Friday, September 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 |
| 09/20/24 | 4.75 | 4.66 | 4.47 | 3.94 | 3.59 | 3.48 | 3.50 | 3.61 | 3.74 | 4.13 | 4.09 |
| 09/23/24 | 4.71 | 4.62 | 4.44 | 3.93 | 3.59 | 3.49 | 3.51 | 3.62 | 3.75 | 4.14 | 4.09 |
| 09/24/24 | 4.67 | 4.62 | 4.37 | 3.89 | 3.54 | 3.44 | 3.47 | 3.59 | 3.73 | 4.13 | 4.09 |
| 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 |
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 09/26/2024.
Investing For Your Future
Fed Funds Futures Rate
We would typically advocate buying a bullet or long taxable municipal with less convexity risk into an easing cycle. Most of the time we would typically avoid (or underweight allocations) fixed rate MBS or short callable USAG as the convexity risk remains too high. Borrowers will likely refi if rates go lower and will result in an above average coupon being called away at par. However, this is one of the rare instances in the last 30 years where you can lock in MBS with positive convexity (and more spread than other sectors) as the market remains trading at a deep discount for some coupons.
Convexity Risk MBS
We are currently seeing a great opportunity in 20yr 2% MBS pools. Below is an example of a bond which provides a 4.32% yield and 69bps of spread. Compared to typically more positively convex bonds (5yr duration bullet = ~3.65% / 5yr duration taxable muni = ~4.00% / 5yr duration DU = ~4.00%) this MBS pool outperforms on yield / nominal spread, but also outperforms in almost all scenarios if rates fall from a total return perspective. If you have liquidity to put dollars to work (or are looking for ways to generate liquidity) please reach out to your CCB representative to discuss further.
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