The one-month, three-month, six-month, and one-year rates remained the same, while all other rates fell in May. The yield curve narrowed from the previous month thus extending its narrowing streak to two months. The one-month bill maintained the lowest rate throughout the month but 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, six-month, and one-year rates remained unchanged, while all other rates fell in May.
- The one-month, three-month, six-month, and one-year rates had the best absolute performance with a 0.00 point change.
- On a relative basis, the one-month, three-month, six-month, and one-year rates had the best performance with a 0.00 percent change.
- The seven-year rate had the worst absolute performance with a -0.08 point change.
- On a relative basis, the three-year rate had the worst performance with a -14.29 percent change.
- The one-month bill maintained the lowest rate throughout the month. The one-month and the three-month rates shared the lowest rate on several occasions.
- The yield curve narrowed from 2.29 to 2.25.
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 narrowed over the month from a range of 2.29 to a range of 2.25. The widest range was 2.39 which was hit on May 12 and May 13 and the narrowest 2.23 which was hit on May 6. The last time the yield curve was this wide was on March 31, 2021 when it hit a range of 2.40.
The thirty-year bond held the highest rate throughout the month. It rose early on only to drop at the end of the month. Its highest rate for the month was 2.40 which was hit on May 12 and its lowest rate for the month was 2.24 which was hit on May 6. This month's high of 2.40 was last matched on March 31, 2021 when it hit 2.41.
The one-month bill held the lowest rate throughout the month. 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 26 months.
Sources
"Treasury Constant Maturity," Federal Reserve Bank of St. Louis, accessed June 7, 2021, https://fred.stlouisfed.org/categories/115.