The five-year, seven-year, 10-year, 20-year, and 30-year rates fell, the three-month rate stayed the same, while all other rates rose in November. The yield curve narrowed from the previous month thus extending its narrowing 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 five-year, seven-year, 10-year, 20-year, and 30-year rates fell, the three-month rate stayed the same, while all other rates rose in November.
- The three-year rate had the best absolute performance with a 0.09 point change.
- On a relative basis, the one-month rate had the best performance with a 83.33 percent change.
- The 30-year rate had the worst absolute performance with a -0.15 point change.
- On a relative basis, the 30-year rate had the worst performance with a -7.77 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 and three-month rates shared the lowest rate on several occasions.
- The yield curve narrowed from 1.88 to 1.73.
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 1.88 to a range of 1.73. The widest range was 1.97 which was hit on November 16 and the narrowest 1.73 which was hit on November 30. The last time the yield curve was this wide was on October 26, 2021 when it hit a range of 1.99.
The 30-year bond did not hold the highest rate throughout the month. The 20-year rate held the highest rate in all trading sessions but one where it shared it with the 30-year rate. The 20-year rate fluctuated throughout the month. The 30-year rate's highest rate for the month was 2.02 which was hit on November 16 and November 23 and its lowest rate for the month was 1.78 which was hit on November 30. This month's high of 2.02 was last matched on October 26, 2021 when it hit 2.05.
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 November. In addition, the one-month and three-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 32 months.
Sources
"Treasury Constant Maturity," Federal Reserve Bank of St. Louis, accessed December 8, 2021, https://fred.stlouisfed.org/categories/115.