All rates fell in March. 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. All rates fell 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
- All rates fell.
- The 30-year rate saw the smallest absolute drop at 0.30 points.
- On a relative basis, the 30-year rate dropped the most with a 18.18 percent drop.
- The one-month rate saw the largest absolute drop at 1.40 points.
- On a relative basis, the one-month rate dropped the most with a 96.55 percent drop.
- The one-month bill did not maintain the lowest rate throughout the month. The three-month, six-month, one-year, two-year, and three-year treasuries had the lowest rate at various points during the month.
- The yield curve widened from 0.79 to 1.30.
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 0.79 to a range of 1.30. The widest range was 1.75 which was hit on March 18 and the narrowest 0.72 which was hit on March 9. The last time the yield curve was this wide was on June 8, 2018 when it hit a range of 1.30.
The thirty-year bond held the highest rate throughout the month. However, it fluctuated wildly throughout the month. It fell below 1.00 percent on March 9 but quickly recovered. This month's low of 0.99 is a new record low for the thirty-year bond.
The one-month bill did not hold the lowest rate throughout the month. The three-month, six-month, one-year, two-year, and three-year treasuries had the lowest rate at various points during the month. The one-month did not hit a new 12-month high extending its streak of no new 12-month highs to twelve months.
Sources
"Treasury Constant Maturity," Federal Reserve Bank of St. Louis, accessed April 6, 2020, https://fred.stlouisfed.org/categories/115.