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Treasury Curve Twists Sharply This Week, With Forward T-Bill Rates Peaking At 3.25% In 2021
- Current U.S. Treasury yields rose 0.06% to 0.08% this week at maturities from 2 to 7 years.
- The resulting forward 1-month T-bill rates twisted sharply, up 0.16% in 2016 and down 0.18% in 2024.
- Forward 1-month T-bill rates now peak at 3.25% in April 2021, 0.14% higher than the peak of two weeks ago.
What The Plunge In U.S. Treasury Yields Means For The Next 10 Years
- The current yield curve can be used to imply forward U.S. T-bill rates. We do this after the drop of 0.11% to 0.20% in Treasuries from 2 to 30 years.
- Forward 1-Month T-bill rates are now projected to peak at 3.11% in February 2022, 0.17% lower and 8 months later than last week's implied forwards.
- The implied U.S. Treasury yield in 2024 is 3.32%, down 0.13% from last week.
Inflation, Deflation, And Our Very Confident Bet In T-Bonds
- I’ve been touting the ongoing bull market in T-Bonds as one of the best investment opportunities of our lifetime -– a no-brainer, as far as I can recommend.
- Deflation-wise, this is where the rubber will meet the road, drawing irresistible power from the inevitable implosion of the quadrillion dollar Ponzi scheme popularly known as “derivatives.”.
- A hyperinflation would not be driven by wage pressures or rising prices, or even by a further increase in the money supply, but by the epiphany of the dollar’s worthlessness.
- Enough news has occurred in less than a week to document it in another article on Treasuries.
- To me, this news provides accelerating positive arguments for lower Treasury rates, though this is not a day-to-day timing call.
- All this is consistent with the Taper following the pattern set at the end of QE 1 and QE 2.
Forward 1-Month T-Bill Rates Plunge Again, With Peak Down 0.11% At 3.28% In June, 2021
- Current U.S. Treasury yields fell again this week, dropping 0.07% to 0.12% at maturities from 2 to 30 years.
- The peak in implied forward 1-month T-bill rates dropped 0.11% to 3.28% in June, 2021.
- The 10-year U.S. Treasury yield dropped 0.10% this week and is now projected at 3.45% in 2024, down 0.08% from last week.
- Treasury bonds may be well-positioned to rally further as QE ends, surprising consensus.
- This would reprise their action after QE 1 and QE 2 ended.
- Recent data affecting bonds is favorable as I see it.
- This article updates my case for interest rate bullishness from late August.
Forward 1-Month T-Bill Rates Fall Again, With Peak Down 0.10% At 3.39% In April 2021Donald van Deventer • Fri, Oct. 3
- Current U.S. Treasury yields fell 0.05% to 0.08% this week at maturities from 5 to 30 years.
- Forward 1-month T-bill rates dropped as much as 0.17%, with the peak now projected at 3.39% in April 2021, down 0.10% and 2 months later than last week.
- The 10-year Treasury yield is down 0.08% from last week. The forward 10-year yield in 2024 dropped 0.09% to 3.53%.
Forward 1-Month T-Bill Rates Plunge, With Peak Down 0.15% At 3.49% In 2021Donald van Deventer • Thu, Sep. 25
- Current Treasury yields dropped 0.07% to 0.14% at maturities from 3 years to 30 years this week.
- Forward 1 month T-bill rates are now projected to peak at 3.49% in February 2021, 0.15% lower than last week.
- The forward U.S. Treasury 10 Year Yield dropped 0.19% to 3.62% in 2024.
Forward 1 Month T-Bill Curve Surges Again, With Peak At 3.64% In February, 2021
- Current U.S. Treasury yields jumped 0.06% to 0.10% again this week in the 5 to 30 year maturities.
- This triggered a 0.20% or greater surge in forward 1 month Treasury bill rates in the 2020 to 2021 maturities.
