Treasury Rate Movements, February 2021

Mar 5, 2021
US treasury rates by maturity

The one-month, three-month, six-month, and one-year rates fell, while all other rates rose in February.  The yield curve widened from the previous month thus extending its widening streak to three months.  The one-month bill maintained the lowest rate throughout the month although it shared the lowest rate on multiple occasions.  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-month, three-month, six-month, and one-year rates fell, while all other rates rose in February.
  • The 20-year rate saw the largest absolute rise at 0.40 points.
  • On a relative basis, the five-year rate rose the most with a 66.67 percent gain.
  • The one-month rate saw the largest absolute drop at 0.03 points.
  • On a relative basis, the one-month rate contracted the most with a 42.86 percent drop.
  • The one-month bill maintained the lowest rate throughout the month.  The one-month and the three-month rates shared the lowest rate on several occasions.
  • The yield curve widened from 1.81 to 2.13.

Caveats

  • As always, past performance is not indicative of future results.
  • All figures are rounded to the nearest hundredth.

Details

range of US treasury rates

The breadth of the yield curve widened over the month from a range of 1.81 to a range of 2.13.  The widest range was 2.29 which was hit on February 25 and the narrowest 1.78 which was hit on February 1.  The last time the yield curve was this wide was on May 12, 2017 when it hit a range of 2.29.

high rate and maturity

The thirty-year bond held the highest rate throughout the month.  It rose early in the month and then dropped a bit in the final trading days.  Its highest rate for the month was 2.33 which was hit on February 25 and its lowest rate for the month was 1.84 which was hit on February 1.  This month's high of 2.33 was last matched on January 9, 2020 when it hit 2.38.

low rate and maturity

The one-month bill held the lowest rate throughout the month.  The one-month and three-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 23 months.

Sources

"Treasury Constant Maturity," Federal Reserve Bank of St. Louis, accessed March 5, 2021, https://fred.stlouisfed.org/categories/115.

Filed under: Economic Data