected rates for some future date, like 10 years? How would you derive this value, other than by inferring it from 10 year rates to begin with?