The one-month rate fell while all other rates rose in December. The yield curve widened from the previous month thus ending its narrowing streak at two months. The one-month bill did not maintain the lowest rate throughout the month and it shared the lowest rate. There were no major 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 rate fell while all other rates rose in December.
- The two-year rate had the best absolute performance with a 0.21 point change.
- On a relative basis, the six-month rate had the best performance with a 90.00 percent change.
- The one-month rate had the worst absolute performance with a -0.05 point change.
- On a relative basis, the one-month rate had the worst performance with a -45.45 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 widened from 1.73 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 widened over the month from a range of 1.73 to a range of 1.84. The widest range was 1.95 which was hit on December 29 and the narrowest 1.65 which was hit on December 3. The last time the yield curve was this wide was on November 23, 2021 when it hit a range of 1.96.
The 30-year bond did not hold the highest rate at all in the month. The 20-year rate held the highest rate in all trading sessions. The 20-year rate rose throughout the month. The 30-year rate's highest rate for the month was 1.96 which was hit on December 29 and its lowest rate for the month was 1.69 which was hit on December 3. This month's high of 1.96 was last matched on November 24, 2021 when it hit 1.96.
The one-month bill did not hold the lowest rate throughout the month. The three-month rate held the lowest rate for a few of the sessions in December. 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 33 months.
Sources
"Treasury Constant Maturity," Federal Reserve Bank of St. Louis, accessed January 5, 2022, https://fred.stlouisfed.org/categories/115.