- The peak in 1 month forward T-bill rates is now 3.64% in February 2021, 2 months earlier and 0.23% higher than last week.
- Fundamentals and tactical indicators have finally turned against US Treasuries in a decisive manner.
- In this short article I will explain why I believe this to be the case.
- Investors wanting to participate in this expected increase in Treasury yields can do so by increasing their exposure towards inverse Treasury ETF’s.
- Despite the gradual reduction of treasury bond purchases by the U.S central bank and forecasts of higher rates in 2015, long-term bonds have outperformed in 2014.
- The iShares 20+ Year Treasury Bond ETF has been up 13.2% YTD as of 9 Sep 2014, outperforming even the S&P500 index.
- Low inflationary pressures are countering the forecasts of higher interest rates on long-term bonds for the time being.
- Global interest rates have continued to decline throughout the summer as global growth remains sluggish and inflation pressures remain muted.
- As real yields continue to fall in the Eurozone in anticipation of ECB QE, the US Treasury bond market will become even more attractive.
- The new regulatory framework implementation will continue to nominally pull interest rates lower.
- The end of the Fed's QE program will not lead to a massive interest rate sell off in long dated US bonds due to mortgage hedging dynamics.
- Investors and traders turned their focus on the Fed yet again, with the media reciting Yellen’s Jackson Hole comments.
- What happens in the U.S. may end up being a side show relative to Europe now.
- If Draghi initiates QE and inflation expectations rise, then European yields likely rise and that could finally break the Treasury uptrend.
Forward 1-Month T-Bill Rates Twist Again With A 2021 Peak Implied At 3.32%, Down 0.06% From Last Week
- U.S. Treasury yields jumped 0.04% to 0.08% in the 2- to 7-year maturities this week.
- This caused a twist in the implied 1-month forward T-bill rates, with the May 2016 rate down 0.19% and the January 2023 rate up 0.07%.
- The peak in implied 1-month forward T-bill rates is now 3.32% in June 2021, a peak from 3 months earlier and 0.06% lower than last week.
- Buying Treasuries is like buying insurance, if everything goes well you'll be sorry you bought them.
- But when things go wrong you'll be sorry you didn't.
- The threat of rising interest rates makes it a difficult time to feel comfortable investing in treasuries.
- Here's how I am dealing with this dilemma.
Forward 1-Month T-Bill Rates Plunge 0.26%, But Forward 10-Year U.S. Treasury Yields Down Only 0.04% From Last WeekDonald van Deventer • Sat, Aug. 9
- Current 5- and 7-year U.S. Treasury yields dropped about 0.16% from last week.
- In response, forward 1-month T-bill rates dropped 0.26% in June 2016. The peak now comes at 3.45% in June 2021, about the same peak as 2 weeks ago.
- The drop in forward 10-year U.S. Treasury yields in 2024 was only 0.04%, although current 10-year yields dropped 0.15% on the week.
Forward 1-Month T-Bill Rates Surge 0.15% In 2021 After 0.06% Rise In Current 7- And 10-Year Treasury YieldsDonald van Deventer • Fri, Aug. 1
- This week's 0.06% rise in 7- and 10-year U.S. Treasury yields triggered a 0.15% rise in implied forward T-bill rates.
- Forward 1-month T-bill rates now reach a peak of 3.62% in March 2021, one more earlier and 0.15% higher than last week.
- The 2024 implied forward U.S. Treasury 10-year yield dropped 0.01% to 3.76%.
There are no Transcripts on TLT.
Fri, Nov. 7, 11:47 AM
- Not much is going on with the major U.S. averages as they digest the fast pace of earnings and today's inline-to-strong jobs number, but Europe's heading for a nasty close, with the Stoxx 50 (NYSEARCA:FEZ) lower by 1.2%, including Germany (NYSEARCA:EWG) and France (NYSEARCA:EWQ) each down 1%.
