Short-term rates continued their rise in November while medium-term rates rose slower and long-term rates dropped from the previous month. The yield curve continued to narrow as it had in the previous month. Short-term rates have increased their rise in rates but the one-month bill had no sessions with higher rates than the three-month bill. That is, the one-month bill maintained the lowest rate throughout the month. However, the yield curve narrowed from the bottom up and that has been a steadfast indicator of recession.
Findings
- All rates from the one-month to the seven-year rose in November while the 10, 20, and 30-year rates all dropped.
- The one-month, one-year, and two-year rates saw the largest absolute growth at 0.18 points.
- The 30-year rate saw the largest drop at 0.07 points.
- On a relative basis, the one-month rate grew the most with an 18.18 percent rise.
- The 30-year rate dropped the most on relative terms with a 2.43 percent drop.
- The one-month bill maintained the lowest rate throughout the month for the second time in four months.
- Short-term rates rose faster than medium-term rates on a percentage basis.
- The yield curve narrowed 0.25 points.
Caveats
- As always, past performance is not indicative of future results.
- The rates have been at historic lows for quite some time which has not occurred previously.
Details
The breadth of the yield curve narrowed over the month from a range of 1.89 to a range of 1.64. The widest range was 1.82 on November 10 and the narrowest 1.59 on November 22.
The thirty-year bond held the highest rate throughout the month, although the rate has been fluctuating throughout the course of the month and trending downwards.
The one-month note held the lowest rate for every session. However, it has been rising rapidly throughout the course of the month.
Sources
"Treasury Constant Maturity," Federal Reserve Bank of St. Louis, accessed November 30, 2017, https://fred.stlouisfed.org/categories/115.