Treasury Rate Movements, April 2019

May 6, 2019
US treasury rates by maturity

All rates except for the one-year note rose in April.  The yield curve grew from the previous month thus ending its one month narrowing streak.  The one-month bill did not maintain the lowest rate at any point in the month.  Long-term rates rose at a faster pace than short-term rates thus neutralizing 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.  A side note: several financial analysts have recently pointed to inversions between particular rates like the three-year note having a higher rate than the five-year note as being indicators for a recession.  The data does not back this up.  The only type of inversion that has led to a recession reliably is one in which the highest rate is a shorter-term treasury than the lowest rate.  This is the only inversion that has predicted a recession seven out of eight times since 1962.  According to this measure, there is no recession in the foreseeable future.

Findings

  • All rates dropped in April.
  • The 20-year and 30-year bonds saw the largest absolute gain at 0.12 points.
  • On a relative basis, the 20-year bond rose the most with a 4.56 percent gain.
  • The one-year bill saw the largest absolute drop at 0.01 points.
  • On a relative basis, the one-year bill dropped the most with a 0.42 percent drop.
  • The one-month bill did not maintain the lowest rate throughout the month or at any point in the month.
  • The yield curve rose 0.08 points to 0.66.

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 0.08 points over the month to a range of 0.66.  The widest range was 0.66 (0.03 points lower than the previous month's widest range of 0.69) which was hit on April 29 and April 30 and the narrowest was 0.58 (the same as the previous month's narrowest range of 0.58) which was hit on April 1, April 15, April 16, and April 18.  The last time the yield curve was this narrow was on March 29, 2019 when it hit a range of 0.58.

high rate and maturity

The thirty-year bond held the highest rate throughout the month.  It has risen above 2.90 percent on April 3 and has not gone below it since.  It should be noted that all other rates remained below the 3 percent threshold throughout the month.  The last time the 30-year rate hit this month's low of 2.81 was on March 29, 2019 when it was at 2.81.

low rate and maturity

The one-month bill did not hold the lowest rate for any session of the month.  The three-year note held the lowest rate throughout the month.  The one-month did not hit a new 12-month high ending its one month streak of new 12-month highs.  The last time the three-year note held the lowest rate was on March 29, 2019.

Sources

"Treasury Constant Maturity," Federal Reserve Bank of St. Louis, accessed May 5, 2019, https://fred.stlouisfed.org/categories/115.

Filed under: Economic Data