What Is The All-Time Low 10-Year Yield?

Bloomberg.com – Treasury 10-Year Yield Falls To Record
Treasury 10-year note yields fell to a record low as investors sought refuge from the deteriorating credit conditions of European sovereign borrowers. The yield reached 1.6713 percent, less than its previous all-time low of 1.6714 percent on Sept. 23, as controversy about Spain’s plans to fund a recapitalization of the Bankia group increased concern the monetary union’s sovereign-debt crisis was deepening. The Federal Reserve announced Sept. 21 that it would buy $400 billion of longer-term Treasuries, funding the purchases with sales of shorter-term notes, in an effort to bolster the U.S. economy and spur jobs growth.


Since this story was written, the 10-year has sunk further to 1.66% as shown below.

Click to enlarge:

As the story above points out, there are many different measures of interest rates. The Federal Reserve’s Treasury Constant Maturity series offers the longest daily history we have ever come across for 10-year yields, going back to June 2, 1941 (over 18,000 trading days). This series closed at 1.74% yesterday, slightly above its May 17th low of 1.70%.

The all-time low in this series occurred from April 5th to 8th, 1946 at 1.54%. Before 2011 the last time this series was under 2% was February 23, 1951. In total, this series registered 1,482 closes under 2%, essentially every day between June 1941 and February 1951.

Shown below is a monthly long-term Treasury series going back to 1790 (construction explained here). It has an almost 100% correlation to the daily constant maturity series.

The chart below shows the all-time low, on a monthly average, occurred in early 1946, just like our daily series shown above. So, we can surmise that 1.54% is not only a post-World War II low, but also a 220+ year low in interest rates.

Sum it up and the 10-year is about 15 bps away from a 220+ year low.

Source: Bianco Research

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