Thursday, November 9, 2017
MANAGING DIRECTOR: Scott Carrithers   PORTFOLIO SALES AND SERVICE: Steve Panknin • George Morris • Jeff Goble • Chris Thompson • Sean Doherty Robert Brickson • Kevin Doyle • Lonnie Harris •  Mark Tranckino • Robert Schuyler  Tom Toburen • Josh Kiefer • Nicole Burczyk • Kelley Frye • Natalie Regan • Aaron Stoffer • Chuck Honeywell

US Treasury Market
Date	1 mo	3 mo	6 mo	1 yr	2 yr	3 yr	5 yr	7 yr	10 yr	20 yr	30 yr
11/2/17	1.02	1.17	1.29	1.46	1.61	1.73	2.00	2.21	2.35	2.61	2.83
11/3/17	1.02	1.18	1.31	1.49	1.63	1.74	1.99	2.19	2.34	2.59	2.82
11/6/17	1.03	1.19	1.30	1.50	1.61	1.73	1.99	2.17	2.32	2.58	2.80
11/7/17	1.05	1.22	1.33	1.49	1.63	1.75	1.99	2.17	2.32	2.56	2.77
11/8/17	1.05	1.23	1.35	1.53	1.65	1.77	2.01	2.19	2.32	2.57	2.79

                                                                                                               

                                                                                                                Source: U.S. Department of the Treasury, as of 11/8/17   

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Low Volatility

Below is a graph of the Chicago Board Options Exchange (CBOE) TYVIX index, an index that measures volatility of 10YR treasury note futures prices.   Similar to how VIX measures volatility in the equity markets, TYVIX measures expected 30-day volatility in the fixed income market.   As many fixed income investors closely track the 10yr treasury, this index is an additional tool that can be used to manage interest rate volatility risks within a fixed income portfolio. 

 

There has been minimal volatility within the bond market over the past several years, as the fed has kept interest rates relatively low and adopted new methods of communication aimed at increasing transparency.  Notably, volatility on the 10YR treasury futures were at an annual low earlier in this month. 

 

A number of events including higher yields, quantitative tightening, or political uncertainty could all bring additional volatility back into the markets.  Until then, take advantage of the certainty and position your portfolio to take advantage of future market movements. 

Source: Bloomberg

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.

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