- Possible excuses are the lack of movement on further ECB stimulus and Ukraine's claims of 32 Russian tanks rolling into its country.
- Also on the move is gold (GLD +1.9%) after an ugly run lower over the past couple of weeks.
- Meanwhile, 10-year Treasury yields - with the prospect of rate hikes next year made even more definite by today's jobs number - are sharply lower, down nine basis points to 2.31%. TLT +0.9%, TBT -1.8%
- Previously: Jobs +214K, UE rate to 5.8%
Fri, Nov. 7, 8:51 AM
- The roughly inline nonfarm payrolls report has the algos at work, but most markets are about where they were before the 8:30 ET print.
- Gold (NYSEARCA:GLD) is ahead by 0.4% to $1,146 per ounce, S&P 500 (NYSEARCA:SPY) futures are higher by 0.2%, the dollar (NYSEARCA:UUP) is lower by 0.25%, and the 10-year Treasury (NYSEARCA:TLT) yield is flat at 2.39%.
- Previously: Jobs +214K, UE rate to 5.8%
Wed, Oct. 29, 2:12 PM
- The S&P 500 (SPY -0.4%), Nasdaq 100 (QQQ -0.7%), and DJIA (DIA -0.3%) are a tiny bit lower now than they were ahead of the FOMC statement.
- The 10-year Treasury yield, up three basis points ahead of the statement, is now up five bps to 2.35%. TLT -0.3%. Gold (GLD -1%) takes the biggest hit, falling about $10 per ounce since the statement, now off 1% on the session at $1,217.
- Previously: QE ends, "considerable time" language stays for now
Thu, Oct. 16, 11:48 AM
- Another crazy day in bond land has the U.S. 10-year Treasury yield higher by one basis point to 2.15% after earlier falling all the way to 1.97%. Helping is some decent economic data (Philly Fed, jobless claims), and a turnaround in equities as both the Fed and ECB put out word - in case anyone forgot - of their willingness to step in to arrest just about any market decline.
- TLT -0.45%, TBT +0.9%
- ETFs: TBT, TLT, TMV, TBF, EDV, TMF, TTT, ZROZ, SBND, TLH, DLBS, VGLT, UBT, TLO, TENZ, LBND, TYBS, DLBL
Wed, Oct. 15, 3:46 PM
- Alongside a major reversal in stocks - with the Russell 2000 now higher by 1.3% and the Nasdaq back to flat - has been an even bigger turnaround in Treasurys.
- The 10-year yield plunged all the way down to about 1.90% earlier this morning (from 2.20% yesterday) as "position squaring" in futures combined with some fixed-income bullish news and data to create a buying panic. The yield has now returned to 2.15%. Once up around 4% on the session, TLT is ahead just 0.3%.
Wed, Oct. 15, 9:35 AM
- No need to do a double-take. The 10-year Treasury yield is now lower by 20 basis points to 2.00%, with clearly something more at work than a couple of weak economic reports.
- Germany goes full Japan, with 10-year Bund yields lower by nine basis points to 0.71%, and U.K. 10-year Gilt yields are down 16 bps to 1.98%.
- Previously moving lower in lockstep with Germany, peripheral yields don't keep up today. Spanish 10-years are up four bps to 2.14% and Italy's are up 14 basis points to 2.45%.
- Previously: Treasury yields tumble after weak data; S&P futures down 1%
- TLT +2.8%
- ETFs: TBT, TLT, TMV, IEF, TBF, EDV, PST, TMF, TTT, ZROZ, SBND, TLH, IEI, TYO, DLBS, DTYS, VGLT, UST, UBT, TLO, PLW, VGIT, GOVT, TBX, GSY, TENZ, SCHR, DTYL, TYD, ITE, LBND, TYBS, DLBL, TBZ, FIVZ, DFVL, DFVS, TAPR, TYNS
Wed, Oct. 15, 8:41 AM
- The 10-year Treasury yield is quickly heading towards a "1" handle, off nine basis points this morning to just 2.11% after a trio of weak economic reports, led by core retail sales falling 0.2% in September vs. an expected gain of 0.3%.
