Comparing 3-Month/10-Year Treasury Yield Curve Inversions During The Last 42 Years

RichardW
  |     |   821 posts since 2019

Today (12/8/2022) the Treasury yield curve is deeply inverted with the 3-month yield 80 basis points above the 10-year yield, see: https://home.treasury.gov/resource-center/data-chart-center/interest-rates/TextView?type=daily_treas....

On 8/27/2019 (and additionally on 9/2/2019), the Treasury yield curve was also inverted with the 3-month yield 48 basis points above the 10-year yield. The 8/27/2019 inversion was not as deep as the inversion we have today.

There were additional inversions which occurred before 8/27/2019. On 11/30/2006 (and also on 2/26/2007), the Treasury yield curve was inverted with the 3-month yield 48 basis points higher than the 10-year yield. Also, on 1/1/2001, the Treasury yield curve was inverted with the 3-month yield 77 basis points above the 10-year yield. Some extreme yield curve inversions occurred between 1980 and 1981. During that period, the deepest inversion occurred on 12/9/1980. On 12/9/1980 the 3-month yield was 373 basis points above the 10-year yield.

To view the chart which displays the difference between the 10-year and the 3-month Treasury yields for dates before 12/8/2022 see: https://www.longtermtrends.net/us-treasury-yield-curve/ and view the “10y minus 3M Yield” chart. Expanding the “10y minus 3M Yield” chart will allow you to locate the specific dates of maximum inversion which I listed above.




milty
  |     |   1,689 posts since 2018
It would be interesting to know more at the time of these inversions what was going on with deposit and Federal Fund interest rates. The info I've found indicates a 6mo CD in December 1980 was 17.1%, the average FFR was 13.35%. In 2001, the max 5yr CD was 5.15% but the 6mo CD in December was only 1.90%, the average FFR was 3.88%. In 2006, the max 5yr CD was 4.18% vs the 6mo December CD of 4.97%, with avg FFR of 4.97%. In 2007, the max 5yr CD was 3.91% vs 6mo Dec. CD of 4.85%, with avg FFR of 5.02%. Regarding associated recessions having been declared:
1980: Start/End : Q2/Q3
1981: Start 07/1981 to 11/1982
2007: Start 12/2007 to 06/2009

I would say in general, deposit account rates never took the beating, regardless of these inversions, for as long as they have before 2008.


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