A far more relevant effect than speculation on future rate moves is the very real securities lending return to High Quality Liquid Assets. All the 2yr Schatz out there are NOT held by those speculating rates will go lower. All the insurances, pension funds, etc that need to hold these assets as part of a diversified portfolio have lending programs. Especially the CTDs deliverable into the 2, 5 and 10yr futures contracts have "repo value". Buy, hold, lend on a fully collateralised basis and I can that negatively yielding 2yr paper then has a positive total return even in a non-changing interest rate environment.