Treasury Rate Movements, October 2019

Nov 4, 2019
US treasury rates by maturity

All bill and note rates fell except for the ten-year note which along with all bond rates rose in October.  The yield curve widened from the previous month thus ending its narrowing streak at three months.  The one-month bill did not maintain the lowest rate at any point in the month.  Long-term rates rose while short-term rates dropped thus decreasing the risk of an inversion brought upon by rising short-term rates.  Such an inversion is a strong indicator for an upcoming recession.

Findings

  • All bill and note rates (save for the ten-year note) fell in October while the ten-year note and all bond rates rose.
  • The 20-year note saw the largest absolute rise at 0.06 points.
  • On a relative basis, the 20-year note rose the most with a 3.09 percent gain.
  • The three-month bill saw the largest absolute drop at 0.34 points.
  • On a relative basis, the three-month bill dropped the most with a 18.09 percent drop.
  • The one-month bill did not maintain the lowest rate throughout the month or at any point in the month.
  • The one-year bill, two-year, three-year, and five-year notes alternately held the lowest rate throughout the month.
  • The yield curve has a range of 0.66.

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 went from a range of 0.57 to a range of 0.66.  The narrowest range was 0.61 (0.08 points higher than the previous month's widest range of 0.69) which was hit on October 1 and the widest inverted range was 0.74 (0.01 points higher than the previous month's widest inverted range of 0.73) which was hit on October 28 and October 29.  The last time the yield curve was this wide was on August 5, 2019 when it hit a range of 0.74.

high rate and maturity

The thirty-year bond held the highest rate throughout the month.  The thirty-year bond has dropped below 2.25 percent on 14 sessions.  The 30-year bond rate has not hit this month's low of 1.97 since September 4, 2019.

low rate and maturity

The one-month bill did not hold the lowest rate for any session of the month.  The one-year, two-year, three-year, and five-year notes alternately held the lowest rate throughout the month.  The one-month did not hit a new 12-month high extending its streak of no new 12-month highs to seven months.  The last time the five-year note held the lowest rate prior to this month was on September 30, 2019.

Sources

"Treasury Constant Maturity," Federal Reserve Bank of St. Louis, accessed November 4, 2019, https://fred.stlouisfed.org/categories/115.

Filed under: Economic Data