Treasury Rate Movements, October 2018

Nov 2, 2018
US treasury rates by maturity

All rates rose in October.  The yield curve widened from the previous month thus ending its two month steady streak.  The one-month bill maintained the lowest rate throughout the month.  All rates rose at a somewhat similar pace to each other keeping the risk of an inversion brought upon by rising short-term rates at the same level as the previous month.  Such an inversion, if it were to happen would be a strong indicator for an upcoming recession.

Findings

  • All rates rose in October.
  • The 30-year rate saw the largest absolute growth at 0.20 points.
  • On a relative basis, the three-month rate grew the most with a 6.85 percent rise.
  • The five-year rate saw the smallest absolute growth at 0.04 points.
  • On a relative basis, the five-year rate rose the least with a 1.36 percent rise.
  • The one-month bill maintained the lowest rate throughout the month.
  • The yield curve widened from 1.07 to 1.19.

Caveats

  • As always, past performance is not indicative of future results.
  • The rates have been at historic lows for quite some time which has not occurred previously.
  • 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 1.07 to a range of 1.19.  The widest range was 1.25 (0.05 points higher than the previous month's widest range of 1.20) which was hit on October 5 and the narrowest 1.06 (0.01 points lower than the previous month's narrowest range of 1.07) which was hit on October 2, the second trading day of the month.

high rate and maturity

The thirty-year bond held the highest rate throughout the month.  It rose sharply in the first trading days of the month only to plateau for the remainder of the month.  It has remained above 3 percent for the entire duration of the month.  It should be noted that the seven, ten, and 20-year rates were at or above 3 percent on all trading days of the month.  In addition, the five-year rate spent half the month at or above 3 percent.  The last time the 30-year rate hit this month's high of 3.40 was on July 7,2014 when it was at 3.44.  The last time the five-year rate was at or above 3 percent prior to this month was on October 14, 2008.

low rate and maturity

The one-month note held the lowest rate for every session of the month.  However, it has hit a new 12-month high for the sixth time in six months and has not been as high as 2.21 (its high for the month) since February 27, 2008 when it was at 2.21.

Sources

"Treasury Constant Maturity," Federal Reserve Bank of St. Louis, accessed November 1, 2018, https://fred.stlouisfed.org/categories/115.

Filed under: Economic Data