The Fed surprise 75 basis point hike last week blew Treasury yields out, with a small reversal at the end of the week. Such a reversal is typical after large moves. In this article, I just want to discuss the big picture of Treasury pricing. The figure above shows the post-2000 history of the 2-year Treasury yield. What we see is that the rise in yields in 2020 has been extremely violent when compared to previous behaviour. This fits in with market commentary pointing out that Treasuries have seen the worst short-term drawdown in decades.
Treasury Market Pricing
Treasury Market Pricing
Treasury Market Pricing
The Fed surprise 75 basis point hike last week blew Treasury yields out, with a small reversal at the end of the week. Such a reversal is typical after large moves. In this article, I just want to discuss the big picture of Treasury pricing. The figure above shows the post-2000 history of the 2-year Treasury yield. What we see is that the rise in yields in 2020 has been extremely violent when compared to previous behaviour. This fits in with market commentary pointing out that Treasuries have seen the worst short-term drawdown in decades.