The above graph (click to expand) tracks the benefit of owning the 5 year Treasury Note. Typically, buyers of Treasuries borrow the money needed for the purchase. This borrowing is collateralized by the Treasury security it self. Since this is a collateralized loan and the collateral is of high quality, the borrowing rate is typically quite low.
I took the yield of the 5 year and subtracted the borrowing cost for a 1 month loan. The average benefit is about 95 basis points (0.95%) and it is currently 99 basis points.
What this ignores is the potential underlying price movement of the Treasury note, but it does provide some context for the current price action.
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