Seasonal Variations In Treasury Notes Yields

We study seasonalities in the yields of Treasury notes (T-Notes) with fixed maturities of two, three, five, seven and ten years. We find that although there are a number of anecdotal patterns, only one passes the more rigorous statistical tests, which is the half-year high (March to August) versus half-year low (September to February) yield measured in terms of their ranks in a year. The results across T-Notes of different maturities also exhibit a striking resemblance. Further analysis on the yield spread of the 10- Year and 2-Year T-Notes shows that although their nominal yield differences have been similar in recent economic cycles, the percentage values of the differences have been increasing quickly especially since the 2010s due to the low levels of short-term Treasury yields.