Treasury Rate Movements, February 2019

Mar 13, 2019
US treasury rates by maturity

All rates except for the one-year rose in February.  The yield curve rose from the previous month thus ending its even streak of one month.  The one-month bill did not maintain the lowest rate throughout the month.  Long-term rates rose at a faster pace than short-term rates thus neutralizing the risk of an inversion brought upon by rising short-term rates.  Such an inversion, if it were to happen would be a strong indicator for an upcoming recession.

Findings

  • All rates except for the one-year rose in February.
  • The 12-year rate saw the largest absolute gain at 0.12 points.
  • On a relative basis, the seven-year rate rose the most with a 4.78 percent gain.
  • The one-year rate saw the largest absolute drop at 0.01 points.
  • On a relative basis, the one-year rate dropped the most with a 0.39 percent drop.
  • The one-month bill did not maintain the lowest rate throughout the month.  On three occasions, the three-month bill had the lowest rate and on another two it shared the lowest rate.
  • The yield curve rose 0.07 points to 0.65.

Caveats

  • As always, past performance is not indicative of future results.
  • All figures are rounded to the nearest hundredth.

Details

range of US treasury rates

The breadth of the yield curve widened 0.07 points over the month to a range of 0.65.  The widest range was 0.65 (0.05 points lower than the previous month's widest range of 0.70) which was hit on February 4 and 28 and the narrowest 0.54 (0.01 points lower than the previous month's narrowest range of 0.55) which was hit on February 8.  The last time the yield curve was this narrow was on August 9, 2007 when it hit a range of 0.53.

high rate and maturity

The thirty-year bond held the highest rate throughout the month.  It fluctuated throughout the course of February.  It has fallen below 3 percent on two different occasions, one on February 8 and one on February 19.  It should be noted that all other rates remained below the 3 percent threshold throughout the month.  The last time the 30-year rate hit this month's low of 2.97 was on January 3, 2019 when it was at 2.92.

low rate and maturity

The one-month note did not hold the lowest rate for every session of the month.  The three-month bill held the lowest rate on three occasions: February 1, February 7, and February 14.  It also shared the lowest rate with the three-month rate on February 8 and February 15 as well as with the three-year rate on February 8.  The one-month did not hit a new 12-month high for the second month in a row.

Sources

"Treasury Constant Maturity," Federal Reserve Bank of St. Louis, accessed March 5, 2019, https://fred.stlouisfed.org/categories/115.

Filed under: Economic Data