The seven-year, ten-year, 20-year, and 30-year rates fell, while all other rates rose in June. The yield curve narrowed from the previous month thus extending its narrowing streak to three months. The one-month bill did not maintain the lowest rate throughout the month and it shared the lowest rate on multiple occasions. There were moves upwards on short-term rates thus increasing 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 seven-year, ten-year, 20-year, and 30-year rates fell, while all other rates rose in June.
- The three-year rate had the best absolute performance with a 0.16 point change.
- On a relative basis, the one-month and three-month rates had the best performance with a 400.00 percent change.
- The 30-year rate had the worst absolute performance with a -0.20 point change.
- On a relative basis, the 30-year rate had the worst performance with a -8.85 percent change.
- The one-month bill did not maintain the lowest rate throughout the month. The three-month rate held it on one occasion and the one-month, three-month, and six-month rates shared the lowest rate on several occasions.
- The yield curve narrowed from 2.25 to 2.01.
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 2.25 to a range of 2.01. The widest range was 2.30 which was hit on June 3 and the narrowest 1.96 which was hit on June 18. The last time the yield curve was this wide was on May 24, 2021 when it hit a range of 2.31.
The thirty-year bond held the highest rate throughout the month. It dropped steadily throughout the month. Its highest rate for the month was 2.30 which was hit on June 1 and June 3 and its lowest rate for the month was 2.01 which was hit on June 18. This month's high of 2.30 was last matched on May 24, 2021 when it hit 2.31.
The one-month bill did not hold the lowest rate throughout the month. The three-month rate held it on one occasion, and 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 27 months.
Sources
"Treasury Constant Maturity," Federal Reserve Bank of St. Louis, accessed July 7, 2021, https://fred.stlouisfed.org/categories/115.