- There was also a big slump in the Empire State survey, and core PPI came in flat vs. an expected gain of 0.1%.
- Down moderately earlier, S&P 500 (NYSEARCA:SPY) futures are now lower by 1.1%.
- TLT +1%, TBT -2% premarket
- Treasury ETFs: TBT, TLT, TMV, IEF, TBF, EDV, PST, TMF, TTT, ZROZ, SBND, TLH, IEI, TYO, DTYS, DLBS, VGLT, UST, UBT, TLO, VGIT, TBX, GSY, TENZ, SCHR, DTYL, TYD, LBND, ITE, TYBS, DLBL, FIVZ, TBZ, DFVL, DFVS, TYNS
- S&P 500 ETFs: SPY, IVE, SH, SSO, SDS, VOO, IVV, SPXU, UPRO, SPXL, RSP, RWL, EPS, SPYG, IVW, RPG, RPV, SPYV, VOOG, BXUB, VOOV, SPLX, SFLA, BXUC, FTA, SPUU
Mon, Oct. 13, 3:57 PM
- The renewed slide in stocks - the Dow has shed another 200 points - puts a charge in gold (GLD +0.8%), now up 1% and at a session-high of $1,234 per ounce. The metal has now erased nearly all of its big post-Labor Day slide.
- The Treasury market is closed for Columbus Day, but TLT is ahead by 0.7%, suggesting a drop in the 10-year Treasury yield to somewhere in the area of 2.25%. TBT -1.4%
Thu, Oct. 9, 7:20 AM
- The 10-year U.S. Treasury yield has carved out new lows for the year, down another four basis points today to 2.28%, its lowest level since the summer of 2013.
- Yesterday's FOMC minutes suggested members may be more cautious than previously thought on hiking rates, but yields were headed south well before that news.
- The major rally in European government bond prices continues alongside, with the yield on the German 10-year Bund down another five basis points to a record-low 0.82%. Spanish 10-year yields are off six bps to 2.04%, and Italian yields are down 7 bps to 2.27%. In the U.K., 10-year Gilt yields are lower by six bps to 2.21%.
- Japan continues as the beacon, with 10-year JGB yields down another two basis points to 0.49%.
- TLT +0.2%, TBT -0.4%
- ETFs: TBT, TLT, TMV, IEF, TBF, EDV, PST, TMF, TTT, ZROZ, SBND, TLH, IEI, TYO, DLBS, DTYS, VGLT, UST, UBT, TLO, VGIT, TBX, GSY, TENZ, DTYL, SCHR, ITE, LBND, TYD, TYBS, DLBL, FIVZ, TBZ, DFVL, DFVS, TYNS
Wed, Oct. 8, 2:28 PM
- Stocks extend gains after release of the FOMC meeting minutes: Dow +1%, S&P and Nasdaq +0.9%.
- Treasury prices trim earlier declines, with the 10-year Treasury yield up 3.7 bps at 2.377%; the dollar moves lower against rivals.
- ETFs: TBT, TLT, TMV, SHY, IEF, TBF, EDV, PST, TMF, TTT, ZROZ, SBND, TLH, IEI, DTYS, DLBS, TYO, VGLT, BIL, UST, STPP, UBT, PLW, SHV, VGIT, TLO, GOVT, FLAT, VGSH, TBX, SCHO, GSY, TENZ, SCHR, DTYL, LBND, ITE, TYD, DTUS, TYBS, SST, TUZ, DTUL, DLBL, TBZ, FIVZ, DFVL, DFVS, TYNS, TAPR
Tue, Oct. 7, 10:46 AM
- The 10-year Treasury yield declined all summer, but that was wiped away in the three weeks following Labor Day as it shot higher to about 2.62%. With today's four basis point decline to 2.38%, that September advance has now been erased.
