Treasury Rate Movements, October 2020

Nov 9, 2020
US treasury rates by maturity

The three-month rate fell, the one-month and six-month rates stayed the same and all other rates rose in October.  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 throughout the month and shared it with the three-month on several occasions.  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-month rate fell, the one-month and six-month rates stayed the same, and all other rates rose in October.
  • The 20-year rate saw the largest absolute rise at 0.20 points.
  • On a relative basis, the seven-year rate rose the most with a 36.17 percent gain.
  • The three-month rate saw the largest absolute drop at 0.01 points.
  • On a relative basis, the three-month rate contracted the most with a 10.00 percent drop.
  • The one-month bill did not maintained the lowest rate throughout the month.  The three-month bill held the lowest rate on one occasion and shared the lowest rate with the one-month bill on four sessions.
  • The yield curve widened from 1.38 to 1.57.

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 1.38 to a range of 1.57.  The widest range was 1.58 which was hit on October 22 and the narrowest 1.12 which was hit on October 2.  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 rose steadily over the course of the month.  Its highest rate for the month was 1.67 which was hit on October 22 and its lowest rate for the month was 1.45 which was hit on October 1.  This month's high of 1.67 was last matched on June 5, 2020 when it hit 1.68.

low rate and maturity

The one-month bill did not hold the lowest rate throughout the month.  The three-month bill held the lowest rate on one occasion and shared the lowest rate with the one-month bill on four sessions.  The one-month did not hit a new 12-month high extending its streak of no new 12-month highs to 19 months.

Sources

"Treasury Constant Maturity," Federal Reserve Bank of St. Louis, accessed November 9, 2020, https://fred.stlouisfed.org/categories/115.

Filed under: Economic Data