The one-month, three-month, six-month, and two-year rates fell, the one-year rate stayed the same, and all other rates rose in January. 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. There were no 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, three-month, six-month, and two-year rates fell, the one-year rate stayed the same, and all other rates rose in January.
- The 20-year rate saw the largest absolute rise at 0.23 points.
- On a relative basis, the five-year rate rose the most with a 25.00 percent gain.
- The three-month rate saw the largest absolute drop at 0.03 points.
- On a relative basis, the three-month rate contracted the most with a 33.33 percent drop.
- The one-month bill did not maintain the lowest rate throughout the month. The three-month bill held the lowest rate on two occasions. The one-month, three-month, and six-month rates shared the lowest rate on several occasions.
- The yield curve widened from 1.57 to 1.81.
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 1.57 to a range of 1.81. The widest range was 1.81 which was hit on January 29 and the narrowest 1.57 which was hit on January 4. The last time the yield curve was this wide was on February 22, 2018 when it hit a range of 1.87.
The thirty-year bond held the highest rate throughout the month. It rose early in the month and then fluctuated within a narrow band for the remainder of the month. Its highest rate for the month was 1.88 which was hit on January 11, January 12, and January 14 and its lowest rate for the month was 1.66 which was hit on January 4. This month's high of 1.88 was last matched on February 21, 2020 when it hit 1.90.
The one-month bill did not hold the lowest rate throughout the month. The three-month bill held the lowest rate on two occasions. 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 22 months.
Sources
"Treasury Constant Maturity," Federal Reserve Bank of St. Louis, accessed February 2, 2021, https://fred.stlouisfed.org/categories/115.