The one-year, two-year, and three-year rates fell, the one-month, six-month, and five-year rates stayed the same, and all other rates rose in December. 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 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 one-year, two-year, and three-year rates fell, the one-month, six-month, and five-year rates stayed the same, and all other rates rose in December.
- The ten-year rate saw the largest absolute rise at 0.09 points.
- On a relative basis, the three-month rate rose the most with a 12.50 percent gain.
- The two-year rate saw the largest absolute drop at 0.03 points.
- On a relative basis, the two-year rate contracted the most with a 18.75 percent drop.
- The one-month bill did not maintain the lowest rate throughout the month. The three-month bill held the lowest rate on one occasion. The one-month, three-month, and six-month rates shared the lowest rate on several occasions.
- The yield curve widened from 1.50 to 1.57.
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 widened over the month from a range of 1.50 to a range of 1.57. The widest range was 1.66 which was hit on December 4 and the narrowest 1.55 which was hit on December 11. The last time the yield curve was this wide was on November 10, 2020 when it hit a range of 1.66.
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 1.73 which was hit on December 4 and its lowest rate for the month was 1.63 which was hit on December 11 and December 14. This month's high of 1.73 was last matched on November 10, 2020 when it hit 1.75.
The one-month bill did not hold the lowest rate throughout the month. The three-month bill held the lowest rate on one occasion. 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 21 months.
Sources
"Treasury Constant Maturity," Federal Reserve Bank of St. Louis, accessed January 7, 2021, https://fred.stlouisfed.org/categories/115.