jacksparrow

If there is a crisis or uncertainties in the market, then normal investor would take money out of the risky asset (ie, stocks, high yield bond, etc) and move it into most secure, safest, liquid investment out there (US treasury being one of them). This is called flight to quality.

Most of the time, people sell their risky asset and buy the shorter term tsy bills and notes. so typically, tsy curve steepens and 2yr swap spread widens. After lehman collapsed, bills traded at negative discount rate (pay us gov't to hold their money foregoing accrued interest).