| Wednesday, December 9, 2020 |
||||||||
|---|---|---|---|---|---|---|---|---|
| MANAGING DIRECTOR: Scott Carrithers PORTFOLIO SALES AND SERVICE: Steve Panknin • George Morris • Jeff Goble • Chris Thompson • Sean Doherty Kevin Doyle • Lonnie Harris • Mark Tranckino • Robert Schuyler • Tom Toburen Josh Kiefer • Nicole Burczyk • Natalie Regan • Aaron Stoffer • David Farris |
| 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 |
| 12/02/20 | 0.07 | 0.09 | 0.10 | 0.11 | 0.16 | 0.22 | 0.42 | 0.69 | 0.95 | 1.50 | 1.70 |
| 12/03/20 | 0.08 | 0.08 | 0.09 | 0.10 | 0.16 | 0.21 | 0.40 | 0.67 | 0.92 | 1.46 | 1.67 |
| 12/04/20 | 0.07 | 0.09 | 0.10 | 0.11 | 0.16 | 0.21 | 0.42 | 0.70 | 0.97 | 1.53 | 1.73 |
| 12/07/20 | 0.09 | 0.08 | 0.10 | 0.10 | 0.14 | 0.20 | 0.40 | 0.67 | 0.94 | 1.49 | 1.69 |
| 12/08/20 | 0.08 | 0.09 | 0.09 | 0.10 | 0.14 | 020 | 0.39 | 0.65 | 0.92 | 1.46 | 1.67 |
Source: U.S. Department of Treasury as of 12/08/2020
Peer Group Average Lookback
Over the past two years, we have seen rates as high as 3.23% and as low as 0.34% on the 10YR Treasury Note. That is a sizeable swing and as portfolio managers we know how our bond portfolio has been transformed. As a comparison tool, we have shown below the average bond portfolio on our system in its current make up along with a view from 24 months ago. All data points from the past year, 18 and 24 months back are shown in the table along with a few observations. We hope you and/or your directors find this information to be useful.
Since the beginning of Covid-19 in the US:
The average bank bond portfolio has lost 47bps, or 18%, in bond portfolio earnings and shortened the average maturity by 0.06 years.
Year over Year:
The average bank bond portfolio has lost 45bps, or 17%, in bond portfolio earnings and shortened the average maturity by 0.14 years.
Since December 2018 (following cycle high on 10YR USTN):
The average bank bond portfolio has lost 37bps, or 15%, in bond portfolio earnings and shortened the average maturity by 0.21 years. At the end of 2018 market yields were higher than average portfolio yields, so most portfolios had unrealized losses, with the average total return of 1.45%, less than half of today’s average.
Peer Group Average Lookback
Over the past two years, we have seen rates as high as 3.23% and as low as 0.34% on the 10YR Treasury Note. That is a sizeable swing and as portfolio managers we know how our bond portfolio has been transformed. As a comparison tool, we have shown below the average bond portfolio on our system in its current make up along with a view from 24 months ago. All data points from the past year, 18 and 24 months back are shown in the table along with a few observations. We hope you and/or your directors find this information to be useful.
Since the beginning of Covid-19 in the US:
The average bank bond portfolio has lost 47bps, or 18%, in bond portfolio earnings and shortened the average maturity by 0.06 years.
Year over Year:
The average bank bond portfolio has lost 45bps, or 17%, in bond portfolio earnings and shortened the average maturity by 0.14 years.
Since December 2018 (following cycle high on 10YR USTN):
The average bank bond portfolio has lost 37bps, or 15%, in bond portfolio earnings and shortened the average maturity by 0.21 years. At the end of 2018 market yields were higher than average portfolio yields, so most portfolios had unrealized losses, with the average total return of 1.45%, less than half of today’s average.
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