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Wednesday, October 2, 2024
 

MANAGING DIRECTOR:
Scott Carrithers
 
PORTFOLIO SALES AND SERVICE:
Chris Thompson • Sean Doherty • Kevin Doyle • Mark Tranckino
Natalie Regan • Aaron Stoffer • David Farris • Lonnie Harris • Brian Schaff
Jeff Macy • Josh Kiefer • Tom Toburen • Todd Czinege

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
09/25/24 4.67 4.62 4.39 3.92 3.56 3.49 3.53 3.65 3.79 4.19 4.14
09/26/24 4.71 4.62 4.40 3.99 3.63 3.55 3.57 3.67 3.80 4.18 4.13
09/27/24 4.76 4.61 4.39 3.93 3.56 3.48 3.51 3.61 3.75 4.15 4.11
09/30/24 4.82 4.63 4.41 4.01 3.64 3.55 3.56 3.65 3.78 4.18 4.12
10/01/24 4.84 4.58 4.36 3.98 3.61 3.51 3.51 3.60 3.73 4.13 4.07

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 10/01/2024.

                                                                                                                                                                                        


Deep Discounts = Lock out Protection and Incredible Yield Profiles

 
Today’s PMR highlights a structure we banks should all strongly consider.  Deep Discount MBS and Deep Discount Agency Callables.  These two structures are not only offering duration protection due to their incredibly low coupons, but they offer some of the most attractive yields when compared to alternatives as well as enhanced yields in the event you have to accrete your discount earlier than expected.

Below are two tables we believe are well worth consideration.  The first lists the available Deep Discounted MBS Agency Pools.  Focus on the BASE CASE Yield, average life and spread along with the limited contraction in duration and incredible boost in yield in a very dramatic -300 BPS rate shock.

The second table is a shorter list of Deep Discounted Agency Callables.  Focus on the spreads to a comparable Agency Bullet in this table.  The deeper the discount, the more likely it acts like a non-callable bullet while capturing some extra spread.

If you have any questions about what you see or want to discuss anything in more detail please don’t hesitate to reach out.  We believe these options are really incredible opportunities…it’s a great time to dabble in the bond market, chances are you will be happy you did.

Thank you for your time and have a great day!   


 



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