Courtesy of Doug Short.
Note from dshort: The rally in Treasuries went into high gear today, as the dramatic slide in yields illustrates. The 10-year note closed at 1.72, that’s 16 basis points below its all-time low, which dates way back to … let’s see … yesterday’s close! The 20-year bond dropped 21 basis points to a new low of 2.48, and the 30-year bond fell 25 basis points to 2.78. The 30-year is still above its all-time closing low, which occurred in December 2008. In fact, there have been ten days when the 30-year closed below today’s 2.78 … the last ten market days of 2008.
The first 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 two points in time: 1) today’s close and 2) the daily close on the market’s interim high on April 29th. The S&P 500 is down nearly about 14% since then.
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.
The final chart shows the percent change for a basket of eight Treasuries since the initiation of the second round of quantitative easing on November 4th, 2010.
For a long-term view of weekly Treasury yields, also focusing on the 10-year, see my Treasury Yields in Perspective.
