Treasury Rate Watch

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.

Lovely.

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Happy New Year!

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uuuuuuugh