All rates except for the one-month bill fell in August. The yield curve narrowed from the previous month thus extending its narrowing streak to two months. The one-month bill did not maintain the lowest rate at any point in the month but did hold the highest rate on several sessions. Long-term rates fell at an equal or faster pace than short-term rates, to such a degree that an inversion brought upon by rising short-term rates occurred. Such an inversion is a strong indicator for an upcoming recession.
Findings
- All rates except for the one-month bill fell in August.
- The one-month bill saw the largest absolute rise at 0.09 points.
- On a relative basis, the one-month bill rose the most with a 4.48 percent gain.
- The 30-year bond saw the largest absolute drop at 0.57 points.
- On a relative basis, the ten-year note dropped the most with a 25.74 percent drop.
- The one-month bill did not maintain the lowest rate throughout the month or at any point in the month.
- The three and five-year notes held the lowest rate throughout the month and tied for lowest with each other on several occasions.
- The yield curve has an inverted range of 0.71.
Caveats
- As always, past performance is not indicative of future results.
- All figures are rounded to the nearest hundredth.
Details
The breadth of the yield curve inverted over the month to an inverted range of 0.71. The widest range was 0.76 (0.04 points lower than the previous month's widest range of 0.80) which was hit on August 1 and the widest inverted range was 0.71 (there was no inverted range the previous month) which was hit on August 30. The last time the yield curve was this inverted was on March 23, 2007 when it hit an inverted range of 0.72.
The thirty-year bond did not hold the highest rate throughout the month. The one-month bill held the highest rate on nine occasions. The thirty-year bond has dropped below 2.00 percent on five sessions. The one-month bill dropped below 2.00 percent on only one session. The 30-year bond rate has not hit this month's low of 1.94 since at least 1962 (this data only goes back to 1962).
The one-month bill did not hold the lowest rate for any session of the month. The three and five-year notes held the lowest rate throughout the month and tied for lowest with each other on several occasions. The one-month did not hit a new 12-month high extending its streak of no new 12-month highs to five months. The last time the three-year note held the lowest rate prior to this month was on July 31, 2019. The last time the five-year note held the lowest rate prior to this month was on March 8, 2019.
Sources
"Treasury Constant Maturity," Federal Reserve Bank of St. Louis, accessed September 4, 2019, https://fred.stlouisfed.org/categories/115.