- The impressive move down comes against a backdrop of a FOMC seemingly intent on hiking rates by early next summer, and last Friday's employment report showing the unemployment rate falling all the way to 5.9%.
- Amid the handy excuses for headline writers are slipping stocks - the S&P 500 is down about 0.5% - German 10-year yields are all the way down to 0.87%, and the IMF cutting its global growth forecast.
- TLT +0.5%, TBT -1%
Fri, Oct. 3, 4:18 PM
Fri, Oct. 3, 8:43 AM
- S&P 500 (NYSEARCA:SPY) futures initially dipped on the strong employment numbers, but are now higher by 0.75%.
- The 10-year Treasury yield is taking the solid print somewhat in stride for now, up two basis points since the release to 2.46%. TLT, TBT flat premarket.
- The dollar is sharply higher across the board. - UUP +0.9% premarket - and gold has slumped all the way to $1,200 per ounce. GLD -1.1%.
- Previously: Unemployment rate falls to 5.9%
- Previously: More on payrolls: Wages and participation rate slip
Wed, Oct. 1, 10:06 AM
- Already having a good day, the 10-year Treasury yield slips a few more basis points to 2.43% after the ISM miss - coming in at 56.6 vs. 58 consensus and 59 in August.
- New Orders fell to 60 from 66.7, Production 64.6 vs. 64.5, Employment 54.6 vs. 58.1, Supplier Deliveries 52.2 from 53.9, Prices 59.5 vs. 58, and Backlogs 47 vs. 52.5.
- Full report
- TLT +1.2%, TBT -2.4%
Tue, Sep. 30, 10:09 AM
- Up at 2.54% earlier this morning, the 10-year Treasury yield retreats to 2.48% following weaker-than-expected prints from Case-Shiller, Chicago PMI, and Consumer Confidence.
- Of Consumer Confidence - which dropped to 86 in September from 93.4 - The Conference Board's Lynn Franco notes a recent softening in economic growth and less positive assessment of the job market (did anybody tell the Fed?). The Expectations Index fell to 83.7 from 93.1.
- TLT flat on the session.
- ETFs: TBT, TLT, TMV, IEF, TBF, EDV, PST, TMF, TTT, ZROZ, SBND, TLH, IEI, TYO, DLBS, DTYS, VGLT, UST, UBT, VGIT, TLO, TBX, GSY, SCHR, TENZ, DTYL, LBND, ITE, TYD, TYBS, DLBL, FIVZ, TBZ, DFVL, DFVS, TYNS
Fri, Sep. 26, 10:07 AM
- It's not just shares of Janus (JNS +36.2%) and Allianz (OTCQX:AZSEY -5.7%) that are moving in response to Bill Gross' job change - traders say the news sparked knee-jerk selling in Treasury bonds.
- "Concerns over his abrupt departure are weighing on Treasury prices," says Tom di Galoma, head of fixed income rates at ED&F Man Capital Markets; the fear is that Pimco's clients will redeem, forcing Pimco to liquidate Treasury bonds.
- “He’s been a bond bull for most of his career, and during that time bonds have been in a bull market - maybe the next Pimco bond managers won’t be as bullish,” says Aaron Kohli of BNP Paribas.
- Gross manages the $221B Pimco Total Return Fund, the world's largest bond fund by assets, which held 41% of its investments in U.S. government-related holdings, a proxy for Treasury bonds, at the end of August.
- Treasurys have climbed off lows but remain in the red: TBT, TLT, TMV, SHY, IEF, TBF, EDV, PST, TMF, TTT
TLT vs. ETF Alternatives
The iShares Barclays 20+ Year Treasury Bond Fund seeks to approximate the total rate of return of the long-term sector of the United States Treasury market as defined by the Barclays Capital U.S. 20+ Year Treasury Bond Index.
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