So far (in this post GFC period), all of the movement in this index has been in the inversion between 2 and 3 year bonds. In the next two plots, I compare an index built on three comparisons (2-3, 3-5 and 5-10) and one that accumulates two comparisons (3-5 and 5-10). You can see in the second plot that nothing is happening in the latest period.
What is interesting is that while five year bonds continue to have a higher rate than three year bonds, they no longer have a higher yield than two year bonds. In the next chart we compare five and two year yields. A positive read shows an inversion.
Just for completeness, the 2-3 and 3-5 yield gap charts follow.
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