The three-month rate rose, the one-month and one-year rates stayed the same, while all other rates fell in July. The yield curve narrowed from the previous month thus extending its narrowing streak to four 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 three-month rate rose, the one-month and one-year rates remained unchanged, while all other rates fell in July.
- The three-month rate had the best absolute performance with a 0.01 point change.
- On a relative basis, the three-month rate had the best performance with a 20.00 percent change.
- The seven-year and ten-year rates had the worst absolute performance with a -0.21 point change.
- On a relative basis, the two-year rate had the worst performance with a -24.00 percent change.
- The one-month bill did not maintain the lowest rate throughout the month. The three-month rate held it on two occasions and the one-month, three-month, and six-month rates shared the lowest rate on several occasions.
- The yield curve narrowed from 2.01 to 1.84.
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 2.01 to a range of 1.84. The widest range was 2.02 which was hit on July 1 and the narrowest 1.76 which was hit on July 19. The last time the yield curve was this wide was on June 30, 2021 when it hit a range of 2.06.
The thirty-year bond held the highest rate throughout the month. It dropped steadily throughout the month. Its highest rate for the month was 2.07 which was hit on July 1 and its lowest rate for the month was 1.81 which was hit on July 19. This month's high of 2.07 was last matched on June 29, 2021 when it hit 2.10.
The one-month bill did not hold the lowest rate throughout the month. The three-month rate held it on two occasions, 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 28 months.
Sources
"Treasury Constant Maturity," Federal Reserve Bank of St. Louis, accessed August 5, 2021, https://fred.stlouisfed.org/categories/115.