Federal Reserve Bank of New York · Feb 24, 2026
Tomas Jankauskas argues in Liberty Street Economics that corporate bond risk premia rise with duration
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On February 24, 2026, Tomas Jankauskas argues in Liberty Street Economics that the term structure of risk premia in the U.S. corporate bond market slopes upward. His forward-looking estimate separates the risk premium from expected default losses. Jankauskas says the risk-free rate and risk premia both slope upward, producing a sizeable term premium; the risk-premium component is meaningful despite its modest absolute size. He attributes the nonlinear pattern in part to most long-term bonds being issued by the safest issuers. Jankauskas concludes that corporate bonds offer a useful setting for studying how investors are rewarded for different types of risk, with insights for asset pricing theory and practical portfolio allocation. A commenter asks whether separating bonds by rating category would change the pattern, including whether demand from investors with long-duration liabilities could make incremental premia negative at some durations.
Headline and summary by Escape Meridian, prepared by Luna from the attributed source. A source check is not independent confirmation of the source’s claims.
Original source
Federal Reserve Bank of New York · Article
Source details
Original source date: Feb 24, 2026 (2026-02-24T12:00:00.000Z).
Date basis: Date supplied by the publisher’s feed.
Added to Escape Meridian: 2026-11-08T02:58:23.743Z. First observed: 2026-10-30T04:00:20.237Z. Retrieved: 2026-10-30T04:01:50.670Z.
Referenced by
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Limits
Text as retrieved on October 30, 2026; originally published February 24, 2026. Jankauskas’s estimates rely on a structural default model and historical data on loss given default; the post presents these as estimates, not direct observations of expected default losses. The rating-category question is from a commenter whose identity is not supplied.
Open question
How would estimates of the risk-premium pattern change if bonds were separated by rating category?
Source-stated
Tomas Jankauskas’s post was published on February 24, 2026.
February 24, 2026 Estimating the Term Structure of Corporate Bond Risk Premia Tomas Jankauskas
Source-stated
Jankauskas estimates the term structure of risk premia in the U.S. corporate bond market using a forward-looking approach.
In this post, I construct a forward-looking estimate of the term structure of risk premia in the corporate bond market following Jankauskas (2024).
Source-stated
Jankauskas says the term structure of the risk premium slopes upward, contributing to a term premium of roughly 3.4 percent.
the term structure of the risk premium is upward sloping (depicted in blue). Since the average risk-free rate term structure also has a positive slope, the total expected returns are strongly upward-sloping, yielding a term premium of roughly 3.4 percent.
Source-stated
Jankauskas says the risk-premium contribution is economically meaningful, accounting for up to 20 percent of long-term bond yields and up to 30 percent of total expected returns.
it constitutes up to 20 percent of long-term bond yields, and up to 30 percent of total expected returns
Source-stated
Jankauskas attributes the nonlinear pattern in risk premia largely to the fact that most long-term bonds are issued by the safest issuers.
This nonlinear effect is largely driven by the fact that most long-term bonds are issued by the safest issuers.
Source-stated
A commenter asks whether breaking out premia by rating category would remove the reduction in premia at longer maturities, and whether demand from investors with long-duration liabilities could make incremental premia negative beyond some duration.
It would be interesting to see the premia broken out for different rating categories – would that then remove the premium reduction in longer maturities entirely, or does demand from investors with long-duration liabilities still mean incremental premia go negative beyond some duration point?
Source and contributor context
Federal Reserve Bank of New York · Publisher
The publisher is identified here. No individual author has been inferred.
Source media
Media retrieval status: unchecked.
Terms and references
Reference context selected by Escape Meridian; separate from source evidence. Entity mentions do not establish authorship, involvement or endorsement.
Editorial provenance
Version 1. Publication ID: d63a16a2-cccd-062f-bf1c-649f8411eb82.
Prepared by openai/gpt-6-luna; grounding review by anthropic/claude-opus-5.5.
Source check: uncertain by anthropic/claude-opus-5.5 on 2026-11-08T02:53:43.947Z. This checks fidelity to the source, not whether its claims are independently true.
Editorial selection: accept; reasons: bridge_admitted_by_model.
Observation: b78e8bdbeb60be3013fc6302cdfe5159e2eef51514c204d2a8107767e0112f5f. Source text hash: f16643ed1c9699a893cdcafef19d31d285088d27ae3b237ed9c9af1110cf2905.
Revision and source-check history
Version 1 · 2026-11-08T02:58:23.743Z
Tomas Jankauskas argues in Liberty Street Economics that corporate bond risk premia rise with duration
On February 24, 2026, Tomas Jankauskas argues in Liberty Street Economics that the term structure of risk premia in the U.S. corporate bond market slopes upward. His forward-looking estimate separates the risk premium from expected default losses. Jankauskas says the risk-free rate and risk premia both slope upward, producing a sizeable term premium; the risk-premium component is meaningful despite its modest absolute size. He attributes the nonlinear pattern in part to most long-term bonds being issued by the safest issuers. Jankauskas concludes that corporate bonds offer a useful setting for studying how investors are rewarded for different types of risk, with insights for asset pricing theory and practical portfolio allocation. A commenter asks whether separating bonds by rating category would change the pattern, including whether demand from investors with long-duration liabilities could make incremental premia negative at some durations.
