Treasury 2Y-10Y Yield Spread (EOD)

yogibearbull

In monitoring the yield-curve, 2Y-10Y yield spread provides a quick indicator of steepening or flattening (now). Stockcharts provides a chart that updates end-of-the-day (EOD). Included is a live/dynamic link as well as a snapshot on 2/9/22. Yield-curve has flattened some since the last FOMC meeting (then the spread was 72-76 bps). For the last several days, the spread was 61-62 bps, but fell today to 58 bps.
https://stockcharts.com/h-sc/ui?s=$UST10Y-$UST2Y&p=D&yr=1&mn=0&dy=0&id=p66195125656

BaluBalu

Thanks. I have been following the spread and when it became very uncomfortable, I looked across the pond.

The UK Govt Bonds (Gilts) 2yr-9 yr spread is at 6 basis points and 2-10 yr spread is at 12 basis points. Imagine why one would buy the 9 yr or 10 yr Gilts instead of the 2 yr Gilts.

yogibearbull

I wish Stockcharts would recognize some real-time ticker for 2Y as it does for 3M, 5Y, 10Y, 30Y, etc. So, similar real-time charts can be constructed for spreads such as 3M-30Y, 5Y-10Y, 5Y-30Y, 10Y-30Y, but not for the most important 2Y-10Y, and that is only EOD (usually an hour after the market close).

Of course, one can monitor 2Y-10Y data point in real-time but it would be nice to a real-time chart for it too, not just EOD.

yogibearbull

So, 2Y-10Y spread collapsed to 50 bps on hot inflation news? https://www.cnbc.com/bonds/

Sven

10 yr Treasury spiked to 1.93% this morning as inflation reported at 7.5%. Another down day for bond funds.

AndyJ

yogibearbull said:

So, 2Y-10Y spread collapsed to 50 bps on hot inflation news? https://www.cnbc.com/bonds/

Yep. BNDD (curve flattener) is up about half a percent so far.

carew388

My CNBC shortcut shows 2.035%-is that wrong?

yogibearbull

@carew388, from Stockcharts (chart scale is 10x), 10-yr yield range today was 1.927-2.050%, close was 2.031% at 3:00 PM (also Yahoo Finance, Treasury). CNBC is showing 2.05% at 6:30 PM (as trading continues).
https://stockcharts.com/h-sc/ui?s=$TNX&p=D&b=5&g=0&id=p39544969842
https://finance.yahoo.com/quote/^TNX?p=^TNX
https://home.treasury.gov/resource-center/data-chart-center/interest-rates/TextView?type=daily_treasury_yield_curve&field_tdr_date_value_month=202202
https://www.cnbc.com/quotes/US10Y

carew388

1.92 for the low, I think.

yogibearbull

Low fixed, 1.927%. Thanks.

yogibearbull

Yahoo data shows flattening to 38 bps,
https://stockcharts.com/h-sc/ui?s=$UST10Y-$UST2Y&p=D&yr=1&mn=0&dy=0&id=p30770457149

catch22

Hi @yogibearbull
This chart is a just for the "heck of it", that I set several years ago for my viewing pleasure. Tracking the yield, versus pricing performance; so we're looking at the percentage change in yield rate over period "x". This particular chart is YTD.
Note: yields at various times may be viewed "hovering" on the chart lines, and the time frame may be changed from the 36 days shown below the chart.

30 year - 1 year rate of yield change

yogibearbull

2Y-10Y spread was only 17 bps. Yield-curve also has a tiny hump at 7-yr.

EOD chart should update soon, https://stockcharts.com/h-sc/ui?s=$UST10Y-$UST2Y&p=D&yr=1&mn=0&dy=0&id=p13919226325

Treasury Rates https://home.treasury.gov/resource-center/data-chart-center/interest-rates/TextView?type=daily_treasury_yield_curve&field_tdr_date_value_month=202203

Charles

Wow.

Markets don't seem too concerned today!

Charles

Unlike me.

yogibearbull

2Y-10Y spread has collapsed to only 6 bps. Middle part of the Treasury yield curve has a small bulge, so some spreads are inverted.

https://stockcharts.com/h-sc/ui?s=$UST10Y-$UST2Y&p=D&yr=1&mn=0&dy=0&id=p66195125656

catch22

Yield curve viewpoints, Bloomberg, Triple Take, Monday, March 28, 2022.
IMO, worth a peek for varying thoughts.

21 minute video

catch22

From my March, 2019 post regarding yield curve perspective from Campbell Harvey, Duke University, which includes several study links.

yogibearbull

2Y-10Y spread only 2.4 bps this morning. Let the countdown to 0 begin.

https://www.cnbc.com/bonds/

bee

Explainer: Why an inverted yield curve may not be all bad for U.S. banks

Yields on the 2-year Treasury rose higher than those of the 10-year Treasury for the first time since 2019.

That is unusual because investors typically expect more compensation for taking on the risk that rising inflation will lower the expected return from owning longer-dated bonds. That means a 10-year note typically yields more than a 2-year note.

An inverted curve has in the past preceded recessions and can act as a warning sign for such an event.

finance/why-an-inverted-yield-curve-may-not-be-all-bad-us-banks

yogibearbull

There is a lot written on whether yield-curve inversion is good (rarely) or bad (mostly), and whether it precedes recession (often but not always).

But it does affect consumer behavior for how they invest, save and spend. What is also surprising is how fast the 2Y-10Y spread has collapsed when the inflation data and Fed policy should be doing just the OPPOSITE. Strange.

Junkster

https://quantifiableedges.com/yield-curve-inversions-and-spx-returns/

Sorry if this info has already been presented. But this and another study that goes back even further argues it is a buy signal for equities when the yield curve inverts.

catch22

Hi @Junkster
Thank you for the link. This has not been presented here previous.
Take care of you and yours,
Catch

yogibearbull

Finally, 2Y-10Y spread EOD/close is negative, -6 bps. There is a middle bulge from 2 to 10 yrs. There is an odd reading for 20-yr.

https://stockcharts.com/h-sc/ui?s=$UST10Y-$UST2Y&p=D&yr=1&mn=0&dy=0&id=p66195125656

https://home.treasury.gov/resource-center/data-chart-center/interest-rates/TextView?type=daily_treasury_yield_curve&field_tdr_date_value_month=202204

Old_Joe

@yogibearbull- Thanks for your heavy-duty input to MFO. There's just a few of you guys who have the knowledge and experience to carry a lot of the real weight here. You all know who you are... thanks!

Regards- OJ

yogibearbull

@Old_Joe, thanks!

Derf

Old_Joe & yogibearbull +1

hank

Bloomberg is reporting that 2-year and 30-year treasuries are now inverted …..

yogibearbull

2Y-30Y spread has flip-flopped since last night. But generally, the middle bulge in the yield-curve is widening. Also unexplained are especially high 3Y and 20Y yields (like camel double-hump in the yield-curve) - offbeat maturities have higher yields due to lesser liquidity, but they are unusually high.
https://www.cnbc.com/bonds/

catch22

Writing style/presentation method(s) allow each of us to absorb information that may be more understandable, versus another form.
This thread has contained a variety of presentations/thoughts about the yield curve. The below link is a short read and is written, in such a way, to perhaps help some to better perceive possible yield curve implications.

Why does the yield curve invert?

Remain curious,
Catch

yogibearbull

@catch22, your link shows the double-hump in the yield-curve now,
https://responsive.fxempire.com/v7/_fxempire_/2022/04/chart-line-chart-scatter-chart-description-auto.png?func=cover&q=70&width=700