The ability of forward rates to forecast bond risk premia changes systematically with economic conditions and the level of yields. Two readily observable factors capturing, respectively, long-term yield convergence implied by monetary policy and flight-to-safety episodes substantially improve the fit in the forecasting regression of future bond returns. Adding these variables together with forward rates brings the corresponding R-squared to (at least) 0.50 across subperiods and yield regimes. Their impact remains statistically sizeable out-of-sample, and is robust to controlling for macro and hidden factors in the cross-section of yields. We show that the factors act as instrumental variables filtering forward rates from predictable changes in future yields. Indeed, they reduce by a third the RMSE of one-year yield forecast compared to slope predictions. Overall, our results suggest that forward rates remain the predominant predictors of bond risk premia once the effect of time-varying expected yield changes is properly controlled for.