Treasury Rate Movements, September 2017

Oct 3, 2017
US treasury rates by maturity

Short-term rates resumed their steady rise in September and medium and long-term rates returned to their relatively more rapid rise.  The yield curve widened after narrowing further in the previous month.  Short-term rates have slowed their rise in rates but September marks the second month in a row where the one-month bill had a session with higher rates than the three-month bill and an inversion of the yield curve from the bottom up has been a steadfast indicator of recession.  No inversion has occurred yet but special attention needs to be paid to short-term rates in the near future.  All rates rose in September.

Findings

  • All maturities' rates rose in September with the five-year rate rising the most in both absolute and relative terms.
  • The 1-month rate surpassed the 3-month rate for one session in the month for the second month in a row.
  • Medium and long-term rates rose faster than short-term rates.
  • The slow rise in short-term rates is good news as this hints at no recession in the near future.

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.

Details

range of US treasury rates

The breadth of the yield curve widened slightly over the month from a range of 1.78 to a range of 1.90.  The widest range was 1.90 at the final two sessions of the month and the narrowest 1.66 on September 5.

high rate and maturity

The thirty-year bond held the highest rate throughout the month and has had an upward trajectory with a couple of deep dives in between.

low rate and maturity

The one-month note held the lowest rate for every session except one when the three-month note held the lowest rate.  In addition, it continues to flirt with one percent.

Sources

"Treasury Constant Maturity," Federal Reserve Bank of St. Louis, accessed September 30, 2017, https://fred.stlouisfed.org/categories/115.

Filed under: Economic Data