Treasury Rate Movements, June 2020

Jul 2, 2020
US treasury rates by maturity

The one, three, five, and seven-year rates fell while the one and six-month and the two, 20, and 30-year rates remained the same, and the three-month and ten-year rates rose in June.  The yield curve remained unchanged from the previous month thus ending its widening streak of one month.  The one-month bill maintained the lowest rate throughout the month.  There were no drastic moves upwards on short-term rates 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

  • The one, three, five, and seven-year rates fell in June, the one and six-month and the two, 20, and 30-year rates remained unchanged, and the three-month and ten-year rates rose.
  • The three-month rate saw the largest absolute growth at 0.02 points.
  • On a relative basis, the three-month rate grew the most with a 14.29 percent rise.
  • The one, three, five, and seven-year rates saw the largest absolute drop at 0.01 points.
  • On a relative basis, the one-year rate dropped the most with a 5.88 percent drop.
  • The one-month bill maintained the lowest rate throughout the month.
  • The yield curve remained unchanged from 1.28 to 1.28.

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 remained unchanged over the month from a range of 1.28 to a range of 1.28.  The widest range was 1.55 which was hit on June 5 and the narrowest 1.25 which was hit on June 26.  The last time the yield curve was this wide was on March 19, 2020 when it hit a range of 1.74.

high rate and maturity

The thirty-year bond held the highest rate throughout the month.  It also slowly fell over the course of the month.  Its highest rate for the month was 1.65 which was hit on June 5 and its lowest rate for the month was 1.37 which was hit on June 26.  This month's high of 1.65 was last matched on March 19, 2020 when it hit 1.78.

low rate and maturity

The one-month bill 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 15 months.

Sources

"Treasury Constant Maturity," Federal Reserve Bank of St. Louis, accessed July 2, 2020, https://fred.stlouisfed.org/categories/115.

Filed under: Economic Data