All rates except for the one-month bill rose in August. The yield curve widened from the previous month thus ending its narrowing 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 except for the one-month bill rose in August.
- The 30-year rate saw the largest absolute rise at 0.29 points.
- On a relative basis, the three-year rate rose the most with a 36.36 percent gain.
- The one-month rate saw the largest absolute drop at 0.01 points.
- On a relative basis, the one-month rate contracted the most with a 11.11 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 two sessions.
- The yield curve widened from 1.11 to 1.41.
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 widened over the month from a range of 1.11 to a range of 1.41. The widest range was 1.43 which was hit on August 28 and the narrowest 1.10 which was hit on August 4. The last time the yield curve was this wide was on June 9, 2020 when it hit a range of 1.45.
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 1.52 which was hit on August 28 and its lowest rate for the month was 1.19 which was hit on August 4. This month's high of 1.52 was last matched on June 17, 2020 when it hit 1.52.
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. The one-month did not hit a new 12-month high extending its streak of no new 12-month highs to 17 months.
Sources
"Treasury Constant Maturity," Federal Reserve Bank of St. Louis, accessed September 4, 2020, https://fred.stlouisfed.org/categories/115.