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Treasuries rose as the 9.8 percentunemployment rate, record low inflation and Europe’s deepeningsovereign-debt crisis stoked demand for safety.

Bonds returned 5.9 percent in 2010 after losing 3.7 percentin 2009, according to a Bank of America Merrill Lynch index.Treasuries pared their annual rally in December on bets theFederal Reserve’s asset purchases and an extension of tax cutswill revive the economy. The unemployment rate dropped inDecember for the first time in six months, according toeconomists before next week’s payrolls report.

“We rallied as the recovery wasn’t happening as quickly aspeople were anticipating initially,” said Ian Lyngen, agovernment bond strategist at CRT Capital Group LLC in Stamford, Connecticut. “The pendulum of economic sentiment has started toshift back toward general optimism. The market is coming to theview that quantitative easing will be effective in stimulatingthe economy and inflation. Whether it does or not is aquestion.”

The yield on the benchmark 10-year note dropped 54 basispoints, or 0.54 percentage point, to 3.29 percent, according toBloomberg generic data. The yield touched 2.33 percent on Oct.8, the lowest level since January 2009. The two-year note yieldfell by the same amount to 0.59 percent and dropped to a recordlow of 0.31 percent on Nov. 4.

Bonds gained even as the government completed $2.2 trillionof note and bond auctions in 2010, surpassing the $2.1 trillionrecord set in the prior year.

Debt in Custody

Treasuries held in custody at the Fed for overseas accountsincluding foreign central banks advanced $430.1 billion to$2.616 trillion after increasing $486.8 billion in 2009 and$473.3 billion in 2008, the Fed reported this week. The 2010increase was the smallest since 2007, when the debt in custodyrose $70.3 billion to $1.226 trillion.

U.S. debt advanced during the first three quarters onconcern the economic recovery was stalling and nations such as Greece, Ireland and Portugal would default on their debt.

“The European crisis exposed sovereigns that are worse offthan we are, and Treasuries have benefited,” said John Fath, aprincipal at the investment firm BTG Pactual in New York, whohelps manage $2.5 billion.

Notes and bonds extended their rally after the Fed saidfollowing its Aug. 10 meeting that it would resume buying debtto support the recovery of the labor market and boost inflationto an acceptable rate.

Corporate Returns

Government debt returns for 2010 trailed the 9.5 percentreading for investment-grade corporate debt, according to Bankof America Merrill Lynch indexes. The S&P 500 Index advanced 13percent, while IntercontinentalExchange Inc.’s Dollar Indexgained 1.4 percent and the Reuters/Jefferies CRB Index of rawmaterials rose 17 percent.

It was the first time since 2005 that stocks, bonds,commodities and the dollar all rose for the year.

Bonds fell on Dec. 14 as the Fed announced after its policymeeting that the U.S. recovery is continuing and maintained a$600 billion second round of government debt purchases known asquantitative easing. Three days later President Barack Obamasigned into law an extension of tax cuts enacted during theadministration of his predecessor, George W. Bush.

The U.S. economy expanded at a 2.6 percent annual rate inthe third quarter, the Commerce Department reported Dec. 22. Therevised increase in gross domestic product compared with a 2.5percent estimate issued in November.

Consumer Prices

Consumer prices excluding food and energy rose 0.8 percentin November from a year earlier after an advance of 0.6 percentin the prior month, the smallest gain in year-over-year datagoing back to 1958, the Labor Department reported Dec. 15.

U.S. employers added 140,000 jobs in December after anincrease of 39,000 in the previous month, according to themedian forecast of 61 economists in a Bloomberg News survey. Theunemployment rate is expected to drop to 9.7 percent. The LaborDepartment’s payrolls report is due Jan. 7.

“There are still big questions about the sustainability ofeconomic growth we’ve seen that will have to be answered beforeyields move higher,” said Suvrat Prakash, an interest-ratestrategist in New York at BNP Paribas SA, one of the 18 primarydealers that trade with the Fed.

Traders are adding to bets that inflation will pick up. Thedifference between yields on 10-year notes and TreasuryInflation Protected Securities, a gauge of trader expectationsfor consumer prices over the life of the securities known as thebreak-even rate, has advanced to 2.28 percentage points, up fromthe 2010 low of 1.47 in August. The five-year average is 2.09percentage points.

Pimco’s View

Pacific Investment Management Co., which runs the world’sbiggest bond fund, raised in December its forecast for U.S.economic growth to a range of 3 percent to 3.5 percent in 2011,versus its previous estimate of 2 percent to 2.5 percent.

The extra yield investors demand to hold 10-year notes over2-year debt was at 2.70 percentage points after touching 2.89percentage points on Dec. 15, the widest since Feb. 23.

“Housing, lending and jobs have yet to recover, and whilethe banks appear to be loosening up the purse strings, theystill have the benefit of a very steep yield curve to draw asafer earnings stream without the rigors of making loans,”Kevin Giddis, head of fixed-income sales, trading and researchat brokerage firm Morgan Keegan Inc. in Memphis, Tennessee,wrote in a note to clients this week

The 10-year note yield will decrease to 3.11 percent byMarch 31, according to a Bloomberg survey of analysts, with themost recent forecasts given the heaviest weightings.