| Wednesday, March 27, 2024 |
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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 |
| 03/20/24 | 5.37 | 5.39 | 5.30 | 4.99 | 4.60 | 4.40 | 4.25 | 4.27 | 4.27 | 4.55 | 4.45 |
| 03/21/24 | 5.37 | 5.39 | 5.31 | 5.00 | 4.64 | 4.41 | 4.25 | 4.28 | 4.27 | 4.53 | 4.44 |
| 03/22/24 | 5.37 | 5.38 | 5.30 | 4.97 | 4.59 | 4.35 | 4.18 | 4.20 | 4.20 | 4.47 | 4.38 |
| 03/25/24 | 5.38 | 5.39 | 5.31 | 4.98 | 4.63 | 4.39 | 4.23 | 4.25 | 4.25 | 4.51 | 4.42 |
| 03/26/24 | 5.38 | 5.36 | 5.31 | 5.00 | 4.59 | 4.39 | 4.22 | 4.24 | 4.23 | 4.50 | 4.40 |
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 3/26/2024.
Identifying Value
Even though Treasury yields are off the highs we saw late last fall, they continue to be above multiple decade averages. Beyond pricing specific Treasury offerings, the Treasury curve is used in various ways in finance. We can make quick assessments or assumptions on the health of the economy and/or the direction of interest rates and the benchmark rates are readily available to everyone, regardless of working in finance or not. What is not as easy to track without access to a trading tool such as Bloomberg, is how other sectors are performing day to day – lucky for you, loyal reader, sharing knowledge is what we love most.
We use the Treasury market as a benchmark to show value, either positive or negative in the form of +/- basis points (bps) or as a percent of Treasury for tax exempt municipals. Fixed income sectors do not always move in tandem, so checking in on this from time to time could be beneficial.
The sectors and corresponding commentary below cover a portion of the various sectors of fixed income. We would be happy to go in more depth as needed.
US Treasuries: the baseline, viewed as the most liquid, therefore other offers are priced in comparison because additional risk is assumed
Agency Bullets: 2-5YR offers +5-10bps, 6-10YR offers +10-25bps
Agency Callables: 2-5YR offers +50-70bps, 6+YR offers up to +90bps // spread to maturity, could get called
CDs: 1-5YR non-callable offers up to +30bps, 2-5YR callable offers up to +70bps
MBS Pass-Throughs (current coupons, base case): 10YR Pools: +25/3YR Avg Life, 15YR Pools: +80/4.5YR Avg Life, 20YR Pools: +100/6YR Avg Life, 30YR Pools: +150/5YR Avg Life
MBS ARMs: 5YR Reset: +60-65/3.5YR Avg Life (to reset)
DUS/PCs: 4-5YR offers +30-50bps, 6-10YR offers +50-60bps
Municipals BQ: 1-5YR at 58-63% of USTN, 6-10YR at 57-62% of USTN, 10-30YR at 62-83% of USTN. Historically, the general rule of thumb is to sell below 60% of treasuries and buy above 80% to take advantage of relative value in munis.
Municipals Taxable: 2-5YR offers +35-50bps, 5-10YR offers +50-65bps, 10-20YR offers +65-70bps
*Averages used for illustrating general pricing compared to treasuries. There are outliers and specific offers that will fall outside of these average ranges. Spreads (+/-) are indications only and subject to change without notice.
REMINDER: The market closes early tomorrow at 1PM CST and is closed Friday so if you have anything you need to get done prior to quarter end, hop to it.
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