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Tuesday, July 17, 2018 |
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MANAGING DIRECTOR: |
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US Treasury Market |
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| Date | 1 mo | 3 mo | 6 mo | 1 yr | 2 yr | 3 yr | 5 yr | 7 yr | 10 yr | 20 yr | 30 yr |
| 7/10/18 | 1.88 | 1.99 | 2.15 | 2.36 | 2.59 | 2.69 | 2.77 | 2.83 | 2.87 | 2.91 | 2.97 |
| 7/11/18 | 1.89 | 1.97 | 2.14 | 2.36 | 2.58 | 2.67 | 2.74 | 2.82 | 2.82 | 2.89 | 2.95 |
| 7/12/18 | 1.89 | 1.98 | 2.17 | 2.39 | 2.60 | 2.68 | 2.75 | 2.83 | 2.85 | 2.89 | 2.95 |
| 7/13/18 | 1.87 | 1.98 | 2.16 | 2.37 | 2.59 | 2.66 | 2.73 | 2.80 | 2.83 | 2.87 | 2.94 |
| 7/16/18 | 1.90 | 2.01 | 2.19 | 2.39 | 2.59 | 2.67 | 2.75 | 2.82 | 2.85 | 2.90 | 2.96 |
Source: U.S. Department of the Treasury, as of 07/16/2018
Short Bullets, Long Callables
The yield curve remains extremely flat. As upward pressure on the front end of the yield curve has pushed short term yields to their highest levels since 2008. Concurrently, we have seen significant compression in bullets spread to the treasury curve.
Graphed below in grey squares are short-term bullet offerings. As you can see, bullets are nearly touching the yield curve and have been providing about 10bps spread to treasuries. For investors looking to stay short, these still provide value along the steepest part of the yield curve within the 2-3yr range.
Consider the below 3YR Bullet Offering:
Source: Bloomberg, CCB Offerings
Conversely, investors looking to add yield to their portfolio can do so by adding optionality and extending out into callable agencies. On the graph above, the callable bonds are plotted in red with yield to worst represented on the vertical access and their final maturity date along the x axis.
Consider the Below Discounted Callable:
The yield curve remains extremely flat. As upward pressure on the front end of the yield curve has pushed short term yields to their highest levels since 2008. Concurrently, we have seen significant compression in bullets spread to the treasury curve.
Graphed below in grey squares are short-term bullet offerings. As you can see, bullets are nearly touching the yield curve and have been providing about 10bps spread to treasuries. For investors looking to stay short, these still provide value along the steepest part of the yield curve within the 2-3yr range.
Consider the below 3YR Bullet Offering:
| Cusip | Issuer | Coupon | Maturity | Call Date | Call Type | Spread | Price | YTM |
| 3133EJTF6 | FFCB | 2.70% | 7/2/2021 | - | - | 4.5 | $99.936 | 2.72% |
Source: Bloomberg, CCB Offerings
Conversely, investors looking to add yield to their portfolio can do so by adding optionality and extending out into callable agencies. On the graph above, the callable bonds are plotted in red with yield to worst represented on the vertical access and their final maturity date along the x axis.
Consider the Below Discounted Callable:
| Security | Issuer | Coupon | Maturity | Nxt Call | Px | YTM | Call Typ | Spread |
| 3133EHNF6 | FFCB | 2.7 | 12/19/2024 | 07/17/2018 | 97.15 | 3.194% | Anytime | 24.96 |
This information is intended for institutional investors only. The material provided in this document/presentation is for informational purposes only and is intended solely for private use. Past performance is not indicative of future results. This material is not intended as an offer or solicitation for the purchase or sale of any financial instruments.
•Not FDIC Insured •No Bank Guarantee •May Lose Value