US Treasury 10-Year ACM Term Premium vs. Nominal 10Y Yield
New York Fed ACM Term Premium Decomposition, Expected Short-Rate Path, and Sovereign Duration Risk Premia (1982–2026)
The New York Fed Adrian-Crump-Moench (ACM) 10-Year Term Premium stands at +0.38% (+38 basis points) alongside a nominal 10-Year Treasury yield of 4.08%. The term premium represents the compensation investors demand for bearing duration risk over holding a series of short-term Treasury bills. After spending nearly an entire decade in deeply negative territory (-1.35% in March 2020 due to quantitative easing and deflation hedging), the term premium has structurally normalized.
Read Master Reference Guide: PCA Yield Curve Decomposition: Level, Slope & Curvature →Historical Macro Cycle Benchmarks & Inflection Points
Pre-rendered empirical time-series data table for search engine verification and cycle benchmarking.
| Macro Cycle Phase | ACM 10Y Term Premium | Nominal 10Y Treasury Yield | Macro Monetary Regime | Duration Transmission |
|---|---|---|---|---|
| 1982 (Volcker Peak Inflation) | +4.65% | 14.59% | Extreme Duration Risk | All-Time Historic Term Premium High; Severe Tightening |
| 2005 (Greenspan Conundrum) | +0.45% | 5.11% | Global Savings Glut | Long Rates Anchored by Sovereign FX Recycling |
| 2013 (Bernanke Taper Tantrum) | +0.35% | 2.81% | Rapid Term Premium Snapback | Markets Reprice Duration as QE Exit Beckons |
| 2016 (Global Negative Yields) | -0.75% | 1.50% | Sovereign Duration Squeeze | Negative German Bund & JGB Spillovers |
| March 2020 (Pandemic Emergency QE) | -1.35% | 0.70% | Historic All-Time Low | Fed Balance Sheet Absorbs Massive Duration |
| October 2023 (Treasury Refunding Surge) | +0.32% | 4.88% | Return to Positive Regime | Deficit Supply Sparks Buyers Strike in Long End |
| September 2026 (Current Baseline) | +0.38% | 4.08% | Normalized Risk Premium | Moderate Positive Duration Compensation |
1. The Adrian-Crump-Moench (ACM) Decomposition
Developed by economists Tobias Adrian, Richard Crump, and Emanuel Moench at the Federal Reserve Bank of New York, the ACM model decomposes the nominal yield curve into two distinct components: the risk-neutral expected path of short-term interest rates over the life of the bond, and the term premium.
$$\text{Nominal 10Y Yield} = \frac{1}{10}\sum_{t=0}^9 \mathbb{E}_0[r_t] + \text{Term Premium}_{10}$$
2. What Drives the Sovereign Term Premium?
The term premium is the excess yield that investors demand for holding a long-term bond instead of rolling over short-term bills. It fluctuates based on three primary macroeconomic forces: inflation volatility uncertainty, sovereign bond supply relative to institutional demand, and central bank balance sheet intervention (Quantitative Easing vs. Quantitative Tightening). A positive term premium indicates that long-term bondholders are receiving positive compensation for bearing duration risk.