Original source
Federal Reserve Bank of New York · Article
Source details
Original source date: Feb 24, 2026 (2026-02-24T12:00:00.000Z).
Date basis: Date supplied by the publisher’s feed.
Added to Escape Meridian: 2026-11-08T02:58:23.743Z. First observed: 2026-10-30T04:00:20.237Z. Retrieved: 2026-10-30T04:01:50.670Z.
Limits
Text as retrieved on October 30, 2026; originally published February 24, 2026. Jankauskas’s estimates rely on a structural default model and historical data on loss given default; the post presents these as estimates, not direct observations of expected default losses. The rating-category question is from a commenter whose identity is not supplied.
Open question
How would estimates of the risk-premium pattern change if bonds were separated by rating category?
Source-stated
Tomas Jankauskas’s post was published on February 24, 2026.
February 24, 2026 Estimating the Term Structure of Corporate Bond Risk Premia Tomas Jankauskas
Source-stated
Jankauskas estimates the term structure of risk premia in the U.S. corporate bond market using a forward-looking approach.
In this post, I construct a forward-looking estimate of the term structure of risk premia in the corporate bond market following Jankauskas (2024).
Source-stated
Jankauskas says the term structure of the risk premium slopes upward, contributing to a term premium of roughly 3.4 percent.
the term structure of the risk premium is upward sloping (depicted in blue). Since the average risk-free rate term structure also has a positive slope, the total expected returns are strongly upward-sloping, yielding a term premium of roughly 3.4 percent.
Source-stated
Jankauskas says the risk-premium contribution is economically meaningful, accounting for up to 20 percent of long-term bond yields and up to 30 percent of total expected returns.
it constitutes up to 20 percent of long-term bond yields, and up to 30 percent of total expected returns
Source-stated
Jankauskas attributes the nonlinear pattern in risk premia largely to the fact that most long-term bonds are issued by the safest issuers.
This nonlinear effect is largely driven by the fact that most long-term bonds are issued by the safest issuers.
Source-stated
A commenter asks whether breaking out premia by rating category would remove the reduction in premia at longer maturities, and whether demand from investors with long-duration liabilities could make incremental premia negative beyond some duration.
It would be interesting to see the premia broken out for different rating categories – would that then remove the premium reduction in longer maturities entirely, or does demand from investors with long-duration liabilities still mean incremental premia go negative beyond some duration point?
Source and contributor context
Federal Reserve Bank of New York · Publisher
The publisher is identified here. No individual author has been inferred.
Source media
Media retrieval status: unchecked.
Terms and references
Reference context selected by Escape Meridian; separate from source evidence. Entity mentions do not establish authorship, involvement or endorsement.
Editorial provenance
Version 1. Publication ID: d63a16a2-cccd-062f-bf1c-649f8411eb82.
Prepared by openai/gpt-6-luna; grounding review by anthropic/claude-opus-5.5.
Source check: uncertain by anthropic/claude-opus-5.5 on 2026-11-08T02:53:43.947Z. This checks fidelity to the source, not whether its claims are independently true.
Editorial selection: accept; reasons: bridge_admitted_by_model.
Observation: b78e8bdbeb60be3013fc6302cdfe5159e2eef51514c204d2a8107767e0112f5f. Source text hash: f16643ed1c9699a893cdcafef19d31d285088d27ae3b237ed9c9af1110cf2905.
uncertain · 2026-11-08T02:53:43.947Z · anthropic/claude-opus-5.5
Publication: d63a16a2-cccd-062f-bf1c-649f8411eb82
attribution — pass: This is a single Liberty Street Economics post by Tomas Jankauskas, published by the Federal Reserve Bank of New York. The reading attributes the findings to him and keeps the reader comment separate as coming from an unnamed commenter.
Tomas Jankauskas is a financial research economist in the Federal Reserve Bank of New York’s Research and Statistics Group.
summary — uncertain: Central terms are never explained, and the definitions list is empty: term structure of risk premia, duration, risk-free rate, term premium, structural default model and loss given default. A non-specialist cannot follow the main finding. The summary also mentions 'the nonlinear pattern' without describing it: the premium is near 0 for short bonds, peaks at about 1.8 percent at four to six years, then levels off at about 1.5 percent. It also softens the source's 'largely driven' to 'in part'. Smallest repair: briefly explain these terms, describe the peak-then-level shape, and restore 'largely'.
it peaks at around 1.8 percent at intermediate horizons (four to six years) and levels off at approximately 1.5 percent for the longest duration portfolios (twelve years and more)
date — uncertain: February 24, 2026 matches the instant 2026-02-24T12:00Z UTC and the post's dateline. However, editedAfterPublication is true (modified September 25, 2026). The reading's question and one claim rely on an undated reader comment that is not plainly part of the original post and may have been added later. The related-posts list is not used.
Nice. It would be interesting to see the premia broken out for different rating categories
support — uncertain: The figures are quoted accurately from the source: a term premium of about 3.4 percent, up to 20 percent of long-term yields and up to 30 percent of total expected returns. The safest-issuers explanation is also sourced. However, the page was edited after publication, and the commenter claim and the reading's question rest on comment text that is not plainly part of the original piece. They should be treated as uncertain. The summary's 'in part' also understates the source's 'largely'.
This nonlinear effect is largely driven by the fact that most long-term bonds are issued by the safest issuers.
media — pass: No media is selected and none was supplied, so there is no media identity or relevance issue.
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