| Wednesday, February 28, 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 |
| 02/21/24 | 5.39 | 5.40 | 5.35 | 4.99 | 4.67 | 4.44 | 4.31 | 4.33 | 4.32 | 4.61 | 4.48 |
| 02/22/24 | 5.39 | 5.41 | 5.35 | 5.01 | 4.31 | 4.49 | 4.32 | 4.35 | 4.32 | 4.58 | 4.46 |
| 02/23/24 | 5.39 | 5.41 | 5.35 | 5.00 | 4.69 | 4.45 | 4.28 | 4.28 | 4.25 | 4.51 | 4.37 |
| 02/26/24 | 5.40 | 5.41 | 5.36 | 5.03 | 4.72 | 4.49 | 4.31 | 4.31 | 4.28 | 4.53 | 4.40 |
| 02/27/24 | 5.40 | 5.39 | 5.35 | 5.02 | 4.69 | 4.49 | 4.31 | 4.33 | 4.30 | 4.56 | 4.43 |
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 02/27/2024.
What if rates move higher?
Now there is a statement you have not seen in this space for a while. Today’s PMR is not an argument for higher rates as the majority of indicators we focus on are still suggesting we are at the top of the interest rate cycle. Today’s PMR is for those who want to diversify the portfolio just in case all the indicators are wrong.
While many portfolios are focused on extension and limiting optionality, we have had some that also want to add shorter duration assets that will track the market. The most common instruments in community bank portfolios have been SBA floaters and SARM’s. Today, we would like to highlight a CMO floater that captures over 30 BPS of extra spread when compared to these alternatives.
If you are looking to add a little diversification to the portfolio, just in case rates go higher, please see the highlights on the CMO floater below which is currently offering 6.30% and 30-day adjustments.
Floater Highlights….
- Current Base Case Yield of 6.30% to a 5YR Avg. Life
- Will adjust to SOFR +100 BPS every 30 days
- 100 BPS Margin = 1.00% floor
- Still 170 BPS from the 8.00% CAP
Source: Bloomberg, LP / Indications 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