Treasury yield curve: changes for October 2019

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Kevin M
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Treasury yield curve: changes for October 2019

Post by Kevin M »

Thought some folks might be interested in a visual of how Treasury yields changed in October:

Image

So shorter-term yields dropped significantly, while yields at 3-year maturity and beyond didn't change much or increased slightly. So now the yield curve is much less inverted at the short end than it was at the beginning of the month.

This is an example of the shortest-term yields responding to lowering of the Fed funds rate (FFR), while longer term yields dance to their own tune.

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MotoTrojan
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Re: Treasury yield curve: changes for October 2019

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Well played by those holding significant leverage on short bonds.
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Re: Treasury yield curve: changes for October 2019

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Kevin, where are you getting your chart from? I lost my source.
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Re: Treasury yield curve: changes for October 2019

Post by HEDGEFUNDIE »

MotoTrojan wrote: Thu Oct 31, 2019 11:17 pm Well played by those holding significant leverage on short bonds.
Those of us borrowing short to buy long also benefited.
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Re: Treasury yield curve: changes for October 2019

Post by keith6014 »

Kevin M wrote: Thu Oct 31, 2019 9:49 pm Thought some folks might be interested in a visual of how Treasury yields changed in October:

Image

So shorter-term yields dropped significantly, while yields at 3-year maturity and beyond didn't change much or increased slightly. So now the yield curve is much less inverted at the short end than it was at the beginning of the month.

This is an example of the shortest-term yields responding to lowering of the Fed funds rate (FFR), while longer term yields dance to their own tune.

Kevin
I am interested in this and thanks for putting this sort of stuff on the forum.
The x-axis is the duration; y-axis is the yield. I don't understand why you have two lines (10/01/2019 and 10/31/2019). Is it because these are completely 2 different bonds, CUSIPS?
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Re: Treasury yield curve: changes for October 2019

Post by TheJoelfather »

Doc wrote: Fri Nov 01, 2019 7:16 am Kevin, where are you getting your chart from? I lost my source.
Similar yield curve charts can be found here. Scroll down and click Government Bond Yield.
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Re: Treasury yield curve: changes for October 2019

Post by MotoTrojan »

HEDGEFUNDIE wrote: Fri Nov 01, 2019 7:19 am
MotoTrojan wrote: Thu Oct 31, 2019 11:17 pm Well played by those holding significant leverage on short bonds.
Those of us borrowing short to buy long also benefited.
Would it be fair to say you now will benefit?

Poor me with EDV. I suppose UPRO is getting much cheaper so that’s a win.
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Re: Treasury yield curve: changes for October 2019

Post by Call_Me_Op »

keith6014 wrote: Fri Nov 01, 2019 7:39 am
Kevin M wrote: Thu Oct 31, 2019 9:49 pm Thought some folks might be interested in a visual of how Treasury yields changed in October:

Image

So shorter-term yields dropped significantly, while yields at 3-year maturity and beyond didn't change much or increased slightly. So now the yield curve is much less inverted at the short end than it was at the beginning of the month.

This is an example of the shortest-term yields responding to lowering of the Fed funds rate (FFR), while longer term yields dance to their own tune.

Kevin
I am interested in this and thanks for putting this sort of stuff on the forum.
The x-axis is the duration; y-axis is the yield.

Not quite. The x-axis is time to maturity, not duration.
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Re: Treasury yield curve: changes for October 2019

Post by robertalpert »

October 1st is inverted yield curve and October 31st is normal / steeper yield curve in response to fed action. Any bets on when the inverted curve will return?
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Re: Treasury yield curve: changes for October 2019

Post by MotoTrojan »

robertalpert wrote: Fri Nov 01, 2019 8:58 am October 1st is inverted yield curve and October 31st is normal / steeper yield curve in response to fed action. Any bets on when the inverted curve will return?
Before the next recession.
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Re: Treasury yield curve: changes for October 2019

Post by Kevin M »

Doc wrote: Fri Nov 01, 2019 7:16 am Kevin, where are you getting your chart from? I lost my source.
I wrote a Google Sheets script to pull yields from treasury.gov, but of course you could just copy/paste it.

In first data row of sheet, I copy the row for the most recent day of the month (last row pulled), and the second row is the first day of the month. The Google Sheets chart uses the first two rows, so on 10/31, shows 10/1 and 10/31.

Image

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Re: Treasury yield curve: changes for October 2019

Post by Kevin M »

keith6014 wrote: Fri Nov 01, 2019 7:39 am I am interested in this and thanks for putting this sort of stuff on the forum.
The x-axis is the duration; y-axis is the yield. I don't understand why you have two lines (10/01/2019 and 10/31/2019). Is it because these are completely 2 different bonds, CUSIPS?
The two lines represent the yield curves for two dates--10/1 and 10/31, with yields from treasury.gov. As someone pointed out, x-axis is maturity. You can see the yields used to create the chart in the post I just submitted.

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Re: Treasury yield curve: changes for October 2019

Post by Kevin M »

robertalpert wrote: Fri Nov 01, 2019 8:58 am October 1st is inverted yield curve and October 31st is normal / steeper yield curve in response to fed action. Any bets on when the inverted curve will return?
The yield curve still was slightly inverted on 10/31 for some shorter-term yields; e.g., 5-year ws 1.51, which was slightly lower than all shorter-term yields, with 1mo at 1.59, for example. But yeah, much less inverted than on 10/1.

Since it seems doubtful that the shortest-term yields will increase any time soon, the longer-term yields would have to come down for the curve to become more inverted over the next few months.

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Re: Treasury yield curve: changes for October 2019

Post by Kevin M »

And here's how the yield curve has changed since the beginning of the year:

Image

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Re: Treasury yield curve: changes for October 2019

Post by Random Musings »

Yields dropped 0.2% on the front end and that's it.

Essentially, nothing.

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Re: Treasury yield curve: changes for October 2019

Post by marcopolo »

MotoTrojan wrote: Fri Nov 01, 2019 10:49 am
robertalpert wrote: Fri Nov 01, 2019 8:58 am October 1st is inverted yield curve and October 31st is normal / steeper yield curve in response to fed action. Any bets on when the inverted curve will return?
Before the next recession.
Probably several times before the next recession, predicting 10 out of the next 3 recessions.
Once in a while you get shown the light, in the strangest of places if you look at it right.
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