I’m really looking forward to a time of increasing interest rates. Eventually.
I liked this animation of the yield curve [with the sound off]
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It’s been a while (I suppose we’ve got more than one thread, too… but oh well)
Here are yesterday’s rates (compared to the beginning of the year)
look at that lovely inversion
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The inversion has become a lasting fixture for 2022. Most carriers base their preliminary year-end financials on 9/30 numbers. The difference between now and 12/31 should be very interesting, and make it very difficult for actuaries developing 12/31/2023 memos to guess where 2023 will lead.
4-month T-bill was added to the curve today.
Yes, I saw that when I updated my graph this morning.
They added the column before there was a number to put in there.
So, I’ve sometimes been updating a yield curve first thing in the morning on actuarial.news
Just added the 4-month in:
prior day for comparison:
4-month seems superfluous.
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This is the year-end Treasury yield curve. How does the inversion affect cashflow testing?
| Date | 1 Mo | 2 Mo | 3 Mo | 4 Mo | 6 Mo | 1 Yr | 2 Yr | 3 Yr | 5 Yr | 7 Yr | 10 Yr | 20 Yr | 30 Yr |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 12/30/2022 | 4.12 | 4.41 | 4.42 | 4.69 | 4.76 | 4.73 | 4.41 | 4.22 | 3.99 | 3.96 | 3.88 | 4.14 | 3.97 |
09/30/2022 | 2.79 | 3.20 | 3.33 | N/A | 3.92 | 4.05 | 4.22 | 4.25 | 4.06 | 3.97 | 3.83 | 4.08 | 3.79
Most work was probably done as of 9/30. Here’s the 9/30 curve. Seems less inverted than 12/31/22.
