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Friday, March 29, 2024

Treasury Rally On Steroids

Courtesy of Doug Short.

Quick Take: Anyone expecting the Friday Standard & Poor’s downgrade to drive yields higher in today’s market was again disappointed. The flight to Treasuries continues unabated. The yield on the 10-year note closed the day at 2.20, just 12 basis points above the all-time low set in December of 2008 during the darkest days of the Great Financial Crisis. Let’s see, didn’t Standard & Poor’s lower their long-term sovereign credit rating on the United States of America?


The behavior of Treasuries has been an area of special interest in light of the Fed’s second round of quantitative easing, which was formally announced on November 3rd and ended on June 30th. The first chart shows the percent change for a basket of eight Treasuries since November 4th.


 

 

The next chart shows the daily performance of several Treasuries and the Fed Funds Rate (FFR) since 2007. The source for the yields is the Daily Treasury Yield Curve Rates from the US Department of the Treasury and the New York Fed’s website for the FFR.

 

 

Here’s a closer look at the past year with the 30-year fixed mortgage added to the mix (excluding points).

 

 

Here’s a comparison of the yield curve at three points in time: 1) the Fed’s QE2 announcement, 2) the February interim high for the 7, 10, 20 and 30-year yields 3) and the latest curve.

 

 

The next chart shows the 2- and 10-year yields with the 2-10 spread highlighted in the background.

 

 

The final chart is an overlay of the CBOE Interest Rate 10-Year Treasury Note (TNX) and the S&P 500.

 

 

For a long-term view of weekly Treasury yields, also focusing on the 10-year, see my Treasury Yields in Perspective.

 

 

 

 

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