All bill rates fell while all note and bond rates rose in September. The yield curve narrowed from the previous month thus extending its narrowing streak to three 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 rose while short-term rates dropped, to such a degree that the inversion brought upon by rising short-term rates in the previous month ebbed. Such an inversion is a strong indicator for an upcoming recession.
Findings
- All bill rates fell in September while all note and bond rates rose.
- The ten-year note saw the largest absolute rise at 0.09 points.
- On a relative basis, the ten-year note rose the most with a 12.00 percent gain.
- The one-month bill saw the largest absolute drop at 0.19 points.
- On a relative basis, the one-month bill dropped the most with a 9.05 percent drop.
- The one-month bill did not maintain the lowest rate throughout the month or at any point in the month.
- The five-year note held the lowest rate throughout the month.
- The yield curve has a range of 0.57.
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 went from an inverted range of 0.71 to a range of 0.57. The widest range was 0.69 (0.07 points lower than the previous month's widest range of 0.76) which was hit on September 5 and the widest inverted range was 0.73 (0.02 points higher than the previous month's widest inverted range of 0.71) which was hit on September 4. The last time the yield curve was this wide was on August 9, 2019 when it hit a range of 0.69.
The thirty-year bond did not hold the highest rate throughout the month. The one-month bill held the highest rate on four occasions. The thirty-year bond has dropped below 2.00 percent on three sessions. The one-month bill dropped below 2.00 percent on ten sessions. The 30-year bond rate has not hit this month's low of 1.94 since August 28, 2019.
The one-month bill did not hold the lowest rate for any session of the month. The five-year note held the lowest rate throughout the month. The one-month did not hit a new 12-month high extending its streak of no new 12-month highs to six months. The last time the five-year note held the lowest rate prior to this month was on August 30, 2019.
Sources
"Treasury Constant Maturity," Federal Reserve Bank of St. Louis, accessed October 2, 2019, https://fred.stlouisfed.org/categories/115.