Hikes Keep On Slippin’, Slippin’, Slipin’ Into The Future; Treasury Yields Sink Again

Treasury Yields Drop Again

Curve Watcher’s Anonymous notes a further plunge in yields today following the disastrous payroll and factory order reports. 

Yield on the 30-year long bond fell to 2.80% from 2.85% yesterday. Yield on the 10-year note once again sports a 1-handle at 1.97%, down from 2.03%.

Duration Current Yield Yield Month Ago Yield Year Ago Yield vs. Month Ago Yield vs. Year Ago 3-Month -0.01 0.02 0.02 -0.03 -0.03 6-Month 0.05 0.26 0.05 -0.21 0.00 1-Year 0.22 0.35 0.10 -0.13 0.12 2-Year 0.57 0.73 0.27 -0.16 0.30 5-Year 1.27 1.55 1.73 -0.28 -0.46 10-Year 1.97 2.18 2.42 -0.21 -0.45 30-Year 2.80 2.99 3.18 -0.19 -0.38

Treasury Yields vs. Month and Year Ago

Data plotted from Bloomberg US Treasury Yields.

Rate Hike Odds

Curve Watcher’s Anonymous also has an eye on rate hike odds. Here is a chart I put together on the evolution of rate hike odds. I captured two previous data points. Today I added October 2. 

Data for the above from CME FedWatch. 

FOMC Meeting Date Rate Hike Odds on Oct 2 Rate Hike Odds on Sep 22 Rate Hike Odds on Sep 21 28-Oct-15 6.90 11.50 13.80 16-Dec-15 28.50 35.50 43.80 27-Jan-16 38.80 44.70 54.60 16-Mar-16 50.60 59.70 66.90

The above table is a bit simplified because there is a chance of hikes bigger or smaller than a quarter point. However, I believe it is safe to discount multiple hikes until we at least see the first one.

And following today’s disastrous data reports, I think it is safe to rule out hikes this year. In honor of that statement and with a tip of the hat to my friend “BC” who suggested the song, I present this musical tribute.

Slippin’, Slippin’, Slipin’ Into the Future