US 13-Week Treasury Yield

On an ordinary day over the last month of trading, US3M has moved about 0.51%, making it a little calmer than most of the rates Kinzan tracks (their median is 0.71%).

At +0.5σ, the last 24 hours have been an entirely ordinary session for US3M.

It sits near the bottom of its 24-hour range of 4.032–4.043, measured on hourly closes.

The New York block (13:00–22:00 UTC) did most of the work — roughly 100% of the movement over the last 24 hours.

Over the last 60 sessions of daily returns, it has moved most closely with USD/CHF (+0.48, a moderate relationship), and most inversely to EUR/USD (−0.43).

Its last close is at the 78th percentile of its own last 83 sessions, and its 20-day volatility at the 16th.

Market read: The 13-week Treasury yield is flat, showing no significant movement during the New York session.

What it is

The return on a thirteen-week United States Treasury bill, quoted as an annualised percentage. A bill of this maturity pays no coupon; it is sold below face value and redeems at par, and the yield is the gap between the two expressed as a rate. Because it matures in roughly three months, it carries almost no exposure to long-run inflation or term premium, and what it does carry is an estimate of the central bank’s policy rate across the coming quarter.

What drives it

This is the cleanest available read on what the market expects the Federal Reserve to do next. It moves in steps rather than drifts, because the thing it is tracking moves in steps: as the probability of a cut or a hike at the next meeting shifts, the bill reprices toward the expected outcome, and once the decision is made it sits close to the realised rate until attention turns to the following meeting.

Two things move it for reasons unconnected to policy. The first is bill supply: the Treasury funds short-term needs by issuing heavily at this maturity, and a surge in issuance pushes the yield up without any change in the rate outlook. The second is scarcity in the opposite direction, when money-market funds and foreign central banks compete for a limited stock of short collateral. Around debt-ceiling deadlines both effects can appear at once and distort the reading considerably, with bills maturing either side of a contested date pricing quite differently.

How it trades through the day

Bills trade in a large and continuous dealer market rather than on an exchange, with activity concentrated in New York hours. Day-to-day movement is usually small, which is the expected behaviour of an instrument tracking an administered rate. The exceptions are abrupt and cluster on policy decisions and on employment and inflation releases that change the odds of the next move.

What it tends to move with

It leads the rest of the curve in the sense that everything longer contains an expectation of where this rate will go. Its gap against the ten-year is the most widely watched measure of curve shape, and an inversion of that relationship, where the short rate exceeds the long one, has historically drawn attention as a recession signal.