| Friday, March 29, 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 |
| 03/22/24 | 5.37 | 5.38 | 5.30 | 4.97 | 4.59 | 4.35 | 4.18 | 4.20 | 4.20 | 4.47 | 4.38 |
| 03/25/24 | 5.38 | 5.39 | 5.31 | 4.98 | 4.63 | 4.39 | 4.23 | 4.25 | 4.25 | 4.51 | 4.42 |
| 03/26/24 | 5.38 | 5.36 | 5.31 | 5.00 | 4.59 | 4.39 | 4.22 | 4.24 | 4.23 | 4.50 | 4.40 |
| 03/27/24 | 5.37 | 5.38 | 5.31 | 4.99 | 4.57 | 4.36 | 4.19 | 4.20 | 4.19 | 4.45 | 4.35 |
| 03/28/24 | 5.37 | 5.37 | 5.32 | 5.03 | 4.62 | 4.41 | 4.21 | 4.21 | 4.20 | 4.45 | 4.34 |
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 3/28/2024.
Selling short Municipals
We believe the current level of inversion in the yield curve still creates a unique opportunity for investors looking to extend out on the yield curve, as long as they can stomach some loss on bonds purchased during the ZIRP era.
The Municipal Market Data (MMD) AAA Curve is a proprietary yield curve that provides the offer-side of “AAA” rated state general obligation bonds, as determined by the MMD analyst team. It is a standard index used to gage current market rates for municipal bonds. The MMD curve is in blue below, along with Munis at a percent of treasuries in grey and the current Treasury yield curve in orange. As you can see inside of the red box below, the 2028-2034 range in the curve is currently sitting below 60% of treasuries and represent an attractive opportunity for investors to sell municipals at historically rich ratios and either:
2) move into a portion of the yield curve that can provide more relative value to treasuries.
As a general rule of thumb, selling below 60% of treasuries and buying above 80% would allow an investor to take advantage of value in municipals relative to treasuries. The chart below provides a little context on municipal to treasury ratios, which have remained low relative to historical averages.
Source: Bloomberg, LP
If you have any questions about how selling short municipals can provide attractive take-out yields, please reach out to your County Club Bank representative.
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