Here is an additional change as of 6/3/2024:
Figure 1: The change from 1 June 2024 in the 10-year to two-year term spread (bold black), the contribution to the change from the 10-year yield (blue bars), from the 2-year yield (tan), all in percentages. Source: Treasury via FRED, and author’s calculations.
What does this mean? Who knows (as recounted in this FT article). I’m not sure there’s much to think about, as I conclude by looking at previous bear- and bull-whistle events.
Here is another illustration of what happened in the distribution, across the spectrum.
Source: US Treasury.
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