All rates fell in July. The yield curve narrowed from the previous month thus ending its steady streak of one month. The one-month bill did not maintain the lowest rate throughout the month. There were no drastic moves upwards on short-term rates thus decreasing 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
- All rates fell in July.
- The one-month rate saw the smallest absolute drop at 0.04 points.
- On a relative basis, the 30-year rate shrank the least with a 14.89 percent drop.
- The 30-year rate saw the largest absolute drop at 0.21 points.
- On a relative basis, the one-month rate contracted the most with a 30.77 percent drop.
- The one-month bill did not maintain the lowest rate throughout the month. The three-month bill also held the lowest rate on several sessions.
- The yield curve narrowed from 1.28 to 1.11.
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 1.28 to a range of 1.11. The widest range was 1.33 which was hit on July 6 and the narrowest 1.11 which was hit on July 30 and July 31. The last time the yield curve was this wide was on June 24, 2020 when it hit a range of 1.33.
The thirty-year bond held the highest rate throughout the month. It also slowly fell over the course of the month. Its highest rate for the month was 1.45 which was hit on July 6 and its lowest rate for the month was 1.20 which was hit on July 30 and July 31. This month's high of 1.45 was last matched on June 23, 2020 when it hit 1.49.
The one-month bill did not hold the lowest rate throughout the month. The three-month bill held the lowest rate with the one-month bill on two sessions and the three-month bill held the lowest rate on another two sessions. The one-month did not hit a new 12-month high extending its streak of no new 12-month highs to 16 months.
Sources
"Treasury Constant Maturity," Federal Reserve Bank of St. Louis, accessed August 7, 2020, https://fred.stlouisfed.org/categories/115.