The one-month, three-month, and one-year rates fell, the six-month remained the same, while all other rates rose in March. The yield curve widened from the previous month thus extending its widening streak to four 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 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, and one-year rates fell, the six-month remained unchanged, while all other rates rose in March.
- The 10-year rate saw the largest absolute rise at 0.30 points.
- On a relative basis, the five-year rate rose the most with a 22.67 percent gain.
- The one-month rate saw the largest absolute drop at 0.03 points.
- On a relative basis, the one-month rate contracted the most with a 74.00 percent drop.
- The one-month bill did not maintain the lowest rate throughout the month. The three-month bill held the lowest rate on one occasion, and the one-month and the three-month rates shared the lowest rate on several occasions.
- The yield curve widened from 2.13 to 2.40.
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 2.13 to a range of 2.40. The widest range was 2.44 which was hit on March 18 and March 19 and the narrowest 2.17 which was hit on March 2. The last time the yield curve was this wide was on March 16, 2017 when it hit a range of 2.46.
The thirty-year bond held the highest rate throughout the month. It steadily rose throughout the month. Its highest rate for the month was 2.45 which was hit on March 18 and March 19 and its lowest rate for the month was 2.21 which was hit on March 2. This month's high of 2.45 was last matched on July 31, 2019 when it hit 2.53.
The one-month bill did not hold the lowest rate throughout the month. The three-month bill held the lowest rate on one occasion and 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 24 months.
Sources
"Treasury Constant Maturity," Federal Reserve Bank of St. Louis, accessed April 7, 2021, https://fred.stlouisfed.org/categories/115.