The two-year rate rose, the one-month and three-year rates stayed the same, and all other rates fell in November. The yield curve narrowed from the previous month thus ending its widening streak of one month. The one-month bill did not maintain the lowest rate throughout the month. There were no 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
- The two-year rate rose, the one-month and three-year rates stayed the same, and all other rates fell in November.
- The two-year rate saw the largest absolute rise at 0.02 points.
- On a relative basis, the two-year rate rose the most with a 14.29 percent gain.
- The 30-year rate saw the largest absolute drop at 0.07 points.
- On a relative basis, the six-month rate contracted the most with a 18.18 percent drop.
- The one-month bill did not maintain the lowest rate throughout the month. The three-month bill held the lowest rate on three occasions. The one-month, three-month, and six-month rates shared the lowest rate on several occasions.
- The yield curve narrowed from 1.57 to 1.50.
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 1.57 to a range of 1.50. The widest range was 1.66 which was hit on November 10 and the narrowest 1.45 which was hit on November 5. The last time the yield curve was this wide was on March 19, 2020 when it hit a range of 1.74.
The thirty-year bond held the highest rate throughout the month. It fluctuated within a narrow band over the course of the month. Its highest rate for the month was 1.75 which was hit on November 10 and its lowest rate for the month was 1.53 which was hit on November 20. This month's high of 1.75 was last matched on March 19, 2020 when it hit 1.78.
The one-month bill did not hold the lowest rate throughout the month. The three-month bill held the lowest rate on three occasions. The one-month, three-month, and six-month rates shared the lowest rate on several sessions. The one-month did not hit a new 12-month high extending its streak of no new 12-month highs to 20 months.
Sources
"Treasury Constant Maturity," Federal Reserve Bank of St. Louis, accessed December 7, 2020, https://fred.stlouisfed.org/categories/115.