| Wednesday, September 3, 2025 |
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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 |
| 08/26/25 | 4.30 | 4.18 | 4.02 | 3.86 | 3.68 | 3.62 | 3.74 | 3.97 | 4.26 | 4.88 | 4.92 |
| 08/27/25 | 4.30 | 4.18 | 4.01 | 3.84 | 3.61 | 3.58 | 3.70 | 3.93 | 4.24 | 4.87 | 4.92 |
| 08/28/25 | 4.31 | 4.18 | 4.01 | 3.86 | 3.63 | 3.59 | 3.69 | 3.91 | 4.21 | 4.83 | 4.88 |
| 08/29/25 | 4.32 | 4.15 | 3.97 | 3.84 | 3.62 | 3.58 | 3.70 | 3.93 | 4.23 | 4.87 | 4.93 |
| 09/02/25 | 4.30 | 4.13 | 3.99 | 3.82 | 3.64 | 3.61 | 3.72 | 3.96 | 4.26 | 4.91 | 4.96 |
The data in the table above is static as of the time it was pulled, so rates may have changed. Treat all data in this table and PMR as indications only and availability is always subject to change. This information was pulled manually from sources we believe to be reliable. New source, as of 12/12/2022, Bloomberg, L.L.P. As of: close of business 9/2/2025.
Freddie Mac Multifamily Participation Certificates “PC” Pools
A potential investment option for bank portfolios to consider is the Freddie Mac Multifamily PC product. These pools typically have a fixed coupon rate and behave similarly to a bullet (more positively convex than a single-family MBS pool). At the bottom of an interest rate cycle (-2 standard deviation or greater), we favor increasing our allocation to higher coupon premium offerings with a wider window as these pools tend to act like a cushioned callable (or kicker municipal). Conversely, at the top of an interest rate cycle (+2 standard deviations or greater), we tend to favor discounted dollar price PC with a tight principal payment window (difference between 0 CPY and 100 CPY at 6 months or less). Below is a high-level description of the program’s structure.
Below is an example of a wide window cushioned callable. We also show a tight window discounted pool. Depending on the interest rate cycle, these different structures will either under or outperform. We recommend running a fixed rate PC pool to both 0 CPY (to maturity) and 100 CPY (end of prepayment protection period) to understand your range of outcomes.
0 CPY -> Prepays at maturity
Please reach out to your CCB representative to discuss options that work best for your bank.
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