A Look Back at Treasuries in 2017

Jan 4, 2018
US treasury rates by maturity

Short-term rates took a dramatic turn upwards after being stuck at zero for several years while long-term rates continued their slow and steady decline.  The yield curve continued to narrow but it also narrowed from the bottom up.  A narrowing from the short-term is a warning sign for an inversion that indicates recession.

Findings

  • All rates from the one-month to the seven-year rose in 2017 while the 10, 20, and 30-year rates all dropped.
  • The six-month rate saw the largest absolute growth at 0.92 points.
  • The 30-year rate saw the largest drop at 0.31 points.
  • On a relative basis, the three-month rate grew the most with an 172.55 percent rise.
  • The 30-year rate dropped the most on relative terms with a 10.13 percent drop.
  • The one-month bill did not maintain the lowest rate throughout the year.
  • The yield curve narrowed 1.06 points.

Caveats

  • As always, past performance is not indicative of future results.
  • The rates have been at historic lows for quite some time which has not occurred previously.

Details

range of US treasury rates

The breadth of the yield curve narrowed over the year from a range of 2.62 to a range of 1.56.  The widest range was 2.69 on March 9 and the narrowest 1.44 on December 15.

high rate and maturity

The thirty-year bond held the highest rate throughout the year, although the rate has been slowly trending downwards after peaking at the beginning of the year.

low rate and maturity

The one-month note held the lowest rate for nearly every session except on a couple of occasions in August and September.  It has been rising steadily throughout the course of the year which is a troubling sign.

Sources

"Treasury Constant Maturity," Federal Reserve Bank of St. Louis, accessed December 30, 2017, https://fred.stlouisfed.org/categories/115.

Filed under: Economic Data