As you can see, rates on the one-month U.S. Treasury bill are provided for each

Question

As you can see, rates on the one-month U.S. Treasury bill are provided for each business day from July 31, 2001 to the present. For this assignment you are asked to pick a business date five years ago this month (June 2015). Then, using this row and the subsequent rows below it under “Treasury Constant Maturities” determine the shape of the yield curve on that date five years ago based on the rates published by the Fed by completing the table below for the listed Treasury maturities (see example below):

Business Date Chosen Five Years Ago

1-month Nominal T-bill Rate on that Date

3-month Nominal T-bill Rate on that Date

6-month Nominal T-bill Rate on that Date

1-year Nominal T-note Rate on that Date

5-year Nominal T-note Rate on that Date

10-year Nominal T-note Rate on that Date

20-year Nominal T-bond Rate on that Date

30-year Nominal T-bond Rate on that Date

Business Date Chosen Five Years Ago

1-month Nominal T-bill Rate on that Date

3-month Nominal T-bill Rate on that Date

6-month Nominal T-bill Rate on that Date

1-year Nominal T-note Rate on that Date

5-year Nominal T-note Rate on that Date

10-year Nominal T-note Rate on that Date

20-year Nominal T-bond Rate on that Date

30-year Nominal T-bond Rate on that Date

Explanation / Answer

The chosen date is September 08th, 2009

Business Date Chosen Five Years Ago

September 08th, 2009

1-month Nominal T-bill Rate on that Date

0.10

3-month Nominal T-bill Rate on that Date

0.14

6-month Nominal T-bill Rate on that Date

0.24

1-year Nominal T-note Rate on that Date

0.41

5-year Nominal T-note Rate on that Date

2.38

10-year Nominal T-note Rate on that Date

3.47

20-year Nominal T-bond Rate on that Date

4.24

30-year Nominal T-bond Rate on that Date

4.31

The shape of the curve is Upward sloping from left to right since the return is increasing as we come down row by row.

Business Date Chosen Five Years Ago

September 08th, 2009

1-month Nominal T-bill Rate on that Date

0.10

3-month Nominal T-bill Rate on that Date

0.14

6-month Nominal T-bill Rate on that Date

0.24

1-year Nominal T-note Rate on that Date

0.41

5-year Nominal T-note Rate on that Date

2.38

10-year Nominal T-note Rate on that Date

3.47

20-year Nominal T-bond Rate on that Date

4.24

30-year Nominal T-bond Rate on that Date

4.31

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