Treasury Rate Movements, September 2020

Oct 2, 2020
US treasury rates by maturity

The three-year rate rose, the one-month, one-year, and five-year rates stayed the same and all other rates dropped in September.  The yield curve narrowed from the previous month thus ending its widening streak of one month.  The one-month bill maintained the lowest rate throughout the month but shared it with the three-month on one occasion.  There were no 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 three-year rate rose, the one-month, one-year, and five year rates stayed the same, and all other rates dropped in September.
  • The three-year rate saw the largest absolute rise at 0.01 points.
  • On a relative basis, the three-year rate rose the most with a 6.67 percent gain.
  • The seven-year, ten-year, 20-year, and 30-year rates saw the largest absolute drop at 0.03 points.
  • On a relative basis, the six-month rate contracted the most with a 15.38 percent drop.
  • The one-month bill maintained the lowest rate throughout the month.  The three-month bill, however, also held the lowest rate on one session.
  • The yield curve narrowed from 1.41 to 1.38.

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 narrowed over the month from a range of 1.41 to a range of 1.38.  The widest range was 1.38 which was hit on September 30 and the narrowest 1.24 which was hit on September 3.  The last time the yield curve was this wide was on August 31, 2020 when it hit a range of 1.41.

high rate and maturity

The thirty-year bond held the highest rate throughout the month.  It also stayed steady over the course of the month.  Its highest rate for the month was 1.46 which was hit on September 4 and September 30 and its lowest rate for the month was 1.34 which was hit on September 3.  This month's high of 1.46 was last matched on August 31, 2020 when it hit 1.49.

low rate and maturity

The one-month bill did hold the lowest rate throughout the month.  The three-month bill, however, shared the lowest rate with the one-month bill on one sessions.  The one-month did not hit a new 12-month high extending its streak of no new 12-month highs to 18 months.

Sources

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

Filed under: Economic Data