June 15, 2012:   PIIGS stands for Portugal, Italy, Ireland, Greece, and Spain.  With so much on the line, I find it interesting that the spread has actually improved since the start of the year.  Still, cash has poured out of Europe into the "relative safety" of US Treasury bonds (Rates at a Glance) thus driving them to historically low rates without the Fed having to do QE3.

From Chartoftheday.com¹

Saturday, Greeks will head to the polls in a second attempt to form a government -- an election/government that may ultimately determine if Greece remains in the euro zone. While the implications for Greece are dramatic, there is concern that a Greek exit would threaten other euro zone members (e.g. Spain and Italy) and potentially test the ability of European institutions (e.g. the European Central Bank) to prevent contagion. Today's chart helps illustrate the risk of European debt by plotting out the 10-year government bond spread (versus the German Bund) for all the PIIGS (i.e. Portugal, Italy, Ireland, Greece, and Spain) from 2007 to the present. For example, the Greek 10-year government bond yield (light blue line) is currently 27 percentage points greater than that of the relatively stable German Bund. That is a far cry from where it was back in the summer of 2009. Currently, however, many are focused on the third and fourth largest euro zone economies (i.e. Italy and Spain). A run on the financial institutions of these more substantial economies would have global implications. It is noteworthy that the Italian and Spanish 10-year government bond spread has not declined after the ECB offered three-year loans in December and February.

US Treasury Rates at a Glance