The U.S. Treasury market is among the world's largest and most liquid. Its yields anchor borrowing costs and asset valuations well beyond government bonds. Stress in Treasuries can ripple through leveraged finance, sovereign debt, equity flows, and AI infrastructure financing.
With yields at levels that sharply raise hurdles for AI debt, as well as creating sovereign financing issues, this is a systemic risk measure that must be closely watched.
Treasury Market Stress tracks auction tails, primary-dealer take-down, rate pressure, and rate volatility by maturity, alongside a five-year stress index.
The component readings remain visible beside the overall measure, with historical comparisons where the data support them. This makes it possible to distinguish a weak auction at one maturity from broader pressure across the Treasury market.
Data limitations: Treasury yields are official daily observations, not intraday quotes. Independent pre-auction yield coverage is currently incomplete, so tail history is limited and is excluded from the historical index.
Available to paid subscribers: Open the dashboard or visit the tools page.