The one-month, 20-year, and 30-year rates fell while all other rates rose in October. The yield curve narrowed from the previous month thus ending its widening streak at 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 one-month, 20-year, and 30-year rates fell while all other rates rose in October.
- The three-year rate had the best absolute performance with a 0.22 point change.
- On a relative basis, the two-year rate had the best performance with a 71.42 percent change.
- The 30-year rate had the worst absolute performance with a -0.15 point change.
- On a relative basis, the one-month rate had the worst performance with a -14.29 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 narrowed from 2.04 to 1.88.
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 2.04 to a range of 1.88. The widest range was 2.14 which was hit on October 8 and the narrowest 1.88 which was hit on October 29. The last time the yield curve was this wide was on June 16, 2021 when it hit a range of 2.16.
The thirty-year bond did not hold the highest rate throughout the month. The 20-year rate held the highest rate in the final two trading sessions. The 30-year rate saw a drop at the end of the month. Its highest rate for the month was 2.16 which was hit on October 8 and its lowest rate for the month was 1.93 which was hit on October 29. This month's high of 2.16 was last matched on June 25, 2021 when it hit 2.16.
The one-month bill did not hold the lowest rate throughout the month. The three-month rate held the lowest rate for a plurality of the sessions in October. 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 31 months.
Sources
"Treasury Constant Maturity," Federal Reserve Bank of St. Louis, accessed November 2, 2021, https://fred.stlouisfed.org/categories/115.