Treasury Rate Movements, February 2020

Mar 4, 2020
US treasury rates by maturity

All rates fell in February.  The yield curve widened from the previous month thus ending its narrowing streak of one month.  The one-month bill did not maintain the lowest rate at any point during the month.  All rates fell thus decreasing 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 fell.
  • The one-month rate saw the smallest absolute drop at 0.11 points.
  • On a relative basis, the one-month rate dropped the most with a 7.05 percent drop.
  • The one-year rate saw the largest absolute drop at 0.48 points.
  • On a relative basis, the two-year rate dropped the most with a 35.34 percent drop.
  • The one-month bill did not maintain the lowest rate at any point in the month.  The three-year and five-year treasuries had the lowest rate at various points during the month.
  • The yield curve narrowed from 0.91 to 0.67.

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 over the month from a range of 0.67 to a range of 0.79.  The widest range was 0.79 which was hit on February 28 and the narrowest 0.60 which was hit on February 19, February 20, and February 21.  The last time the yield curve was this wide was on January 9, 2020 when it hit a range of 0.85.

high rate and maturity

The thirty-year bond held the highest rate throughout the month.  However, it dropped steadily throughout the month.  It fell below 1.75 percent on February 28.  This month's low of 1.65 is a new record low for the thirty-year bond.

low rate and maturity

The one-month note did not hold the lowest rate for any session of the month.  The three-year and five-year treasuries 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 eleven months.

Sources

"Treasury Constant Maturity," Federal Reserve Bank of St. Louis, accessed March 4, 2020, https://fred.stlouisfed.org/categories/115.

Filed under: Economic Data