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

The trend for reduced roll risk hit a snag in March, though you wouldn’t know it from this graph. The beginning of the month was much better than the middle, though there was some improvement at the end. While there was improvement year over year—and even month over month—we may have hit the peak of efficiency sometime in the middle of March. Once again, we also show improvement in our average interest rate.

This isn’t a call of the end of the Treasury bull market. There are a few things that make continuing the run possible.

1. It appears as if the UK stepped up when China started to lighten up on our debt purchases.

2. The sudden move down in stocks that accompanied the SEC announcement against Goldman today indicates a level of fragility in the stock market that is favorable for Treasuries.

3. With the crisis still unfolding in Europe, the US Treasury hasn’t lost the crown for safety instrument of choice.

The greatest risk to Treasuries is probably related to the last of these, though. As Greece is rescued and Portugal takes the spot as most problematic EU nation, investors might start distinguishing between holding currency and holding sovereign debt. If that’s the case, expect higher interest rates on anything longer than 3 years (for any country). As usual, watch the 10 year yields, as those are the most important in the US for a variety of reasons.

(March treasury data here)