During the last 31 years of the US Treasury bond rally, the 10Y interest rate has never risen for 10 consecutive days and today's very modest 1.6bps rally ensures that will continue. Yesterday's weakness equaled the previous 9-days-in-row record from 6/26/06. The rise in 10Y rates over this 10 day period equals the Oct 2011 jolt in percentage terms as we hold at those 10/28/11 swing highs in rates. The previous 8 times that 10Y rates have risen for 7 days or more, the next 10 days have seen an average 16bps compression and next 20 days a 31.5bps compression (following the consecutive break). This of course is wreaking havoc with mortgage rates as according to Bloomberg's bankrate.com data, we are back above 4% for the 30Y fixed for the first time this year and this week has seen mortgage rates jump their most in 16 months.
Falling just short of the 10 days in a row of rate rises for 10 Year Treasuries leaves us equal with the all-time record 9 consecutive days from June 2006...
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and the last 10 days has seen the 10Y match the rates underperformance on a yield-basis of the Oct 2011 peak - as we hold just at those levels today...
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and the last 8 times that we have managed 7 or more days in a row of yield decompression has (on average) led to notable yield compression in the following days...
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And Mortgage Rates are back over 4% and have jumped their most in the last week for 16 months...
Charts: Bloomberg
(h/t John Lohman [7])