US Debt Maturity Profile, AKA When do we have to pay for all of this?

The Fed isn’t playing the game as well as they were before even though they’ve got much bigger weapons at their disposal. As before, our average interest rate continues to drop. Unfortunately, the Fed no longer appears to be able to reduce our roll risk. In particular, the roll-risk for the next two years has risen substantially.

Those first two years are the most susceptible to violent increases if the market decides to turn on US sovereign debt. As we’ve seen in Europe, bond yields can go from perfectly normal to crisis in under three months. Portugal went from multi-year lows to all-time record highs in under 6 months. Bond vigilantes are ninjas (or back-stabbing cowards). You don’t get a warning before they murder you.

Fortunately, everywhere else in the world looks poised to fall apart before the US treasury market.

(February treasury data here)