The QE2 Grenade: Measuring the Treasury Yield Increases

Includes: IEF, TBF, TBT, TIP, TLT
by: Doug Short

To supplement to my periodic updates of the Treasury yield curve itself, let's take a closer look at the percent change in the individual yields.

The table above represents the percent change in each of seven maturities since the November 3rd FOMC press release announcing the details of the latest round of quantitative easing (aka QE2). The increases are absolutely stunning. Imagine, for example, buying a 3-year Note only to discover that, had you delayed a month or so, the yield would have been 140% higher yield.

Let's look at the table data as a chart (click to enlarge).

Click to enlarge

As I've said elsewhere, it's probably too soon to write off the effectiveness of the new round of Fed Treasury purchases. But if a key objective was to keep interest rates low, the Fed's "Hail Mary" pass appears to have been a grenade.