GLOSSARY · DIVERGENCE
TYFI
Treasury Yield Fragility Index
DEFINITION
A composite index measuring divergence between survey-based yield forecasts and market reality. Higher scores indicate greater fragility — meaning Wall Street consensus on Treasury yields is disconnected from actual market pricing, creating repricing risk.
Components & Weights
Survey-Market Gap
Difference between the median Wall Street 10Y yield forecast and the actual 10Y yield. Large gaps precede volatility events.
Wall Street Dispersion
Standard deviation of Wall Street year-end 10Y yield forecasts. Wide range = high institutional disagreement about rate direction.
Curve Shape Signal
Treasury yield curve shape (2s10s, 5s30s) relative to historical norms. Extreme flattening or inversion amplifies fragility.
Score Interpretation
| Score Range | Signal | Interpretation |
|---|---|---|
| 0–30 | Low Fragility | Forecasts aligned with market; stable rate regime |
| 30–60 | Elevated Fragility | Growing gap; watch for data surprises |
| 60–100 | High Fragility | Severe forecast miss; yield volatility risk elevated |