All rates except for the one-month bill fell in April. The yield curve narrowed from the previous month thus ending its widening streak. The one-month bill did not maintain the lowest rate throughout the month. Long-term rates fell while short-term rates rose thus increasing 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.
Findings
- The one-month rate fell in April, all other rates rose.
- The one-month rate saw the largest absolute growth at 0.05 points.
- On a relative basis, the one-month rate grew the most with a 100.00 percent rise.
- The 20-year rate saw the largest absolute drop at 0.10 points.
- On a relative basis, the six-month rate dropped the most with a 26.67 percent drop.
- The one-month bill did not maintain the lowest rate throughout the month. The three-month bill also held the lowest rate at various points during the month.
- The yield curve narrowed from 1.30 to 1.19.
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 narrowed over the month from a range of 1.30 to a range of 1.19. The widest range was 1.24 which was hit on April 1 and April 14 and the narrowest 1.07 which was hit on April 16 and April 24. The last time the yield curve was this narrow was on March 16, 2020 when it hit a range of 1.10.
The thirty-year bond held the highest rate throughout the month. However, it fluctuated throughout the month. Its highest rate for the month was 1.41 and its lowest rate for the month was 1.17. This month's low of 1.17 was only beat by last month's record low of 0.99.
The one-month bill did not hold the lowest rate throughout the month. The three-month bill had the lowest rate at various points during the month. The one-month did not hit a new 12-month high extending its streak of no new 12-month highs to 13 months.
Sources
"Treasury Constant Maturity," Federal Reserve Bank of St. Louis, accessed May 6, 2020, https://fred.stlouisfed.org/categories/115.