The one-month and three-month rates fell, the one-year rate stayed the same, while all other rates rose in August. The yield curve widened from the previous month thus ending its narrowing streak of four months. The one-month bill maintained the lowest rate throughout the month but 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 and three-month rates fell, the one-year rate remained unchanged, while all other rates rose in August.
- The five-year and seven-year rates had the best absolute performance with a 0.08 point change.
- On a relative basis, the six-month rate had the best performance with a 20.00 percent change.
- The one-month and three-month rates had the worst absolute performance with a -0.02 point change.
- On a relative basis, the one-month rate had the worst performance with a -40.00 percent change.
- The one-month bill did maintain the lowest rate throughout the month. The one-month, three-month, and six-month rates shared the lowest rate on several occasions.
- The yield curve widened from 1.84 to 1.89.
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 1.84 to a range of 1.89. The widest range was 1.98 which was hit on August 12 and the narrowest 1.78 which was hit on August 4. The last time the yield curve was this wide was on July 13, 2021 when it hit a range of 1.99.
The thirty-year bond held the highest rate throughout the month. It stayed steady throughout the month. Its highest rate for the month was 2.03 which was hit on August 12 and its lowest rate for the month was 1.83 which was hit on August 4. This month's high of 2.03 was last matched on July 13, 2021 when it hit 2.04.
The one-month bill did hold the lowest rate throughout the month. However, 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 29 months.
Sources
"Treasury Constant Maturity," Federal Reserve Bank of St. Louis, accessed September 2, 2021, https://fred.stlouisfed.org/categories/115.