| Friday, December 29, 2023 |
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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 |
| 12/21/23 | 5.34 | 5.38 | 5.30 | 4.85 | 4.35 | 4.06 | 3.88 | 3.90 | 3.89 | 4.20 | 4.03 |
| 12/22/23 | 5.37 | 5.37 | 5.28 | 4.83 | 4.32 | 4.04 | 3.87 | 3.91 | 3.90 | 4.21 | 4.05 |
| 12/26/23 | 5.37 | 5.37 | 5.27 | 4.81 | 4.36 | 4.07 | 3.89 | 3.92 | 3.90 | 4.21 | 4.05 |
| 12/27/23 | 5.37 | 5.40 | 5.27 | 4.78 | 4.24 | 3.98 | 3.80 | 3.82 | 3.80 | 4.11 | 3.95 |
| 12/28/23 | 5.38 | 5.38 | 5.27 | 4.80 | 4.28 | 4.03 | 3.84 | 3.87 | 3.85 | 4.15 | 4.00 |
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 12/28/2023.
Discounted Callable / Bullet Alternative
We have long been proponents of deep discounted callables as an alternative to bullets which can provide incremental spread and a better yield profile. With bullet spreads offering 10bps or less of spread to US Treasury on the front end of the curve (5yr or less final) we would typically advocate either buying just the US Treasury (better liquidity) or discounted callable (better spread) in leu of a bullet. Bullets remain extremely rich (expensive) on the front end of the curve.
While we have had good success with discounted callables, we would like to highlight deep discount Fannie Mae DUS bonds at even better spreads and yield profiles. Below is an example of a deep discount DUS that offers incremental spread to a discounted callable. This DUS picks over 30bps vs a bullet and 10-20bps over a discounted callable, while at over a 12-point discount.
Key Highlights
March 2028 hard final
Over 12-point discount (par dollar price = 1.09% yield so plenty of room to appreciate)
Pick 30bps over a bullet
Pick 10-20bps over a discounted callable
Pick 5-10bps over 10yr pools
YT Screen – Bloomberg
Source – Bloomberg / Indication only – Subject to change and availability without notice
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