The existence and magnitude of risk premiums in the Brazilian term structure is not clear, particularly because it’s a market in the process of development. Some year ago the Brazilian Central Bank created a system to measure market expectations for economic indicators, including the interest rates, and then give inputs to the inflation target regime. Nevertheless, if the system really represents “actual” expectations is a question to be answered. These are some of the motivations for this paper, together with the relation between the futures market and collected expectations, the risk premium for public debt securities and the relevance of these topics to public debt management. The main contributions are the measurement of the term structure of the risk premium in the Brazilian market, using the Kalman filter, and an estimation of market expectations. Furthermore, we investigate the expectations collected by the Central Bank and cover other minor topics, such as the determinants of the risk premium and the “government” premium.