by Calculated Risk on 12/04/2008 03:25:00 PM

The stunning flight to treasuries continues across the board.

Click on graph for larger image in new window.

The 10-year yield fell to a record low of 2.59% today.

The graph shows the 10 year yield since 1962. The smaller graph shows the teh year yield for this year - talk about cliff diving!

The yield on 3 month treasuries is 0.005% (bad). Let's just call it zero! I think we know where the banks are parking all that TARP money - in three month treasuries!

Here are a few other indicators of credit stress once again suggesting little progress over the last few days.

The three month LIBOR has decreased slightly to 2.19%. The three-month LIBOR rate peaked (for this cycle) at 4.81875% on Oct. 10. (unchanged)

The TED spread is at 2.18, basically unchanged. (unchanged) The TED spread is stuck above 2.0, and still too high. The peak was 4.63 on Oct 10th. I'd like to see the spread move back down to 1.0 or lower. A normal spread is around 0.5.

The A2P2 spread decreased to 4.64 from a record (for this cycle) 5.86 on Friday (probably related to the holiday). This is way too high. (Bad).

This is the spread between high and low quality 30 day nonfinancial commercial paper. If the credit crisis eases, I'd expect a significant decline in this spread - and the graph makes it clear this indicator is still in crisis.

The two year swap spread from Bloomberg: 115.00, slightly higher. (slightly worse). This spread peaked at near 165 in early October, so there has been significant progress, but I'd like to see this below 100.

For the LIBOR, the TED spread, and the two-year swap, there has been clear progress - but there is still a ways to go. For the A2P2 spread (and all treasury yields), the markets are still in crisis.

The weekly Federal Reserve balance sheet update will be released this afternoon ... might be interesting.