The six-month rate fell, the three-month rate stayed the same, while all other rates rose in September. The yield curve widened from the previous month thus extending its widening streak to two 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 six-month rate fell, the three-month rate remained unchanged, while all other rates rose in September.
- The seven-year rate had the best absolute performance with a 0.24 point change.
- On a relative basis, the one-month rate had the best performance with a 133.33 percent change.
- The six-month rate had the worst absolute performance with a -0.01 point change.
- On a relative basis, the six-month rate had the worst performance with a -16.67 percent change.
- The one-month bill did not maintain the lowest rate throughout the month. The three-month rate held it on several occasions, and the one-month, three-month, and six-month rates shared the lowest rate on several occasions.
- The yield curve widened from 1.89 to 2.04.
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 1.89 to a range of 2.04. The widest range was 2.05 which was hit on September 29 and the narrowest 1.81 which was hit on September 14, September 20, and September 22. The last time the yield curve was this wide was on June 29, 2021 when it hit a range of 2.10.
The thirty-year bond held the highest rate throughout the month. It saw a spike at the end of the month. Its highest rate for the month was 2.09 which was hit on September 29 and its lowest rate for the month was 1.84 which was hit on September 22. This month's high of 2.09 was last matched on June 29, 2021 when it hit 2.09.
The one-month bill did not hold the lowest rate throughout the month. The three-month rate held the lowest rate for a majority of the sessions in September. In addition, 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 30 months.
Sources
"Treasury Constant Maturity," Federal Reserve Bank of St. Louis, accessed October 13, 2021, https://fred.stlouisfed.org/categories/115.