  We present compelling empirical evidence for a new interpretation of the
Forward Rate Curve (FRC) term structure. We find that the average FRC follows a
square-root law, with a prefactor related to the spot volatility, suggesting a
Value-at-Risk like pricing. We find a striking correlation between the
instantaneous FRC and the past spot trend over a certain time horizon. This
confirms the idea of an anticipated trend mechanism proposed earlier and
provides a natural explanation for the observed shape of the FRC volatility. We
find that the one-factor Gaussian Heath-Jarrow-Morton model calibrated to the
empirical volatility function fails to adequately describe these features.
